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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-04236
JPMorgan Trust II
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: June 30
Date of reporting period: July 1, 2020 through June 30, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
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 Reports. Not Applicable. Notices do not incorporate disclosures from the shareholder report. |
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Annual Report
J.P. Morgan Small Cap Funds
June 30, 2021
JPMorgan Small Cap Blend Fund
JPMorgan Small Cap Equity Fund
JPMorgan Small Cap Growth Fund
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund)
JPMorgan Small Cap Value Fund
JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund)
JPMorgan U.S. Small Company Fund
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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August 4, 2021 (Unaudited)
Dear Shareholders,
The rally in equity markets that began in the second half of last year accelerated in 2021 on the back of mass vaccinations against COVID-19, federal relief and recovery efforts and a surge in both corporate profits and consumer spending. As a result, we find ourselves in a different environment than we inhabited a year ago.
“Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a particularly remarkable performance over the twelve months ended June 30, 2021. The S&P 500 posted a total return of 40.79%; the Russell 1000 returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell Small Cap Index returned 62.03%. The lesson for investors, we believe, is clear: Those who were consistently and fully invested in the second half of 2020 through the first half of 2021 stood to benefit greatly from the superlative performance in global equity markets.
The rollout of mass vaccinations and the partial reopening of economies at all scales have fueled job growth, consumer spending and rising corporate profits. However, the pandemic remains a global threat and the Delta variant of COVID-19 has
driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve. While the central bank has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 1 |
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J.P. Morgan Small Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
Overall, U.S. and emerging markets equity led a remarkable global rally in stocks on the back of massive central bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Leading U.S. equity indexes rose in July and August 2020, punctuated by five consecutive record high closings for the S&P 500 Index in late August — a stretch not seen since 2017. While the spread of COVID-19 accelerated in the U.S., multiple candidate vaccines were being developed around the world and the number of hospitalizations at the end of the summer was relatively small compared with what was to come at the end of the year.
Equity prices across the globe largely declined over September and October 2020. Re-closings across Asia and Europe in response to the pandemic dented investor optimism. The inability of the U.S. Congress to adopt further spending for pandemic relief put acute pressure on the S&P 500 Index in the final week of October.
U.S. equity prices began to rebound in November and by mid-month the S&P 500 Index reached a closing high and crossed 3,600 points for the first time amid the U.S. Food and Drug Administration’s approval of the first COVID-19 vaccines. November and December saw broad gains in global equity, partly driven by continued investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Within U.S. equity markets, the S&P 500 Index returned 40.79%; the Russell 1000 Index returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell 2000 Index returned 62.03% for the twelve months ended June 30, 2021.
2 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | 52.93% | |||
Russell 2000 Index | 62.03% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 1,133,504 |
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 twelve months ended June 30, 2021. The Fund’s security selection in the industrials and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection and underweight position in the health care sector and its security selection in the energy sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight positions in AMC Entertainment Holdings Inc., GameStop Corp. and in Plug Power Inc. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters that was not held in the Fund, rose sharply in the first half of 2021, driven by users of Internet forums in response to large short positions in the stock. Shares of GameStop, a consumer electronics retail chain not held in the Fund, rebounded sharply in early 2021 when users of an Internet forum largely orchestrated a run up in the stock price in response to large short positions in the stock. Shares of Plug Power, a developer of hydrogen fuel cell systems, fell following a run-up in stock price in the first quarter of 2021.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in Enphase Energy Inc. and its overweight positions in Twist Bioscience Corp. and Shockwave Medical Inc. Shares of Enphase Energy, a provider of solar energy systems and services, rose amid better-than-expected earnings and investor expectations for increased U.S. spending on renewable energy. Shares of Twist Bioscience, a developer of synthetic DNA manufacturing processes, rose amid investor expectations for increased demand for the company’s technology in the fight against the pandemic. Shares of Shockwave Medical, a medical devices manufacturer, rose after the company reported consecutive quarters of better-than-expected revenues.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies in an effort
to construct a portfolio of companies that are attractively valued and stocks that have a history of growth. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate consistent earnings. The Fund is positioned to invest in small cap companies across both growth and value styles.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Applied Industrial Technologies, Inc. | 1.1 | % | |||||
2. | ITT, Inc. | 1.0 | ||||||
3. | Matador Resources Co. | 1.0 | ||||||
4. | Texas Roadhouse, Inc. | 0.8 | ||||||
5. | PDC Energy, Inc. | 0.7 | ||||||
6. | Brady Corp., Class A | 0.7 | ||||||
7. | Watts Water Technologies, Inc., Class A | 0.7 | ||||||
8. | Camden National Corp. | 0.7 | ||||||
9. | Comfort Systems USA, Inc. | 0.7 | ||||||
10. | Lakeland Bancorp, Inc. | 0.7 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Industrials | 18.1 | % | ||
Financials | 15.8 | |||
Information Technology | 13.1 | |||
Health Care | 12.8 | |||
Consumer Discretionary | 12.4 | |||
Real Estate | 5.2 | |||
Materials | 3.8 | |||
Consumer Staples | 2.9 | |||
Energy | 2.9 | |||
Communication Services | 2.7 | |||
Utilities | 2.0 | |||
Short-Term Investments | 8.3 |
* | 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. |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 3 |
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JPMorgan Small Cap Blend Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 19, 1997 | |||||||||||||
With Sales Charge* | 44.89 | % | 21.64 | % | 13.77 | % | ||||||||
Without Sales Charge | 52.93 | 22.96 | 14.38 | |||||||||||
CLASS C SHARES | January 7, 1998 | |||||||||||||
With CDSC** | 51.22 | 22.35 | 13.93 | |||||||||||
Without CDSC | 52.22 | 22.35 | 13.93 | |||||||||||
CLASS I SHARES | April 5, 1999 | 53.35 | 23.28 | 14.70 | ||||||||||
CLASS R6 SHARES | July 2, 2018 | 53.67 | 23.58 | 15.02 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
4 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | 46.49% | |||
Russell 2000 Index | 62.03% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 8,567,131 |
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Equity Fund (the “Fund”) seeks capital growth over the long term.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, underperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection and underweight position in the consumer discretionary sector and its security selection in the information technology sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the financials sector and its underweight position and security selection in the health care sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in AMC Entertainment Holdings Inc. and its out-of-Benchmark positions in AptarGroup Inc. and Guidewire Software Inc. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters, rose sharply in the first half of 2021, driven by users of Internet forums in response to large short positions in the stock. Shares of AptarGroup, a maker of consumer products dispensers, underperformed after a run-up in the stock price in 2020. Shares of Guidewire Software, a technology provider to the insurance industry, fell after the company forecast lower sales for its fiscal third quarter.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in Western Alliance Bancorp and Signature Bank Corp. and its overweight position in Welbilt Inc. Shares of both Western Alliance Bancorp and Signature Bank rose amid investor expectations that accelerating inflation may lead to rising interest rates in the U.S. Shares of Welbilt, a food service industry equipment maker, rose late in the period amid news reports that it was the target of competing takeover bids.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing portfolios based on company fundamentals and proprietary analysis. The Fund’s portfolio managers looked for companies that, in their view, had leading competitive advantages, predictable and durable
business models, and sustainable free cash flow generation with management teams committed to increasing intrinsic value.
TOP TEN EQUITY HOLDINGS OF THE | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | AptarGroup, Inc. | 1.9 | % | |||||
2. | Performance Food Group Co. | 1.9 | ||||||
3. | WillScot Mobile Mini Holdings Corp. | 1.8 | ||||||
4. | Toro Co. (The) | 1.7 | ||||||
5. | EastGroup Properties, Inc. | 1.6 | ||||||
6. | Lincoln Electric Holdings, Inc. | 1.6 | ||||||
7. | BJ’s Wholesale Club Holdings, Inc. | 1.6 | ||||||
8. | Encompass Health Corp. | 1.6 | ||||||
9. | MSA Safety, Inc. | 1.5 | ||||||
10. | Syneos Health, Inc. | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Industrials | 21.9 | % | ||
Financials | 17.6 | |||
Information Technology | 12.7 | |||
Health Care | 12.4 | |||
Consumer Discretionary | 10.9 | |||
Real Estate | 7.3 | |||
Consumer Staples | 5.8 | |||
Materials | 5.7 | |||
Utilities | 2.0 | |||
Short-Term Investments | 3.7 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 5 |
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JPMorgan Small Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 20, 1994 | |||||||||||||
With Sales Charge* | 38.80 | % | 13.45 | % | 12.40 | % | ||||||||
Without Sales Charge | 46.49 | 14.68 | 13.00 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | 44.78 | 14.12 | 12.55 | |||||||||||
Without CDSC | 45.78 | 14.12 | 12.55 | |||||||||||
CLASS I SHARES | May 7, 1996 | 46.89 | 14.99 | 13.33 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 46.16 | 14.41 | 12.73 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 46.54 | 14.71 | 13.01 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 46.90 | 14.99 | 13.32 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 47.17 | 15.21 | 13.55 | ||||||||||
CLASS R6 SHARES | May 31, 2016 | 47.26 | 15.28 | 13.58 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares at time of launch.
Returns for Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of the Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Small Cap Equity Fund and the Russell 2000 Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
6 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | 48.52% | |||
Russell 2000 Growth Index | 51.36% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 6,843,185 |
INVESTMENT OBJECTIVE**
The JPMorgan Small Cap Growth Fund (the “Fund”) seeks long-term capital growth primarily by investing in a portfolio of equity securities of small-capitalization and emerging growth companies.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, underperformed the Russell 2000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund��s security selection in the information technology and industrials sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection and underweight position in the health care sector and its security selection in the financials sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Plug Power Inc., its out-of-Benchmark position in ADC Therapeutics SA and its overweight position in Array Technologies Inc. Shares of Plug Power, a developer of hydrogen fuel cell systems, rose after reporting amid increased industry adoption of fuel cell technology. Shares of ADC Therapeutics, a Swiss drug development company, fell following a rally in the share price at the company’s initial public offering in May 2020. Shares of Array Technologies, a solar energy equipment maker, fell after the company reported lower-than-expected earnings for the first quarter of 2021.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in Enphase Energy Inc. and its overweight positions in Shockwave Medical Inc. and Twist Bioscience Corp. Shares of Enphase Energy, a provider of solar energy systems and services, rose amid better-than-expected earnings and investor expectations for increased U.S. spending on renewable energy. Shares of Shockwave Medical, a medical devices manufacturer, rose after the company reported consecutive quarters of better-than-expected revenues. Shares of Twist Bioscience, a developer of synthetic DNA manufacturing processes, rose amid investor expectations for increased demand for the company’s technology in the fight against the pandemic.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers preferred to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Shockwave Medical, Inc. | 1.6 | % | |||||
2. | Saia, Inc. | 1.4 | ||||||
3. | Itron, Inc. | 1.4 | ||||||
4. | Performance Food Group Co. | 1.4 | ||||||
5. | Halozyme Therapeutics, Inc. | 1.3 | ||||||
6. | National Vision Holdings, Inc. | 1.3 | ||||||
7. | MKS Instruments, Inc. | 1.2 | ||||||
8. | Boyd Gaming Corp. | 1.2 | ||||||
9. | Natera, Inc. | 1.2 | ||||||
10. | ITT, Inc. | 1.2 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Health Care | 26.9 | % | ||
Information Technology | 22.2 | |||
Industrials | 17.0 | |||
Consumer Discretionary | 12.8 | |||
Communication Services | 3.7 | |||
Financials | 3.4 | |||
Consumer Staples | 3.1 | |||
Real Estate | 1.0 | |||
Materials | 0.5 | |||
Short-Term Investments | 9.4 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 7 |
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JPMorgan Small Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | July 1, 1991 | |||||||||||||
With Sales Charge* | 40.70 | % | 25.72 | % | 15.79 | % | ||||||||
Without Sales Charge | 48.52 | 27.07 | 16.41 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 46.77 | 26.43 | 15.94 | |||||||||||
Without CDSC | 47.77 | 26.43 | 15.94 | |||||||||||
CLASS I SHARES | March 26, 1996 | 48.88 | 27.38 | 16.71 | ||||||||||
CLASS L SHARES | February 19, 2005 | 49.07 | 27.58 | 16.88 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 48.11 | 26.74 | 16.12 | ||||||||||
CLASS R3 SHARES | July 31, 2017 | 48.55 | 27.07 | 16.40 | ||||||||||
CLASS R4 SHARES | July 31, 2017 | 48.89 | 27.38 | 16.71 | ||||||||||
CLASS R5 SHARES | September 9, 2016 | 49.08 | 27.58 | 16.88 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 49.25 | 27.70 | 16.99 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. Prior performance for Class R3 Shares has been adjusted to reflect the differences in expenses between classes.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. Prior performance for Class R4 Shares has been adjusted to reflect the differences in expenses between classes.
Returns for Class R5 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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
8 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund(1)
(formerly known as JPMorgan Small Cap Core Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class R5 Shares)* | 65.89% | |||
Russell 2000 Index | 62.03% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 366,186 |
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 outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the financials and information technology sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and consumer staples sectors were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in Immunomedics Inc. and its overweight positions in MicroStrategy Inc. and Owens & Minor Inc. Shares of Immunomedics, a drug development company, rose ahead of its acquisition by Gilead Sciences Inc. for $21 billion. Shares of MicroStrategy, a software developer, rose amid investor expectations the company would benefit from its large holdings of Bitcoin. Shares of Owens & Minor, a surgical products manufacturer, rose after the company raised its 2020 earnings forecast and after the company forecast earnings growth for 2022.
Leading individual detractors from relative performance included the Fund’s underweight positions in GameStop Corp. and AMC Entertainment Holdings Inc. and its overweight position in Argan Inc. Shares of Gamestop, a consumer electronics retail chain not held in the Fund, rebounded sharply in early 2021 when users of an Internet forum largely orchestrated a run up in the stock price in response to large short positions in the stock. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters, rose sharply in the first half of 2021, driven by users of Internet forums in response to large short positions in the stock. Shares of Argan, a power plant builder, fell after the company reported several quarters of lower-than-expected 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 employ a bottom-up approach to stock selection, using quantitative screening and proprietary analysis to construct a portfolio of companies that they believe are attractively valued and possess strong momentum. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
TOP TEN EQUITY HOLDINGS OF THE | PERCENT OF | |||||||
1. | Deckers Outdoor Corp. | 1.0 | % | |||||
2. | Arena Pharmaceuticals, Inc. | 0.9 | ||||||
3. | Tenet Healthcare Corp. | 0.9 | ||||||
4. | WESCO International, Inc. | 0.9 | ||||||
5. | IDT Corp., Class B | 0.8 | ||||||
6. | Amalgamated Financial Corp. | 0.7 | ||||||
7. | Unifi, Inc. | 0.7 | ||||||
8. | Darling Ingredients, Inc. | 0.7 | ||||||
9. | AdaptHealth Corp. | 0.7 | ||||||
10. | Super Micro Computer, Inc. | 0.7 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Health Care | 18.5 | % | ||
Industrials | 14.5 | |||
Financials | 14.1 | |||
Information Technology | 11.0 | |||
Consumer Discretionary | 9.4 | |||
Real Estate | 5.0 | |||
Materials | 4.4 | |||
Communication Services | 3.8 | |||
Energy | 3.3 | |||
Consumer Staples | 2.8 | |||
Utilities | 1.8 | |||
Short-Term Investments | 11.4 |
(1) | On July 1, 2021, the Small Cap Core Fund was renamed, but its investment objective remained unchanged. |
* | 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. |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 9 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund
(formerly known as JPMorgan Small Cap Core Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | May 31, 2016 | |||||||||||||||
With Sales Charge* | 56.50 | % | 14.14 | % | 11.67 | % | ||||||||||
Without Sales Charge | 65.16 | 15.38 | 12.27 | |||||||||||||
CLASS C SHARES | May 31, 2016 | |||||||||||||||
With CDSC** | 63.35 | 14.80 | 11.99 | |||||||||||||
Without CDSC | 64.35 | 14.80 | 11.99 | |||||||||||||
CLASS I SHARES | January 3, 2017 | 65.58 | 15.68 | 12.42 | ||||||||||||
CLASS R2 SHARES | July 31, 2017 | 64.76 | 15.08 | 11.74 | ||||||||||||
CLASS R3 SHARES | July 31, 2017 | 65.16 | 15.37 | 12.02 | ||||||||||||
CLASS R4 SHARES | July 31, 2017 | 65.58 | 15.66 | 12.30 | ||||||||||||
CLASS R5 SHARES | January 1, 1997 | 65.89 | 15.88 | 12.52 | ||||||||||||
CLASS R6 SHARES | May 31, 2016 | 65.98 | 15.95 | 12.56 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class A, Class C, Class I, Class R2, Class R3, Class R4 and Class R6 Shares prior to their inception dates are based on the performance of Class R5 Shares. The actual returns of Class A, Class C, Class I, Class R2, Class R3 and Class R4 Shares would have been lower than those shown because these classes have higher expenses than Class R5 Shares. The actual returns of the Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $10,000 invested in Class R5 Shares of the JPMorgan Small Cap Sustainable Leaders Fund and the Russell 2000 Index from June 30, 2011 to June 30, 2021. 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.
10 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 74.94% | |||
Russell 2000 Value Index | 73.28% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 1,510,438 |
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 outperformed the Russell 2000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the health care and financials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and information technology sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Owens & Minor Inc. SunPower Corp. and Dillard’s Inc. Shares of Owens & Minor, a surgical products manufacturer, rose after the company raised its 2021 earnings forecast and after the company forecast earnings growth for 2022. Shares of SunPower, a manufacturer of solar energy equipment, rose after the company reported first quarter 2021 earnings and revenue largely in line with investor expectations and amid consolidation in the solar energy sector. Shares of Dillard’s, an apparel, cosmetics and home furnishings retail chain, rose amid strong growth in consumer spending in 2021.
Leading individual detractors from relative performance included the Fund’s underweight positions in GameStop Corp., 3D Systems Corp. and AMC Entertainment Holdings Inc. Shares of GameStop, a consumer electronics retail chain, rebounded sharply in early 2021 when users of an Internet forum largely orchestrated a run up in the stock price in response to large short positions in the stock. Shares of 3D Systems, a manufacturer of three-dimensional printers and related materials and software, fell late in the period after a run-up in the stock price. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters, rose sharply in the first half of 2021, driven by users of Internet forums in response to large short positions in the stock.
HOW WAS THE FUND POSITIONED?
In accordance with its investment process, the Fund’s portfolio managers take limited sector bets and construct the Fund so that stock selection is typically the primary driver of the Fund’s relative performance versus the Benchmark. The Fund’s portfolio
managers use a quantitative ranking methodology to identify stocks in each sector that, in their view, trade at attractive levels. Through bottom-up fundamental research, they seek companies that they believe have attractive valuations, exhibit high earnings quality and have management teams that make effective capital deployment decisions. During the reporting period, the Fund was managed and positioned in accordance with this investment process.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Allscripts Healthcare Solutions, Inc. | 1.1 | % | |||||
2. | Tri Pointe Homes, Inc. | 1.0 | ||||||
3. | Arena Pharmaceuticals, Inc. | 1.0 | ||||||
4. | CIT Group, Inc. | 1.0 | ||||||
5. | EMCOR Group, Inc. | 1.0 | ||||||
6. | AMC Entertainment Holdings, Inc., Class A | 1.0 | ||||||
7. | BellRing Brands, Inc., Class A | 0.9 | ||||||
8. | Darling Ingredients, Inc. | 0.9 | ||||||
9. | ManTech International Corp., Class A | 0.8 | ||||||
10. | Ovintiv, Inc. | 0.8 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Financials | 22.6 | % | ||
Industrials | 15.3 | |||
Health Care | 9.9 | |||
Real Estate | 9.3 | |||
Information Technology | 6.5 | |||
Consumer Discretionary | 6.3 | |||
Energy | 5.2 | |||
Materials | 4.7 | |||
Communication Services | 4.3 | |||
Utilities | 3.5 | |||
Consumer Staples | 3.0 | |||
Short-Term Investments | 9.4 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 11 |
Table of Contents
JPMorgan Small Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | January 27, 1995 | |||||||||||||||
With Sales Charge* | 65.36 | % | 10.49 | % | 9.64 | % | ||||||||||
Without Sales Charge | 74.48 | 11.69 | 10.23 | |||||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||||
With CDSC** | 72.59 | 11.11 | 9.72 | |||||||||||||
Without CDSC | 73.59 | 11.11 | 9.72 | |||||||||||||
CLASS I SHARES | January 27, 1995 | 74.94 | 11.98 | 10.51 | ||||||||||||
CLASS R2 SHARES | November 3, 2008 | 74.05 | 11.41 | 9.95 | ||||||||||||
CLASS R3 SHARES | September 9, 2016 | 74.49 | 11.69 | 10.22 | ||||||||||||
CLASS R4 SHARES | September 9, 2016 | 74.92 | 11.96 | 10.50 | ||||||||||||
CLASS R5 SHARES | May 15, 2006 | 75.16 | 12.12 | 10.63 | ||||||||||||
CLASS R6 SHARES | February 22, 2005 | 75.36 | 12.25 | 10.74 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. Prior performance for Class R3 Shares has been adjusted to reflect the differences in expenses between classes.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. Prior performance for Class R4 Shares has been adjusted to reflect the differences in expenses between classes.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Small Cap Value Fund and the Russell 2000 Value Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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 | JUNE 30, 2021 |
Table of Contents
JPMorgan SMID Cap Equity Fund(1)
(formerly known as JPMorgan Intrepid Mid Cap Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 41.95% | |||
Russell 2500 Index | 57.79% | |||
Russell Midcap Index | 49.80% | |||
Net Assets as of 6/30/21 (In Thousands) | $ | 419,776 |
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 implemented a new investment process effective November 1, 2020, and no longer uses an investment process based on behavioral finance principals. The new process 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 — 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 Russell 2500 Index (the “Benchmark”) and the Russell Midcap Index for the twelve months ended June 30, 2021. As a result of the change in investment strategy and process, the turnover of securities held in the Fund during the period was high compared with previous reporting periods, on an annualized basis, but did not have a significant impact on performance.
Relative to the Benchmark, the Fund’s security selection in the industrials sector and the consumer discretionary sectors was a leading detractor from performance, while the Fund’s security selection in the financials and utilities sectors was a leading contributor to performance.
Leading individual detractors from performance relative to the Benchmark included the Fund’s overweight positions in Bright Horizons Family Solutions Inc., Kinsale Capital Group Inc. and IAA Inc. Shares of Bright Horizons Family Solutions, a provider of childcare and dependent care services, fell amid investor expectations that revenue will decline with the reopening of public schools in the U.S. Shares of Kinsale Capital Group, a property and casualty insurer, fell after the company reported lower-than-expected earnings for the third quarter of 2020. Shares of IAA, a salvage auto auctioneer, fell late in the period following a run-up in the share price that was driven by a boom in auto sales in 2020 and early 2021.
Leading individual contributors to performance relative to the Benchmark included the Fund’s out-of-Benchmark position in Unity Software Inc. and its overweight positions in Signature Bank Corp. and Western Alliance Bancorp. Shares of Unity Software, a provider of software for video content development, rose after the company reported better-than-expected earnings and revenue following the company’s initial public offering in September 2020. Shares of Signature Bank and Western Alliance Bancorp, rose amid investor expectations that rising inflation may lead to an increase in interest rates in the U.S.
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 information technology sectors and the smallest allocations were to the energy and communications services sectors.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Toro Co. (The) | 2.0 | % | |||||
2. | Pool Corp. | 1.8 | ||||||
3. | Waste Connections, Inc. | 1.8 | ||||||
4. | Molina Healthcare, Inc. | 1.7 | ||||||
5. | Generac Holdings, Inc. | 1.7 | ||||||
6. | Lincoln Electric Holdings, Inc. | 1.6 | ||||||
7. | AptarGroup, Inc. | 1.5 | ||||||
8. | LKQ Corp. | 1.5 | ||||||
9. | LPL Financial Holdings, Inc. | 1.5 | ||||||
10. | WEX, Inc. | 1.5 |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 13 |
Table of Contents
JPMorgan SMID Cap Equity Fund
(formerly known as JPMorgan Intrepid Mid Cap Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Industrials | 24.4 | % | ||
Financials | 18.0 | |||
Information Technology | 16.2 | |||
Health Care | 11.5 | |||
Consumer Discretionary | 10.3 | |||
Real Estate | 7.2 | |||
Consumer Staples | 5.8 | |||
Materials | 4.1 | |||
Utilities | 1.1 | |||
Short-Term Investments | 1.4 |
(1) | On November 1, 2020, the Intrepid Mid Cap Fund was renamed, its investment strategy, investment process and portfolio management team were changed and its benchmark equity index was changed to the Russell 2500 Index from the Russell Midcap Index. |
* | 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. |
14 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | May 1, 1992 | |||||||||||||
With Sales Charge* | 34.15 | % | 10.31 | % | 10.24 | % | ||||||||
Without Sales Charge | 41.59 | 11.51 | 10.83 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
With CDSC** | 39.87 | 10.93 | 10.30 | |||||||||||
Without CDSC | 40.87 | 10.93 | 10.30 | |||||||||||
CLASS I SHARES | June 1, 1991 | 41.95 | 11.79 | 11.11 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 41.57 | 11.50 | 10.83 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 41.87 | 11.78 | 11.10 | ||||||||||
CLASS R6 SHARES | November 2, 2015 | 42.29 | 12.06 | 11.26 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns for Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to those of Class A Shares.
Returns for Class R4 and Class R6 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown for Class I Shares because Class R4 Shares have similar expenses to Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan SMID Cap Equity Fund, the Russell Midcap Index and the Russell 2500 Index from June 30, 2011 to June 30, 2021. 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 and 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 Midcap
Index is an unmanaged index which measures the performance of the 800 smallest companies of the Russell 1000 Index. 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. Also on November 1, 2020, the Fund’s Benchmark changed from Russell Midcap Index to Russell 2500 Index because the adviser believes that the Russell 2500 Index is a more appropriate comparison in light of the Fund’s new name and investment strategies.
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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 15 |
Table of Contents
JPMorgan U.S. Small Company Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | 63.85% | |||
Russell 2000 Index | 62.03% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 1,141,912 |
INVESTMENT OBJECTIVE**
The JPMorgan U.S. Small Company Fund (the “Fund”) seeks to provide high total return from a portfolio of small company stocks.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the Russell 2000 Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the health care and communication services sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer discretionary and industrials sectors were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Seres Therapeutics Inc., Owens & Minor Inc. and SunPower Corp. Shares of Seres Therapeutics, a drug development company, rose as the company advanced toward commercialization of its treatment for Clostridium difficile infection. Shares of Owens & Minor, a surgical products manufacturer, rose after the company raised its 2020 earnings forecast and after the company forecast earnings growth for 2022. Shares of SunPower, a manufacturer of solar energy equipment, rose after the company reported first quarter 2021 earnings and revenue largely in line with investor expectations and amid consolidation in the solar energy sector.
Leading individual detractors from relative performance included the Fund’s underweight position in GameStop Corp. and its overweight positions in Lakelands Industries Inc. and Tri Pointe Homes Inc. Shares of GameStop, a consumer electronics retail chain not held in the Fund, rebounded sharply in early 2021 when users of an Internet forum largely orchestrated a run-up in the stock price in response to large short positions in the stock. Shares of Lakeland Industries, a maker of safety garments and accessories, fell after the company reported lower sales for the first quarter of 2021 as mass vaccinations led to declining demand for personal protective equipment. Shares of Tri Pointe Homes, a home builder, fell after the company forecast lower selling prices and reported lower-than-expected revenue for the first quarter of 2021.
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 EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | NuVasive, Inc. | 1.2 | % | |||||
2. | Herc Holdings, Inc. | 1.2 | ||||||
3. | ManTech International Corp., Class A | 1.2 | ||||||
4. | Tri Pointe Homes, Inc. | 1.2 | ||||||
5. | Allscripts Healthcare Solutions, Inc. | 1.0 | ||||||
6. | Cardiovascular Systems, Inc. | 0.9 | ||||||
7. | MasTec, Inc. | 0.9 | ||||||
8. | BellRing Brands, Inc., Class A | 0.8 | ||||||
9. | SMART Global Holdings, Inc. | 0.8 | ||||||
10. | Darling Ingredients, Inc. | 0.8 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Health Care | 18.9 | % | ||
Industrials | 16.1 | |||
Financials | 13.7 | |||
Information Technology | 12.0 | |||
Consumer Discretionary | 8.7 | |||
Real Estate | 5.3 | |||
Materials | 4.1 | |||
Consumer Staples | 3.3 | |||
Communication Services | 3.0 | |||
Energy | 2.9 | |||
Utilities | 1.7 | |||
Short-Term Investments | 10.3 |
* | 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. |
16 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 1, 2007 | |||||||||||||
With Sales Charge* | 54.64 | % | 12.74 | % | 11.15 | % | ||||||||
Without Sales Charge | 63.19 | 13.97 | 11.75 | |||||||||||
CLASS C SHARES | November 1, 2007 | |||||||||||||
With CDSC** | 61.34 | 13.39 | 11.30 | |||||||||||
Without CDSC | 62.34 | 13.39 | 11.30 | |||||||||||
CLASS I SHARES | September 10, 2001 | 63.52 | 14.26 | 12.03 | ||||||||||
CLASS L SHARES | November 4, 1993 | 63.85 | 14.44 | 12.22 | ||||||||||
CLASS R2 SHARES | November 1, 2011 | 62.71 | 13.68 | 11.49 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 63.20 | 13.98 | 11.75 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 63.52 | 14.25 | 12.02 | ||||||||||
CLASS R5 SHARES | September 9, 2016 | 63.83 | 14.43 | 12.21 | ||||||||||
CLASS R6 SHARES | November 1, 2011 | 63.87 | 14.55 | 12.31 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for Class R2 and Class R3 shares prior to their inception dates are based on the performance of the Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares. The actual returns for Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R5 and Class R6 Shares prior to their inception dates are based on the performance of the Class L Shares. The actual returns of Class R5 Shares would have been similar to those shown because Class R5 Shares have similar expenses to Class L Shares. The actual returns of Class R6 Shares would have been different than these shown because Class R6 Shares have different expenses than Class L Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan U.S. Small Company Fund and the Russell 2000 Index from
June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 17 |
Table of Contents
JPMorgan Small Cap Blend Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.1% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
Curtiss-Wright Corp. | 20 | 2,375 | ||||||
Hexcel Corp. * | 37 | 2,303 | ||||||
|
| |||||||
4,678 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Allegiant Travel Co. * | 10 | 1,940 | ||||||
Frontier Group Holdings, Inc. * | 127 | 2,168 | ||||||
|
| |||||||
4,108 | ||||||||
|
| |||||||
Auto Components — 0.9% |
| |||||||
Fox Factory Holding Corp. * | 30 | 4,742 | ||||||
LCI Industries | 17 | 2,268 | ||||||
Patrick Industries, Inc. (a) | 43 | 3,171 | ||||||
|
| |||||||
10,181 | ||||||||
|
| |||||||
Automobiles — 0.3% |
| |||||||
Winnebago Industries, Inc. | 58 | 3,927 | ||||||
|
| |||||||
Banks — 9.5% |
| |||||||
BancFirst Corp. | 80 | 4,993 | ||||||
Camden National Corp. | 170 | 8,101 | ||||||
City Holding Co. (a) | 62 | 4,693 | ||||||
Columbia Banking System, Inc. | 130 | 4,998 | ||||||
Community Trust Bancorp, Inc. | 156 | 6,292 | ||||||
Cullen/Frost Bankers, Inc. | 33 | 3,749 | ||||||
First Busey Corp. | 305 | 7,521 | ||||||
First Commonwealth Financial Corp. | 486 | 6,844 | ||||||
First Financial Bancorp | 152 | 3,587 | ||||||
First Financial Bankshares, Inc. (a) | 92 | 4,543 | ||||||
First Hawaiian, Inc. | 136 | 3,860 | ||||||
First Merchants Corp. | 161 | 6,726 | ||||||
Heritage Commerce Corp. | 568 | 6,320 | ||||||
Independent Bank Corp. | 281 | 6,090 | ||||||
Independent Bank Corp. | 90 | 6,795 | ||||||
Lakeland Bancorp, Inc. | 446 | 7,791 | ||||||
Pinnacle Financial Partners, Inc. | 24 | 2,129 | ||||||
Simmons First National Corp., Class A | 248 | 7,268 | ||||||
Trustmark Corp. | 140 | 4,324 | ||||||
|
| |||||||
106,624 | ||||||||
|
| |||||||
Beverages — 0.3% |
| |||||||
Primo Water Corp. (a) | 229 | 3,829 | ||||||
|
| |||||||
Biotechnology — 6.8% |
| |||||||
ACADIA Pharmaceuticals, Inc. * | 87 | 2,131 | ||||||
ADC Therapeutics SA (Switzerland) * (a) | 88 | 2,151 | ||||||
Alector, Inc. * | 77 | 1,604 | ||||||
Allogene Therapeutics, Inc. * (a) | 37 | 959 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Biotechnology — continued |
| |||||||
Amicus Therapeutics, Inc. * | 274 | 2,645 | ||||||
Arrowhead Pharmaceuticals, Inc. * | 62 | 5,113 | ||||||
Atara Biotherapeutics, Inc. * | 157 | 2,434 | ||||||
Avrobio, Inc. * | 108 | 961 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 49 | 4,742 | ||||||
Blueprint Medicines Corp. * | 42 | 3,738 | ||||||
Bridgebio Pharma, Inc. * (a) | 53 | 3,212 | ||||||
Coherus Biosciences, Inc. * (a) | 148 | 2,051 | ||||||
Fate Therapeutics, Inc. * | 35 | 3,000 | ||||||
FibroGen, Inc. * (a) | 60 | 1,588 | ||||||
G1 Therapeutics, Inc. * (a) | 73 | 1,592 | ||||||
Generation Bio Co. * (a) | 31 | 840 | ||||||
Halozyme Therapeutics, Inc. * | 144 | 6,561 | ||||||
Heron Therapeutics, Inc. * (a) | 169 | 2,629 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 28 | 565 | ||||||
Kronos Bio, Inc. * (a) | 55 | 1,321 | ||||||
Natera, Inc. * | 53 | 6,057 | ||||||
Orchard Therapeutics plc, ADR (United Kingdom) * (a) | 102 | 450 | ||||||
PMV Pharmaceuticals, Inc. * (a) | 41 | 1,405 | ||||||
REGENXBIO, Inc. * | 67 | 2,617 | ||||||
Relay Therapeutics, Inc. * | 55 | 2,023 | ||||||
REVOLUTION Medicines, Inc. * | 47 | 1,495 | ||||||
Rubius Therapeutics, Inc. * (a) | 74 | 1,813 | ||||||
Sage Therapeutics, Inc. * | 24 | 1,368 | ||||||
Sana Biotechnology, Inc. * (a) | 49 | 967 | ||||||
Twist Bioscience Corp. * (a) | 42 | 5,563 | ||||||
Verve Therapeutics, Inc. * | 37 | 2,218 | ||||||
|
| |||||||
75,813 | ||||||||
|
| |||||||
Building Products — 3.1% |
| |||||||
Advanced Drainage Systems, Inc. | 48 | 5,569 | ||||||
AZEK Co., Inc. (The) * (a) | 127 | 5,407 | ||||||
CSW Industrials, Inc. | 46 | 5,423 | ||||||
Gibraltar Industries, Inc. * | 53 | 4,039 | ||||||
Simpson Manufacturing Co., Inc. | 58 | 6,375 | ||||||
Trex Co., Inc. * | 22 | 2,270 | ||||||
UFP Industries, Inc. | 88 | 6,540 | ||||||
|
| |||||||
35,623 | ||||||||
|
| |||||||
Capital Markets — 2.1% |
| |||||||
Artisan Partners Asset Management, Inc., Class A (a) | 85 | 4,320 | ||||||
Evercore, Inc., Class A | 38 | 5,365 | ||||||
Focus Financial Partners, Inc., Class A * | 76 | 3,667 | ||||||
LPL Financial Holdings, Inc. | 53 | 7,132 | ||||||
Virtus Investment Partners, Inc. | 14 | 3,851 | ||||||
|
| |||||||
24,335 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Chemicals — 3.4% |
| |||||||
Chase Corp. | 30 | 3,089 | ||||||
Diversey Holdings Ltd. * | 253 | 4,529 | ||||||
Hawkins, Inc. | 182 | 5,955 | ||||||
HB Fuller Co. | 85 | 5,407 | ||||||
Innospec, Inc. | 61 | 5,502 | ||||||
Stepan Co. | 43 | 5,232 | ||||||
Valvoline, Inc. | 217 | 7,057 | ||||||
Zymergen, Inc. * (a) | 56 | 2,239 | ||||||
|
| |||||||
39,010 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.1% |
| |||||||
ACV Auctions, Inc., Class A * | 33 | 847 | ||||||
Brady Corp., Class A | 154 | 8,643 | ||||||
Cimpress plc (Ireland) * (a) | 20 | 2,168 | ||||||
Deluxe Corp. | 82 | 3,929 | ||||||
Kimball International, Inc., Class B | 225 | 2,965 | ||||||
MSA Safety, Inc. | 29 | 4,765 | ||||||
|
| |||||||
23,317 | ||||||||
|
| |||||||
Communications Equipment — 0.5% |
| |||||||
Ciena Corp. * | 46 | 2,627 | ||||||
Viavi Solutions, Inc. * | 178 | 3,146 | ||||||
|
| |||||||
5,773 | ||||||||
|
| |||||||
Construction & Engineering — 0.7% |
| |||||||
Comfort Systems USA, Inc. | 101 | 7,937 | ||||||
|
| |||||||
Diversified Consumer Services — 0.6% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 15 | 2,168 | ||||||
WW International, Inc. * | 116 | 4,207 | ||||||
|
| |||||||
6,375 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
Bandwidth, Inc., Class A * | 33 | 4,580 | ||||||
Iridium Communications, Inc. * | 166 | 6,645 | ||||||
|
| |||||||
11,225 | ||||||||
|
| |||||||
Electric Utilities — 0.2% |
| |||||||
Portland General Electric Co. | 58 | 2,653 | ||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
Array Technologies, Inc. * | 150 | 2,339 | ||||||
Bloom Energy Corp., Class A * (a) | 106 | 2,850 | ||||||
Shoals Technologies Group, Inc., Class A * | 73 | 2,597 | ||||||
Vertiv Holdings Co. | 136 | 3,713 | ||||||
|
| |||||||
11,499 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.3% |
| |||||||
CTS Corp. | 144 | 5,340 | ||||||
Fabrinet (Thailand) * | 36 | 3,413 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
II-VI, Inc. * (a) | 79 | 5,763 | ||||||
Insight Enterprises, Inc. * | 67 | 6,695 | ||||||
Itron, Inc. * | 68 | 6,756 | ||||||
Littelfuse, Inc. | 20 | 4,997 | ||||||
Plexus Corp. * | 43 | 3,974 | ||||||
|
| |||||||
36,938 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.4% |
| |||||||
American Campus Communities, Inc. | 99 | 4,620 | ||||||
American Homes 4 Rent, Class A | 182 | 7,074 | ||||||
Brixmor Property Group, Inc. | 251 | 5,756 | ||||||
CubeSmart | 53 | 2,476 | ||||||
Equity Commonwealth | 152 | 3,986 | ||||||
Highwoods Properties, Inc. | 82 | 3,726 | ||||||
JBG SMITH Properties | 103 | 3,261 | ||||||
Rayonier, Inc. | 149 | 5,352 | ||||||
Rexford Industrial Realty, Inc. | 110 | 6,292 | ||||||
RLJ Lodging Trust (a) | 254 | 3,870 | ||||||
Sunstone Hotel Investors, Inc. * | 469 | 5,822 | ||||||
Terreno Realty Corp. | 102 | 6,577 | ||||||
Washington | 120 | 2,752 | ||||||
|
| |||||||
61,564 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
Grocery Outlet Holding Corp. * (a) | 83 | 2,873 | ||||||
Performance Food Group Co. * | 138 | 6,713 | ||||||
|
| |||||||
9,586 | ||||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
Flowers Foods, Inc. | 187 | 4,529 | ||||||
Freshpet, Inc. * | 36 | 5,847 | ||||||
J&J Snack Foods Corp. (a) | 36 | 6,342 | ||||||
|
| |||||||
16,718 | ||||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
Chesapeake Utilities Corp. (a) | 34 | 4,057 | ||||||
ONE Gas, Inc. | 67 | 4,954 | ||||||
Southwest Gas Holdings, Inc. (a) | 62 | 4,095 | ||||||
|
| |||||||
13,106 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
CONMED Corp. | 28 | 3,826 | ||||||
Figs, Inc., Class A * | 52 | 2,599 | ||||||
iRhythm Technologies, Inc. * | 36 | 2,361 | ||||||
Nevro Corp. * | 31 | 5,108 | ||||||
NuVasive, Inc. * | 74 | 4,984 | ||||||
Outset Medical, Inc. * (a) | 64 | 3,213 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 19 |
Table of Contents
JPMorgan Small Cap Blend Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Health Care Equipment & Supplies — continued |
| |||||||
Shockwave Medical, Inc. * | 41 | 7,768 | ||||||
Utah Medical Products, Inc. (a) | 52 | 4,386 | ||||||
|
| |||||||
34,245 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.3% | ||||||||
Acadia Healthcare Co., Inc. * | 63 | 3,964 | ||||||
Accolade, Inc. * (a) | 52 | 2,826 | ||||||
Amedisys, Inc. * | 17 | 4,267 | ||||||
Encompass Health Corp. | 65 | 5,055 | ||||||
Ensign Group, Inc. (The) (a) | 53 | 4,585 | ||||||
ModivCare, Inc. * | 31 | 5,326 | ||||||
|
| |||||||
26,023 | ||||||||
|
| |||||||
Health Care Technology — 0.3% | ||||||||
Evolent Health, Inc., Class A * | 137 | 2,890 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% | ||||||||
Boyd Gaming Corp. * | 99 | 6,083 | ||||||
Cracker Barrel Old Country Store, Inc. (a) | 31 | 4,631 | ||||||
El Pollo Loco Holdings, Inc. * (a) | 170 | 3,103 | ||||||
Everi Holdings, Inc. * | 272 | 6,777 | ||||||
Planet Fitness, Inc., Class A * | 51 | 3,828 | ||||||
Six Flags Entertainment Corp. * | 40 | 1,732 | ||||||
Texas Roadhouse, Inc. | 94 | 9,071 | ||||||
|
| |||||||
35,225 | ||||||||
|
| |||||||
Household Durables — 2.3% | ||||||||
Helen of Troy Ltd. * (a) | 25 | 5,701 | ||||||
Hooker Furniture Corp. | 114 | 3,963 | ||||||
La-Z-Boy, Inc. | 82 | 3,048 | ||||||
M/I Homes, Inc. * | 60 | 3,523 | ||||||
MDC Holdings, Inc. | 65 | 3,282 | ||||||
Sonos, Inc. * | 100 | 3,538 | ||||||
Tri Pointe Homes, Inc. * | 133 | 2,843 | ||||||
|
| |||||||
25,898 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% | ||||||||
Carlisle Cos., Inc. | 22 | 4,219 | ||||||
|
| |||||||
Insurance — 1.8% | ||||||||
James River Group Holdings Ltd. | 39 | 1,478 | ||||||
Lemonade, Inc. * (a) | 10 | 1,100 | ||||||
Old Republic International Corp. | 60 | 1,495 | ||||||
Safety Insurance Group, Inc. | 70 | 5,480 | ||||||
Selective Insurance Group, Inc. | 87 | 7,059 | ||||||
SiriusPoint Ltd. (Bermuda) * | 170 | 1,712 | ||||||
Universal Insurance Holdings, Inc. (a) | 129 | 1,794 | ||||||
|
| |||||||
20,118 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Interactive Media & Services — 0.6% |
| |||||||
Bumble, Inc., Class A * (a) | 48 | 2,767 | ||||||
Eventbrite, Inc., Class A * (a) | 126 | 2,397 | ||||||
MediaAlpha, Inc., Class A * (a) | 51 | 2,150 | ||||||
|
| |||||||
7,314 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.3% | ||||||||
RealReal, Inc. (The) * (a) | 152 | 3,002 | ||||||
|
| |||||||
IT Services — 1.3% | ||||||||
DigitalOcean Holdings, Inc. * | 50 | 2,787 | ||||||
Globant SA * | 22 | 4,828 | ||||||
I3 Verticals, Inc., Class A * (a) | 78 | 2,350 | ||||||
LiveRamp Holdings, Inc. * | 48 | 2,271 | ||||||
Repay Holdings Corp. * | 127 | 3,045 | ||||||
|
| |||||||
15,281 | ||||||||
|
| |||||||
Leisure Products — 0.9% | ||||||||
Hayward Holdings, Inc. * (a) | 275 | 7,144 | ||||||
Johnson Outdoors, Inc., Class A (a) | 24 | 2,861 | ||||||
|
| |||||||
10,005 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.4% | ||||||||
Berkeley Lights, Inc. * | 40 | 1,793 | ||||||
Personalis, Inc. * | 89 | 2,240 | ||||||
Seer, Inc. * (a) | 32 | 1,039 | ||||||
|
| |||||||
5,072 | ||||||||
|
| |||||||
Machinery — 6.1% | ||||||||
Alamo Group, Inc. | 36 | 5,498 | ||||||
Altra Industrial Motion Corp. | 40 | 2,601 | ||||||
Blue Bird Corp. * | 106 | 2,637 | ||||||
Graco, Inc. | 48 | 3,649 | ||||||
Hillenbrand, Inc. | 150 | 6,612 | ||||||
ITT, Inc. | 127 | 11,632 | ||||||
John Bean Technologies Corp. | 41 | 5,818 | ||||||
Kadant, Inc. | 34 | 5,999 | ||||||
Lincoln Electric Holdings, Inc. | 40 | 5,250 | ||||||
Mueller Industries, Inc. | 120 | 5,195 | ||||||
Rexnord Corp. (a) | 94 | 4,682 | ||||||
Watts Water Technologies, Inc., Class A | 56 | 8,174 | ||||||
Xometry, Inc., Class A * | 16 | 1,393 | ||||||
|
| |||||||
69,140 | ||||||||
|
| |||||||
Media — 1.2% |
| |||||||
Cardlytics, Inc. * (a) | 29 | 3,631 | ||||||
Gray Television, Inc. | 332 | 7,759 | ||||||
New York Times Co. (The), Class A | 62 | 2,695 | ||||||
|
| |||||||
14,085 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Metals & Mining — 0.6% |
| |||||||
Alcoa Corp. * | 94 | 3,452 | ||||||
Warrior Met Coal, Inc. | 190 | 3,274 | ||||||
|
| |||||||
6,726 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
Ares Commercial Real Estate Corp. | 250 | 3,673 | ||||||
Ladder Capital Corp. | 312 | 3,602 | ||||||
|
| |||||||
7,275 | ||||||||
|
| |||||||
Multi-Utilities — 0.3% |
| |||||||
Unitil Corp. | 69 | 3,631 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.0% |
| |||||||
CNX Resources Corp. * | 292 | 3,990 | ||||||
Delek US Holdings, Inc. | 117 | 2,520 | ||||||
EQT Corp. * | 214 | 4,758 | ||||||
Equitrans Midstream Corp. | 280 | 2,380 | ||||||
Matador Resources Co. | 320 | 11,525 | ||||||
PDC Energy, Inc. | 194 | 8,904 | ||||||
|
| |||||||
34,077 | ||||||||
|
| |||||||
Personal Products — 0.4% |
| |||||||
Inter Parfums, Inc. | 68 | 4,865 | ||||||
|
| |||||||
Pharmaceuticals — 0.7% |
| |||||||
Arvinas, Inc. * | 52 | 4,037 | ||||||
Revance Therapeutics, Inc. * (a) | 131 | 3,879 | ||||||
|
| |||||||
7,916 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
ASGN, Inc. * (a) | 28 | 2,689 | ||||||
CBIZ, Inc. * | 99 | 3,260 | ||||||
ManTech International Corp., Class A | 46 | 4,011 | ||||||
|
| |||||||
9,960 | ||||||||
|
| |||||||
Road & Rail — 0.9% |
| |||||||
Marten Transport Ltd. | 229 | 3,784 | ||||||
Saia, Inc. * | 33 | 6,957 | ||||||
|
| |||||||
10,741 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
Cree, Inc. * (a) | 46 | 4,531 | ||||||
Entegris, Inc. | 34 | 4,148 | ||||||
MaxLinear, Inc. * | 156 | 6,621 | ||||||
MKS Instruments, Inc. | 35 | 6,162 | ||||||
Onto Innovation, Inc. * | 57 | 4,175 | ||||||
Rambus, Inc. * | 298 | 7,067 | ||||||
Semtech Corp. * | 52 | 3,595 | ||||||
SolarEdge Technologies, Inc. * (a) | 16 | 4,475 | ||||||
|
| |||||||
40,774 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — 5.0% |
| |||||||
Anaplan, Inc. * | 73 | 3,917 | ||||||
Blackline, Inc. * | 43 | 4,773 | ||||||
CyberArk Software Ltd. * | 20 | 2,623 | ||||||
Digital Turbine, Inc. * | 43 | 3,307 | ||||||
Duck Creek Technologies, Inc. * | 88 | 3,832 | ||||||
Elastic NV * | 33 | 4,848 | ||||||
Envestnet, Inc. * | 65 | 4,962 | ||||||
Everbridge, Inc. * | 36 | 4,875 | ||||||
JFrog Ltd. (Israel) * (a) | 69 | 3,135 | ||||||
Medallia, Inc. * | 74 | 2,490 | ||||||
Q2 Holdings, Inc. * | 35 | 3,560 | ||||||
Smartsheet, Inc., Class A * | 66 | 4,746 | ||||||
Upland Software, Inc. * (a) | 151 | 6,200 | ||||||
Vertex, Inc., Class A * (a) | 109 | 2,384 | ||||||
Viant Technology, Inc., Class A * | 41 | 1,213 | ||||||
|
| |||||||
56,865 | ||||||||
|
| |||||||
Specialty Retail — 3.0% |
| |||||||
Floor & Decor Holdings, Inc., Class A * | 36 | 3,845 | ||||||
Group 1 Automotive, Inc. (a) | 33 | 5,096 | ||||||
Leslie’s, Inc. * | 51 | 1,397 | ||||||
Lithia Motors, Inc., Class A | 15 | 5,030 | ||||||
National Vision Holdings, Inc. * | 125 | 6,378 | ||||||
Petco Health & Wellness Co., Inc. * (a) | 114 | 2,565 | ||||||
Sleep Number Corp. * | 32 | 3,494 | ||||||
Urban Outfitters, Inc. * (a) | 140 | 5,783 | ||||||
|
| |||||||
33,588 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
Kontoor Brands, Inc. | 132 | 7,420 | ||||||
Movado Group, Inc. | 8 | 252 | ||||||
Oxford Industries, Inc. | 57 | 5,649 | ||||||
Steven Madden Ltd. | 135 | 5,922 | ||||||
|
| |||||||
19,243 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 2.6% |
| |||||||
Flagstar Bancorp, Inc. | 83 | 3,514 | ||||||
PennyMac Financial Services, Inc. (a) | 95 | 5,863 | ||||||
Premier Financial Corp. | 240 | 6,818 | ||||||
Radian Group, Inc. | 279 | 6,208 | ||||||
WSFS Financial Corp. | 145 | 6,777 | ||||||
|
| |||||||
29,180 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.9% |
| |||||||
Applied Industrial Technologies, Inc. (a) | 140 | 12,707 | ||||||
Beacon Roofing Supply, Inc. * | 50 | 2,663 | ||||||
Global Industrial Co. | 50 | 1,836 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 21 |
Table of Contents
JPMorgan Small Cap Blend Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Trading Companies & Distributors — continued |
| |||||||
GMS, Inc. * | 102 | 4,918 | ||||||
McGrath RentCorp | 60 | 4,913 | ||||||
Rush Enterprises, Inc., Class A | 72 | 3,097 | ||||||
SiteOne Landscape Supply, Inc. * | 19 | 3,211 | ||||||
|
| |||||||
33,345 | ||||||||
|
| |||||||
Water Utilities — 0.4% |
| |||||||
American States Water Co. | 39 | 3,076 | ||||||
Middlesex Water Co. | 14 | 1,172 | ||||||
|
| |||||||
4,248 | ||||||||
|
| |||||||
Total Common Stocks |
| 1,089,770 | ||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (b) |
| |||||||
Biotechnology — 0.0% (b) |
| |||||||
Clementia Pharmaceuticals, Inc. (France) * ‡ | 51 | — | (c) | |||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 8.7% |
| |||||||
Investment Companies — 3.2% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (d) (e) | 36,619 | 36,638 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 5.5% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (d) (e) | 55,003 | 55,003 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (d) (e) | 7,059 | 7,059 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 62,062 | |||||||
|
| |||||||
Total Short-Term Investments | 98,700 | |||||||
|
| |||||||
Total Investments — 104.8% |
| 1,188,470 | ||||||
Liabilities in Excess of |
| (54,966 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,133,504 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $60,304. | |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | Amount rounds to less than one thousand. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.7% |
| |||||||
Airlines — 0.6% |
| |||||||
Alaska Air Group, Inc. * | 901 | 54,330 | ||||||
|
| |||||||
Auto Components — 1.3% |
| |||||||
LCI Industries | 831 | 109,259 | ||||||
|
| |||||||
Automobiles — 0.8% |
| |||||||
Thor Industries, Inc. | 584 | 65,969 | ||||||
|
| |||||||
Banks — 9.4% |
| |||||||
BankUnited, Inc. | 2,104 | 89,827 | ||||||
Commerce Bancshares, Inc. (a) | 968 | 72,179 | ||||||
Cullen/Frost Bankers, Inc. (a) | 639 | 71,618 | ||||||
First Financial Bancorp (a) | 2,762 | 65,256 | ||||||
First Hawaiian, Inc. (a) | 3,173 | 89,925 | ||||||
First Horizon Corp. | 6,776 | 117,082 | ||||||
Signature Bank | 347 | 85,272 | ||||||
Western Alliance Bancorp | 1,232 | 114,385 | ||||||
Wintrust Financial Corp. | 1,258 | 95,125 | ||||||
|
| |||||||
800,669 | ||||||||
|
| |||||||
Beverages — 1.1% |
| |||||||
Primo Water Corp. | 5,440 | 91,012 | ||||||
|
| |||||||
Capital Markets — 5.5% |
| |||||||
AssetMark Financial Holdings, Inc. * | 1,465 | 36,723 | ||||||
Focus Financial Partners, Inc., Class A * | 1,911 | 92,672 | ||||||
Lazard Ltd., Class A | 2,205 | 99,790 | ||||||
Moelis & Co., Class A | 1,528 | 86,925 | ||||||
Morningstar, Inc. | 371 | 95,515 | ||||||
StepStone Group, Inc., Class A | 1,735 | 59,676 | ||||||
|
| |||||||
471,301 | ||||||||
|
| |||||||
Chemicals — 3.3% |
| |||||||
Diversey Holdings Ltd. * | 1,088 | 19,477 | ||||||
GCP Applied Technologies, Inc. * | 2,321 | 53,984 | ||||||
PQ Group Holdings, Inc. | 2,927 | 44,953 | ||||||
Quaker Chemical Corp. (a) | 426 | 100,943 | ||||||
Valvoline, Inc. | 1,947 | 63,214 | ||||||
|
| |||||||
282,571 | ||||||||
|
| |||||||
Commercial Services & Supplies — 7.3% |
| |||||||
Brady Corp., Class A | 1,494 | 83,709 | ||||||
Casella Waste Systems, Inc., Class A * | 1,460 | 92,633 | ||||||
Driven Brands Holdings, Inc. * | 2,175 | 67,251 | ||||||
IAA, Inc. * (a) | 2,013 | 109,765 | ||||||
MSA Safety, Inc. | 802 | 132,745 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 21 | 1,237 | ||||||
Stericycle, Inc. * | 1,176 | 84,127 | ||||||
UniFirst Corp. | 231 | 54,195 | ||||||
|
| |||||||
625,662 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Construction & Engineering — 1.9% |
| |||||||
WillScot Mobile Mini Holdings Corp. * | 5,697 | 158,765 | ||||||
|
| |||||||
Containers & Packaging — 2.5% |
| |||||||
AptarGroup, Inc. | 1,192 | 167,873 | ||||||
Pactiv Evergreen, Inc. (a) | 2,981 | 44,930 | ||||||
|
| |||||||
212,803 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.1% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 651 | 95,798 | ||||||
|
| |||||||
Electric Utilities — 0.9% |
| |||||||
Portland General Electric Co. | 1,751 | 80,675 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.6% |
| |||||||
Badger Meter, Inc. | 610 | 59,869 | ||||||
nLight, Inc. * (a) | 2,106 | 76,404 | ||||||
Novanta, Inc. * | 631 | 84,976 | ||||||
|
| |||||||
221,249 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.6% |
| |||||||
American Campus Communities, Inc. | 1,543 | 72,111 | ||||||
CubeSmart | 2,581 | 119,547 | ||||||
EastGroup Properties, Inc. | 844 | 138,855 | ||||||
National Retail Properties, Inc. (a) | 2,200 | 103,134 | ||||||
Outfront Media, Inc. * | 3,628 | 87,179 | ||||||
Ryman Hospitality Properties, Inc. * (a) | 574 | 45,337 | ||||||
|
| |||||||
566,163 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.5% |
| |||||||
BJ’s Wholesale Club Holdings, Inc. * (a) | 2,856 | 135,871 | ||||||
Casey’s General Stores, Inc. | 429 | 83,537 | ||||||
Performance Food Group Co. * | 3,399 | 164,795 | ||||||
|
| |||||||
384,203 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
Utz Brands, Inc. (a) | 1,156 | 25,193 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
Envista Holdings Corp. * | 1,927 | 83,275 | ||||||
ICU Medical, Inc. * | 538 | 110,732 | ||||||
Ortho Clinical Diagnostics Holdings plc * | 2,981 | 63,817 | ||||||
|
| |||||||
257,824 | ||||||||
|
| |||||||
Health Care Providers & Services — 7.2% |
| |||||||
Agiliti, Inc. * (a) | 2,993 | 65,466 | ||||||
Chemed Corp. | 195 | 92,306 | ||||||
Covetrus, Inc. * | 2,981 | 80,492 | ||||||
Encompass Health Corp. | 1,739 | 135,723 | ||||||
HealthEquity, Inc. * | 1,210 | 97,352 | ||||||
Premier, Inc., Class A (a) | 1,738 | 60,456 | ||||||
Progyny, Inc. * (a) | 1,465 | 86,461 | ||||||
|
| |||||||
618,256 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 23 |
Table of Contents
JPMorgan Small Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Health Care Technology — 0.8% |
| |||||||
Certara, Inc. * (a) | 1,794 | 50,822 | ||||||
Doximity, Inc., Class A * | 266 | 15,471 | ||||||
|
| |||||||
66,293 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
Monarch Casino & Resort, Inc. * | 509 | 33,713 | ||||||
Planet Fitness, Inc., Class A * | 1,126 | 84,748 | ||||||
Wendy’s Co. (The) | 3,754 | 87,908 | ||||||
|
| |||||||
206,369 | ||||||||
|
| |||||||
Insurance — 3.0% |
| |||||||
Kinsale Capital Group, Inc. | 697 | 114,802 | ||||||
RLI Corp. (a) | 1,018 | 106,502 | ||||||
Selectquote, Inc. * | 2,000 | 38,514 | ||||||
|
| |||||||
259,818 | ||||||||
|
| |||||||
IT Services — 1.4% |
| |||||||
WEX, Inc. * (a) | 611 | 118,484 | ||||||
|
| |||||||
Leisure Products — 3.5% |
| |||||||
Acushnet Holdings Corp. | 1,600 | 79,057 | ||||||
Brunswick Corp. | 1,316 | 131,110 | ||||||
Hayward Holdings, Inc. * (a) | 3,349 | 87,142 | ||||||
|
| |||||||
297,309 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
Syneos Health, Inc. * | 1,468 | 131,408 | ||||||
|
| |||||||
Machinery — 9.1% |
| |||||||
Altra Industrial Motion Corp. | 1,349 | 87,724 | ||||||
Douglas Dynamics, Inc. (a) | 996 | 40,522 | ||||||
Gates Industrial Corp. plc * | 3,042 | 54,974 | ||||||
Lincoln Electric Holdings, Inc. | 1,032 | 135,989 | ||||||
RBC Bearings, Inc. * | 653 | 130,163 | ||||||
Toro Co. (The) | 1,328 | 145,933 | ||||||
Welbilt, Inc. * | 2,292 | 53,067 | ||||||
Woodward, Inc. (a) | 822 | 100,975 | ||||||
Xometry, Inc., Class A * | 298 | 26,075 | ||||||
|
| |||||||
775,422 | ||||||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
NorthWestern Corp. | 1,490 | 89,737 | ||||||
|
| |||||||
Professional Services — 0.3% |
| |||||||
First Advantage Corp. * | 1,407 | 28,023 | ||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
Cushman & Wakefield plc * (a) | 4,129 | 72,134 | ||||||
|
| |||||||
Road & Rail — 2.0% |
| |||||||
Knight-Swift Transportation Holdings, Inc. (a) | 2,071 | 94,133 | ||||||
Landstar System, Inc. | 491 | 77,652 | ||||||
|
| |||||||
171,785 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — 3.3% |
| |||||||
Allegro MicroSystems, Inc. (Japan) * | 2,231 | 61,803 | ||||||
CMC Materials, Inc. | 636 | 95,847 | ||||||
Power Integrations, Inc. (a) | 1,493 | 122,522 | ||||||
|
| |||||||
280,172 | ||||||||
|
| |||||||
Software — 5.6% |
| |||||||
Aspen Technology, Inc. * (a) | 658 | 90,518 | ||||||
Duck Creek Technologies, Inc. * | 853 | 37,123 | ||||||
Envestnet, Inc. * (a) | 1,130 | 85,732 | ||||||
Guidewire Software, Inc. * (a) | 720 | 81,145 | ||||||
Medallia, Inc. * | 1,177 | 39,712 | ||||||
nCino, Inc. * (a) | 552 | 33,084 | ||||||
Q2 Holdings, Inc. * | 1,135 | 116,459 | ||||||
|
| |||||||
483,773 | ||||||||
|
| |||||||
Specialty Retail — 1.2% |
| |||||||
Leslie’s, Inc. * (a) | 1,877 | 51,598 | ||||||
National Vision Holdings, Inc. * (a) | 943 | 48,193 | ||||||
|
| |||||||
99,791 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Carter’s, Inc. (a) | 751 | 77,479 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.0% |
| |||||||
Applied Industrial Technologies, Inc. | 960 | 87,399 | ||||||
|
| |||||||
Total Common Stocks |
| 8,367,098 | ||||||
|
| |||||||
Short-Term Investments — 3.7% |
| |||||||
Investment Companies — 2.4% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 205,911 | 206,013 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.3% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 102,028 | 102,028 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 11,448 | 11,448 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 113,476 | |||||||
|
| |||||||
Total Short-Term Investments | 319,489 | |||||||
|
| |||||||
Total Investments — 101.4% | 8,686,587 | |||||||
Liabilities in Excess of | (119,456 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 8,567,131 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $110,670. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 25 |
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.7% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
Hexcel Corp. * | 538 | 33,562 | ||||||
|
| |||||||
Airlines — 0.5% |
| |||||||
Frontier Group Holdings, Inc. * (a) | 2,089 | 35,594 | ||||||
|
| |||||||
Auto Components — 1.0% |
| |||||||
Fox Factory Holding Corp. * | 457 | 71,142 | ||||||
|
| |||||||
Automobiles — 0.9% |
| |||||||
Winnebago Industries, Inc. (a) | 867 | 58,908 | ||||||
|
| |||||||
Banks — 1.5% |
| |||||||
First Financial Bankshares, Inc. | 1,387 | 68,157 | ||||||
Pinnacle Financial Partners, Inc. | 361 | 31,909 | ||||||
|
| |||||||
100,066 | ||||||||
|
| |||||||
Biotechnology — 16.7% |
| |||||||
ACADIA Pharmaceuticals, Inc. * | 1,302 | 31,759 | ||||||
ADC Therapeutics SA (Switzerland) * (a) | 1,324 | 32,242 | ||||||
Alector, Inc. * | 1,153 | 24,014 | ||||||
Allogene Therapeutics, Inc. * (a) | 549 | 14,331 | ||||||
Amicus Therapeutics, Inc. * | 4,114 | 39,659 | ||||||
Arrowhead Pharmaceuticals, Inc. * | 926 | 76,729 | ||||||
Atara Biotherapeutics, Inc. * | 2,346 | 36,480 | ||||||
Avrobio, Inc. * | 1,635 | 14,532 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 733 | 71,156 | ||||||
Blueprint Medicines Corp. * (a) | 637 | 56,069 | ||||||
Bridgebio Pharma, Inc. * (a) | 790 | 48,181 | ||||||
Coherus Biosciences, Inc. * (a) | 2,223 | 30,740 | ||||||
Fate Therapeutics, Inc. * | 518 | 44,980 | ||||||
FibroGen, Inc. * (a) | 893 | 23,784 | ||||||
G1 Therapeutics, Inc. * (a) | 1,086 | 23,830 | ||||||
Generation Bio Co. * (a) | 466 | 12,534 | ||||||
Halozyme Therapeutics, Inc.��* | 2,168 | 98,470 | ||||||
Heron Therapeutics, Inc. * (a) | 2,540 | 39,416 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 421 | 8,407 | ||||||
Kronos Bio, Inc. * (a) | 825 | 19,765 | ||||||
Natera, Inc. * | 795 | 90,252 | ||||||
Orchard Therapeutics plc, ADR (United Kingdom) * (a) | 1,522 | 6,681 | ||||||
PMV Pharmaceuticals, Inc. * (a) | 616 | 21,029 | ||||||
REGENXBIO, Inc. * | 1,010 | 39,238 | ||||||
Relay Therapeutics, Inc. * (a) | 828 | 30,304 | ||||||
REVOLUTION Medicines, Inc. * (a) | 705 | 22,379 | ||||||
Rubius Therapeutics, Inc. * (a) | 1,113 | 27,164 | ||||||
Sage Therapeutics, Inc. * | 360 | 20,471 | ||||||
Sana Biotechnology, Inc. * (a) | 735 | 14,444 | ||||||
Twist Bioscience Corp. * (a) | 627 | 83,482 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Biotechnology — continued |
| |||||||
Verve Therapeutics, Inc. * | 551 | 33,190 | ||||||
|
| |||||||
1,135,712 | ||||||||
|
| |||||||
Building Products — 3.9% |
| |||||||
Advanced Drainage Systems, Inc. | 712 | 82,984 | ||||||
AZEK Co., Inc. (The) * | 1,911 | 81,148 | ||||||
Simpson Manufacturing Co., Inc. | 596 | 65,823 | ||||||
Trex Co., Inc. * (a) | 333 | 34,018 | ||||||
|
| |||||||
263,973 | ||||||||
|
| |||||||
Capital Markets — 2.0% |
| |||||||
Evercore, Inc., Class A | 572 | 80,514 | ||||||
Focus Financial Partners, Inc., Class A * | 1,164 | 56,459 | ||||||
|
| |||||||
136,973 | ||||||||
|
| |||||||
Chemicals — 0.5% |
| |||||||
Zymergen, Inc. * (a) | 839 | 33,565 | ||||||
|
| |||||||
Commercial Services & Supplies — 1.2% |
| |||||||
ACV Auctions, Inc., Class A * | 544 | 13,938 | ||||||
MSA Safety, Inc. (a) | 432 | 71,494 | ||||||
|
| |||||||
85,432 | ||||||||
|
| |||||||
Communications Equipment — 0.6% |
| |||||||
Ciena Corp. * | 692 | 39,388 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 221 | 32,489 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
Bandwidth, Inc., Class A * (a) | 498 | 68,711 | ||||||
|
| |||||||
Electrical Equipment — 2.5% |
| |||||||
Array Technologies, Inc. * | 2,303 | 35,921 | ||||||
Bloom Energy Corp., Class A * (a) | 1,590 | 42,724 | ||||||
Shoals Technologies Group, Inc., Class A * | 1,096 | 38,921 | ||||||
Vertiv Holdings Co. | 2,040 | 55,695 | ||||||
|
| |||||||
173,261 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.8% |
| |||||||
II-VI, Inc. * (a) | 1,191 | 86,481 | ||||||
Itron, Inc. * (a) | 1,014 | 101,416 | ||||||
Littelfuse, Inc. | 294 | 74,983 | ||||||
|
| |||||||
262,880 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
CubeSmart | 801 | 37,123 | ||||||
Terreno Realty Corp. | 595 | 38,401 | ||||||
|
| |||||||
75,524 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Food & Staples Retailing — 2.1% |
| |||||||
Grocery Outlet Holding Corp. * (a) | 1,243 | 43,077 | ||||||
Performance Food Group Co. * | 2,078 | 100,764 | ||||||
|
| |||||||
143,841 | ||||||||
|
| |||||||
Food Products — 1.3% |
| |||||||
Freshpet, Inc. * (a) | 543 | 88,538 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 6.5% |
| |||||||
CONMED Corp. (a) | 418 | 57,399 | ||||||
Figs, Inc., Class A * (a) | 777 | 38,947 | ||||||
iRhythm Technologies, Inc. * | 533 | 35,376 | ||||||
Nevro Corp. * (a) | 462 | 76,657 | ||||||
NuVasive, Inc. * | 1,103 | 74,795 | ||||||
Outset Medical, Inc. * (a) | 964 | 48,188 | ||||||
Shockwave Medical, Inc. * (a) | 615 | 116,613 | ||||||
|
| |||||||
447,975 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.4% |
| |||||||
Acadia Healthcare Co., Inc. * (a) | 948 | 59,466 | ||||||
Accolade, Inc. * (a) | 780 | 42,376 | ||||||
Amedisys, Inc. * | 261 | 64,014 | ||||||
|
| |||||||
165,856 | ||||||||
|
| |||||||
Health Care Technology — 0.6% |
| |||||||
Evolent Health, Inc., Class A * | 2,051 | 43,325 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.9% |
| |||||||
Boyd Gaming Corp. * | 1,485 | 91,299 | ||||||
Planet Fitness, Inc., Class A * (a) | 763 | 57,433 | ||||||
Six Flags Entertainment Corp. * | 599 | 25,934 | ||||||
Texas Roadhouse, Inc. (a) | 929 | 89,342 | ||||||
|
| |||||||
264,008 | ||||||||
|
| |||||||
Household Durables — 2.6% |
| |||||||
Helen of Troy Ltd. * (a) | 375 | 85,575 | ||||||
Sonos, Inc. * | 1,506 | 53,063 | ||||||
Tri Pointe Homes, Inc. * | 1,989 | 42,626 | ||||||
|
| |||||||
181,264 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.9% |
| |||||||
Carlisle Cos., Inc. | 331 | 63,295 | ||||||
|
| |||||||
Insurance — 0.2% |
| |||||||
Lemonade, Inc. * (a) | 150 | 16,435 | ||||||
|
| |||||||
Interactive Media & Services — 1.6% |
| |||||||
Bumble, Inc., Class A * (a) | 716 | 41,233 | ||||||
Eventbrite, Inc., Class A * (a) | 1,891 | 35,924 | ||||||
MediaAlpha, Inc., Class A * (a) | 765 | 32,223 | ||||||
|
| |||||||
109,380 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Internet & Direct Marketing Retail — 0.7% |
| |||||||
RealReal, Inc. (The) * (a) | 2,278 | 45,014 | ||||||
|
| |||||||
IT Services — 3.3% |
| |||||||
DigitalOcean Holdings, Inc. * (a) | 752 | 41,778 | ||||||
Globant SA * | 330 | 72,437 | ||||||
I3 Verticals, Inc., Class A * (a) | 1,166 | 35,227 | ||||||
LiveRamp Holdings, Inc. * | 726 | 34,021 | ||||||
Repay Holdings Corp. * | 1,900 | 45,668 | ||||||
|
| |||||||
229,131 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.1% |
| |||||||
Berkeley Lights, Inc. * (a) | 600 | 26,869 | ||||||
Personalis, Inc. * | 1,327 | 33,573 | ||||||
Seer, Inc. * (a) | 474 | 15,526 | ||||||
|
| |||||||
75,968 | ||||||||
|
| |||||||
Machinery — 3.7% |
| |||||||
Graco, Inc. | 723 | 54,733 | ||||||
ITT, Inc. | 984 | 90,091 | ||||||
John Bean Technologies Corp. | 612 | 87,315 | ||||||
Xometry, Inc., Class A * | 239 | 20,927 | ||||||
|
| |||||||
253,066 | ||||||||
|
| |||||||
Media — 1.4% |
| |||||||
Cardlytics, Inc. * (a) | 429 | 54,461 | ||||||
New York Times Co. (The), Class A | 928 | 40,406 | ||||||
|
| |||||||
94,867 | ||||||||
|
| |||||||
Pharmaceuticals — 1.7% |
| |||||||
Arvinas, Inc. * (a) | 787 | 60,566 | ||||||
Revance Therapeutics, Inc. * (a) | 1,910 | 56,605 | ||||||
|
| |||||||
117,171 | ||||||||
|
| |||||||
Professional Services — 0.9% |
| |||||||
ManTech International Corp., Class A | 696 | 60,191 | ||||||
|
| |||||||
Road & Rail — 1.5% |
| |||||||
Saia, Inc. * | 499 | 104,432 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.0% |
| |||||||
Cree, Inc. * (a) | 694 | 67,977 | ||||||
Entegris, Inc. | 506 | 62,220 | ||||||
MKS Instruments, Inc. (a) | 520 | 92,478 | ||||||
Semtech Corp. * | 784 | 53,927 | ||||||
SolarEdge Technologies, Inc. * | 243 | 67,142 | ||||||
|
| |||||||
343,744 | ||||||||
|
| |||||||
Software — 11.2% |
| |||||||
Anaplan, Inc. * | 1,102 | 58,762 | ||||||
Blackline, Inc. * | 644 | 71,616 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 27 |
Table of Contents
JPMorgan Small Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
CyberArk Software Ltd. * | 302 | 39,330 | ||||||
Digital Turbine, Inc. * | 652 | 49,592 | ||||||
Duck Creek Technologies, Inc. * (a) | 1,321 | 57,475 | ||||||
Elastic NV * | 499 | 72,741 | ||||||
Envestnet, Inc. * | 982 | 74,459 | ||||||
Everbridge, Inc. * (a) | 537 | 73,142 | ||||||
JFrog Ltd. (Israel) * (a) | 1,033 | 47,035 | ||||||
Medallia, Inc. * | 1,106 | 37,318 | ||||||
Q2 Holdings, Inc. * | 521 | 53,397 | ||||||
Smartsheet, Inc., Class A * | 985 | 71,208 | ||||||
Vertex, Inc., Class A * (a) | 1,670 | 36,642 | ||||||
Viant Technology, Inc., Class A * (a) | 609 | 18,140 | ||||||
|
| |||||||
760,857 | ||||||||
|
| |||||||
Specialty Retail — 4.2% |
| |||||||
Floor & Decor Holdings, Inc., Class A * | 546 | 57,676 | ||||||
Leslie’s, Inc. * (a) | 760 | 20,896 | ||||||
Lithia Motors, Inc., Class A (a) | 222 | 76,162 | ||||||
National Vision Holdings, Inc. * (a) | 1,889 | 96,565 | ||||||
Petco Health & Wellness Co., Inc. * (a) | 1,716 | 38,456 | ||||||
|
| |||||||
289,755 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.7% |
| |||||||
Applied Industrial Technologies, Inc. | 972 | 88,518 | ||||||
Rush Enterprises, Inc., Class A | 1,074 | 46,450 | ||||||
SiteOne Landscape Supply, Inc. * | 283 | 47,842 | ||||||
|
| |||||||
182,810 | ||||||||
|
| |||||||
Total Common Stocks | 6,688,103 | |||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (b) |
| |||||||
Biotechnology — 0.0% (b) |
| |||||||
Clementia Pharmaceuticals, Inc. (France) * ‡ | 927 | — | (c) | |||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 10.2% |
| |||||||
Investment Companies — 2.6% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (d) (e) | 176,498 | 176,586 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 7.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (d) (e) | 467,313 | 467,313 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (d) (e) | 54,843 | 54,843 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 522,156 | |||||||
|
| |||||||
Total Short-Term Investments | 698,742 | |||||||
|
| |||||||
Total Investments — 107.9% | 7,386,845 | |||||||
Liabilities in Excess of | (543,660 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 6,843,185 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $505,147. | |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | Amount rounds to less than one thousand. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund
(formerly known as JPMorgan Small Cap Core Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.5% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
AAR Corp. * | 23 | 883 | ||||||
Astronics Corp. * | 22 | 380 | ||||||
Ducommun, Inc. * (a) | 6 | 331 | ||||||
Moog, Inc., Class A | 2 | 192 | ||||||
Triumph Group, Inc. * | 8 | 165 | ||||||
Vectrus, Inc. * | 1 | 58 | ||||||
|
| |||||||
2,009 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
Echo Global Logistics, Inc. * | 14 | 426 | ||||||
Forward Air Corp. | 3 | 310 | ||||||
Hub Group, Inc., Class A * | 23 | 1,485 | ||||||
|
| |||||||
2,221 | ||||||||
|
| |||||||
Airlines — 0.4% |
| |||||||
Alaska Air Group, Inc. * | 9 | 557 | ||||||
Allegiant Travel Co. * | 5 | 875 | ||||||
|
| |||||||
1,432 | ||||||||
|
| |||||||
Auto Components — 1.2% |
| |||||||
American Axle & Manufacturing Holdings, Inc. * | 64 | 660 | ||||||
Dana, Inc. | 75 | 1,783 | ||||||
Goodyear Tire & Rubber Co. (The) * | 49 | 833 | ||||||
Lear Corp. | 3 | 578 | ||||||
Patrick Industries, Inc. | 8 | 586 | ||||||
|
| |||||||
4,440 | ||||||||
|
| |||||||
Banks — 7.2% |
| |||||||
Amalgamated Financial Corp. | 183 | 2,860 | ||||||
Ameris Bancorp | 8 | 385 | ||||||
Associated Banc-Corp. | 12 | 241 | ||||||
Bank of NT Butterfield & Son Ltd. (The) (Bermuda) | 33 | 1,157 | ||||||
Bar Harbor Bankshares | 5 | 144 | ||||||
Business First Bancshares, Inc. | 7 | 155 | ||||||
Capital Bancorp, Inc. * | 2 | 50 | ||||||
Capstar Financial Holdings, Inc. | 6 | 114 | ||||||
Cathay General Bancorp | 6 | 219 | ||||||
Community Trust Bancorp, Inc. | 1 | 51 | ||||||
ConnectOne Bancorp, Inc. | 54 | 1,422 | ||||||
Customers Bancorp, Inc. * | 26 | 1,000 | ||||||
Enterprise Financial Services Corp. | 1 | 59 | ||||||
Financial Institutions, Inc. | 13 | 384 | ||||||
First BanCorp (Puerto Rico) | 125 | 1,486 | ||||||
First Bank | 3 | 42 | ||||||
First Choice Bancorp | 1 | 39 | ||||||
First Community Bankshares, Inc. | 2 | 68 | ||||||
First Horizon Corp. | 90 | 1,556 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued |
| |||||||
First Internet Bancorp | 4 | 126 | ||||||
FNB Corp. | 52 | 643 | ||||||
Great Southern Bancorp, Inc. | 5 | 247 | ||||||
Hancock Whitney Corp. | 17 | 747 | ||||||
Hanmi Financial Corp. | 24 | 449 | ||||||
HBT Financial, Inc. | 8 | 144 | ||||||
Hilltop Holdings, Inc. | 20 | 717 | ||||||
Investors Bancorp, Inc. | 152 | 2,161 | ||||||
Metropolitan Bank Holding Corp. * (a) | 3 | 153 | ||||||
Mid Penn Bancorp, Inc. | 2 | 55 | ||||||
OceanFirst Financial Corp. | 58 | 1,204 | ||||||
PacWest Bancorp | 17 | 704 | ||||||
Peapack-Gladstone Financial Corp. (a) | 5 | 166 | ||||||
RBB Bancorp | 3 | 82 | ||||||
Sierra Bancorp | 2 | 49 | ||||||
Signature Bank | 8 | 1,864 | ||||||
SmartFinancial, Inc. | 7 | 178 | ||||||
Sterling Bancorp | 18 | 441 | ||||||
Synovus Financial Corp. | 16 | 712 | ||||||
Umpqua Holdings Corp. | 55 | 1,015 | ||||||
United Community Banks, Inc. | 12 | 398 | ||||||
Western Alliance Bancorp | 7 | 641 | ||||||
Wintrust Financial Corp. | 6 | 425 | ||||||
Zions Bancorp NA | 30 | 1,577 | ||||||
|
| |||||||
26,330 | ||||||||
|
| |||||||
Beverages — 0.1% |
| |||||||
Coca-Cola Consolidated, Inc. | 1 | 273 | ||||||
|
| |||||||
Biotechnology — 9.3% |
| |||||||
Akebia Therapeutics, Inc. * | 243 | 922 | ||||||
Alector, Inc. * | 19 | 399 | ||||||
Allogene Therapeutics, Inc. * (a) | 18 | 479 | ||||||
Amicus Therapeutics, Inc. * | 102 | 979 | ||||||
AnaptysBio, Inc. * | 49 | 1,277 | ||||||
Arena Pharmaceuticals, Inc. * | 54 | 3,677 | ||||||
Arrowhead Pharmaceuticals, Inc. * | 20 | 1,672 | ||||||
Atara Biotherapeutics, Inc. * | 3 | 53 | ||||||
Blueprint Medicines Corp. * | 8 | 720 | ||||||
Bolt Biotherapeutics, Inc. * | 12 | 182 | ||||||
Bridgebio Pharma, Inc. * (a) | 10 | 592 | ||||||
CareDx, Inc. * | 6 | 521 | ||||||
Catalyst Pharmaceuticals, Inc. * | 80 | 462 | ||||||
Chinook Therapeutics, Inc. * (a) | 25 | 348 | ||||||
Coherus Biosciences, Inc. * (a) | 25 | 343 | ||||||
Decibel Therapeutics, Inc. * (a) | 44 | 375 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 29 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund
(formerly known as JPMorgan Small Cap Core Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Biotechnology — continued |
| |||||||
Dicerna Pharmaceuticals, Inc. * | 29 | 1,070 | ||||||
Fate Therapeutics, Inc. * | 19 | 1,678 | ||||||
Frequency Therapeutics, Inc. * (a) | 78 | 778 | ||||||
Gritstone bio, Inc. * (a) | 5 | 48 | ||||||
Invitae Corp. * | 20 | 678 | ||||||
Jounce Therapeutics, Inc. * (a) | 15 | 105 | ||||||
Kronos Bio, Inc. * (a) | 27 | 638 | ||||||
Kura Oncology, Inc. * (a) | 2 | 48 | ||||||
Kymera Therapeutics, Inc. * (a) | 23 | 1,120 | ||||||
MeiraGTx Holdings plc * (a) | 13 | 203 | ||||||
Molecular Templates, Inc. * (a) | 50 | 387 | ||||||
Mustang Bio, Inc. * | 127 | 422 | ||||||
Myriad Genetics, Inc. * | 46 | 1,407 | ||||||
Natera, Inc. * | 9 | 1,037 | ||||||
Novavax, Inc. * (a) | 4 | 925 | ||||||
PTC Therapeutics, Inc. * (a) | 14 | 609 | ||||||
Radius Health, Inc. * | 2 | 35 | ||||||
REVOLUTION Medicines, Inc. * | 28 | 893 | ||||||
Sage Therapeutics, Inc. * | 8 | 465 | ||||||
Sarepta Therapeutics, Inc. * | 20 | 1,538 | ||||||
Spruce Biosciences, Inc. * (a) | 25 | 285 | ||||||
Sutro Biopharma, Inc. * | 5 | 85 | ||||||
TCR2 Therapeutics, Inc. * | 9 | 152 | ||||||
Translate Bio, Inc. * (a) | 37 | 1,010 | ||||||
Travere Therapeutics, Inc. * | 52 | 756 | ||||||
Turning Point Therapeutics, Inc. * | 10 | 780 | ||||||
Vericel Corp. * | 13 | 666 | ||||||
Vir Biotechnology, Inc. * (a) | 25 | 1,184 | ||||||
Xencor, Inc. * | 64 | 2,190 | ||||||
Y-mAbs Therapeutics, Inc. * (a) | 1 | 49 | ||||||
|
| |||||||
34,242 | ||||||||
|
| |||||||
Building Products — 1.6% |
| |||||||
Advanced Drainage Systems, Inc. | 4 | 431 | ||||||
Apogee Enterprises, Inc. (a) | 14 | 587 | ||||||
Builders FirstSource, Inc. * (a) | 51 | 2,184 | ||||||
Cornerstone Building Brands, Inc. * | 29 | 532 | ||||||
Gibraltar Industries, Inc. * | 4 | 281 | ||||||
Masonite International Corp. * | 3 | 320 | ||||||
Quanex Building Products Corp. | 18 | 445 | ||||||
Resideo Technologies, Inc. * | 9 | 275 | ||||||
UFP Industries, Inc. | 12 | 872 | ||||||
|
| |||||||
5,927 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — 2.0% |
| |||||||
Artisan Partners Asset Management, Inc., Class A | 3 | 156 | ||||||
Blucora, Inc. * | 31 | 537 | ||||||
Brightsphere Investment Group, Inc. | 29 | 684 | ||||||
Cohen & Steers, Inc. | 2 | 203 | ||||||
Cowen, Inc., Class A (a) | 21 | 857 | ||||||
Donnelley Financial Solutions, Inc. * | 27 | 889 | ||||||
Federated Hermes, Inc. | 28 | 946 | ||||||
Focus Financial Partners, Inc., Class A * | 22 | 1,065 | ||||||
Piper Sandler Cos. | 3 | 437 | ||||||
Stifel Financial Corp. (a) | 13 | 861 | ||||||
Virtus Investment Partners, Inc. | 3 | 780 | ||||||
|
| |||||||
7,415 | ||||||||
|
| |||||||
Chemicals — 2.1% |
| |||||||
Avient Corp. | 27 | 1,317 | ||||||
HB Fuller Co. | 17 | 1,051 | ||||||
Ingevity Corp. * | 11 | 928 | ||||||
Koppers Holdings, Inc. * | 13 | 426 | ||||||
Minerals Technologies, Inc. | 8 | 644 | ||||||
Orion Engineered Carbons SA (Germany) * | 20 | 382 | ||||||
PQ Group Holdings, Inc. | 12 | 180 | ||||||
Trinseo SA | 10 | 581 | ||||||
Tronox Holdings plc, Class A | 63 | 1,409 | ||||||
Zymergen, Inc. * | 20 | 816 | ||||||
|
| |||||||
7,734 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.8% |
| |||||||
ABM Industries, Inc. | 45 | 2,008 | ||||||
ACCO Brands Corp. | 47 | 409 | ||||||
Brink’s Co. (The) (a) | 7 | 507 | ||||||
Herman Miller, Inc. | 17 | 808 | ||||||
HNI Corp. | 11 | 465 | ||||||
KAR Auction Services, Inc. * (a) | 11 | 196 | ||||||
Knoll, Inc. | 42 | 1,079 | ||||||
SP Plus Corp. * | 17 | 523 | ||||||
Steelcase, Inc., Class A | 41 | 617 | ||||||
Team, Inc. * | 9 | 62 | ||||||
|
| |||||||
6,674 | ||||||||
|
| |||||||
Communications Equipment — 0.3% |
| |||||||
Extreme Networks, Inc. * | 101 | 1,125 | ||||||
|
| |||||||
Construction & Engineering — 2.4% |
| |||||||
Argan, Inc. | 38 | 1,836 | ||||||
Comfort Systems USA, Inc. | 17 | 1,344 | ||||||
EMCOR Group, Inc. | 11 | 1,332 | ||||||
Great Lakes Dredge & Dock Corp. * (a) | 54 | 790 |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Construction & Engineering — continued |
| |||||||
MasTec, Inc. * (a) | 20 | 2,113 | ||||||
Primoris Services Corp. | 25 | 735 | ||||||
Sterling Construction Co., Inc. * | 14 | 335 | ||||||
Tutor Perini Corp. * | 23 | 314 | ||||||
|
| |||||||
8,799 | ||||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Forterra, Inc. * | 3 | 76 | ||||||
US Concrete, Inc. * | 4 | 330 | ||||||
|
| |||||||
406 | ||||||||
|
| |||||||
Consumer Finance — 1.5% |
| |||||||
Enova International, Inc. * | 8 | 280 | ||||||
EZCORP, Inc., Class A * | 50 | 303 | ||||||
Green Dot Corp., Class A * (a) | 15 | 689 | ||||||
Navient Corp. | 109 | 2,114 | ||||||
Nelnet, Inc., Class A | 9 | 650 | ||||||
Oportun Financial Corp. * | 13 | 254 | ||||||
PROG Holdings, Inc. | 24 | 1,149 | ||||||
|
| |||||||
5,439 | ||||||||
|
| |||||||
Containers & Packaging — 0.2% |
| |||||||
Greif, Inc., Class A (a) | 9 | 515 | ||||||
Myers Industries, Inc. | 8 | 159 | ||||||
Pactiv Evergreen, Inc. | 5 | 78 | ||||||
|
| |||||||
752 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
Coursera, Inc. * (a) | 26 | 1,017 | ||||||
WW International, Inc. * | 12 | 423 | ||||||
|
| |||||||
1,440 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.3% |
| |||||||
IDT Corp., Class B * | 86 | 3,196 | ||||||
Liberty Latin America Ltd., Class A (Chile) * | 38 | 521 | ||||||
Liberty Latin America Ltd., Class C (Chile) * | 34 | 482 | ||||||
Ooma, Inc. * | 21 | 401 | ||||||
|
| |||||||
4,600 | ||||||||
|
| |||||||
Electric Utilities — 0.7% |
| |||||||
ALLETE, Inc. | 9 | 636 | ||||||
IDACORP, Inc. | 4 | 377 | ||||||
Portland General Electric Co. | 16 | 730 | ||||||
Spark Energy, Inc., Class A (a) | 59 | 672 | ||||||
|
| |||||||
2,415 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electrical Equipment — 1.6% |
| |||||||
Atkore, Inc. * | 31 | 2,206 | ||||||
AZZ, Inc. | 13 | 695 | ||||||
Bloom Energy Corp., Class A * (a) | 35 | 931 | ||||||
FuelCell Energy, Inc. * | 5 | 44 | ||||||
Powell Industries, Inc. | 4 | 111 | ||||||
Sunrun, Inc. * (a) | 35 | 1,925 | ||||||
|
| |||||||
5,912 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
Advanced Energy Industries, Inc. | 10 | 1,088 | ||||||
Benchmark Electronics, Inc. (a) | 54 | 1,537 | ||||||
Fabrinet (Thailand) * | 12 | 1,168 | ||||||
Itron, Inc. * | 3 | 302 | ||||||
Kimball Electronics, Inc. * | 4 | 96 | ||||||
Sanmina Corp. * | 42 | 1,647 | ||||||
ScanSource, Inc. * | 12 | 325 | ||||||
Vishay Intertechnology, Inc. | 44 | 999 | ||||||
Vishay Precision Group, Inc. * | 20 | 687 | ||||||
|
| |||||||
7,849 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.8% |
| |||||||
ChampionX Corp. * | 36 | 917 | ||||||
National Energy Services Reunited Corp. * | 15 | 219 | ||||||
NexTier Oilfield Solutions, Inc. * | 96 | 455 | ||||||
Oil States International, Inc. * (a) | 29 | 224 | ||||||
Patterson-UTI Energy, Inc. | 24 | 240 | ||||||
ProPetro Holding Corp. * | 11 | 99 | ||||||
Select Energy Services, Inc., Class A * | 81 | 487 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 35 | 337 | ||||||
|
| |||||||
2,978 | ||||||||
|
| |||||||
Entertainment — 1.1% |
| |||||||
AMC Entertainment Holdings, Inc., Class A * (a) | 21 | 1,187 | ||||||
Cinemark Holdings, Inc. * | 40 | 880 | ||||||
IMAX Corp. * | 20 | 424 | ||||||
Lions Gate Entertainment Corp., Class A * | 72 | 1,486 | ||||||
|
| |||||||
3,977 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.1% |
| |||||||
Agree Realty Corp. | 2 | 137 | ||||||
Alexander & Baldwin, Inc. | 19 | 346 | ||||||
American Assets Trust, Inc. | 4 | 162 | ||||||
American Finance Trust, Inc. | 12 | 98 | ||||||
Armada Hoffler Properties, Inc. | 33 | 443 | ||||||
Broadstone Net Lease, Inc. | 22 | 506 | ||||||
CareTrust REIT, Inc. | 4 | 98 | ||||||
CatchMark Timber Trust, Inc., Class A | 16 | 184 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 31 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund
(formerly known as JPMorgan Small Cap Core Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Centerspace | 3 | 272 | ||||||
Chatham Lodging Trust * | 4 | 56 | ||||||
City Office REIT, Inc. | 50 | 627 | ||||||
Columbia Property Trust, Inc. | 5 | 79 | ||||||
Community Healthcare Trust, Inc. | 3 | 124 | ||||||
Cousins Properties, Inc. | 13 | 469 | ||||||
DiamondRock Hospitality Co. * | 32 | 309 | ||||||
DigitalBridge Group, Inc. * (a) | 96 | 759 | ||||||
Essential Properties Realty Trust, Inc. | 12 | 331 | ||||||
First Industrial Realty Trust, Inc. | 13 | 683 | ||||||
Four Corners Property Trust, Inc. | 19 | 537 | ||||||
Getty Realty Corp. | 2 | 77 | ||||||
Gladstone Commercial Corp. | 19 | 437 | ||||||
Global Medical REIT, Inc. (a) | 3 | 44 | ||||||
Global Net Lease, Inc. | 35 | 643 | ||||||
Healthcare Realty Trust, Inc. | 9 | 277 | ||||||
Highwoods Properties, Inc. | 2 | 84 | ||||||
Innovative Industrial Properties, Inc. (a) | 1 | 245 | ||||||
Kite Realty Group Trust | 25 | 546 | ||||||
National Storage Affiliates Trust | 15 | 780 | ||||||
New Senior Investment Group, Inc. | 63 | 549 | ||||||
Physicians Realty Trust | 14 | 258 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 13 | 236 | ||||||
Plymouth Industrial REIT, Inc. | 23 | 461 | ||||||
PotlatchDeltic Corp. | 24 | 1,287 | ||||||
QTS Realty Trust, Inc., Class A (a) | 8 | 607 | ||||||
Retail Opportunity Investments Corp. | 25 | 436 | ||||||
Retail Properties of America, Inc., Class A | 53 | 602 | ||||||
Retail Value, Inc. | 8 | 180 | ||||||
Ryman Hospitality Properties, Inc. * | 2 | 119 | ||||||
Sabra Health Care REIT, Inc. | 28 | 505 | ||||||
Service Properties Trust | 8 | 95 | ||||||
SITE Centers Corp. | 18 | 274 | ||||||
STAG Industrial, Inc. | 38 | 1,405 | ||||||
Summit Hotel Properties, Inc. * | 9 | 80 | ||||||
Sunstone Hotel Investors, Inc. * | 69 | 856 | ||||||
UMH Properties, Inc. | 4 | 80 | ||||||
Urban Edge Properties | 12 | 231 | ||||||
Xenia Hotels & Resorts, Inc. * | 48 | 890 | ||||||
|
| |||||||
18,504 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.8% |
| |||||||
Andersons, Inc. (The) | 2 | 62 | ||||||
BJ’s Wholesale Club Holdings, Inc. * | 11 | 539 | ||||||
Performance Food Group Co. * | 23 | 1,099 | ||||||
Rite Aid Corp. * (a) | 70 | 1,142 | ||||||
|
| |||||||
2,842 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food Products — 1.2% |
| |||||||
Bunge Ltd. | 4 | 311 | ||||||
Darling Ingredients, Inc. * | 40 | 2,712 | ||||||
Sanderson Farms, Inc. | 6 | 1,083 | ||||||
Seneca Foods Corp., Class A * | 4 | 223 | ||||||
|
| |||||||
4,329 | ||||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
Chesapeake Utilities Corp. | 4 | 488 | ||||||
New Jersey Resources Corp. | 8 | 323 | ||||||
Northwest Natural Holding Co. | 5 | 241 | ||||||
Southwest Gas Holdings, Inc. | 9 | 578 | ||||||
Spire, Inc. | 7 | 493 | ||||||
|
| |||||||
2,123 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.0% |
| |||||||
Alphatec Holdings, Inc. * | 26 | 392 | ||||||
Apyx Medical Corp. * | 20 | 203 | ||||||
Cardiovascular Systems, Inc. * (a) | 23 | 964 | ||||||
Cutera, Inc. * (a) | 34 | 1,648 | ||||||
Heska Corp. * (a) | 5 | 1,209 | ||||||
Inogen, Inc. * | 16 | 1,057 | ||||||
Intersect ENT, Inc. * | 8 | 142 | ||||||
Lantheus Holdings, Inc. * | 8 | 232 | ||||||
Natus Medical, Inc. * | 15 | 386 | ||||||
NuVasive, Inc. * | 26 | 1,774 | ||||||
Ortho Clinical Diagnostics Holdings plc * | 34 | 734 | ||||||
Orthofix Medical, Inc. * | 31 | 1,234 | ||||||
Outset Medical, Inc. * | 6 | 322 | ||||||
SI-BONE, Inc. * | 24 | 753 | ||||||
|
| |||||||
11,050 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.5% |
| |||||||
AdaptHealth Corp. * (a) | 99 | 2,704 | ||||||
AMN Healthcare Services, Inc. * | 12 | 1,194 | ||||||
Apollo Medical Holdings, Inc. * (a) | 15 | 928 | ||||||
Cross Country Healthcare, Inc. * | 20 | 333 | ||||||
Hanger, Inc. * | 18 | 451 | ||||||
LHC Group, Inc. * | 2 | 378 | ||||||
MEDNAX, Inc. * | 8 | 231 | ||||||
ModivCare, Inc. * | 8 | 1,353 | ||||||
National HealthCare Corp. (a) | 6 | 424 | ||||||
Option Care Health, Inc. * | 10 | 223 | ||||||
Owens & Minor, Inc. | 23 | 979 | ||||||
Select Medical Holdings Corp. | 46 | 1,963 | ||||||
Surgery Partners, Inc. * (a) | 25 | 1,635 | ||||||
Tenet Healthcare Corp. * (a) | 55 | 3,671 | ||||||
Tivity Health, Inc. * (a) | 5 | 128 | ||||||
|
| |||||||
16,595 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Health Care Technology — 1.2% |
| |||||||
Allscripts Healthcare Solutions, Inc. * | 53 | 987 | ||||||
Inovalon Holdings, Inc., Class A * | 6 | 190 | ||||||
Inspire Medical Systems, Inc. * | 3 | 608 | ||||||
NextGen Healthcare, Inc. * | 44 | 734 | ||||||
Omnicell, Inc. * | 3 | 385 | ||||||
Schrodinger, Inc. * | 20 | 1,540 | ||||||
|
| |||||||
4,444 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.6% |
| |||||||
Bloomin’ Brands, Inc. * | 40 | 1,089 | ||||||
Boyd Gaming Corp. * | 6 | 364 | ||||||
Brinker International, Inc. * | 17 | 1,026 | ||||||
Dine Brands Global, Inc. * (a) | 8 | 683 | ||||||
Marriott Vacations Worldwide Corp. * | 8 | 1,208 | ||||||
Penn National Gaming, Inc. * | 7 | 543 | ||||||
RCI Hospitality Holdings, Inc. (a) | 3 | 188 | ||||||
Scientific Games Corp. * | 9 | 686 | ||||||
|
| |||||||
5,787 | ||||||||
|
| |||||||
Household Durables — 1.4% |
| |||||||
Helen of Troy Ltd. * | 2 | 526 | ||||||
Hooker Furniture Corp. | 14 | 501 | ||||||
Lifetime Brands, Inc. | 37 | 561 | ||||||
Purple Innovation, Inc. * | 12 | 317 | ||||||
Sonos, Inc. * | 26 | 915 | ||||||
Tupperware Brands Corp. * | 10 | 246 | ||||||
Universal Electronics, Inc. * | 12 | 582 | ||||||
Vizio Holding Corp., Class A * (a) | 50 | 1,346 | ||||||
|
| |||||||
4,994 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
Central Garden & Pet Co., Class A * | 23 | 1,097 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.6% |
| |||||||
Clearway Energy, Inc. | 32 | 795 | ||||||
Clearway Energy, Inc., Class C | 28 | 745 | ||||||
Sunnova Energy International, Inc. * | 19 | 705 | ||||||
Vistra Corp. | 7 | 124 | ||||||
|
| |||||||
2,369 | ||||||||
|
| |||||||
Insurance — 1.0% |
| |||||||
American Equity Investment Life Holding Co. | 22 | 698 | ||||||
Argo Group International Holdings Ltd. | 11 | 584 | ||||||
BRP Group, Inc., Class A * | 5 | 120 | ||||||
CNO Financial Group, Inc. | 21 | 496 | ||||||
eHealth, Inc. * | 9 | 537 | ||||||
Heritage Insurance Holdings, Inc. | 3 | 26 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Insurance — continued |
| |||||||
Horace Mann Educators Corp. | 2 | 62 | ||||||
James River Group Holdings Ltd. | 3 | 115 | ||||||
Selective Insurance Group, Inc. | 2 | 169 | ||||||
Stewart Information Services Corp. | 14 | 812 | ||||||
|
| |||||||
3,619 | ||||||||
|
| |||||||
Interactive Media & Services — 0.8% |
| |||||||
Cars.com, Inc. * | 32 | 454 | ||||||
Liberty TripAdvisor Holdings, Inc., Class A * (a) | 326 | 1,326 | ||||||
Yelp, Inc. * | 28 | 1,107 | ||||||
|
| |||||||
2,887 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.3% |
| |||||||
Overstock.com, Inc. * (a) | 4 | 353 | ||||||
Stitch Fix, Inc., Class A * | 6 | 336 | ||||||
ThredUp, Inc., Class A * (a) | 15 | 428 | ||||||
|
| |||||||
1,117 | ||||||||
|
| |||||||
IT Services — 2.0% |
| |||||||
BigCommerce Holdings, Inc., Series 1 * | 13 | 863 | ||||||
Contra Bmtechnologies * | 6 | 79 | ||||||
DigitalOcean Holdings, Inc. * | 20 | 1,122 | ||||||
Marathon Digital Holdings, Inc. * | 19 | 609 | ||||||
Maximus, Inc. | 17 | 1,499 | ||||||
TTEC Holdings, Inc. | 21 | 2,176 | ||||||
Unisys Corp. * | 36 | 904 | ||||||
|
| |||||||
7,252 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.0% |
| |||||||
Adaptive Biotechnologies Corp. * | 7 | 273 | ||||||
Berkeley Lights, Inc. * | 12 | 542 | ||||||
Pacific Biosciences of California, Inc. * | 7 | 257 | ||||||
Personalis, Inc. * | 52 | 1,311 | ||||||
Quanterix Corp. * | 12 | 691 | ||||||
Seer, Inc. * (a) | 13 | 427 | ||||||
|
| |||||||
3,501 | ||||||||
|
| |||||||
Machinery — 1.4% |
| |||||||
Barnes Group, Inc. | 8 | 435 | ||||||
Columbus McKinnon Corp. | 13 | 642 | ||||||
Manitowoc Co., Inc. (The) * | 24 | 585 | ||||||
Meritor, Inc. * | 19 | 440 | ||||||
Mueller Industries, Inc. | 5 | 234 | ||||||
Park-Ohio Holdings Corp. | 3 | 87 | ||||||
REV Group, Inc. (a) | 13 | 200 | ||||||
Terex Corp. | 48 | 2,263 | ||||||
Wabash National Corp. (a) | 8 | 127 | ||||||
|
| |||||||
5,013 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 33 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund
(formerly known as JPMorgan Small Cap Core Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Marine — 0.2% |
| |||||||
Costamare, Inc. (Monaco) | 62 | 734 | ||||||
|
| |||||||
Media — 1.0% |
| |||||||
Fluent, Inc. * | 49 | 144 | ||||||
Gray Television, Inc. | 27 | 622 | ||||||
Meredith Corp. * | 17 | 746 | ||||||
Sinclair Broadcast Group, Inc., Class A (a) | 20 | 671 | ||||||
TEGNA, Inc. | 81 | 1,509 | ||||||
|
| |||||||
3,692 | ||||||||
|
| |||||||
Metals & Mining — 1.5% |
| |||||||
Alcoa Corp. * | 23 | 861 | ||||||
Allegheny Technologies, Inc. * (a) | 29 | 607 | ||||||
Arconic Corp. * | 19 | 671 | ||||||
Cleveland-Cliffs, Inc. * (a) | 36 | 767 | ||||||
Commercial Metals Co. | 25 | 778 | ||||||
Kaiser Aluminum Corp. | 3 | 426 | ||||||
SunCoke Energy, Inc. (a) | 78 | 557 | ||||||
United States Steel Corp. (a) | 6 | 142 | ||||||
Warrior Met Coal, Inc. | 25 | 433 | ||||||
Worthington Industries, Inc. | 1 | 69 | ||||||
|
| |||||||
5,311 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.6% |
| |||||||
Apollo Commercial Real Estate Finance, Inc. | 5 | 78 | ||||||
Ares Commercial Real Estate Corp. | 27 | 394 | ||||||
Blackstone Mortgage Trust, Inc., Class A (a) | 16 | 526 | ||||||
Brightspire Capital, Inc. (a) | 8 | 71 | ||||||
Ellington Financial, Inc. | 26 | 493 | ||||||
Granite Point Mortgage Trust, Inc. | 6 | 84 | ||||||
Great Ajax Corp. | 2 | 24 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a) | 14 | 763 | ||||||
KKR Real Estate Finance Trust, Inc. (a) | 31 | 665 | ||||||
Ladder Capital Corp. | 41 | 476 | ||||||
MFA Financial, Inc. | 16 | 73 | ||||||
PennyMac Mortgage Investment Trust | 42 | 875 | ||||||
Ready Capital Corp. | 8 | 119 | ||||||
Redwood Trust, Inc. | 75 | 902 | ||||||
TPG RE Finance Trust, Inc. | 26 | 344 | ||||||
|
| |||||||
5,887 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Big Lots, Inc. | 10 | 668 | ||||||
Dillard’s, Inc., Class A (a) | 3 | 475 | ||||||
Macy’s, Inc. * (a) | 43 | 819 | ||||||
|
| |||||||
1,962 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Multi-Utilities — 0.1% |
| |||||||
Black Hills Corp. | 5 | 359 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
Antero Resources Corp. * | 60 | 900 | ||||||
Arch Resources, Inc. * | 8 | 472 | ||||||
Berry Corp.(a) | 54 | 364 | ||||||
CNX Resources Corp. * | 16 | 216 | ||||||
CVR Energy, Inc. | 14 | 254 | ||||||
Delek US Holdings, Inc. (a) | 2 | 33 | ||||||
Green Plains, Inc. * | 17 | 577 | ||||||
Magnolia Oil & Gas Corp., Class A * (a) | 71 | 1,114 | ||||||
Matador Resources Co. | 16 | 559 | ||||||
Ovintiv, Inc. | 71 | 2,228 | ||||||
Par Pacific Holdings, Inc. * | 14 | 236 | ||||||
PDC Energy, Inc. | 26 | 1,168 | ||||||
Renewable Energy Group, Inc. * (a) | 14 | 857 | ||||||
REX American Resources Corp. * | 1 | 120 | ||||||
SFL Corp. Ltd. (Norway) | 22 | 166 | ||||||
Southwestern Energy Co. * | 155 | 877 | ||||||
|
| |||||||
10,141 | ||||||||
|
| |||||||
Paper & Forest Products — 1.0% |
| |||||||
Domtar Corp. * | 9 | 495 | ||||||
Glatfelter Corp. | 4 | 62 | ||||||
Louisiana-Pacific Corp. | 15 | 912 | ||||||
Neenah, Inc. | 4 | 219 | ||||||
Schweitzer-Mauduit International, Inc. | 36 | 1,450 | ||||||
Verso Corp., Class A | 20 | 359 | ||||||
|
| |||||||
3,497 | ||||||||
|
| |||||||
Personal Products — 0.8% |
| |||||||
Edgewell Personal Care Co. | 23 | 995 | ||||||
elf Beauty, Inc. * | 28 | 772 | ||||||
Honest Co., Inc. (The) * (a) | 25 | 406 | ||||||
Medifast, Inc. | 2 | 677 | ||||||
|
| |||||||
2,850 | ||||||||
|
| |||||||
Pharmaceuticals — 1.3% |
| |||||||
Angion Biomedica Corp. * | 30 | 394 | ||||||
Arvinas, Inc. * | 1 | 55 | ||||||
Cara Therapeutics, Inc. * (a) | 11 | 158 | ||||||
Durect Corp. * (a) | 598 | 974 | ||||||
Endo International plc * | 185 | 864 | ||||||
Landos Biopharma, Inc. * (a) | 40 | 463 | ||||||
Lannett Co., Inc. * (a) | 185 | 862 | ||||||
NGM Biopharmaceuticals, Inc. * (a) | 25 | 501 |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — continued |
| |||||||
Phibro Animal Health Corp., Class A | 7 | 193 | ||||||
Revance Therapeutics, Inc. * (a) | 3 | 102 | ||||||
Zogenix, Inc. * (a) | 16 | 270 | ||||||
|
| |||||||
4,836 | ||||||||
|
| |||||||
Professional Services — 2.0% |
| |||||||
Barrett Business Services, Inc. | 18 | 1,298 | ||||||
Heidrick & Struggles International, Inc. | 16 | 711 | ||||||
KBR, Inc. (a) | 46 | 1,737 | ||||||
Kelly Services, Inc., Class A * | 8 | 182 | ||||||
Kforce, Inc. | 11 | 718 | ||||||
Korn Ferry | 19 | 1,405 | ||||||
TriNet Group, Inc. * | 10 | 692 | ||||||
TrueBlue, Inc. * | 25 | 713 | ||||||
|
| |||||||
7,456 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.4% |
| |||||||
Jones Lang LaSalle, Inc. * | 1 | 254 | ||||||
Realogy Holdings Corp. * | 69 | 1,259 | ||||||
RMR Group, Inc. (The), Class A | 2 | 87 | ||||||
|
| |||||||
1,600 | ||||||||
|
| |||||||
Road & Rail — 0.6% |
| |||||||
ArcBest Corp. | 40 | 2,320 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.1% |
| |||||||
Alpha & Omega Semiconductor Ltd. * | 26 | 798 | ||||||
Ambarella, Inc. * | 4 | 416 | ||||||
Amkor Technology, Inc. | 44 | 1,053 | ||||||
Ichor Holdings Ltd. * | 13 | 717 | ||||||
PDF Solutions, Inc. * (a) | 10 | 184 | ||||||
Power Integrations, Inc. | 10 | 799 | ||||||
Rambus, Inc. * | 8 | 186 | ||||||
Semtech Corp. * | 10 | 722 | ||||||
SMART Global Holdings, Inc. * (a) | 21 | 1,016 | ||||||
SunPower Corp. * (a) | 38 | 1,099 | ||||||
Ultra Clean Holdings, Inc. * | 16 | 835 | ||||||
|
| |||||||
7,825 | ||||||||
|
| |||||||
Software — 4.4% |
| |||||||
8x8, Inc. * (a) | 3 | 85 | ||||||
ACI Worldwide, Inc. * | 3 | 125 | ||||||
Asana, Inc., Class A * (a) | 23 | 1,429 | ||||||
Avaya Holdings Corp. * (a) | 48 | 1,291 | ||||||
Blackbaud, Inc. * | 7 | 559 | ||||||
Blackline, Inc. * | 5 | 527 | ||||||
Cerence, Inc. * (a) | 13 | 1,346 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — continued |
| |||||||
Cornerstone OnDemand, Inc. * | 22 | 1,112 | ||||||
Digital Turbine, Inc. * | 13 | 982 | ||||||
eGain Corp. * (a) | 99 | 1,131 | ||||||
J2 Global, Inc. * (a) | 13 | 1,756 | ||||||
JFrog Ltd. (Israel) * (a) | 4 | 188 | ||||||
MicroStrategy, Inc., Class A * (a) | — | (b) | 251 | |||||
Model N, Inc. * (a) | 4 | 123 | ||||||
PagerDuty, Inc. * | 17 | 737 | ||||||
SailPoint Technologies Holding, Inc. * (a) | 10 | 501 | ||||||
SPS Commerce, Inc. * | 1 | 83 | ||||||
Viant Technology, Inc., Class A * | 10 | 308 | ||||||
Workiva, Inc. * | 1 | 93 | ||||||
Xperi Holding Corp. | 91 | 2,020 | ||||||
Zuora, Inc., Class A * | 79 | 1,364 | ||||||
|
| |||||||
16,011 | ||||||||
|
| |||||||
Specialty Retail — 2.4% |
| |||||||
Aaron’s Co., Inc. (The) | 6 | 191 | ||||||
American Eagle Outfitters, Inc. | 22 | 808 | ||||||
Genesco, Inc. * | 12 | 784 | ||||||
Guess?, Inc. (a) | 20 | 526 | ||||||
Hibbett, Inc. * | 20 | 1,748 | ||||||
ODP Corp. (The) * | 5 | 261 | ||||||
Rent-A-Center, Inc. (a) | 19 | 1,023 | ||||||
RH * (a) | 2 | 1,026 | ||||||
Signet Jewelers Ltd. * (a) | 21 | 1,706 | ||||||
Zumiez, Inc. * | 15 | 735 | ||||||
|
| |||||||
8,808 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.2% |
| |||||||
3D Systems Corp. * (a) | 7 | 261 | ||||||
Avid Technology, Inc. * | 20 | 793 | ||||||
Diebold Nixdorf, Inc. * | 50 | 641 | ||||||
Super Micro Computer, Inc. * | 75 | 2,632 | ||||||
|
| |||||||
4,327 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.5% |
| |||||||
Crocs, Inc. * | 4 | 455 | ||||||
Deckers Outdoor Corp. * | 11 | 4,060 | ||||||
G-III Apparel Group Ltd. * | 5 | 168 | ||||||
Kontoor Brands, Inc. (a) | 13 | 716 | ||||||
Movado Group, Inc. | 15 | 469 | ||||||
PLBY Group, Inc. * (a) | 14 | 552 | ||||||
Unifi, Inc. * | 115 | 2,801 | ||||||
|
| |||||||
9,221 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 35 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund
(formerly known as JPMorgan Small Cap Core Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Thrifts & Mortgage Finance — 2.2% |
| |||||||
Essent Group Ltd. | 30 | 1,349 | ||||||
FS Bancorp, Inc. | 1 | 93 | ||||||
HomeStreet, Inc. | 7 | 269 | ||||||
Kearny Financial Corp. | 23 | 272 | ||||||
Luther Burbank Corp. | 8 | 101 | ||||||
MGIC Investment Corp. | 38 | 512 | ||||||
Mr. Cooper Group, Inc. * | 29 | 960 | ||||||
NMI Holdings, Inc., Class A * | 17 | 392 | ||||||
Provident Bancorp, Inc. | 18 | 294 | ||||||
Provident Financial Services, Inc. | 55 | 1,259 | ||||||
Radian Group, Inc. | 45 | 1,001 | ||||||
Walker & Dunlop, Inc. | 16 | 1,654 | ||||||
|
| |||||||
8,156 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.8% |
| |||||||
Applied Industrial Technologies, Inc. | 5 | 419 | ||||||
Beacon Roofing Supply, Inc. * | 22 | 1,158 | ||||||
Boise Cascade Co. (a) | 7 | 385 | ||||||
CAI International, Inc. | 7 | 407 | ||||||
GMS, Inc. * | 29 | 1,384 | ||||||
Herc Holdings, Inc. * | 15 | 1,691 | ||||||
MRC Global, Inc. * (a) | 12 | 113 | ||||||
NOW, Inc. * | 66 | 624 | ||||||
Veritiv Corp. * | 6 | 397 | ||||||
WESCO International, Inc. * | 34 | 3,525 | ||||||
|
| |||||||
10,103 | ||||||||
|
| |||||||
Total Common Stocks |
| 357,008 | ||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (c) |
| |||||||
Biotechnology — 0.0% (c) |
| |||||||
Contra Aduro Biotech I * ‡ | 43 | — | (b) | |||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 12.5% |
| |||||||
Investment Companies — 0.9% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (d) (e) | 3,127 | 3,128 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 11.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (d) (e) | 37,096 | 37,097 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (d ) (e) | 5,704 | 5,704 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 42,801 | |||||||
|
| |||||||
Total Short-Term Investments | 45,929 | |||||||
|
| |||||||
Total Investments — 110.0% | 402,937 | |||||||
Liabilities in Excess of | (36,751 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 366,186 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
REIT | Real Estate Investment Trust | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $41,694. | |
(b) | Amount rounds to less than one thousand. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
Russell 2000 E-Mini Index | 80 | 09/2021 | USD | 9,224 | 1 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 37 |
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.3% |
| |||||||
Aerospace & Defense — 0.5% |
| |||||||
AAR Corp. * | 39 | 1,527 | ||||||
Astronics Corp. * | 195 | 3,416 | ||||||
Moog, Inc., Class A | 31 | 2,572 | ||||||
|
| |||||||
7,515 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.3% | ||||||||
Echo Global Logistics, Inc. * (a) | 319 | 9,815 | ||||||
Hub Group, Inc., Class A * | 152 | 10,029 | ||||||
|
| |||||||
19,844 | ||||||||
|
| |||||||
Airlines — 0.4% | ||||||||
Hawaiian Holdings, Inc. * (a) | 46 | 1,131 | ||||||
SkyWest, Inc. * | 114 | 4,888 | ||||||
|
| |||||||
6,019 | ||||||||
|
| |||||||
Auto Components — 0.8% | ||||||||
Adient plc * | 114 | 5,171 | ||||||
American Axle & Manufacturing Holdings, Inc. * | 45 | 462 | ||||||
Dana, Inc. | 115 | 2,725 | ||||||
Goodyear Tire & Rubber Co. (The) * | 182 | 3,117 | ||||||
|
| |||||||
11,475 | ||||||||
|
| |||||||
Banks — 13.7% | ||||||||
1st Source Corp. | 55 | 2,546 | ||||||
American National Bankshares, Inc. | 12 | 376 | ||||||
Associated Banc-Corp. | 358 | 7,336 | ||||||
Atlantic Capital Bancshares, Inc. * | 39 | 990 | ||||||
Atlantic Union Bankshares Corp. | 4 | 159 | ||||||
BancorpSouth Bank | 40 | 1,122 | ||||||
Banner Corp. | 21 | 1,155 | ||||||
Brookline Bancorp, Inc. | 160 | 2,396 | ||||||
Bryn Mawr Bank Corp. | 16 | 662 | ||||||
Byline Bancorp, Inc. (a) | 100 | 2,256 | ||||||
Cadence BanCorp (a) | 185 | 3,859 | ||||||
Cathay General Bancorp | 296 | 11,647 | ||||||
Central Pacific Financial Corp. | 228 | 5,929 | ||||||
CIT Group, Inc. | 301 | 15,550 | ||||||
City Holding Co. | 33 | 2,460 | ||||||
Columbia Banking System, Inc. | 115 | 4,419 | ||||||
Community Bank System, Inc. (a) | 64 | 4,849 | ||||||
Community Trust Bancorp, Inc. | 62 | 2,502 | ||||||
Customers Bancorp, Inc. * (a) | 57 | 2,226 | ||||||
Eastern Bankshares, Inc. | 260 | 5,348 | ||||||
Enterprise Financial Services Corp. | 108 | 4,987 | ||||||
Equity Bancshares, Inc., Class A * | 50 | 1,509 | ||||||
Farmers National Banc Corp. | 56 | 869 | ||||||
Financial Institutions, Inc. | 35 | 1,059 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued | ||||||||
First Bancorp | 16 | 634 | ||||||
First Commonwealth Financial Corp. | 489 | 6,886 | ||||||
First Community Bankshares, Inc. | 31 | 913 | ||||||
First Financial Corp. (a) | 11 | 429 | ||||||
First Hawaiian, Inc. | 48 | 1,366 | ||||||
First Interstate BancSystem, Inc., Class A | 34 | 1,429 | ||||||
First Merchants Corp. | 98 | 4,071 | ||||||
First Midwest Bancorp, Inc. | 290 | 5,745 | ||||||
Flushing Financial Corp. | 74 | 1,594 | ||||||
Fulton Financial Corp. | 190 | 3,003 | ||||||
Glacier Bancorp, Inc. (a) | 30 | 1,658 | ||||||
Great Southern Bancorp, Inc. | 19 | 997 | ||||||
Great Western Bancorp, Inc. (a) | 232 | 7,617 | ||||||
Hancock Whitney Corp. | 35 | 1,560 | ||||||
Hilltop Holdings, Inc. | 240 | 8,729 | ||||||
Home BancShares, Inc. | 195 | 4,820 | ||||||
HomeTrust Bancshares, Inc. | 81 | 2,257 | ||||||
Hope Bancorp, Inc. | 789 | 11,191 | ||||||
Independent Bank Corp. | 28 | 606 | ||||||
Investors Bancorp, Inc. | 494 | 7,046 | ||||||
Mercantile Bank Corp. | 10 | 290 | ||||||
OFG Bancorp (Puerto Rico) (a) | 53 | 1,168 | ||||||
Old National Bancorp | 248 | 4,373 | ||||||
Pacific Premier Bancorp, Inc. | 51 | 2,174 | ||||||
Pinnacle Financial Partners, Inc. | 25 | 2,216 | ||||||
Preferred Bank | 9 | 563 | ||||||
RBB Bancorp | 20 | 472 | ||||||
Renasant Corp. (a) | 7 | 296 | ||||||
S&T Bancorp, Inc. | 12 | 363 | ||||||
Sandy Spring Bancorp, Inc. | 80 | 3,513 | ||||||
Simmons First National Corp., Class A | 191 | 5,601 | ||||||
Tompkins Financial Corp. (a) | 11 | 884 | ||||||
TriState Capital Holdings, Inc. * | 13 | 265 | ||||||
Trustmark Corp. | 263 | 8,085 | ||||||
UMB Financial Corp. | 113 | 10,534 | ||||||
Valley National Bancorp | 23 | 314 | ||||||
Washington Trust Bancorp, Inc. | 19 | 986 | ||||||
Webster Financial Corp. | 57 | 3,019 | ||||||
West BanCorp, Inc. | 7 | 185 | ||||||
Westamerica BanCorp | 84 | 4,851 | ||||||
|
| |||||||
208,914 | ||||||||
|
| |||||||
Biotechnology — 5.9% | ||||||||
89bio, Inc. * (a) | 68 | 1,275 | ||||||
Akebia Therapeutics, Inc. * (a) | 1,251 | 4,741 |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Biotechnology — continued | ||||||||
Allovir, Inc. * (a) | 151 | 2,989 | ||||||
Arcus Biosciences, Inc. * (a) | 138 | 3,783 | ||||||
Arena Pharmaceuticals, Inc. * (a) | 240 | 16,381 | ||||||
Bluebird Bio, Inc. * | 205 | 6,549 | ||||||
Eagle Pharmaceuticals, Inc. * (a) | 87 | 3,719 | ||||||
Enanta Pharmaceuticals, Inc. * (a) | 15 | 638 | ||||||
Epizyme, Inc. * (a) | 98 | 814 | ||||||
Fate Therapeutics, Inc. * | 72 | 6,258 | ||||||
Frequency Therapeutics, Inc. * (a) | 328 | 3,262 | ||||||
Iovance Biotherapeutics, Inc. * | 99 | 2,584 | ||||||
Lexicon Pharmaceuticals, Inc. * (a) | 652 | 2,995 | ||||||
Myriad Genetics, Inc. * | 188 | 5,752 | ||||||
NexImmune, Inc. * | 151 | 2,461 | ||||||
Protagonist Therapeutics, Inc. * | 237 | 10,645 | ||||||
REGENXBIO, Inc. * | 87 | 3,376 | ||||||
Travere Therapeutics, Inc. * (a) | 289 | 4,214 | ||||||
Turning Point Therapeutics, Inc. * (a) | 77 | 6,008 | ||||||
|
| |||||||
88,444 | ||||||||
|
| |||||||
Building Products — 0.4% | ||||||||
Cornerstone Building Brands, Inc. * | 71 | 1,289 | ||||||
Gibraltar Industries, Inc. * | 16 | 1,236 | ||||||
Quanex Building Products Corp. (a) | 69 | 1,707 | ||||||
UFP Industries, Inc. | 18 | 1,360 | ||||||
|
| |||||||
5,592 | ||||||||
|
| |||||||
Capital Markets — 1.4% | ||||||||
Artisan Partners Asset Management, Inc., Class A | 16 | 808 | ||||||
Blucora, Inc. * | 68 | 1,184 | ||||||
Cowen, Inc., Class A (a) | 102 | 4,195 | ||||||
Donnelley Financial Solutions, Inc. * | 49 | 1,624 | ||||||
Federated Hermes, Inc. | 79 | 2,689 | ||||||
Piper Sandler Cos. | 19 | 2,488 | ||||||
Stifel Financial Corp. (a) | 74 | 4,786 | ||||||
Virtus Investment Partners, Inc. | 13 | 3,528 | ||||||
|
| |||||||
21,302 | ||||||||
|
| |||||||
Chemicals — 1.7% | ||||||||
AdvanSix, Inc. * | 15 | 445 | ||||||
Avient Corp. | 101 | 4,970 | ||||||
FutureFuel Corp. | 112 | 1,078 | ||||||
HB Fuller Co. | 18 | 1,120 | ||||||
Koppers Holdings, Inc. * (a) | 62 | 2,009 | ||||||
Kraton Corp. * | 8 | 252 | ||||||
Minerals Technologies, Inc. (a) | 52 | 4,067 | ||||||
Orion Engineered Carbons SA (Germany) * | 62 | 1,179 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued | ||||||||
PQ Group Holdings, Inc. | 59 | 903 | ||||||
Trinseo SA | 53 | 3,154 | ||||||
Tronox Holdings plc, Class A | 293 | 6,554 | ||||||
|
| |||||||
25,731 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.3% | ||||||||
ABM Industries, Inc. | 167 | 7,397 | ||||||
ACCO Brands Corp. | 572 | 4,936 | ||||||
Cimpress plc (Ireland) * (a) | 5 | 575 | ||||||
Deluxe Corp. | 43 | 2,030 | ||||||
Ennis, Inc. | 36 | 768 | ||||||
Healthcare Services Group, Inc. (a) | 84 | 2,646 | ||||||
Heritage-Crystal Clean, Inc. * | 38 | 1,131 | ||||||
Herman Miller, Inc. | 148 | 6,991 | ||||||
HNI Corp. | 33 | 1,464 | ||||||
SP Plus Corp. * | 52 | 1,603 | ||||||
Steelcase, Inc., Class A | 294 | 4,438 | ||||||
Team, Inc. * | 75 | 505 | ||||||
|
| |||||||
34,484 | ||||||||
|
| |||||||
Communications Equipment — 1.1% | ||||||||
ADTRAN, Inc. | 48 | 985 | ||||||
Comtech Telecommunications Corp. (a) | 18 | 432 | ||||||
EchoStar Corp., Class A * | 172 | 4,166 | ||||||
Harmonic, Inc. * (a) | 421 | 3,589 | ||||||
NetScout Systems, Inc. * (a) | 243 | 6,927 | ||||||
|
| |||||||
16,099 | ||||||||
|
| |||||||
Construction & Engineering — 3.2% | ||||||||
Arcosa, Inc. (a) | 89 | 5,222 | ||||||
Argan, Inc. (a) | 107 | 5,123 | ||||||
Comfort Systems USA, Inc. | 44 | 3,490 | ||||||
EMCOR Group, Inc. | 126 | 15,535 | ||||||
MasTec, Inc. * | 78 | 8,265 | ||||||
Matrix Service Co. * (a) | 358 | 3,755 | ||||||
MYR Group, Inc. * | 24 | 2,182 | ||||||
Primoris Services Corp. | 89 | 2,619 | ||||||
Tutor Perini Corp. * | 161 | 2,234 | ||||||
|
| |||||||
48,425 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
Summit Materials, Inc., Class A * (a) | 29 | 1,000 | ||||||
|
| |||||||
Consumer Finance — 1.4% | ||||||||
EZCORP, Inc., Class A * | 135 | 812 | ||||||
FirstCash, Inc. (a) | 28 | 2,133 | ||||||
Navient Corp. | 309 | 5,965 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 39 |
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Consumer Finance — continued |
| |||||||
Nelnet, Inc., Class A (a) | 46 | 3,461 | ||||||
PROG Holdings, Inc. | 181 | 8,730 | ||||||
Regional Management Corp. (a) | 17 | 782 | ||||||
|
| |||||||
21,883 | ||||||||
|
| |||||||
Containers & Packaging — 0.1% | ||||||||
Greif, Inc., Class A | 11 | 649 | ||||||
Myers Industries, Inc. | 18 | 384 | ||||||
Pactiv Evergreen, Inc. (a) | 36 | 536 | ||||||
|
| |||||||
1,569 | ||||||||
|
| |||||||
Distributors — 0.3% | ||||||||
Core-Mark Holding Co., Inc. (a) | 110 | 4,951 | ||||||
|
| |||||||
Diversified Consumer Services — 0.1% | ||||||||
Houghton Mifflin Harcourt Co. * | 155 | 1,710 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.3% | ||||||||
Consolidated Communications Holdings, Inc. * (a) | 130 | 1,144 | ||||||
Liberty Latin America Ltd., Class A (Chile) * | 98 | 1,358 | ||||||
Liberty Latin America Ltd., Class C (Chile) * | 190 | 2,674 | ||||||
|
| |||||||
5,176 | ||||||||
|
| |||||||
Electric Utilities — 0.6% | ||||||||
ALLETE, Inc. | 16 | 1,113 | ||||||
IDACORP, Inc. | 8 | 770 | ||||||
Otter Tail Corp. | 19 | 918 | ||||||
Portland General Electric Co. | 131 | 6,050 | ||||||
Spark Energy, Inc., Class A (a) | 48 | 540 | ||||||
|
| |||||||
9,391 | ||||||||
|
| |||||||
Electrical Equipment — 0.4% | ||||||||
AZZ, Inc. | 34 | 1,750 | ||||||
Bloom Energy Corp., Class A * (a) | 18 | 486 | ||||||
Powell Industries, Inc. | 100 | 3,105 | ||||||
Thermon Group Holdings, Inc. * | 27 | 458 | ||||||
|
| |||||||
5,799 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.3% |
| |||||||
Benchmark Electronics, Inc. | 225 | 6,395 | ||||||
Knowles Corp. * | 376 | 7,426 | ||||||
OSI Systems, Inc. * | 46 | 4,686 | ||||||
Sanmina Corp. * (a) | 110 | 4,270 | ||||||
ScanSource, Inc. * | 167 | 4,706 | ||||||
TTM Technologies, Inc. * | 183 | 2,618 | ||||||
Vishay Intertechnology, Inc. | 230 | 5,184 | ||||||
|
| |||||||
35,285 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Energy Equipment & Services — 1.3% | ||||||||
Bristow Group, Inc. * | 14 | 363 | ||||||
ChampionX Corp. * | 104 | 2,678 | ||||||
Helmerich & Payne, Inc. | 80 | 2,620 | ||||||
NexTier Oilfield Solutions, Inc. * (a) | 454 | 2,160 | ||||||
Oceaneering International, Inc. * | 175 | 2,731 | ||||||
Oil States International, Inc. * (a) | 162 | 1,275 | ||||||
Patterson-UTI Energy, Inc. (a) | 328 | 3,254 | ||||||
ProPetro Holding Corp. * | 251 | 2,302 | ||||||
Select Energy Services, Inc., Class A * | 200 | 1,206 | ||||||
Solaris Oilfield Infrastructure, Inc., Class A | 76 | 743 | ||||||
|
| |||||||
19,332 | ||||||||
|
| |||||||
Entertainment — 1.2% | ||||||||
AMC Entertainment Holdings, Inc., Class A * (a) | 270 | 15,281 | ||||||
Lions Gate Entertainment Corp., Class A * (a) | 116 | 2,405 | ||||||
|
| |||||||
17,686 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.3% |
| |||||||
Acadia Realty Trust | 47 | 1,021 | ||||||
Agree Realty Corp. (a) | 116 | 8,205 | ||||||
Alexander & Baldwin, Inc. | 167 | 3,064 | ||||||
American Assets Trust, Inc. | 65 | 2,420 | ||||||
American Finance Trust, Inc. | 91 | 774 | ||||||
Broadstone Net Lease, Inc. (a) | 125 | 2,933 | ||||||
CareTrust REIT, Inc. | 110 | 2,565 | ||||||
CatchMark Timber Trust, Inc., Class A | 38 | 446 | ||||||
Centerspace | 23 | 1,791 | ||||||
Chatham Lodging Trust * | 43 | 548 | ||||||
City Office REIT, Inc. | 160 | 1,994 | ||||||
Columbia Property Trust, Inc. | 28 | 483 | ||||||
CorePoint Lodging, Inc. * | 28 | 303 | ||||||
Corporate Office Properties Trust | 194 | 5,424 | ||||||
DiamondRock Hospitality Co. * | 449 | 4,358 | ||||||
DigitalBridge Group, Inc. * (a) | 326 | 2,579 | ||||||
Easterly Government Properties, Inc. | 84 | 1,771 | ||||||
Essential Properties Realty Trust, Inc. | 64 | 1,731 | ||||||
First Industrial Realty Trust, Inc. | 44 | 2,319 | ||||||
Four Corners Property Trust, Inc. | 102 | 2,813 | ||||||
Getty Realty Corp. | 149 | 4,652 | ||||||
Gladstone Commercial Corp. | 159 | 3,580 | ||||||
Global Medical REIT, Inc. | 27 | 396 | ||||||
Global Net Lease, Inc. | 84 | 1,556 | ||||||
Healthcare Realty Trust, Inc. | 113 | 3,419 | ||||||
Highwoods Properties, Inc. | 15 | 682 | ||||||
Independence Realty Trust, Inc. | 142 | 2,594 | ||||||
Industrial Logistics Properties Trust | 36 | 928 |
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Innovative Industrial Properties, Inc. (a) | 7 | 1,375 | ||||||
Kite Realty Group Trust | 112 | 2,463 | ||||||
Lexington Realty Trust (a) | 576 | 6,887 | ||||||
New Senior Investment Group, Inc. | 387 | 3,401 | ||||||
NexPoint Residential Trust, Inc. | 6 | 316 | ||||||
Physicians Realty Trust | 248 | 4,575 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 236 | 4,353 | ||||||
Plymouth Industrial REIT, Inc. | 31 | 629 | ||||||
PotlatchDeltic Corp. | 73 | 3,853 | ||||||
QTS Realty Trust, Inc., Class A (a) | 25 | 1,909 | ||||||
Retail Opportunity Investments Corp. | 103 | 1,823 | ||||||
Retail Properties of America, Inc., Class A | 186 | 2,126 | ||||||
RLJ Lodging Trust | 68 | 1,039 | ||||||
Ryman Hospitality Properties, Inc. * | 6 | 490 | ||||||
Sabra Health Care REIT, Inc. | 372 | 6,778 | ||||||
Service Properties Trust | 102 | 1,283 | ||||||
SITE Centers Corp. | 179 | 2,691 | ||||||
STAG Industrial, Inc. | 236 | 8,815 | ||||||
Summit Hotel Properties, Inc. * | 36 | 339 | ||||||
Sunstone Hotel Investors, Inc. * | 619 | 7,693 | ||||||
Terreno Realty Corp. | 68 | 4,355 | ||||||
UMH Properties, Inc. | 106 | 2,317 | ||||||
Urban Edge Properties (a) | 91 | 1,740 | ||||||
Urstadt Biddle Properties, Inc., Class A | 40 | 766 | ||||||
Xenia Hotels & Resorts, Inc. * | 198 | 3,701 | ||||||
|
| |||||||
141,066 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% | ||||||||
Andersons, Inc. (The) | 16 | 488 | ||||||
Rite Aid Corp. * (a) | 119 | 1,947 | ||||||
SpartanNash Co. (a) | 26 | 492 | ||||||
Sprouts Farmers Market, Inc. * | 215 | 5,340 | ||||||
United Natural Foods, Inc. * | 36 | 1,313 | ||||||
|
| |||||||
9,580 | ||||||||
|
| |||||||
Food Products — 1.1% | ||||||||
Darling Ingredients, Inc. * | 205 | 13,803 | ||||||
Fresh Del Monte Produce, Inc. (a) | 36 | 1,197 | ||||||
Seneca Foods Corp., Class A * | 17 | 879 | ||||||
|
| |||||||
15,879 | ||||||||
|
| |||||||
Gas Utilities — 1.2% | ||||||||
Brookfield Infrastructure Corp., Class A (Canada) | 13 | 995 | ||||||
Chesapeake Utilities Corp. | 4 | 457 | ||||||
New Jersey Resources Corp. | 137 | 5,401 | ||||||
Northwest Natural Holding Co. (a) | 16 | 830 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Gas Utilities — continued | ||||||||
ONE Gas, Inc. | 51 | 3,743 | ||||||
Southwest Gas Holdings, Inc. | 76 | 5,044 | ||||||
Spire, Inc. | 26 | 1,865 | ||||||
|
| |||||||
18,335 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.3% | ||||||||
AngioDynamics, Inc. * | 90 | 2,436 | ||||||
Bioventus, Inc., Class A * | 148 | 2,600 | ||||||
Integer Holdings Corp. * | 73 | 6,830 | ||||||
Natus Medical, Inc. * | 197 | 5,108 | ||||||
Utah Medical Products, Inc. (a) | 18 | 1,488 | ||||||
Varex Imaging Corp. * (a) | 57 | 1,531 | ||||||
|
| |||||||
19,993 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.2% | ||||||||
Cross Country Healthcare, Inc. * | 192 | 3,170 | ||||||
National HealthCare Corp. (a) | 13 | 874 | ||||||
Option Care Health, Inc. * | 128 | 2,799 | ||||||
Owens & Minor, Inc. | 33 | 1,388 | ||||||
Tenet Healthcare Corp. * (a) | 134 | 8,957 | ||||||
Tivity Health, Inc. * (a) | 20 | 521 | ||||||
|
| |||||||
17,709 | ||||||||
|
| |||||||
Health Care Technology — 1.4% | ||||||||
Allscripts Healthcare Solutions, Inc. * (a) | 979 | 18,112 | ||||||
Computer Programs and Systems, Inc. (a) | 16 | 518 | ||||||
Evolent Health, Inc., Class A * | 120 | 2,524 | ||||||
|
| |||||||
21,154 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 0.4% | ||||||||
Del Taco Restaurants, Inc. | 201 | 2,007 | ||||||
Fiesta Restaurant Group, Inc. * | 49 | 663 | ||||||
Marriott Vacations Worldwide Corp. * | 22 | 3,569 | ||||||
|
| |||||||
6,239 | ||||||||
|
| |||||||
Household Durables — 1.7% | ||||||||
Hooker Furniture Corp. | 41 | 1,413 | ||||||
Lifetime Brands, Inc. (a) | 41 | 618 | ||||||
Meritage Homes Corp. * | 32 | 2,973 | ||||||
Taylor Morrison Home Corp. * | 167 | 4,407 | ||||||
Tri Pointe Homes, Inc. * | 779 | 16,684 | ||||||
|
| |||||||
26,095 | ||||||||
|
| |||||||
Household Products — 0.4% | ||||||||
Central Garden & Pet Co., Class A * | 92 | 4,434 | ||||||
Spectrum Brands Holdings, Inc. | 13 | 1,114 | ||||||
|
| |||||||
5,548 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 41 |
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Independent Power and Renewable Electricity Producers — 0.6% |
| |||||||
Brookfield Renewable Corp. | 52 | 2,164 | ||||||
Clearway Energy, Inc. | 131 | 3,299 | ||||||
Clearway Energy, Inc., Class C | 130 | 3,448 | ||||||
|
| |||||||
8,911 | ||||||||
|
| |||||||
Insurance — 1.3% | ||||||||
Ambac Financial Group, Inc. * | 44 | 683 | ||||||
American Equity Investment Life Holding Co. | 106 | 3,432 | ||||||
Argo Group International Holdings Ltd. | 59 | 3,033 | ||||||
CNO Financial Group, Inc. | 260 | 6,141 | ||||||
Heritage Insurance Holdings, Inc. | 75 | 640 | ||||||
Horace Mann Educators Corp. | 24 | 902 | ||||||
ProAssurance Corp. (a) | 51 | 1,153 | ||||||
Selective Insurance Group, Inc. | 18 | 1,469 | ||||||
Stewart Information Services Corp. | 44 | 2,506 | ||||||
United Insurance Holdings Corp. | 58 | 329 | ||||||
|
| |||||||
20,288 | ||||||||
|
| |||||||
Interactive Media & Services — 0.7% | ||||||||
Cars.com, Inc. * | 235 | 3,372 | ||||||
QuinStreet, Inc. * | 145 | 2,698 | ||||||
Yelp, Inc. * | 96 | 3,848 | ||||||
|
| |||||||
9,918 | ||||||||
|
| |||||||
IT Services — 1.4% | ||||||||
Contra Bmtechnologies * | 11 | 132 | ||||||
CSG Systems International, Inc. | 109 | 5,152 | ||||||
IBEX Holdings Ltd. * | 119 | 2,327 | ||||||
LiveRamp Holdings, Inc. * | 161 | 7,543 | ||||||
Marathon Digital Holdings, Inc. * (a) | 8 | 251 | ||||||
Sykes Enterprises, Inc. * | 95 | 5,112 | ||||||
|
| |||||||
20,517 | ||||||||
|
| |||||||
Machinery — 2.2% | ||||||||
AGCO Corp. | 48 | 6,310 | ||||||
Altra Industrial Motion Corp. | 128 | 8,328 | ||||||
Barnes Group, Inc. | 30 | 1,517 | ||||||
Douglas Dynamics, Inc. | 21 | 859 | ||||||
EnPro Industries, Inc. (a) | 24 | 2,312 | ||||||
Manitowoc Co., Inc. (The) * (a) | 74 | 1,811 | ||||||
Meritor, Inc. * | 60 | 1,401 | ||||||
Navistar International Corp. * | 12 | 547 | ||||||
Terex Corp. | 102 | 4,833 | ||||||
TriMas Corp. * | 18 | 534 | ||||||
Wabash National Corp. | 281 | 4,498 | ||||||
|
| |||||||
32,950 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Marine — 0.1% | ||||||||
Costamare, Inc. (Monaco) (a) | 114 | 1,343 | ||||||
|
| |||||||
Media — 2.1% | ||||||||
AMC Networks, Inc., Class A * (a) | 185 | 12,365 | ||||||
Gray Television, Inc. | 334 | 7,806 | ||||||
Hemisphere Media Group, Inc. * (a) | 127 | 1,500 | ||||||
John Wiley & Sons, Inc., Class A (a) | 97 | 5,837 | ||||||
Sinclair Broadcast Group, Inc., Class A (a) | 134 | 4,442 | ||||||
|
| |||||||
31,950 | ||||||||
|
| |||||||
Metals & Mining — 2.2% | ||||||||
Alcoa Corp. * | 74 | 2,741 | ||||||
Allegheny Technologies, Inc. * (a) | 132 | 2,752 | ||||||
Arconic Corp. * | 167 | 5,945 | ||||||
Cleveland-Cliffs, Inc. * (a) | 185 | 3,989 | ||||||
Commercial Metals Co. (a) | 111 | 3,404 | ||||||
Hecla Mining Co. | 99 | 738 | ||||||
Kaiser Aluminum Corp. | 30 | 3,717 | ||||||
Materion Corp. | 21 | 1,597 | ||||||
SunCoke Energy, Inc. | 447 | 3,191 | ||||||
United States Steel Corp. (a) | 38 | 914 | ||||||
Warrior Met Coal, Inc. | 163 | 2,807 | ||||||
Worthington Industries, Inc. | 15 | 912 | ||||||
|
| |||||||
32,707 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
Apollo Commercial Real Estate Finance, Inc. | 82 | 1,314 | ||||||
Ares Commercial Real Estate Corp. | 109 | 1,598 | ||||||
Blackstone Mortgage Trust, Inc., Class A (a) | 126 | 4,012 | ||||||
Ellington Financial, Inc. | 158 | 3,016 | ||||||
Granite Point Mortgage Trust, Inc. | 48 | 701 | ||||||
Great Ajax Corp. | 17 | 222 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a) | 81 | 4,559 | ||||||
KKR Real Estate Finance Trust, Inc. (a) | 135 | 2,918 | ||||||
Ladder Capital Corp. | 270 | 3,120 | ||||||
MFA Financial, Inc. (a) | 250 | 1,148 | ||||||
New York Mortgage Trust, Inc. | 166 | 743 | ||||||
PennyMac Mortgage Investment Trust | 222 | 4,677 | ||||||
Ready Capital Corp. | 59 | 935 | ||||||
Redwood Trust, Inc. | 479 | 5,781 | ||||||
TPG RE Finance Trust, Inc. | 173 | 2,327 | ||||||
Two Harbors Investment Corp. (a) | 101 | 764 | ||||||
|
| |||||||
37,835 | ||||||||
|
| |||||||
Multiline Retail — 0.8% | ||||||||
Dillard’s, Inc., Class A (a) | 23 | 4,233 |
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Multiline Retail — continued | ||||||||
Macy’s, Inc. * | 404 | 7,658 | ||||||
|
| |||||||
11,891 | ||||||||
|
| |||||||
Multi-Utilities — 0.8% | ||||||||
Avista Corp. | 113 | 4,805 | ||||||
Black Hills Corp. (a) | 82 | 5,349 | ||||||
Unitil Corp. (a) | 32 | 1,684 | ||||||
|
| |||||||
11,838 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.3% | ||||||||
Antero Resources Corp. * | 458 | 6,879 | ||||||
Arch Resources, Inc. * (a) | 46 | 2,644 | ||||||
Berry Corp. | 346 | 2,322 | ||||||
CNX Resources Corp. * | 118 | 1,609 | ||||||
CVR Energy, Inc. (a) | 152 | 2,732 | ||||||
Delek US Holdings, Inc. | 130 | 2,817 | ||||||
Dorian LPG Ltd. * | 117 | 1,656 | ||||||
Falcon Minerals Corp. | 257 | 1,303 | ||||||
Green Plains, Inc. * | 149 | 5,016 | ||||||
International Seaways, Inc. (a) | 41 | 777 | ||||||
Kosmos Energy Ltd. (Ghana) * | 172 | 595 | ||||||
Magnolia Oil & Gas Corp., Class A * (a) | 258 | 4,025 | ||||||
Ovintiv, Inc. | 407 | 12,802 | ||||||
PDC Energy, Inc. | 142 | 6,516 | ||||||
Range Resources Corp. * | 371 | 6,225 | ||||||
Renewable Energy Group, Inc. * (a) | 46 | 2,893 | ||||||
REX American Resources Corp. * | 21 | 1,930 | ||||||
Talos Energy, Inc. * | 47 | 734 | ||||||
W&T Offshore, Inc. * (a) | 205 | 996 | ||||||
|
| |||||||
64,471 | ||||||||
|
| |||||||
Paper & Forest Products — 1.0% | ||||||||
Domtar Corp. * | 73 | 4,024 | ||||||
Glatfelter Corp. | 166 | 2,323 | ||||||
Louisiana-Pacific Corp. | 20 | 1,212 | ||||||
Neenah, Inc. | 25 | 1,264 | ||||||
Schweitzer-Mauduit International, Inc. | 87 | 3,525 | ||||||
Verso Corp., Class A | 133 | 2,347 | ||||||
|
| |||||||
14,695 | ||||||||
|
| |||||||
Personal Products — 1.2% | ||||||||
BellRing Brands, Inc., Class A * (a) | 461 | 14,451 | ||||||
Edgewell Personal Care Co. (a) | 44 | 1,949 | ||||||
Honest Co., Inc. (The) * (a) | 95 | 1,536 | ||||||
|
| |||||||
17,936 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — 0.8% | ||||||||
Endo International plc * (a) | 680 | 3,184 | ||||||
Intra-Cellular Therapies, Inc. * (a) | 55 | 2,249 | ||||||
Lannett Co., Inc. * (a) | 615 | 2,873 | ||||||
NGM Biopharmaceuticals, Inc. * | 200 | 3,946 | ||||||
|
| |||||||
12,252 | ||||||||
|
| |||||||
Professional Services — 3.3% | ||||||||
Barrett Business Services, Inc. | 72 | 5,222 | ||||||
GP Strategies Corp. * | 62 | 973 | ||||||
Heidrick & Struggles International, Inc. | 70 | 3,136 | ||||||
Huron Consulting Group, Inc. * | 64 | 3,121 | ||||||
Insperity, Inc. | 5 | 488 | ||||||
KBR, Inc. (a) | 61 | 2,339 | ||||||
Kelly Services, Inc., Class A * | 222 | 5,314 | ||||||
Korn Ferry | 94 | 6,812 | ||||||
ManTech International Corp., Class A | 157 | 13,596 | ||||||
TrueBlue, Inc. * | 304 | 8,532 | ||||||
|
| |||||||
49,533 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
Kennedy-Wilson Holdings, Inc. | 216 | 4,292 | ||||||
Realogy Holdings Corp. * | 205 | 3,735 | ||||||
|
| |||||||
8,027 | ||||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
ArcBest Corp. | 141 | 8,216 | ||||||
Covenant Logistics Group, Inc., Class A * | 22 | 449 | ||||||
Werner Enterprises, Inc. (a) | 23 | 1,024 | ||||||
|
| |||||||
9,689 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.0% |
| |||||||
Cohu, Inc. * | 90 | 3,322 | ||||||
SMART Global Holdings, Inc. * (a) | 232 | 11,038 | ||||||
SunPower Corp. * (a) | 23 | 675 | ||||||
Veeco Instruments, Inc. * (a) | 21 | 512 | ||||||
|
| |||||||
15,547 | ||||||||
|
| |||||||
Software — 1.0% | ||||||||
A10 Networks, Inc. * (a) | 269 | 3,031 | ||||||
eGain Corp. * | 231 | 2,646 | ||||||
Ping Identity Holding Corp. * (a) | 190 | 4,344 | ||||||
SecureWorks Corp., Class A * | 43 | 793 | ||||||
Vonage Holdings Corp. * (a) | 255 | 3,679 | ||||||
|
| |||||||
14,493 | ||||||||
|
| |||||||
Specialty Retail — 1.7% | ||||||||
Abercrombie & Fitch Co., Class A * | 28 | 1,277 | ||||||
Bed Bath & Beyond, Inc. * | 107 | 3,549 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 43 |
Table of Contents
JPMorgan Small Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Specialty Retail — continued | ||||||||
Caleres, Inc. | 157 | 4,279 | ||||||
Children’s Place, Inc. (The) * (a) | 14 | 1,303 | ||||||
Genesco, Inc. * | 22 | 1,426 | ||||||
Signet Jewelers Ltd. * (a) | 56 | 4,532 | ||||||
Sleep Number Corp. * | 25 | 2,771 | ||||||
Sonic Automotive, Inc., Class A (a) | 66 | 2,971 | ||||||
Zumiez, Inc. * | 70 | 3,424 | ||||||
|
| |||||||
25,532 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.1% |
| |||||||
Diebold Nixdorf, Inc. * (a) | 141 | 1,808 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% | ||||||||
G-III Apparel Group Ltd. * | 172 | 5,635 | ||||||
Kontoor Brands, Inc. | 73 | 4,118 | ||||||
Wolverine World Wide, Inc. | 87 | 2,917 | ||||||
|
| |||||||
12,670 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 3.4% | ||||||||
Axos Financial, Inc. * | 82 | 3,799 | ||||||
Essent Group Ltd. | 185 | 8,312 | ||||||
HomeStreet, Inc. | 71 | 2,909 | ||||||
Kearny Financial Corp. | 152 | 1,818 | ||||||
Luther Burbank Corp. | 77 | 913 | ||||||
Meridian Bancorp, Inc. | 157 | 3,216 | ||||||
MGIC Investment Corp. | 155 | 2,113 | ||||||
Mr. Cooper Group, Inc. * | 83 | 2,744 | ||||||
NMI Holdings, Inc., Class A * | 68 | 1,529 | ||||||
Northfield Bancorp, Inc. | 316 | 5,181 | ||||||
PennyMac Financial Services, Inc. | 54 | 3,327 | ||||||
Premier Financial Corp. | 43 | 1,213 | ||||||
Radian Group, Inc. | 319 | 7,102 | ||||||
Washington Federal, Inc. | 176 | 5,587 | ||||||
WSFS Financial Corp. | 43 | 1,995 | ||||||
|
| |||||||
51,758 | ||||||||
|
| |||||||
Trading Companies & Distributors — 1.6% |
| |||||||
Boise Cascade Co. | 40 | 2,311 | ||||||
GMS, Inc. * | 128 | 6,167 | ||||||
Herc Holdings, Inc. * (a) | 33 | 3,743 | ||||||
MRC Global, Inc. * | 286 | 2,688 | ||||||
NOW, Inc. * | 665 | 6,307 | ||||||
Veritiv Corp. * | 50 | 3,040 | ||||||
|
| |||||||
24,256 | ||||||||
|
| |||||||
Water Utilities — 0.6% | ||||||||
American States Water Co. | 107 | 8,489 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Wireless Telecommunication Services — 0.3% | ||||||||
Gogo, Inc. * (a) | 356 | 4,046 | ||||||
|
| |||||||
Total Common Stocks | 1,454,574 | |||||||
|
| |||||||
Short-Term Investments — 10.0% |
| |||||||
Investment Companies — 3.5% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 52,722 | 52,749 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 6.5% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 89,300 | 89,300 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 8,507 | 8,507 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 97,807 | |||||||
|
| |||||||
Total Short-Term Investments | 150,556 | |||||||
|
| |||||||
Total Investments — 106.3% | 1,605,130 | |||||||
Liabilities in Excess of | (94,692 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 1,510,438 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
REIT | Real Estate Investment Trust |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $95,160. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
Russell 2000 E-Mini Index | 463 | 09/2021 | USD | 53,384 | (547 | ) | ||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 45 |
Table of Contents
JPMorgan SMID Cap Equity Fund
(formerly known as JPMorgan Intrepid Mid Cap Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.8% |
| |||||||
Airlines — 0.6% |
| |||||||
Alaska Air Group, Inc. * | 43 | 2,581 | ||||||
|
| |||||||
Automobiles — 1.0% | ||||||||
Thor Industries, Inc. | 36 | 4,065 | ||||||
|
| |||||||
Banks —7.8% | ||||||||
Commerce Bancshares, Inc. | 41 | 3,043 | ||||||
Cullen/Frost Bankers, Inc. | 29 | 3,203 | ||||||
First Horizon Corp. | 331 | 5,722 | ||||||
ServisFirst Bancshares, Inc. | 64 | 4,357 | ||||||
Signature Bank | 23 | 5,643 | ||||||
SVB Financial Group * | 9 | 4,863 | ||||||
Western Alliance Bancorp | 64 | 5,912 | ||||||
|
| |||||||
32,743 | ||||||||
|
| |||||||
Building Products — 2.5% | ||||||||
Fortune Brands Home & Security, Inc. | 51 | 5,062 | ||||||
Lennox International, Inc. | 15 | 5,394 | ||||||
|
| |||||||
10,456 | ||||||||
|
| |||||||
Capital Markets — 7.9% | ||||||||
FactSet Research Systems, Inc. | 17 | 5,561 | ||||||
Focus Financial Partners, Inc., Class A * | 84 | 4,076 | ||||||
Lazard Ltd., Class A | 102 | 4,624 | ||||||
LPL Financial Holdings, Inc. | 47 | 6,328 | ||||||
Moelis & Co., Class A | 71 | 4,027 | ||||||
Morningstar, Inc. | 20 | 5,209 | ||||||
StepStone Group, Inc., Class A | 95 | 3,274 | ||||||
|
| |||||||
33,099 | ||||||||
|
| |||||||
Chemicals — 1.0% | ||||||||
Axalta Coating Systems Ltd. * | 139 | 4,248 | ||||||
|
| |||||||
Commercial Services & Supplies — 5.7% | ||||||||
Driven Brands Holdings, Inc. * | 112 | 3,459 | ||||||
IAA, Inc. * | 85 | 4,615 | ||||||
MSA Safety, Inc. | 29 | 4,734 | ||||||
Ritchie Bros Auctioneers, Inc. (Canada) | 1 | 76 | ||||||
Stericycle, Inc. * | 52 | 3,750 | ||||||
Waste Connections, Inc. | 62 | 7,360 | ||||||
|
| |||||||
23,994 | ||||||||
|
| |||||||
Construction & Engineering — 1.4% | ||||||||
WillScot Mobile Mini Holdings Corp. * | 210 | 5,857 | ||||||
|
| |||||||
Containers & Packaging — 3.1% | ||||||||
AptarGroup, Inc. | 45 | 6,360 | ||||||
Crown Holdings, Inc. | 41 | 4,202 | ||||||
Pactiv Evergreen, Inc. | 152 | 2,289 | ||||||
|
| |||||||
12,851 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Distributors — 3.3% | ||||||||
LKQ Corp. * | 129 | 6,340 | ||||||
Pool Corp. | 17 | 7,639 | ||||||
|
| |||||||
13,979 | ||||||||
|
| |||||||
Diversified Consumer Services — 1.2% | ||||||||
Bright Horizons Family Solutions, Inc. * | 35 | 5,152 | ||||||
|
| |||||||
Electrical Equipment — 1.7% | ||||||||
Generac Holdings, Inc. * | 17 | 6,931 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.1% |
| |||||||
Cognex Corp. | 53 | 4,438 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 6.4% |
| |||||||
American Campus Communities, Inc. | 64 | 2,991 | ||||||
CubeSmart | 101 | 4,673 | ||||||
EastGroup Properties, Inc. | 29 | 4,714 | ||||||
Mid-America Apartment Communities, Inc. | 30 | 5,051 | ||||||
National Retail Properties, Inc. | 99 | 4,650 | ||||||
Outfront Media, Inc. * | 195 | 4,679 | ||||||
|
| |||||||
26,758 | ||||||||
|
| |||||||
Food & Staples Retailing — 3.7% | ||||||||
BJ’s Wholesale Club Holdings, Inc. * | 119 | 5,649 | ||||||
Casey’s General Stores, Inc. | 20 | 3,948 | ||||||
Performance Food Group Co. * | 123 | 5,982 | ||||||
|
| |||||||
15,579 | ||||||||
|
| |||||||
Food Products — 1.2% | ||||||||
Lamb Weston Holdings, Inc. | 62 | 5,022 | ||||||
|
| |||||||
Gas Utilities — 1.1% | ||||||||
Atmos Energy Corp. | 47 | 4,556 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 4.2% | ||||||||
ICU Medical, Inc. * | 17 | 3,397 | ||||||
Ortho Clinical Diagnostics Holdings plc * | 141 | 3,020 | ||||||
STERIS plc | 25 | 5,133 | ||||||
West Pharmaceutical Services, Inc. | 16 | 5,887 | ||||||
|
| |||||||
17,437 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.1% | ||||||||
Chemed Corp. | 9 | 4,347 | ||||||
Encompass Health Corp. | 70 | 5,453 | ||||||
Molina Healthcare, Inc. * | 29 | 7,289 | ||||||
|
| |||||||
17,089 | ||||||||
|
| |||||||
Health Care Technology — 0.6% | ||||||||
Certara, Inc. * | 86 | 2,434 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.8% | ||||||||
Planet Fitness, Inc., Class A * | 50 | 3,751 |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Hotels, Restaurants & Leisure — continued | ||||||||
Vail Resorts, Inc. * | 13 | 4,150 | ||||||
Wendy’s Co. (The) | 157 | 3,676 | ||||||
|
| |||||||
11,577 | ||||||||
|
| |||||||
Household Products — 1.0% | ||||||||
Reynolds Consumer Products, Inc. | 133 | 4,023 | ||||||
|
| |||||||
Insurance — 2.4% | ||||||||
Kinsale Capital Group, Inc. | 32 | 5,331 | ||||||
RLI Corp. | 46 | 4,765 | ||||||
|
| |||||||
10,096 | ||||||||
|
| |||||||
IT Services — 4.8% |
| |||||||
Black Knight, Inc. * | 73 | 5,680 | ||||||
Broadridge Financial Solutions, Inc. | 35 | 5,680 | ||||||
Jack Henry & Associates, Inc. | 16 | 2,547 | ||||||
WEX, Inc. * | 32 | 6,141 | ||||||
|
| |||||||
20,048 | ||||||||
|
| |||||||
Leisure Products — 1.4% | ||||||||
Brunswick Corp. | 59 | 5,834 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.4% | ||||||||
Syneos Health, Inc. * | 63 | 5,672 | ||||||
|
| |||||||
Machinery — 9.3% | ||||||||
Douglas Dynamics, Inc. | 47 | 1,928 | ||||||
IDEX Corp. | 21 | 4,637 | ||||||
Lincoln Electric Holdings, Inc. | 50 | 6,520 | ||||||
Nordson Corp. | 22 | 4,913 | ||||||
RBC Bearings, Inc. * | 24 | 4,792 | ||||||
Snap-on, Inc. | 16 | 3,479 | ||||||
Toro Co. (The) | 78 | 8,554 | ||||||
Woodward, Inc. | 38 | 4,695 | ||||||
|
| |||||||
39,518 | ||||||||
|
| |||||||
Pharmaceuticals — 1.3% | ||||||||
Catalent, Inc. * | 52 | 5,616 | ||||||
|
| |||||||
Professional Services — 1.3% | ||||||||
TransUnion | 51 | 5,569 | ||||||
|
| |||||||
Real Estate Management & Development — 0.8% | ||||||||
Cushman & Wakefield plc * | 194 | 3,384 | ||||||
|
| |||||||
Road & Rail — 1.9% | ||||||||
Knight-Swift Transportation Holdings, Inc. | 94 | 4,284 | ||||||
Landstar System, Inc. | 23 | 3,610 | ||||||
|
| |||||||
7,894 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
CMC Materials, Inc. | 28 | 4,295 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
Monolithic Power Systems, Inc. | 11 | 4,256 | ||||||
|
| |||||||
8,551 | ||||||||
|
| |||||||
Software — 8.2% | ||||||||
Aspen Technology, Inc. * | 37 | 5,069 | ||||||
Envestnet, Inc. * | 47 | 3,534 | ||||||
Guidewire Software, Inc. * | 38 | 4,227 | ||||||
nCino, Inc. * | 35 | 2,081 | ||||||
PTC, Inc. * | 27 | 3,865 | ||||||
Q2 Holdings, Inc. * | 49 | 5,031 | ||||||
SS&C Technologies Holdings, Inc. | 82 | 5,883 | ||||||
Tyler Technologies, Inc. * | 12 | 5,320 | ||||||
|
| |||||||
35,010 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% | ||||||||
Carter’s, Inc. | 26 | 2,652 | ||||||
|
| |||||||
Total Common Stocks | 414,713 | |||||||
|
| |||||||
Short-Term Investments — 1.4% |
| |||||||
Investment Companies — 1.4% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 5,809 | 5,812 | ||||||
|
| |||||||
Total Investments — 100.2% | 420,525 | |||||||
Liabilities in Excess of | (749 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 419,776 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | �� | 47 |
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.1% | ||||||||
Aerospace & Defense — 0.5% | ||||||||
AAR Corp. * | 40 | 1,554 | ||||||
AeroVironment, Inc. * | 13 | 1,282 | ||||||
Astronics Corp. * | 131 | 2,288 | ||||||
Moog, Inc., Class A | 11 | 929 | ||||||
|
| |||||||
6,053 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.8% | ||||||||
Echo Global Logistics, Inc. * (a) | 246 | 7,558 | ||||||
Hub Group, Inc., Class A * | 24 | 1,590 | ||||||
|
| |||||||
9,148 | ||||||||
|
| |||||||
Airlines — 0.4% | ||||||||
Allegiant Travel Co. * | 12 | 2,289 | ||||||
SkyWest, Inc. * | 54 | 2,309 | ||||||
|
| |||||||
4,598 | ||||||||
|
| |||||||
Auto Components — 0.5% | ||||||||
Dana, Inc. | 174 | 4,134 | ||||||
Goodyear Tire & Rubber Co. (The) * | 16 | 276 | ||||||
Lear Corp. | 10 | 1,788 | ||||||
|
| |||||||
6,198 | ||||||||
|
| |||||||
Automobiles — 0.0% (b) | ||||||||
Winnebago Industries, Inc. | 3 | 204 | ||||||
|
| |||||||
Banks — 7.0% | ||||||||
1st Source Corp. | 19 | 869 | ||||||
Atlantic Union Bankshares Corp. | 15 | 549 | ||||||
BancorpSouth Bank | 77 | 2,188 | ||||||
Banner Corp. | 60 | 3,240 | ||||||
Brookline Bancorp, Inc. | 109 | 1,628 | ||||||
Cadence BanCorp | 251 | 5,237 | ||||||
Cathay General Bancorp | 102 | 4,010 | ||||||
Central Pacific Financial Corp. | 94 | 2,439 | ||||||
CIT Group, Inc. | 56 | 2,874 | ||||||
Columbia Banking System, Inc. | 98 | 3,778 | ||||||
CVB Financial Corp. (a) | 125 | 2,563 | ||||||
Eastern Bankshares, Inc. | 428 | 8,804 | ||||||
Enterprise Financial Services Corp. (a) | 18 | 821 | ||||||
Equity Bancshares, Inc., Class A * | 35 | 1,076 | ||||||
First Commonwealth Financial Corp. | 126 | 1,772 | ||||||
First Community Bankshares, Inc. | 8 | 245 | ||||||
First Hawaiian, Inc. | 43 | 1,216 | ||||||
First Merchants Corp. | 74 | 3,071 | ||||||
Flushing Financial Corp. | 26 | 548 | ||||||
Great Western Bancorp, Inc. | 115 | 3,758 | ||||||
HarborOne Bancorp, Inc. (a) | 33 | 479 | ||||||
HomeTrust Bancshares, Inc. | 43 | 1,200 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued | ||||||||
Hope Bancorp, Inc. | 298 | 4,231 | ||||||
Independent Bank Corp. | 36 | 779 | ||||||
Investors Bancorp, Inc. (a) | 85 | 1,206 | ||||||
Old National Bancorp | 216 | 3,809 | ||||||
People’s United Financial, Inc. | 42 | 716 | ||||||
Pinnacle Financial Partners, Inc. | 31 | 2,746 | ||||||
Simmons First National Corp., Class A (a) | 96 | 2,828 | ||||||
Trustmark Corp. | 109 | 3,361 | ||||||
UMB Financial Corp. | 29 | 2,729 | ||||||
Webster Financial Corp. | 55 | 2,944 | ||||||
Westamerica BanCorp | 36 | 2,073 | ||||||
|
| |||||||
79,787 | ||||||||
|
| |||||||
Biotechnology — 8.5% | ||||||||
ACADIA Pharmaceuticals, Inc. * | 58 | 1,424 | ||||||
Akebia Therapeutics, Inc. * | 686 | 2,601 | ||||||
Amicus Therapeutics, Inc. * | 436 | 4,206 | ||||||
Arena Pharmaceuticals, Inc. * (a) | 73 | 4,956 | ||||||
Atara Biotherapeutics, Inc. * | 317 | 4,936 | ||||||
Athenex, Inc. * (a) | 91 | 421 | ||||||
Biohaven Pharmaceutical Holding Co. Ltd. * | 5 | 476 | ||||||
Black Diamond Therapeutics, Inc. * (a) | 190 | 2,314 | ||||||
Bluebird Bio, Inc. * | 18 | 568 | ||||||
Bridgebio Pharma, Inc. * (a) | 31 | 1,896 | ||||||
Catalyst Pharmaceuticals, Inc. * | 732 | 4,209 | ||||||
Coherus Biosciences, Inc. * (a) | 461 | 6,374 | ||||||
CytomX Therapeutics, Inc. * | 283 | 1,789 | ||||||
Decibel Therapeutics, Inc. * | 2 | 18 | ||||||
Dicerna Pharmaceuticals, Inc. * | 77 | 2,874 | ||||||
Eagle Pharmaceuticals, Inc. * | 100 | 4,260 | ||||||
Eiger BioPharmaceuticals, Inc. * | 98 | 837 | ||||||
Emergent BioSolutions, Inc. * | 7 | 435 | ||||||
Esperion Therapeutics, Inc. * (a) | 13 | 271 | ||||||
Flexion Therapeutics, Inc. * (a) | 129 | 1,062 | ||||||
Gritstone bio, Inc. * (a) | 17 | 152 | ||||||
Harpoon Therapeutics, Inc. * (a) | 198 | 2,748 | ||||||
Heron Therapeutics, Inc. * (a) | 186 | 2,884 | ||||||
Homology Medicines, Inc. * (a) | 25 | 182 | ||||||
Insmed, Inc. * | 116 | 3,290 | ||||||
Intercept Pharmaceuticals, Inc. * (a) | 174 | 3,465 | ||||||
Ligand Pharmaceuticals, Inc. * (a) | 24 | 3,083 | ||||||
Myriad Genetics, Inc. * | 72 | 2,210 | ||||||
OPKO Health, Inc. * (a) | 488 | 1,978 | ||||||
Puma Biotechnology, Inc. * (a) | 129 | 1,188 | ||||||
REGENXBIO, Inc. * | 89 | 3,469 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Biotechnology — continued | ||||||||
Sana Biotechnology, Inc. * (a) | 1 | 25 | ||||||
Sarepta Therapeutics, Inc. * | 58 | 4,544 | ||||||
Sensei Biotherapeutics, Inc. * (a) | 152 | 1,479 | ||||||
Sigilon Therapeutics, Inc. * | 99 | 1,067 | ||||||
Sutro Biopharma, Inc. * | 15 | 282 | ||||||
TG Therapeutics, Inc. * | 63 | 2,444 | ||||||
Travere Therapeutics, Inc. * | 73 | 1,071 | ||||||
Turning Point Therapeutics, Inc. * | 14 | 1,084 | ||||||
UroGen Pharma Ltd. * (a) | 52 | 800 | ||||||
Vanda Pharmaceuticals, Inc. * (a) | 310 | 6,657 | ||||||
Xencor, Inc. * | 168 | 5,806 | ||||||
Y-mAbs Therapeutics, Inc. * (a) | 4 | 145 | ||||||
|
| |||||||
95,980 | ||||||||
|
| |||||||
Building Products — 0.6% | ||||||||
Advanced Drainage Systems, Inc. | 11 | 1,294 | ||||||
Cornerstone Building Brands, Inc. * | 87 | 1,574 | ||||||
Gibraltar Industries, Inc. * (a) | 6 | 473 | ||||||
Masonite International Corp. * | 5 | 548 | ||||||
Quanex Building Products Corp. | 43 | 1,071 | ||||||
UFP Industries, Inc. | 29 | 2,133 | ||||||
|
| |||||||
7,093 | ||||||||
|
| |||||||
Capital Markets — 1.9% | ||||||||
Artisan Partners Asset Management, Inc., Class A | 10 | 488 | ||||||
Blucora, Inc. * | 153 | 2,645 | ||||||
Brightsphere Investment Group, Inc. | 91 | 2,142 | ||||||
Cohen & Steers, Inc. | 8 | 665 | ||||||
Cowen, Inc., Class A (a) | 63 | 2,569 | ||||||
Donnelley Financial Solutions, Inc. * (a) | 42 | 1,374 | ||||||
Federated Hermes, Inc. | 48 | 1,634 | ||||||
Focus Financial Partners, Inc., Class A * | 67 | 3,235 | ||||||
Houlihan Lokey, Inc. | 4 | 296 | ||||||
Piper Sandler Cos. | 9 | 1,179 | ||||||
Stifel Financial Corp. | 41 | 2,667 | ||||||
Virtus Investment Partners, Inc. | 9 | 2,417 | ||||||
|
| |||||||
21,311 | ||||||||
|
| |||||||
Chemicals — 2.0% | ||||||||
Avient Corp. | 77 | 3,795 | ||||||
FutureFuel Corp. | 94 | 905 | ||||||
HB Fuller Co. | 20 | 1,279 | ||||||
Ingevity Corp. * | 38 | 3,123 | ||||||
Koppers Holdings, Inc. * | 41 | 1,317 | ||||||
Minerals Technologies, Inc. | 27 | 2,099 | ||||||
Orion Engineered Carbons SA (Germany) * | 49 | 931 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued | ||||||||
PQ Group Holdings, Inc. | 37 | 561 | ||||||
Trinseo SA | 30 | 1,803 | ||||||
Tronox Holdings plc, Class A | 193 | 4,318 | ||||||
Zymergen, Inc. * (a) | 60 | 2,417 | ||||||
|
| |||||||
22,548 | ||||||||
|
| |||||||
Commercial Services & Supplies — 2.5% | ||||||||
ABM Industries, Inc. | 131 | 5,816 | ||||||
ACCO Brands Corp. | 209 | 1,801 | ||||||
Brink’s Co. (The) (a) | 15 | 1,168 | ||||||
Ennis, Inc. (a) | 105 | 2,263 | ||||||
Healthcare Services Group, Inc. | 61 | 1,935 | ||||||
Heritage-Crystal Clean, Inc. * | 22 | 665 | ||||||
Herman Miller, Inc. | 88 | 4,134 | ||||||
HNI Corp. | 72 | 3,145 | ||||||
SP Plus Corp. * | 33 | 994 | ||||||
Steelcase, Inc., Class A | 222 | 3,348 | ||||||
Team, Inc. * | 43 | 291 | ||||||
Tetra Tech, Inc. | 25 | 3,027 | ||||||
|
| |||||||
28,587 | ||||||||
|
| |||||||
Communications Equipment — 1.7% | ||||||||
ADTRAN, Inc. | 48 | 999 | ||||||
EchoStar Corp., Class A * | 265 | 6,434 | ||||||
Extreme Networks, Inc. * | 381 | 4,254 | ||||||
NetScout Systems, Inc. * (a) | 263 | 7,513 | ||||||
|
| |||||||
19,200 | ||||||||
|
| |||||||
Construction & Engineering — 3.7% | ||||||||
Arcosa, Inc. (a) | 44 | 2,561 | ||||||
Argan, Inc. | 87 | 4,153 | ||||||
Comfort Systems USA, Inc. | 91 | 7,194 | ||||||
EMCOR Group, Inc. | 66 | 8,081 | ||||||
MasTec, Inc. * | 102 | 10,780 | ||||||
Matrix Service Co. * (a) | 217 | 2,280 | ||||||
MYR Group, Inc. * | 26 | 2,366 | ||||||
Primoris Services Corp. | 164 | 4,812 | ||||||
|
| |||||||
42,227 | ||||||||
|
| |||||||
Construction Materials — 0.1% | ||||||||
Forterra, Inc. * | 10 | 228 | ||||||
US Concrete, Inc. * (a) | 6 | 472 | ||||||
|
| |||||||
700 | ||||||||
|
| |||||||
Consumer Finance — 1.2% | ||||||||
Credit Acceptance Corp. * (a) | 4 | 1,623 | ||||||
EZCORP, Inc., Class A * (a) | 40 | 241 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 49 |
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Consumer Finance — continued |
| |||||||
FirstCash, Inc. (a) | 19 | 1,470 | ||||||
Navient Corp. | 230 | 4,450 | ||||||
Nelnet, Inc., Class A | 5 | 339 | ||||||
PROG Holdings, Inc. | 96 | 4,620 | ||||||
Regional Management Corp. (a) | 17 | 805 | ||||||
|
| |||||||
13,548 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% | ||||||||
Graphic Packaging Holding Co. | 41 | 744 | ||||||
Greif, Inc., Class A (a) | 27 | 1,653 | ||||||
Myers Industries, Inc. | 12 | 259 | ||||||
Pactiv Evergreen, Inc. | 15 | 223 | ||||||
|
| |||||||
2,879 | ||||||||
|
| |||||||
Distributors — 0.5% | ||||||||
Core-Mark Holding Co., Inc. (a) | 124 | 5,578 | ||||||
|
| |||||||
Diversified Consumer Services — 0.2% | ||||||||
Coursera, Inc. * (a) | 17 | 666 | ||||||
Houghton Mifflin Harcourt Co. * | 160 | 1,769 | ||||||
|
| |||||||
2,435 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.0% (b) |
| |||||||
Consolidated Communications Holdings, Inc. * | 40 | 355 | ||||||
|
| |||||||
Electric Utilities — 0.5% | ||||||||
IDACORP, Inc. | 6 | 546 | ||||||
PNM Resources, Inc. | 27 | 1,302 | ||||||
Portland General Electric Co. | 59 | 2,707 | ||||||
Spark Energy, Inc., Class A (a) | 95 | 1,074 | ||||||
|
| |||||||
5,629 | ||||||||
|
| |||||||
Electrical Equipment — 0.9% | ||||||||
AZZ, Inc. | 16 | 849 | ||||||
Bloom Energy Corp., Class A * (a) | 112 | 3,020 | ||||||
Powell Industries, Inc. | 50 | 1,558 | ||||||
Sunrun, Inc. * | 86 | 4,802 | ||||||
Thermon Group Holdings, Inc. * | 35 | 588 | ||||||
|
| |||||||
10,817 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 2.1% |
| |||||||
Benchmark Electronics, Inc. (a) | 124 | 3,527 | ||||||
Fabrinet (Thailand) * | 34 | 3,296 | ||||||
Insight Enterprises, Inc. * | 8 | 790 | ||||||
Kimball Electronics, Inc. * | 25 | 539 | ||||||
Knowles Corp. * | 146 | 2,882 | ||||||
OSI Systems, Inc. * | 20 | 2,071 | ||||||
Sanmina Corp. * | 43 | 1,687 | ||||||
ScanSource, Inc. * | 162 | 4,551 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electronic Equipment, Instruments & Components — continued |
| |||||||
TTM Technologies, Inc. * | 115 | 1,646 | ||||||
Vishay Intertechnology, Inc. | 154 | 3,468 | ||||||
|
| |||||||
24,457 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.6% | ||||||||
ChampionX Corp. * | 28 | 718 | ||||||
NexTier Oilfield Solutions, Inc. * (a) | 306 | 1,456 | ||||||
Oceaneering International, Inc. * | 23 | 361 | ||||||
Oil States International, Inc. * (a) | 89 | 699 | ||||||
Patterson-UTI Energy, Inc. (a) | 190 | 1,885 | ||||||
ProPetro Holding Corp. * | 113 | 1,033 | ||||||
Select Energy Services, Inc., Class A * | 49 | 294 | ||||||
|
| |||||||
6,446 | ||||||||
|
| |||||||
Entertainment — 1.1% | ||||||||
AMC Entertainment Holdings, Inc., Class A * (a) | 64 | 3,633 | ||||||
Cinemark Holdings, Inc. * | 41 | 889 | ||||||
Lions Gate Entertainment Corp., Class A * (a) | 385 | 7,976 | ||||||
|
| |||||||
12,498 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.5% |
| |||||||
Agree Realty Corp. | 39 | 2,721 | ||||||
Alexander & Baldwin, Inc. | 53 | 977 | ||||||
American Assets Trust, Inc. | 18 | 674 | ||||||
American Finance Trust, Inc. | 42 | 357 | ||||||
Americold Realty Trust | 39 | 1,479 | ||||||
Broadstone Net Lease, Inc. (a) | 65 | 1,517 | ||||||
CareTrust REIT, Inc. | 60 | 1,387 | ||||||
CatchMark Timber Trust, Inc., Class A | 48 | 566 | ||||||
Centerspace | 12 | 963 | ||||||
Chatham Lodging Trust * | 13 | 166 | ||||||
City Office REIT, Inc. | 65 | 808 | ||||||
Columbia Property Trust, Inc. | 10 | 181 | ||||||
Community Healthcare Trust, Inc. | 20 | 954 | ||||||
Corporate Office Properties Trust | 43 | 1,206 | ||||||
DiamondRock Hospitality Co. * | 127 | 1,235 | ||||||
DigitalBridge Group, Inc. * (a) | 153 | 1,207 | ||||||
Easterly Government Properties, Inc. | 31 | 649 | ||||||
Equity LifeStyle Properties, Inc. | 4 | 312 | ||||||
Essential Properties Realty Trust, Inc. | 37 | 987 | ||||||
First Industrial Realty Trust, Inc. | 40 | 2,074 | ||||||
Four Corners Property Trust, Inc. | 82 | 2,270 | ||||||
Getty Realty Corp. | 64 | 2,000 | ||||||
Gladstone Commercial Corp. (a) | 47 | 1,066 | ||||||
Global Medical REIT, Inc. (a) | 7 | 106 | ||||||
Global Net Lease, Inc. | 34 | 629 |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Healthcare Realty Trust, Inc. | 53 | 1,586 | ||||||
Highwoods Properties, Inc. | 13 | 601 | ||||||
Independence Realty Trust, Inc. | 37 | 675 | ||||||
Innovative Industrial Properties, Inc. (a) | 4 | 764 | ||||||
Kite Realty Group Trust | 78 | 1,723 | ||||||
Lexington Realty Trust (a) | 109 | 1,298 | ||||||
National Storage Affiliates Trust | 37 | 1,881 | ||||||
New Senior Investment Group, Inc. (a) | 180 | 1,579 | ||||||
Physicians Realty Trust | 77 | 1,420 | ||||||
Piedmont Office Realty Trust, Inc., Class A | 77 | 1,413 | ||||||
Plymouth Industrial REIT, Inc. | 74 | 1,489 | ||||||
PotlatchDeltic Corp. | 33 | 1,754 | ||||||
QTS Realty Trust, Inc., Class A | 39 | 3,029 | ||||||
Retail Opportunity Investments Corp. | 38 | 664 | ||||||
Retail Properties of America, Inc., Class A | 68 | 777 | ||||||
Ryman Hospitality Properties, Inc. * | 16 | 1,287 | ||||||
Sabra Health Care REIT, Inc. | 137 | 2,501 | ||||||
Service Properties Trust | 25 | 314 | ||||||
SITE Centers Corp. | 49 | 735 | ||||||
STAG Industrial, Inc. | 87 | 3,263 | ||||||
Summit Hotel Properties, Inc. * | 27 | 247 | ||||||
Sunstone Hotel Investors, Inc. * | 240 | 2,980 | ||||||
Terreno Realty Corp. | 33 | 2,149 | ||||||
UMH Properties, Inc. | 39 | 853 | ||||||
Xenia Hotels & Resorts, Inc. * | 77 | 1,438 | ||||||
|
| |||||||
62,911 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% | ||||||||
Andersons, Inc. (The) | 7 | 201 | ||||||
SpartanNash Co. (a) | 7 | 139 | ||||||
Sprouts Farmers Market, Inc. * | 101 | 2,498 | ||||||
|
| |||||||
2,838 | ||||||||
|
| |||||||
Food Products — 1.1% | ||||||||
Darling Ingredients, Inc. * | 143 | 9,631 | ||||||
John B Sanfilippo & Son, Inc. | 20 | 1,780 | ||||||
Seneca Foods Corp., Class A * | 33 | 1,678 | ||||||
|
| |||||||
13,089 | ||||||||
|
| |||||||
Gas Utilities — 0.5% | ||||||||
New Jersey Resources Corp. | 21 | 815 | ||||||
Northwest Natural Holding Co. | 23 | 1,218 | ||||||
ONE Gas, Inc. | 26 | 1,950 | ||||||
Southwest Gas Holdings, Inc. | 18 | 1,198 | ||||||
|
| |||||||
5,181 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — 4.9% | ||||||||
Accuray, Inc. * (a) | 460 | 2,078 | ||||||
AngioDynamics, Inc. * | 107 | 2,897 | ||||||
Bioventus, Inc., Class A * | 104 | 1,822 | ||||||
Cardiovascular Systems, Inc. * (a) | 270 | 11,498 | ||||||
Integer Holdings Corp. * (a) | 66 | 6,184 | ||||||
LivaNova plc * | 34 | 2,851 | ||||||
Natus Medical, Inc. * | 91 | 2,364 | ||||||
NuVasive, Inc. * | 227 | 15,406 | ||||||
SeaSpine Holdings Corp. * | 20 | 408 | ||||||
STAAR Surgical Co. * | 44 | 6,664 | ||||||
Varex Imaging Corp. * (a) | 35 | 931 | ||||||
Zynex, Inc. * (a) | 161 | 2,493 | ||||||
|
| |||||||
55,596 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.8% | ||||||||
AdaptHealth Corp. * | 207 | 5,674 | ||||||
Apollo Medical Holdings, Inc. * (a) | 12 | 760 | ||||||
Cross Country Healthcare, Inc. * | 361 | 5,957 | ||||||
Ensign Group, Inc. (The) | 2 | 191 | ||||||
HealthEquity, Inc. * | 24 | 1,899 | ||||||
LHC Group, Inc. * | 20 | 4,085 | ||||||
ModivCare, Inc. * | 2 | 391 | ||||||
Option Care Health, Inc. * | 175 | 3,823 | ||||||
Owens & Minor, Inc. (a) | 75 | 3,183 | ||||||
Tenet Healthcare Corp. * (a) | 82 | 5,492 | ||||||
Tivity Health, Inc. * (a) | 15 | 389 | ||||||
|
| |||||||
31,844 | ||||||||
|
| |||||||
Health Care Technology — 1.5% | ||||||||
Allscripts Healthcare Solutions, Inc. * (a) | 664 | 12,288 | ||||||
Evolent Health, Inc., Class A * | 200 | 4,216 | ||||||
Inspire Medical Systems, Inc. * | 3 | 580 | ||||||
|
| |||||||
17,084 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.5% | ||||||||
Bloomin’ Brands, Inc. * | 187 | 5,086 | ||||||
Boyd Gaming Corp. * | 70 | 4,318 | ||||||
Del Taco Restaurants, Inc. | 255 | 2,553 | ||||||
ESC Co. * ‡ | 64 | — | (c) | |||||
Marriott Vacations Worldwide Corp. * | 33 | 5,225 | ||||||
|
| |||||||
17,182 | ||||||||
|
| |||||||
Household Durables — 2.0% | ||||||||
Ethan Allen Interiors, Inc. (a) | 38 | 1,049 | ||||||
Hooker Furniture Corp. | 22 | 745 | ||||||
Meritage Homes Corp. * | 10 | 931 | ||||||
TopBuild Corp. * | 29 | 5,637 | ||||||
Tri Pointe Homes, Inc. * | 678 | 14,531 | ||||||
|
| |||||||
22,893 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 51 |
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Household Products — 0.1% | ||||||||
Central Garden & Pet Co., Class A * | 24 | 1,145 | ||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.1% |
| |||||||
Clearway Energy, Inc. | 33 | 844 | ||||||
Clearway Energy, Inc., Class C | 8 | 222 | ||||||
|
| |||||||
1,066 | ||||||||
|
| |||||||
Insurance — 0.9% | ||||||||
American Equity Investment Life Holding Co. | 50 | 1,627 | ||||||
Argo Group International Holdings Ltd. | 33 | 1,700 | ||||||
CNO Financial Group, Inc. | 112 | 2,654 | ||||||
First American Financial Corp. | 12 | 753 | ||||||
Heritage Insurance Holdings, Inc. | 9 | 75 | ||||||
Horace Mann Educators Corp. | 5 | 180 | ||||||
James River Group Holdings Ltd. | 10 | 364 | ||||||
Oscar Health, Inc., Class A * | 12 | 252 | ||||||
Primerica, Inc. | 7 | 1,049 | ||||||
Selective Insurance Group, Inc. | 14 | 1,120 | ||||||
Stewart Information Services Corp. | 18 | 1,043 | ||||||
|
| |||||||
10,817 | ||||||||
|
| |||||||
Interactive Media & Services — 0.7% | ||||||||
EverQuote, Inc., Class A * | 20 | 650 | ||||||
QuinStreet, Inc. * (a) | 199 | 3,690 | ||||||
Yelp, Inc. * (a) | 104 | 4,136 | ||||||
|
| |||||||
8,476 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.3% | ||||||||
Stamps.com, Inc. * (a) | 18 | 3,565 | ||||||
|
| |||||||
IT Services — 1.6% | ||||||||
CSG Systems International, Inc. | 12 | 561 | ||||||
DigitalOcean Holdings, Inc. * (a) | 61 | 3,415 | ||||||
EVERTEC, Inc. (Puerto Rico) | 36 | 1,550 | ||||||
LiveRamp Holdings, Inc. * | 43 | 1,991 | ||||||
Perficient, Inc. * (a) | 98 | 7,910 | ||||||
Sykes Enterprises, Inc. * | 57 | 3,034 | ||||||
|
| |||||||
18,461 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.7% | ||||||||
Adaptive Biotechnologies Corp. * | 21 | 866 | ||||||
Medpace Holdings, Inc. * | 23 | 4,093 | ||||||
Personalis, Inc. * | 142 | 3,593 | ||||||
|
| �� | ||||||
8,552 | ||||||||
|
| |||||||
Machinery — 1.7% | ||||||||
Altra Industrial Motion Corp. | 68 | 4,408 | ||||||
Barnes Group, Inc. | 17 | 882 | ||||||
Douglas Dynamics, Inc. | 49 | 1,980 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Machinery — continued | ||||||||
EnPro Industries, Inc. (a) | 23 | 2,205 | ||||||
Kadant, Inc. | 13 | 2,302 | ||||||
Manitowoc Co., Inc. (The) * | 77 | 1,879 | ||||||
Meritor, Inc. * | 62 | 1,452 | ||||||
Rexnord Corp. (a) | 9 | 455 | ||||||
Wabash National Corp. (a) | 262 | 4,199 | ||||||
|
| |||||||
19,762 | ||||||||
|
| |||||||
Marine — 0.1% | ||||||||
Costamare, Inc. (Monaco) | 60 | 712 | ||||||
|
| |||||||
Media — 1.1% | ||||||||
AMC Networks, Inc., Class A * (a) | 82 | 5,458 | ||||||
Hemisphere Media Group, Inc. * | 98 | 1,159 | ||||||
National CineMedia, Inc. (a) | 174 | 884 | ||||||
Sinclair Broadcast Group, Inc., Class A (a) | 140 | 4,660 | ||||||
|
| |||||||
12,161 | ||||||||
|
| |||||||
Metals & Mining — 1.5% | ||||||||
Alcoa Corp. * | 68 | 2,498 | ||||||
Allegheny Technologies, Inc. * (a) | 89 | 1,847 | ||||||
Arconic Corp. * | 65 | 2,322 | ||||||
Cleveland-Cliffs, Inc. * (a) | 105 | 2,257 | ||||||
Commercial Metals Co. | 77 | 2,378 | ||||||
Kaiser Aluminum Corp. | 10 | 1,235 | ||||||
Materion Corp. (a) | 15 | 1,123 | ||||||
SunCoke Energy, Inc. | 234 | 1,674 | ||||||
United States Steel Corp. (a) | 18 | 434 | ||||||
Warrior Met Coal, Inc. (a) | 77 | 1,324 | ||||||
Worthington Industries, Inc. | 3 | 170 | ||||||
|
| |||||||
17,262 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
Ares Commercial Real Estate Corp. | 43 | 624 | ||||||
Blackstone Mortgage Trust, Inc., Class A (a) | 49 | 1,569 | ||||||
Ellington Financial, Inc. | 81 | 1,553 | ||||||
Granite Point Mortgage Trust, Inc. | 19 | 277 | ||||||
Great Ajax Corp. | 6 | 78 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. (a) | 41 | 2,291 | ||||||
KKR Real Estate Finance Trust, Inc. (a) | 94 | 2,031 | ||||||
Ladder Capital Corp. | 122 | 1,410 | ||||||
PennyMac Mortgage Investment Trust | 133 | 2,797 | ||||||
Ready Capital Corp. | 24 | 373 | ||||||
Redwood Trust, Inc. | 235 | 2,842 | ||||||
TPG RE Finance Trust, Inc. | 70 | 936 | ||||||
|
| |||||||
16,781 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Multiline Retail — 0.8% |
| |||||||
Dillard’s, Inc., Class A (a) | 25 | 4,595 | ||||||
Macy’s, Inc. * | 213 | 4,040 | ||||||
|
| |||||||
8,635 | ||||||||
|
| |||||||
Multi-Utilities — 0.1% | ||||||||
Black Hills Corp. | 25 | 1,634 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.5% | ||||||||
Antero Resources Corp. * | 271 | 4,072 | ||||||
Arch Resources, Inc. * | 23 | 1,296 | ||||||
Berry Corp. | 33 | 221 | ||||||
CNX Resources Corp. * | 48 | 650 | ||||||
Delek US Holdings, Inc. | 39 | 852 | ||||||
Dorian LPG Ltd. * | 52 | 734 | ||||||
Falcon Minerals Corp. | 21 | 106 | ||||||
Green Plains, Inc. * (a) | 58 | 1,943 | ||||||
Magnolia Oil & Gas Corp., Class A * | 224 | 3,493 | ||||||
Ovintiv, Inc. | 264 | 8,295 | ||||||
PDC Energy, Inc. | 54 | 2,473 | ||||||
Range Resources Corp. * (a) | 127 | 2,134 | ||||||
Renewable Energy Group, Inc. * (a) | 25 | 1,579 | ||||||
REX American Resources Corp. * | 13 | 1,143 | ||||||
|
| |||||||
28,991 | ||||||||
|
| |||||||
Paper & Forest Products — 0.7% | ||||||||
Domtar Corp. * | 26 | 1,447 | ||||||
Glatfelter Corp. | 116 | 1,623 | ||||||
Louisiana-Pacific Corp. | 44 | 2,679 | ||||||
Neenah, Inc. | 14 | 687 | ||||||
Verso Corp., Class A | 62 | 1,103 | ||||||
|
| |||||||
7,539 | ||||||||
|
| |||||||
Personal Products — 2.1% | ||||||||
BellRing Brands, Inc., Class A * (a) | 328 | 10,267 | ||||||
Herbalife Nutrition Ltd. * | 25 | 1,312 | ||||||
Honest Co., Inc. (The) * (a) | 74 | 1,196 | ||||||
Medifast, Inc. | 5 | 1,528 | ||||||
Nu Skin Enterprises, Inc., Class A | 68 | 3,858 | ||||||
USANA Health Sciences, Inc. * (a) | 52 | 5,372 | ||||||
|
| |||||||
23,533 | ||||||||
|
| |||||||
Pharmaceuticals — 2.1% | ||||||||
Amneal Pharmaceuticals, Inc. * | 305 | 1,560 | ||||||
Amphastar Pharmaceuticals, Inc. * | 128 | 2,576 | ||||||
Arvinas, Inc. * | 1 | 110 | ||||||
BioDelivery Sciences International, Inc. * | 532 | 1,904 | ||||||
Corcept Therapeutics, Inc. * (a) | 372 | 8,188 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Pharmaceuticals — continued | ||||||||
Endo International plc * (a) | 567 | 2,655 | ||||||
Fulcrum Therapeutics, Inc. * (a) | 127 | 1,328 | ||||||
Landos Biopharma, Inc. * | 115 | 1,333 | ||||||
Lannett Co., Inc. * (a) | 356 | 1,663 | ||||||
Marinus Pharmaceuticals, Inc. * (a) | 103 | 1,853 | ||||||
VYNE Therapeutics, Inc. * (a) | 8 | 27 | ||||||
WaVe Life Sciences Ltd. * | 166 | 1,103 | ||||||
|
| |||||||
24,300 | ||||||||
|
| |||||||
Professional Services — 3.5% | ||||||||
Barrett Business Services, Inc. | 14 | 1,010 | ||||||
CACI International, Inc., Class A * | 10 | 2,462 | ||||||
Heidrick & Struggles International, Inc. | 8 | 361 | ||||||
Huron Consulting Group, Inc. * | 66 | 3,248 | ||||||
KBR, Inc. (a) | 29 | 1,087 | ||||||
Kelly Services, Inc., Class A * | 163 | 3,910 | ||||||
Kforce, Inc. | 49 | 3,109 | ||||||
Korn Ferry | 34 | 2,467 | ||||||
ManTech International Corp., Class A | 170 | 14,693 | ||||||
TrueBlue, Inc. * | 124 | 3,488 | ||||||
Upwork, Inc. * | 63 | 3,643 | ||||||
|
| |||||||
39,478 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.2% |
| |||||||
Realogy Holdings Corp. * | 149 | 2,720 | ||||||
|
| |||||||
Road & Rail — 0.6% | ||||||||
ArcBest Corp. | 98 | 5,692 | ||||||
Schneider National, Inc., Class B | 18 | 394 | ||||||
Werner Enterprises, Inc. (a) | 13 | 579 | ||||||
|
| |||||||
6,665 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.3% |
| |||||||
Amkor Technology, Inc. (a) | 79 | 1,878 | ||||||
Cirrus Logic, Inc. * | 17 | 1,409 | ||||||
Cohu, Inc. * (a) | 99 | 3,657 | ||||||
MACOM Technology Solutions Holdings, Inc. * | 16 | 993 | ||||||
Rambus, Inc. * | 204 | 4,843 | ||||||
SMART Global Holdings, Inc. * (a) | 208 | 9,898 | ||||||
SunPower Corp. * (a) | 47 | 1,359 | ||||||
Veeco Instruments, Inc. * (a) | 94 | 2,256 | ||||||
|
| |||||||
26,293 | ||||||||
|
| |||||||
Software — 5.2% | ||||||||
A10 Networks, Inc. * (a) | 344 | 3,873 | ||||||
ACI Worldwide, Inc. * (a) | 63 | 2,352 | ||||||
Alkami Technology, Inc. * (a) | 13 | 463 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 53 |
Table of Contents
JPMorgan U.S. Small Company Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Software — continued |
| |||||||
American Software, Inc., Class A | 142 | 3,127 | ||||||
Appfolio, Inc., Class A * (a) | 47 | 6,580 | ||||||
Avaya Holdings Corp. * (a) | 147 | 3,965 | ||||||
Blackline, Inc. * | 6 | 656 | ||||||
Box, Inc., Class A * | 117 | 2,984 | ||||||
CommVault Systems, Inc. * | 59 | 4,577 | ||||||
Digital Turbine, Inc. * | 26 | 1,977 | ||||||
eGain Corp. * | 320 | 3,672 | ||||||
Envestnet, Inc. * | 4 | 288 | ||||||
JFrog Ltd. (Israel) * (a) | 12 | 546 | ||||||
Momentive Global, Inc. * | 245 | 5,154 | ||||||
Qualys, Inc. * | 5 | 551 | ||||||
SecureWorks Corp., Class A * (a) | 89 | 1,640 | ||||||
Sprout Social, Inc., Class A * | 37 | 3,309 | ||||||
SPS Commerce, Inc. * | 3 | 330 | ||||||
Vonage Holdings Corp. * | 315 | 4,536 | ||||||
Workiva, Inc. * | 82 | 9,162 | ||||||
|
| |||||||
59,742 | ||||||||
|
| |||||||
Specialty Retail — 3.0% | ||||||||
Abercrombie & Fitch Co., Class A * | 137 | 6,342 | ||||||
Bed Bath & Beyond, Inc. * | 60 | 1,997 | ||||||
Children’s Place, Inc. (The) * (a) | 17 | 1,545 | ||||||
Group 1 Automotive, Inc. | 5 | 818 | ||||||
Guess?, Inc. (a) | 74 | 1,964 | ||||||
Hibbett, Inc. * | 24 | 2,118 | ||||||
Lithia Motors, Inc., Class A | 3 | 1,168 | ||||||
Murphy USA, Inc. | 38 | 5,058 | ||||||
Signet Jewelers Ltd. * | 23 | 1,826 | ||||||
Sleep Number Corp. * | 50 | 5,454 | ||||||
Sonic Automotive, Inc., Class A (a) | 46 | 2,045 | ||||||
Winmark Corp. | 4 | 788 | ||||||
Zumiez, Inc. * | 65 | 3,178 | ||||||
|
| |||||||
34,301 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.1% |
| |||||||
Diebold Nixdorf, Inc. * (a) | 68 | 878 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.6% | ||||||||
Deckers Outdoor Corp. * | 13 | 4,926 | ||||||
G-III Apparel Group Ltd. * | 46 | 1,505 | ||||||
|
| |||||||
6,431 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 2.4% | ||||||||
Axos Financial, Inc. * | 52 | 2,408 | ||||||
Essent Group Ltd. | 92 | 4,139 | ||||||
HomeStreet, Inc. | 43 | 1,764 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Thrifts & Mortgage Finance — continued | ||||||||
Meridian Bancorp, Inc. | 185 | 3,776 | ||||||
MGIC Investment Corp. | 116 | 1,583 | ||||||
Mr. Cooper Group, Inc. * | 29 | 965 | ||||||
NMI Holdings, Inc., Class A * | 26 | 594 | ||||||
Northfield Bancorp, Inc. | 174 | 2,852 | ||||||
PennyMac Financial Services, Inc. | 38 | 2,327 | ||||||
Premier Financial Corp. | 14 | 384 | ||||||
Radian Group, Inc. | 144 | 3,203 | ||||||
Washington Federal, Inc. | 103 | 3,265 | ||||||
|
| |||||||
27,260 | ||||||||
|
| |||||||
Trading Companies & Distributors — 2.1% | ||||||||
Boise Cascade Co. | 21 | 1,252 | ||||||
Herc Holdings, Inc. * | 135 | 15,162 | ||||||
MRC Global, Inc. * | 151 | 1,415 | ||||||
NOW, Inc. * | 395 | 3,749 | ||||||
Rush Enterprises, Inc., Class A | 18 | 783 | ||||||
Veritiv Corp. * | 21 | 1,282 | ||||||
|
| |||||||
23,643 | ||||||||
|
| |||||||
Water Utilities — 0.6% | ||||||||
American States Water Co. | 89 | 7,101 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.3% | ||||||||
Gogo, Inc. * (a) | 331 | 3,762 | ||||||
|
| |||||||
Total Common Stocks |
| 1,108,560 | ||||||
|
| |||||||
NO. OF RIGHTS (000) | ||||||||
Rights — 0.0% (b) |
| |||||||
Biotechnology — 0.0% (b) |
| |||||||
Alder Biopharmaceuticals, Inc. * ‡ | 187 | 165 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 11.0% |
| |||||||
Investment Companies — 2.7% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (d) (e) | 30,572 | 30,588 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — continued |
| |||||||
Investment of Cash Collateral from Securities Loaned — 8.3% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (d) (e) | 84,604 | 84,603 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (d) (e) | 10,743 | 10,743 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 95,346 | |||||||
|
| |||||||
Total Short-Term Investments | 125,934 | |||||||
|
| |||||||
Total Investments — 108.1% |
| 1,234,659 | ||||||
Liabilities in Excess of |
| (92,747 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,141,912 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations | ||
REIT | Real Estate Investment Trust | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $92,471. | |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | Amount rounds to less than one thousand. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. | |
‡ | Value determined using significant unobservable inputs. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts |
| |||||||||||||||||
Russell 2000 E-Mini Index | 273 | 09/2021 | USD | 31,477 | (119 | ) | ||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 55 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021
(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 | $ | 1,089,770 | $ | 8,367,098 | $ | 6,688,103 | ||||||
Investments in affiliates, at value | 36,638 | 206,013 | 176,586 | |||||||||
Investment of cash collateral received from securities loaned, at value | 62,062 | 113,476 | 522,156 | |||||||||
Cash | 3 | 13 | 5 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 6,690 | 14,500 | 9,323 | |||||||||
Fund shares sold | 3,721 | 12,808 | 4,563 | |||||||||
Dividends from non-affiliates | 658 | 5,229 | 1,102 | |||||||||
Dividends from affiliates | — | (a) | — | (a) | 1 | |||||||
Securities lending income (See Note 2.B.) | 10 | 14 | 101 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 1,199,552 | 8,719,151 | 7,401,940 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: |
| |||||||||||
Payables: | ||||||||||||
Investment securities purchased | 1,863 | 27,219 | 16,333 | |||||||||
Collateral received on securities loaned (See Note 2.B.) | 62,062 | 113,476 | 522,156 | |||||||||
Fund shares redeemed | 1,204 | 4,481 | 15,534 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 574 | 4,589 | 3,513 | |||||||||
Administration fees | 56 | 532 | 375 | |||||||||
Distribution fees | 65 | 235 | 223 | |||||||||
Service fees | 125 | 1,136 | 468 | |||||||||
Custodian and accounting fees | 12 | 66 | 58 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | — | ||||||||
Other | 87 | 286 | 95 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 66,048 | 152,020 | 558,755 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 1,133,504 | $ | 8,567,131 | $ | 6,843,185 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Equity Fund | JPMorgan Small Cap Growth Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 821,777 | $ | 4,340,913 | $ | 4,242,925 | ||||||
Total distributable earnings (loss) | 311,727 | 4,226,218 | 2,600,260 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 1,133,504 | $ | 8,567,131 | $ | 6,843,185 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 279,114 | $ | 846,460 | $ | 760,153 | ||||||
Class C | 13,468 | 87,848 | 90,880 | |||||||||
Class I | 344,974 | 4,239,905 | 1,013,916 | |||||||||
Class L | — | — | 1,096,814 | |||||||||
Class R2 | — | 7,744 | 31,503 | |||||||||
Class R3 | — | 5,829 | 9,313 | |||||||||
Class R4 | — | 834 | 5,878 | |||||||||
Class R5 | — | 1,309,013 | 40,613 | |||||||||
Class R6 | 495,948 | 2,069,498 | 3,794,115 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 1,133,504 | $ | 8,567,131 | $ | 6,843,185 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 9,736 | 13,015 | 29,394 | |||||||||
Class C | 748 | 1,935 | 5,469 | |||||||||
Class I | 9,911 | 55,176 | 34,341 | |||||||||
Class L | — | — | 35,691 | |||||||||
Class R2 | — | 122 | 1,283 | |||||||||
Class R3 | — | 90 | 361 | |||||||||
Class R4 | — | 11 | 225 | |||||||||
Class R5 | — | 16,969 | 1,320 | |||||||||
Class R6 | 14,187 | 26,829 | 121,733 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 28.67 | $ | 65.04 | $ | 25.86 | ||||||
Class C — Offering price per share (b) | 18.01 | 45.39 | 16.62 | |||||||||
Class I — Offering and redemption price per share | 34.81 | 76.84 | 29.53 | |||||||||
Class L — Offering and redemption price per share | — | — | 30.73 | |||||||||
Class R2 — Offering and redemption price per share | — | 63.47 | 24.55 | |||||||||
Class R3 — Offering and redemption price per share | — | 64.53 | 25.79 | |||||||||
Class R4 — Offering and redemption price per share | — | 76.73 | 26.08 | |||||||||
Class R5 — Offering and redemption price per share | — | 77.14 | 30.76 | |||||||||
Class R6 — Offering and redemption price per share | 34.96 | 77.14 | 31.17 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 30.26 | $ | 68.64 | $ | 27.29 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 815,613 | $ | 5,192,296 | $ | 4,536,797 | ||||||
Cost of investments in affiliates | 36,634 | 205,976 | 176,567 | |||||||||
Investment securities on loan, at value (See Note 2.B.) | 60,304 | 110,670 | 505,147 | |||||||||
Cost of investment of cash collateral (See Note 2.B.) | 62,066 | 113,481 | 522,195 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 57 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) | JPMorgan Small Cap Value Fund | JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | JPMorgan U.S. Small Company Fund | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments in non-affiliates, at value | $ | 357,008 | $ | 1,454,574 | $ | 414,713 | $ | 1,108,725 | ||||||||
Investments in affiliates, at value | 3,128 | 52,749 | 5,812 | 30,588 | ||||||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 42,801 | 97,807 | — | 95,346 | ||||||||||||
Cash | 166 | 567 | — | (a) | 855 | |||||||||||
Deposits at broker for futures contracts | 362 | 3,195 | — | 1,773 | ||||||||||||
Receivables: | ||||||||||||||||
Due from custodian | — | — | — | 1,553 | ||||||||||||
Investment securities sold | 7,958 | — | 340 | 326 | ||||||||||||
Fund shares sold | 117 | 1,197 | 570 | 1,553 | ||||||||||||
Dividends from non-affiliates | 255 | 1,562 | 245 | 682 | ||||||||||||
Dividends from affiliates | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Securities lending income (See Note 2.B.) | 8 | 33 | — | (a) | 21 | |||||||||||
Variation margin on futures contracts | — | 39 | — | 11 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 411,803 | 1,611,723 | 421,680 | 1,241,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: |
| |||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 464 | — | 76 | 1,553 | ||||||||||||
Collateral received on securities loaned (See Note 2.B.) | 42,801 | 97,807 | — | 95,347 | ||||||||||||
Fund shares redeemed | 2,027 | 2,282 | 1,420 | 1,685 | ||||||||||||
Variation margin on futures contracts | 3 | — | — | — | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 217 | 817 | 188 | 564 | ||||||||||||
Administration fees | 18 | 94 | 25 | 71 | ||||||||||||
Distribution fees | 4 | 66 | 50 | 67 | ||||||||||||
Service fees | 17 | 114 | 67 | 123 | ||||||||||||
Custodian and accounting fees | 16 | 21 | 10 | 25 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | (a) | — | — | (a) | ||||||||||
Other | 50 | 84 | 68 | 86 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 45,617 | 101,285 | 1,904 | 99,521 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 366,186 | $ | 1,510,438 | $ | 419,776 | $ | 1,141,912 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) | JPMorgan Small Cap Value Fund | JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | JPMorgan U.S. Small Company Fund | |||||||||||||
NET ASSETS: |
| |||||||||||||||
Paid-in-Capital | $ | 251,608 | $ | 944,234 | $ | 262,816 | $ | 670,141 | ||||||||
Total distributable earnings (loss) | 114,578 | 566,204 | 156,960 | 471,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 366,186 | $ | 1,510,438 | $ | 419,776 | $ | 1,141,912 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Class A | $ | 7,279 | $ | 200,857 | $ | 171,962 | $ | 135,165 | ||||||||
Class C | 1,944 | 8,518 | 22,348 | 22,386 | ||||||||||||
Class I | 34,171 | 232,544 | 148,567 | 216,248 | ||||||||||||
Class L | — | — | — | 317,162 | ||||||||||||
Class R2 | 481 | 34,800 | — | 43,496 | ||||||||||||
Class R3 | 5,418 | 17,272 | 2,223 | 36,745 | ||||||||||||
Class R4 | 2,557 | 28,524 | 1,146 | 11,590 | ||||||||||||
Class R5 | 165,829 | 58,262 | — | 9,804 | ||||||||||||
Class R6 | 148,507 | 929,661 | 73,530 | 349,316 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 366,186 | $ | 1,510,438 | $ | 419,776 | $ | 1,141,912 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 105 | 6,265 | 8,144 | 5,743 | ||||||||||||
Class C | 29 | 339 | 1,376 | 1,016 | ||||||||||||
Class I | 491 | 6,735 | 6,514 | 8,934 | ||||||||||||
Class L | — | — | — | 13,114 | ||||||||||||
Class R2 | 7 | 1,101 | — | 1,898 | ||||||||||||
Class R3 | 78 | 540 | 105 | 1,573 | ||||||||||||
Class R4 | 37 | 826 | 50 | 482 | ||||||||||||
Class R5 | 2,374 | 1,686 | — | 406 | ||||||||||||
Class R6 | 2,129 | 26,856 | 3,220 | 14,432 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 69.13 | $ | 32.06 | $ | 21.12 | $ | 23.54 | ||||||||
Class C — Offering price per share (b) | 67.97 | 25.08 | 16.25 | 22.04 | ||||||||||||
Class I — Offering and redemption price per share | 69.56 | 34.53 | 22.81 | 24.21 | ||||||||||||
Class L — Offering and redemption price per share | — | — | — | 24.18 | ||||||||||||
Class R2 — Offering and redemption price per share | 68.98 | 31.62 | — | 22.92 | ||||||||||||
Class R3 — Offering and redemption price per share | 69.34 | 32.00 | 21.08 | 23.36 | ||||||||||||
Class R4 — Offering and redemption price per share | 69.59 | 34.52 | 22.70 | 24.05 | ||||||||||||
Class R5 — Offering and redemption price per share | 69.85 | 34.56 | — | 24.13 | ||||||||||||
Class R6 — Offering and redemption price per share | 69.75 | 34.62 | 22.83 | 24.20 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 72.96 | $ | 33.84 | $ | 22.29 | $ | 24.84 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 260,847 | $ | 1,056,063 | $ | 324,317 | $ | 826,559 | ||||||||
Cost of investments in affiliates | 3,127 | 52,744 | 5,811 | 30,587 | ||||||||||||
Investment securities on loan, at value (See Note 2.B.) | 41,694 | 95,160 | — | 92,471 | ||||||||||||
Cost of investment of cash collateral (See Note 2.B.) | 42,804 | 97,814 | — | 95,353 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 59 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2021
(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 | 8,325 | 97,554 | 13,061 | |||||||||
Dividend income from affiliates | 23 | 390 | 132 | |||||||||
Income from securities lending (net) (See Note 2.B.) | 236 | 535 | 3,875 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 8,584 | 98,479 | 17,068 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 5,007 | 51,741 | 38,421 | |||||||||
Administration fees | 578 | 5,970 | 4,433 | |||||||||
Distribution fees: | ||||||||||||
Class A | 501 | 1,970 | 1,750 | |||||||||
Class C | 127 | 657 | 628 | |||||||||
Class R2 | — | 36 | 150 | |||||||||
Class R3 | — | 11 | 18 | |||||||||
Service fees: | ||||||||||||
Class A | 501 | 1,970 | 1,750 | |||||||||
Class C | 42 | 219 | 209 | |||||||||
Class I | 620 | 9,891 | 2,014 | |||||||||
Class L | — | — | 1,021 | |||||||||
Class R2 | — | 18 | 75 | |||||||||
Class R3 | — | 11 | 18 | |||||||||
Class R4 | — | 2 | 11 | |||||||||
Class R5 | — | 1,167 | 34 | |||||||||
Custodian and accounting fees | 47 | 261 | 212 | |||||||||
Interest expense to affiliates | — | (a) | — | (a) | 2 | |||||||
Professional fees | 51 | 108 | 96 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 26 | 46 | 39 | |||||||||
Printing and mailing costs | 63 | 453 | 378 | |||||||||
Registration and filing fees | 108 | 134 | 268 | |||||||||
Transfer agency fees (See Note 2.F.) | 27 | 322 | 173 | |||||||||
Other | 30 | 132 | 81 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 7,728 | 75,119 | 51,781 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (255 | ) | (867 | ) | (495 | ) | ||||||
Less expense reimbursements | — | — | (65 | ) | ||||||||
|
|
|
|
|
| |||||||
Net expenses | 7,473 | 74,252 | 51,221 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 1,111 | 24,227 | (34,153 | ) | ||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 61,720 | 1,495,563 | 863,481 | |||||||||
Investments in affiliates | (4 | ) | (41 | ) | (19 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 61,716 | 1,495,522 | 863,462 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 226,199 | 1,471,926 | 1,186,256 | |||||||||
Investments in affiliates | (9 | ) | (78 | ) | (58 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 226,190 | 1,471,848 | 1,186,198 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 287,906 | 2,967,370 | 2,049,660 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 289,017 | $ | 2,991,597 | $ | 2,015,507 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) | JPMorgan Small Cap Value Fund | JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | JPMorgan U.S. Small Company Fund | |||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||
Interest income from non-affiliates | $ | — | $ | — | (a) | $ | — | $ | — | |||||||
Dividend income from non-affiliates | 4,590 | 20,569 | 4,694 | 11,197 | ||||||||||||
Dividend income from affiliates | 10 | 32 | 10 | 26 | ||||||||||||
Non-cash dividend income from non-affiliates | 267 | — | — | — | ||||||||||||
Income from securities lending (net) (See Note 2.B.) | 178 | 993 | 68 | 811 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 5,045 | 21,594 | 4,772 | 12,034 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: |
| |||||||||||||||
Investment advisory fees | 2,674 | 8,043 | 2,242 | 6,110 | ||||||||||||
Administration fees | 309 | 928 | 306 | 764 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 14 | 398 | 411 | 289 | ||||||||||||
Class C | 14 | 59 | 185 | 154 | ||||||||||||
Class R2 | 1 | 156 | — | 190 | ||||||||||||
Class R3 | 11 | 35 | 18 | 74 | ||||||||||||
Service fees: | ||||||||||||||||
Class A | 14 | 398 | 411 | 289 | ||||||||||||
Class C | 5 | 20 | 62 | 51 | ||||||||||||
Class I | 58 | 418 | 337 | 471 | ||||||||||||
Class L | — | — | — | 302 | ||||||||||||
Class R2 | 1 | 78 | — | 95 | ||||||||||||
Class R3 | 11 | 35 | 18 | 74 | ||||||||||||
Class R4 | 6 | 40 | 2 | 25 | ||||||||||||
Class R5 | 159 | 43 | — | 8 | ||||||||||||
Custodian and accounting fees | 76 | 73 | 35 | 87 | ||||||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Professional fees | 72 | 57 | 65 | 57 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 26 | 28 | 26 | 28 | ||||||||||||
Printing and mailing costs | 3 | 76 | 45 | 57 | ||||||||||||
Registration and filing fees | 51 | 117 | 52 | 129 | ||||||||||||
Transfer agency fees (See Note 2.F.) | 14 | 97 | 54 | 58 | ||||||||||||
Other | 16 | 31 | 15 | 29 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 3,535 | 11,130 | 4,284 | 9,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (264 | ) | (103 | ) | (354 | ) | (22 | ) | ||||||||
Less expense reimbursements | (3 | ) | — | (2 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 3,268 | 11,027 | 3,928 | 9,319 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 1,777 | 10,567 | 844 | 2,715 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: |
| |||||||||||||||
Investments in non-affiliates | 117,591 | 231,216 | 94,472 | 253,215 | ||||||||||||
Investments in affiliates | (2 | ) | (5 | ) | (1 | ) | (6 | ) | ||||||||
Futures contracts | 2,848 | 9,580 | 553 | 7,255 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 120,437 | 240,791 | 95,024 | 260,464 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||||||
Investments in non-affiliates | 81,134 | 419,326 | 45,272 | 221,181 | ||||||||||||
Investments in affiliates | (9 | ) | (15 | ) | (4 | ) | (17 | ) | ||||||||
Futures contracts | (93 | ) | (826 | ) | (108 | ) | (172 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 81,032 | 418,485 | 45,160 | 220,992 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 201,469 | 659,276 | 140,184 | 481,456 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 203,246 | $ | 669,843 | $ | 141,028 | $ | 484,171 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 61 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 1,111 | $ | 1,508 | $ | 24,227 | $ | 37,847 | ||||||||
Net realized gain (loss) | 61,716 | (634 | ) | 1,495,522 | (144,466 | ) | ||||||||||
Change in net unrealized appreciation/depreciation | 226,190 | (2,118 | ) | 1,471,848 | (137,311 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 289,017 | (1,244 | ) | 2,991,597 | (243,930 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (3,491 | ) | (4,206 | ) | (23,187 | ) | (40,838 | ) | ||||||||
Class C | (703 | ) | (1,643 | ) | (3,627 | ) | (6,716 | ) | ||||||||
Class I | (4,107 | ) | (3,897 | ) | (108,102 | ) | (145,648 | ) | ||||||||
Class R2 | — | — | (200 | ) | (416 | ) | ||||||||||
Class R3 | — | — | (135 | ) | (144 | ) | ||||||||||
Class R4 | — | — | (17 | ) | (23 | ) | ||||||||||
Class R5 | — | — | (32,929 | ) | (54,434 | ) | ||||||||||
Class R6 | (4,922 | ) | (3,543 | ) | (56,367 | ) | (73,447 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (13,223 | ) | (13,289 | ) | (224,564 | ) | (321,666 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 384,851 | 139,135 | (795,388 | ) | 885,158 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 660,645 | 124,602 | 1,971,645 | 319,562 | ||||||||||||
Beginning of period | 472,859 | 348,257 | 6,595,486 | 6,275,924 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,133,504 | $ | 472,859 | $ | 8,567,131 | $ | 6,595,486 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Growth Fund | JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (34,153 | ) | $ | (8,294 | ) | $ | 1,777 | $ | 3,252 | ||||||
Net realized gain (loss) | 863,462 | 185,416 | 120,437 | (28,853 | ) | |||||||||||
Change in net unrealized appreciation/depreciation | 1,186,198 | 386,775 | 81,032 | (31,313 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 2,015,507 | 563,897 | 203,246 | (56,914 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (51,789 | ) | (25,608 | ) | (35 | ) | (207 | ) | ||||||||
Class C | (8,859 | ) | (5,161 | ) | (2 | ) | (85 | ) | ||||||||
Class I | (46,046 | ) | (17,200 | ) | (142 | ) | (765 | ) | ||||||||
Class L | (66,160 | ) | (32,083 | ) | — | — | ||||||||||
Class R2 | (2,275 | ) | (1,612 | ) | (1 | ) | (7 | ) | ||||||||
Class R3 | (511 | ) | (220 | ) | (28 | ) | (227 | ) | ||||||||
Class R4 | (280 | ) | (139 | ) | (22 | ) | (104 | ) | ||||||||
Class R5 | (1,892 | ) | (807 | ) | (1,585 | ) | (9,535 | ) | ||||||||
Class R6 | (204,601 | ) | (90,416 | ) | (2,200 | ) | (9,154 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (382,413 | ) | (173,246 | ) | (4,015 | ) | (20,084 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,249,938 | 692,836 | (182,906 | ) | (22,685 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 2,883,032 | 1,083,487 | 16,325 | (99,683 | ) | |||||||||||
Beginning of period | 3,960,153 | 2,876,666 | 349,861 | 449,544 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,843,185 | $ | 3,960,153 | $ | 366,186 | $ | 349,861 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 63 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Small Cap Value Fund | JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 10,567 | $ | 13,687 | $ | 844 | $ | 3,435 | ||||||||
Net realized gain (loss) | 240,791 | (12,093 | ) | 95,024 | 36,663 | |||||||||||
Change in net unrealized appreciation/depreciation | 418,485 | (200,038 | ) | 45,160 | (57,837 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 669,843 | (198,444 | ) | 141,028 | (17,739 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (808 | ) | (10,797 | ) | (6,204 | ) | (21,131 | ) | ||||||||
Class C | (36 | ) | (1,133 | ) | (1,102 | ) | (5,115 | ) | ||||||||
Class I | (1,091 | ) | (14,242 | ) | (5,432 | ) | (17,337 | ) | ||||||||
Class R2 | (132 | ) | (2,111 | ) | — | — | ||||||||||
Class R3 | (77 | ) | (926 | ) | (80 | ) | (1,616 | ) | ||||||||
Class R4 | (96 | ) | (6 | ) | (23 | ) | (132 | ) | ||||||||
Class R5 | (311 | ) | (2,678 | ) | — | — | ||||||||||
Class R6 | (6,855 | ) | (51,882 | ) | (2,861 | ) | (9,366 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (9,406 | ) | (83,775 | ) | (15,702 | ) | (54,697 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (105,572 | ) | (315,490 | ) | (96,215 | ) | (66,132 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 554,865 | (597,709 | ) | 29,111 | (138,568 | ) | ||||||||||
Beginning of period | 955,573 | 1,553,282 | 390,665 | 529,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,510,438 | $ | 955,573 | $ | 419,776 | $ | 390,665 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Small Company Fund | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 2,715 | $ | 6,022 | ||||
Net realized gain (loss) | 260,464 | (2,410 | ) | |||||
Change in net unrealized appreciation/depreciation | 220,992 | (106,057 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 484,171 | (102,445 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (3,058 | ) | (357 | ) | ||||
Class C | (541 | ) | (14 | ) | ||||
Class I | (5,378 | ) | (1,438 | ) | ||||
Class L | (9,176 | ) | (3,033 | ) | ||||
Class R2 | (1,049 | ) | (20 | ) | ||||
Class R3 | (854 | ) | (95 | ) | ||||
Class R4 | (302 | ) | (52 | ) | ||||
Class R5 | (260 | ) | (50 | ) | ||||
Class R6 | (9,828 | ) | (3,261 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (30,446 | ) | (8,320 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | (211,849 | ) | (382,146 | ) | ||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 241,876 | (492,911 | ) | |||||
Beginning of period | 900,036 | 1,392,947 | ||||||
|
|
|
| |||||
End of period | $ | 1,141,912 | $ | 900,036 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 65 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 109,217 | $ | 54,866 | $ | 116,722 | $ | 313,626 | ||||||||
Distributions reinvested | 3,248 | 3,607 | 21,887 | 38,275 | ||||||||||||
Cost of shares redeemed | (38,093 | ) | (37,184 | ) | (216,836 | ) | (415,845 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 74,372 | 21,289 | (78,227 | ) | (63,944 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 6,513 | 10,538 | 1,644 | 2,175 | ||||||||||||
Distributions reinvested | 247 | 347 | 3,552 | 6,552 | ||||||||||||
Cost of shares redeemed | (25,040 | ) | (22,645 | ) | (26,763 | ) | (27,646 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (18,280 | ) | (11,760 | ) | (21,567 | ) | (18,919 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 169,692 | 102,711 | 1,268,974 | 1,699,465 | ||||||||||||
Distributions reinvested | 4,096 | 3,883 | 103,830 | 138,087 | ||||||||||||
Cost of shares redeemed | (67,324 | ) | (62,751 | ) | (1,754,116 | ) | (1,065,103 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 106,464 | 43,843 | (381,312 | ) | 772,449 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | — | — | 2,319 | 3,031 | ||||||||||||
Distributions reinvested | — | — | 185 | 325 | ||||||||||||
Cost of shares redeemed | — | — | (3,904 | ) | (5,397 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | — | — | (1,400 | ) | (2,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | — | — | 2,006 | 1,095 | ||||||||||||
Distributions reinvested | — | — | 121 | 125 | ||||||||||||
Cost of shares redeemed | — | — | (731 | ) | (569 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | — | — | 1,396 | 651 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | — | — | 243 | 51 | ||||||||||||
Distributions reinvested | — | — | 17 | 23 | ||||||||||||
Cost of shares redeemed | — | — | (85 | ) | (60 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | — | — | 175 | 14 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | — | — | 221,138 | 152,763 | ||||||||||||
Distributions reinvested | — | — | 29,974 | 49,703 | ||||||||||||
Cost of shares redeemed | — | — | (327,115 | ) | (339,014 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | — | — | (76,003 | ) | (136,548 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 302,725 | 115,599 | 339,610 | 640,649 | ||||||||||||
Distributions reinvested | 4,922 | 3,542 | 55,129 | 72,408 | ||||||||||||
Cost of shares redeemed | (85,352 | ) | (33,378 | ) | (633,189 | ) | (379,561 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 222,295 | 85,763 | (238,450 | ) | 333,496 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 384,851 | $ | 139,135 | $ | (795,388 | ) | $ | 885,158 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Blend Fund | JPMorgan Small Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 4,214 | 2,893 | 2,112 | 6,782 | ||||||||||||
Reinvested | 132 | 177 | 386 | 760 | ||||||||||||
Redeemed | (1,553 | ) | (2,029 | ) | (3,794 | ) | (9,053 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,793 | 1,041 | (1,296 | ) | (1,511 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 399 | 854 | 40 | 64 | ||||||||||||
Reinvested | 16 | 27 | 90 | 184 | ||||||||||||
Redeemed | (1,662 | ) | (1,881 | ) | (671 | ) | (847 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (1,247 | ) | (1,000 | ) | (541 | ) | (599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 5,516 | 4,514 | 18,459 | 31,752 | ||||||||||||
Reinvested | 137 | 157 | 1,546 | 2,334 | ||||||||||||
Redeemed | (2,170 | ) | (2,879 | ) | (25,175 | ) | (20,362 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 3,483 | 1,792 | (5,170 | ) | 13,724 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 41 | 65 | ||||||||||||
Reinvested | — | — | 3 | 7 | ||||||||||||
Redeemed | — | — | (73 | ) | (120 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (29 | ) | (48 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | — | — | 36 | 25 | ||||||||||||
Reinvested | — | — | 2 | 2 | ||||||||||||
Redeemed | — | — | (13 | ) | (14 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | 25 | 13 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | — | — | 4 | 1 | ||||||||||||
Reinvested | — | — | — | (a) | — | (a) | ||||||||||
Redeemed | — | — | (1 | ) | (1 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 3 | — | (a) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | — | — | 3,280 | 2,800 | ||||||||||||
Reinvested | — | — | 444 | 837 | ||||||||||||
Redeemed | — | — | (5,033 | ) | (6,109 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | (1,309 | ) | (2,472 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 9,551 | 5,128 | 5,171 | 11,645 | ||||||||||||
Reinvested | 164 | 143 | 816 | 1,219 | ||||||||||||
Redeemed | (2,754 | ) | (1,520 | ) | (9,333 | ) | (7,061 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 6,961 | 3,751 | (3,346 | ) | 5,803 | |||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 67 |
Table of Contents
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 (formerly known as JPMorgan Small Cap Core Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 226,985 | $ | 180,131 | $ | 2,641 | $ | 1,151 | ||||||||
Distributions reinvested | 49,234 | 24,237 | 33 | 207 | ||||||||||||
Cost of shares redeemed | (213,049 | ) | (147,817 | ) | (2,091 | ) | (2,401 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 63,170 | 56,551 | 583 | (1,043 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 22,943 | 21,380 | 499 | 545 | ||||||||||||
Distributions reinvested | 8,216 | 4,812 | 2 | 85 | ||||||||||||
Cost of shares redeemed | (22,801 | ) | (25,261 | ) | (1,157 | ) | (813 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | 8,358 | 931 | (656 | ) | (183 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 643,102 | 288,209 | 18,383 | 13,956 | ||||||||||||
Distributions reinvested | 36,354 | 13,161 | 137 | 750 | ||||||||||||
Cost of shares redeemed | (316,881 | ) | (164,919 | ) | (7,491 | ) | (11,751 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 362,575 | 136,451 | 11,029 | 2,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | 393,659 | 272,538 | — | — | ||||||||||||
Distributions reinvested | 60,559 | 28,396 | — | — | ||||||||||||
Cost of shares redeemed | (391,534 | ) | (206,673 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | 62,684 | 94,261 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 8,101 | 4,229 | 205 | 43 | ||||||||||||
Distributions reinvested | 2,263 | 1,583 | 1 | 7 | ||||||||||||
Cost of shares redeemed | (12,138 | ) | (9,363 | ) | (32 | ) | (7 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | (1,774 | ) | (3,551 | ) | 174 | 43 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | 4,818 | 4,272 | 1,117 | 2,958 | ||||||||||||
Distributions reinvested | 511 | 220 | 28 | 226 | ||||||||||||
Cost of shares redeemed | (3,066 | ) | (812 | ) | (1,599 | ) | (2,501 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | 2,263 | 3,680 | (454 | ) | 683 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | 2,592 | 1,777 | 300 | 1,260 | ||||||||||||
Distributions reinvested | 280 | 138 | 22 | 104 | ||||||||||||
Cost of shares redeemed | (935 | ) | (653 | ) | (1,122 | ) | (780 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | 1,937 | 1,262 | (800 | ) | 584 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 28,791 | 10,790 | 24,419 | 34,515 | ||||||||||||
Distributions reinvested | 1,891 | 807 | 1,497 | 9,135 | ||||||||||||
Cost of shares redeemed | (20,888 | ) | (5,345 | ) | (85,948 | ) | (80,632 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | 9,794 | 6,252 | (60,032 | ) | (36,982 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 1,724,853 | 925,190 | 55,158 | 79,125 | ||||||||||||
Distributions reinvested | 202,471 | 89,486 | 2,200 | 9,153 | ||||||||||||
Cost of shares redeemed | (1,186,393 | ) | (617,677 | ) | (68,858 | ) | (77,020 | ) | ||||||||
Redemptions in-kind (See Note 8) | — | — | (121,250 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 740,931 | 396,999 | (132,750 | ) | 11,258 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,249,938 | $ | 692,836 | $ | (182,906 | ) | $ | (22,685 | ) | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Growth Fund | JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 9,382 | 10,856 | 43 | 28 | ||||||||||||
Reinvested | 2,008 | 1,419 | 1 | 4 | ||||||||||||
Redeemed | (8,756 | ) | (9,052 | ) | (37 | ) | (52 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2,634 | 3,223 | 7 | (20 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,419 | 1,896 | 9 | 11 | ||||||||||||
Reinvested | 521 | 419 | — | (a) | 2 | |||||||||||
Redeemed | (1,453 | ) | (2,281 | ) | (21 | ) | (19 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 487 | 34 | (12 | ) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 22,183 | 15,402 | 310 | 317 | ||||||||||||
Reinvested | 1,297 | 682 | 2 | 15 | ||||||||||||
Redeemed | (11,189 | ) | (9,213 | ) | (134 | ) | (282 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 12,291 | 6,871 | 178 | 50 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Issued | 13,537 | 14,183 | — | — | ||||||||||||
Reinvested | 2,077 | 1,419 | — | — | ||||||||||||
Redeemed | (13,475 | ) | (10,894 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | 2,139 | 4,708 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 351 | 269 | 3 | 1 | ||||||||||||
Reinvested | 97 | 97 | — | (a) | — | (a) | ||||||||||
Redeemed | (538 | ) | (588 | ) | — | (a) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (90 | ) | (222 | ) | 3 | 1 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | 194 | 253 | 18 | 63 | ||||||||||||
Reinvested | 21 | 13 | 1 | 4 | ||||||||||||
Redeemed | (134 | ) | (49 | ) | (29 | ) | (54 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | 81 | 217 | (10 | ) | 13 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | 103 | 102 | 6 | 28 | ||||||||||||
Reinvested | 11 | 8 | — | (a) | 2 | |||||||||||
Redeemed | (39 | ) | (38 | ) | (19 | ) | (19 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | 75 | 72 | (13 | ) | 11 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 961 | 551 | 405 | 762 | ||||||||||||
Reinvested | 65 | 41 | 26 | 177 | ||||||||||||
Redeemed | (720 | ) | (279 | ) | (1,543 | ) | (1,730 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 306 | 313 | (1,112 | ) | (791 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 58,986 | 47,492 | 903 | 1,648 | ||||||||||||
Reinvested | 6,844 | 4,411 | 38 | 177 | ||||||||||||
Redeemed | (40,499 | ) | (31,625 | ) | (1,256 | ) | (1,769 | ) | ||||||||
Redemptions in-kind (See Note 8) | — | — | (1,716 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 25,331 | 20,278 | (2,031 | ) | 56 | |||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 69 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Small Cap Value Fund | JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 49,559 | $ | 24,245 | $ | 16,743 | $ | 13,822 | ||||||||
Distributions reinvested | 774 | 10,115 | 5,947 | 19,511 | ||||||||||||
Cost of shares redeemed | (56,424 | ) | (67,548 | ) | (54,402 | ) | (54,915 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | (6,091 | ) | (33,188 | ) | (31,712 | ) | (21,582 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 2,231 | 527 | 2,308 | 1,393 | ||||||||||||
Distributions reinvested | 36 | 1,043 | 1,087 | 4,865 | ||||||||||||
Cost of shares redeemed | (7,075 | ) | (6,896 | ) | (15,962 | ) | (14,460 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (4,808 | ) | (5,326 | ) | (12,567 | ) | (8,202 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 96,130 | 61,608 | 48,166 | 28,647 | ||||||||||||
Distributions reinvested | 1,087 | 14,229 | 4,871 | 15,360 | ||||||||||||
Cost of shares redeemed | (82,207 | ) | (175,602 | ) | (65,680 | ) | (89,816 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 15,010 | (99,765 | ) | (12,643 | ) | (45,809 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 9,353 | 8,711 | — | — | ||||||||||||
Distributions reinvested | 131 | 2,053 | — | — | ||||||||||||
Cost of shares redeemed | (16,674 | ) | (14,418 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | (7,190 | ) | (3,654 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | 4,769 | 5,318 | 1,963 | 3,971 | ||||||||||||
Distributions reinvested | 76 | 926 | 67 | 1,599 | ||||||||||||
Cost of shares redeemed | (5,501 | ) | (7,200 | ) | (15,471 | ) | (6,383 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | (656 | ) | (956 | ) | (13,441 | ) | (813 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | 25,934 | 767 | 704 | 296 | ||||||||||||
Distributions reinvested | 96 | 6 | 14 | 105 | ||||||||||||
Cost of shares redeemed | (7,334 | ) | (740 | ) | (350 | ) | (966 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | 18,696 | 33 | 368 | (565 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 19,782 | 9,383 | — | — | ||||||||||||
Distributions reinvested | 304 | 2,524 | — | — | ||||||||||||
Cost of shares redeemed | (14,144 | ) | (41,707 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | 5,942 | (29,800 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 186,228 | 151,215 | 19,198 | 27,441 | ||||||||||||
Distributions reinvested | 6,855 | 51,882 | 2,455 | 7,917 | ||||||||||||
Cost of shares redeemed | (319,558 | ) | (345,931 | ) | (47,873 | ) | (24,519 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | (126,475 | ) | (142,834 | ) | (26,220 | ) | 10,839 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (105,572 | ) | $ | (315,490 | ) | $ | (96,215 | ) | $ | (66,132 | ) | ||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Small Cap Value Fund | JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,824 | 1,212 | 908 | 834 | ||||||||||||
Reinvested | 34 | 431 | 325 | 1,108 | ||||||||||||
Redeemed | (2,275 | ) | (3,143 | ) | (3,013 | ) | (3,212 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (417 | ) | (1,500 | ) | (1,780 | ) | (1,270 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 96 | 34 | 151 | 107 | ||||||||||||
Reinvested | 2 | 56 | 77 | 355 | ||||||||||||
Redeemed | (402 | ) | (404 | ) | (1,122 | ) | (1,090 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (304 | ) | (314 | ) | (894 | ) | (628 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 3,161 | 2,798 | 2,431 | 1,604 | ||||||||||||
Reinvested | 43 | 565 | 246 | 810 | ||||||||||||
Redeemed | (3,109 | ) | (8,060 | ) | (3,338 | ) | (4,928 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 95 | (4,697 | ) | (661 | ) | (2,514 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 359 | 442 | — | — | ||||||||||||
Reinvested | 6 | 88 | — | — | ||||||||||||
Redeemed | (636 | ) | (711 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (271 | ) | (181 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | 179 | 258 | 116 | 235 | ||||||||||||
Reinvested | 3 | 40 | 3 | 91 | ||||||||||||
Redeemed | (205 | ) | (364 | ) | (833 | ) | (360 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | (23 | ) | (66 | ) | (714 | ) | (34 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | 1,037 | 39 | 32 | 18 | ||||||||||||
Reinvested | 3 | — | (a) | 1 | 6 | |||||||||||
Redeemed | (237 | ) | (33 | ) | (17 | ) | (52 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | 803 | 6 | 16 | (28 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 671 | 416 | — | — | ||||||||||||
Reinvested | 12 | 101 | — | — | ||||||||||||
Redeemed | (537 | ) | (1,734 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 146 | (1,217 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 6,644 | 7,059 | 949 | 1,545 | ||||||||||||
Reinvested | 268 | 2,072 | 124 | 416 | ||||||||||||
Redeemed | (11,393 | ) | (14,571 | ) | (2,404 | ) | (1,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (4,481 | ) | (5,440 | ) | (1,331 | ) | 584 | |||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 71 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan U.S. Small Company Fund | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 55,915 | $ | 19,360 | ||||
Distributions reinvested | 2,798 | 328 | ||||||
Cost of shares redeemed | (68,028 | ) | (53,824 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | (9,315 | ) | (34,136 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | 2,161 | 1,325 | ||||||
Distributions reinvested | 532 | 13 | ||||||
Cost of shares redeemed | (7,639 | ) | (9,632 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | (4,946 | ) | (8,294 | ) | ||||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | 85,814 | 54,409 | ||||||
Distributions reinvested | 5,201 | 1,403 | ||||||
Cost of shares redeemed | (119,766 | ) | (148,125 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | (28,751 | ) | (92,313 | ) | ||||
|
|
|
| |||||
Class L | ||||||||
Proceeds from shares issued | 37,196 | 180,077 | ||||||
Distributions reinvested | 6,808 | 2,129 | ||||||
Cost of shares redeemed | (166,460 | ) | (262,774 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class L capital transactions | (122,456 | ) | (80,568 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | 9,338 | 7,181 | ||||||
Distributions reinvested | 1,022 | 18 | ||||||
Cost of shares redeemed | (13,958 | ) | (18,727 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | (3,598 | ) | (11,528 | ) | ||||
|
|
|
| |||||
Class R3 | ||||||||
Proceeds from shares issued | 11,021 | 7,420 | ||||||
Distributions reinvested | 799 | 85 | ||||||
Cost of shares redeemed | (10,861 | ) | (6,924 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R3 capital transactions | 959 | 581 | ||||||
|
|
|
| |||||
Class R4 | ||||||||
Proceeds from shares issued | 1,900 | 3,577 | ||||||
Distributions reinvested | 302 | 52 | ||||||
Cost of shares redeemed | (3,141 | ) | (1,334 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R4 capital transactions | (939 | ) | 2,295 | |||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | 2,149 | 2,217 | ||||||
Distributions reinvested | 151 | 33 | ||||||
Cost of shares redeemed | (2,583 | ) | (7,177 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | (283 | ) | (4,927 | ) | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | 84,216 | 69,664 | ||||||
Distributions reinvested | 9,563 | 3,215 | ||||||
Cost of shares redeemed | (136,299 | ) | (226,135 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | (42,520 | ) | (153,256 | ) | ||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (211,849 | ) | $ | (382,146 | ) | ||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Small Company Fund | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
SHARE TRANSACTIONS: | ||||||||
Class A | ||||||||
Issued | 3,069 | 1,287 | ||||||
Reinvested | 144 | 19 | ||||||
Redeemed | (3,862 | ) | (3,461 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (649 | ) | (2,155 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 111 | 93 | ||||||
Reinvested | 29 | 1 | ||||||
Redeemed | (434 | ) | (673 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (294 | ) | (579 | ) | ||||
|
|
|
| |||||
Class I | ||||||||
Issued | 4,362 | 3,533 | ||||||
Reinvested | 260 | 79 | ||||||
Redeemed | (6,239 | ) | (9,733 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | (1,617 | ) | (6,121 | ) | ||||
|
|
|
| |||||
Class L | ||||||||
Issued | 1,810 | 11,011 | ||||||
Reinvested | 341 | 120 | ||||||
Redeemed | (8,888 | ) | (17,742 | ) | ||||
|
|
|
| |||||
Change in Class L Shares | (6,737 | ) | (6,611 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 455 | 493 | ||||||
Reinvested | 54 | 1 | ||||||
Redeemed | (706 | ) | (1,228 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | (197 | ) | (734 | ) | ||||
|
|
|
| |||||
Class R3 | ||||||||
Issued | 537 | 507 | ||||||
Reinvested | 42 | 5 | ||||||
Redeemed | (563 | ) | (460 | ) | ||||
|
|
|
| |||||
Change in Class R3 Shares | 16 | 52 | ||||||
|
|
|
| |||||
Class R4 | ||||||||
Issued | 90 | 226 | ||||||
Reinvested | 15 | 3 | ||||||
Redeemed | (153 | ) | (86 | ) | ||||
|
|
|
| |||||
Change in Class R4 Shares | (48 | ) | 143 | |||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 102 | 137 | ||||||
Reinvested | 8 | 2 | ||||||
Redeemed | (131 | ) | (432 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | (21 | ) | (293 | ) | ||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 3,937 | 4,527 | ||||||
Reinvested | 478 | 181 | ||||||
Redeemed | (6,755 | ) | (14,475 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | (2,340 | ) | (9,767 | ) | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 73 |
Table of Contents
FOR THE PERIODS INDICATED
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Blend Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 22.03 | (0.20 | ) | 7.54 | 7.34 | — | (2.72 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 19.14 | (0.16 | ) | 6.24 | 6.08 | — | (3.19 | ) | (3.19 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 17.12 | (0.24 | ) | 5.73 | 5.49 | — | (2.72 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.58 | (0.21 | ) | 4.94 | 4.73 | — | (3.19 | ) | (3.19 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 24.83 | (0.15 | ) | 8.57 | 8.42 | — | (2.72 | ) | (2.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 21.17 | (0.12 | ) | 6.97 | 6.85 | — | (3.19 | ) | (3.19 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
26.65 | 35.55 | 85,586 | 1.24 | (0.81 | ) | 1.36 | 89 | |||||||||||||||||||
22.03 | 34.99 | 66,189 | 1.25 | (0.78 | ) | 1.48 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
19.89 | 34.88 | 40,470 | 1.74 | (1.31 | ) | 1.83 | 89 | |||||||||||||||||||
17.12 | 34.25 | 36,707 | 1.74 | (1.28 | ) | 2.04 | 41 | |||||||||||||||||||
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 | ||||||||||||||||||||
30.53 | 35.91 | 92,701 | 0.99 | (0.56 | ) | 1.08 | 89 | |||||||||||||||||||
24.83 | 35.29 | 67,496 | 1.00 | (0.53 | ) | 1.18 | 41 | |||||||||||||||||||
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.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 75 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Equity Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.63 | 0.10 | 6.67 | 6.77 | (0.10 | ) | (2.87 | ) | (2.97 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 41.68 | 0.11 | 8.21 | 8.32 | (0.12 | ) | (1.25 | ) | (1.37 | ) | ||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.07 | (0.12 | ) | 5.04 | 4.92 | — | (2.87 | ) | (2.87 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 32.21 | (0.09 | ) | 6.31 | 6.22 | (0.11 | ) | (1.25 | ) | (1.36 | ) | |||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.69 | 0.26 | 7.67 | 7.93 | (0.23 | ) | (2.87 | ) | (3.10 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 47.50 | 0.28 | 9.37 | 9.65 | (0.21 | ) | (1.25 | ) | (1.46 | ) | ||||||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.81 | (0.03 | ) | 6.55 | 6.52 | (0.02 | ) | (2.87 | ) | (2.89 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 41.08 | — | (f) | 8.08 | 8.08 | (0.10 | ) | (1.25 | ) | (1.35 | ) | |||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.54 | 0.12 | 6.63 | 6.75 | (0.29 | ) | (2.87 | ) | (3.16 | ) | ||||||||||||||||||
September 9, 2016 (h) through June 30, 2017 | 43.22 | 0.12 | 6.68 | 6.80 | (0.23 | ) | (1.25 | ) | (1.48 | ) | ||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.64 | 0.33 | 7.59 | 7.92 | (0.27 | ) | (2.87 | ) | (3.14 | ) | ||||||||||||||||||
September 9, 2016 (h) through June 30, 2017 | 49.28 | 0.23 | 7.63 | 7.86 | (0.25 | ) | (1.25 | ) | (1.50 | ) |
(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 earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Amount rounds to less than 0.005%. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
52.43 | 14.33 | 1,095,395 | 1.24 | 0.19 | 1.26 | 17 | ||||||||||||||||||||
48.63 | 20.14 | 1,135,394 | 1.29 | 0.24 | 1.35 | 21 | ||||||||||||||||||||
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 | |||||||||||||||||||
39.12 | 13.76 | 143,030 | 1.74 | (0.32 | ) | 1.76 | 17 | |||||||||||||||||||
37.07 | 19.53 | 171,352 | 1.79 | (0.25 | ) | 1.84 | 21 | |||||||||||||||||||
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 | ||||||||||||||||||||
60.52 | 14.61 | 2,868,739 | 0.98 | 0.45 | 1.00 | 17 | ||||||||||||||||||||
55.69 | 20.50 | 2,722,213 | 0.99 | 0.54 | 1.07 | 21 | ||||||||||||||||||||
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 | 0.00 | (g) | 1.52 | 23 | |||||||||||||||||||
51.44 | 14.02 | 12,133 | 1.49 | (0.06 | ) | 1.52 | 17 | |||||||||||||||||||
47.81 | 19.85 | 13,078 | 1.53 | 0.00 | (g) | 1.73 | 21 | |||||||||||||||||||
64.53 | 46.66 | 5,829 | 1.23 | 0.00 | (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 | ||||||||||||||||||||
52.13 | 14.33 | 2,542 | 1.23 | 0.24 | 1.30 | 17 | ||||||||||||||||||||
48.54 | 15.92 | 104 | 1.24 | 0.32 | 1.36 | 21 | ||||||||||||||||||||
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 | ||||||||||||||||||||
60.42 | 14.61 | 624 | 0.98 | 0.57 | 1.07 | 17 | ||||||||||||||||||||
55.64 | 16.14 | 60 | 0.99 | 0.55 | 1.14 | 21 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 77 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Equity Fund (continued) | ||||||||||||||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.84 | 0.37 | 7.70 | 8.07 | (0.35 | ) | (2.87 | ) | (3.22 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 47.57 | 0.36 | 9.42 | 9.78 | (0.26 | ) | (1.25 | ) | (1.51 | ) | ||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 55.83 | 0.41 | 7.69 | 8.10 | (0.38 | ) | (2.87 | ) | (3.25 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 47.57 | 0.46 | 9.34 | 9.80 | (0.29 | ) | (1.25 | ) | (1.54 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
60.69 | 14.83 | 1,255,251 | 0.79 | 0.64 | 0.85 | 17 | ||||||||||||||||||||
55.84 | 20.74 | 1,267,593 | 0.79 | 0.68 | 0.86 | 21 | ||||||||||||||||||||
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 | ||||||||||||||||||||
60.68 | 14.89 | 1,450,525 | 0.73 | 0.71 | 0.75 | 17 | ||||||||||||||||||||
55.83 | 20.80 | 978,649 | 0.74 | 0.85 | 0.76 | 21 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 79 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 14.81 | (0.14 | )(f) | 5.11 | 4.97 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 11.43 | (0.10 | ) | 3.94 | 3.84 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 11.23 | (0.16 | )(f) | 3.81 | 3.65 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 8.82 | (0.13 | ) | 3.00 | 2.87 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.18 | (0.11 | )(f) | 5.61 | 5.50 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.42 | (0.07 | ) | 4.29 | 4.22 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.60 | (0.08 | )(f) | 5.76 | 5.68 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.72 | (0.05 | ) | 4.39 | 4.34 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 14.39 | (0.17 | )(f) | 4.95 | 4.78 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 11.15 | (0.13 | ) | 3.83 | 3.70 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 15.17 | (0.13 | )(f) | 4.74 | 4.61 | — | (1.33 | ) | (1.33 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
18.45 | 35.14 | 337,933 | 1.24 | (0.83 | )(f) | 1.29 | 58 | |||||||||||||||||||
14.81 | 34.36 | 196,403 | 1.24 | (0.75 | ) | 1.40 | 42 | |||||||||||||||||||
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 | |||||||||||||||||||
13.55 | 34.56 | 43,116 | 1.74 | (1.32 | )(f) | 1.77 | 58 | |||||||||||||||||||
11.23 | 33.51 | 20,352 | 1.74 | (1.25 | ) | 1.85 | 42 | |||||||||||||||||||
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 | |||||||||||||||||||
20.35 | 35.45 | 268,082 | 0.99 | (0.57 | )(f) | 1.02 | 58 | |||||||||||||||||||
16.18 | 34.69 | 110,644 | 1.00 | (0.50 | ) | 1.12 | 42 | |||||||||||||||||||
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 | |||||||||||||||||||
20.95 | 35.65 | 434,286 | 0.84 | (0.43 | )(f) | 0.86 | 58 | |||||||||||||||||||
16.60 | 34.82 | 360,044 | 0.85 | (0.35 | ) | 0.93 | 42 | |||||||||||||||||||
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 | |||||||||||||||||||
17.84 | 34.83 | 31,569 | 1.49 | (1.08 | )(f) | 1.52 | 58 | |||||||||||||||||||
14.39 | 33.96 | 23,569 | 1.49 | (1.00 | ) | 1.70 | 42 | |||||||||||||||||||
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 | |||||||||||||||||||
18.45 | 31.93 | 446 | 1.23 | (0.80 | )(f) | 1.28 | 58 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 81 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Growth Fund (continued) | ||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 15.17 | (0.09 | )(f) | 4.75 | 4.66 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.60 | (0.07 | )(f) | 5.76 | 5.69 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 13.75 | (0.04 | ) | 3.35 | 3.31 | — | (0.46 | ) | (0.46 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.73 | (0.06 | )(f) | 5.82 | 5.76 | — | (1.33 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.80 | (0.04 | ) | 4.43 | 4.39 | — | (0.46 | ) | (0.46 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
18.50 | 32.28 | 726 | 0.99 | (0.53 | )(f) | 1.17 | 58 | |||||||||||||||||||
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 | |||||||||||||||||||
20.96 | 35.71 | 28,656 | 0.84 | (0.37 | )(f) | 0.88 | 58 | |||||||||||||||||||
16.60 | 24.72 | 1,186 | 0.82 | (0.31 | ) | 0.84 | 42 | |||||||||||||||||||
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 | |||||||||||||||||||
21.16 | 35.86 | 1,045,098 | 0.74 | (0.32 | )(f) | 0.76 | 58 | |||||||||||||||||||
16.73 | 34.99 | 603,730 | 0.75 | (0.25 | ) | 0.76 | 42 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 83 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.32 | 0.04 | (f) | 9.19 | 9.23 | (0.01 | ) | (4.38 | ) | (4.39 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 45.88 | (0.04 | ) | 11.81 | 11.77 | (0.20 | ) | (5.13 | ) | (5.33 | ) | |||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.14 | (0.24 | )(f) | 9.15 | 8.91 | — | (4.38 | ) | (4.38 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 45.86 | (0.24 | ) | 11.74 | 11.50 | (0.09 | ) | (5.13 | ) | (5.22 | ) | |||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.58 | 0.17 | (f) | 9.24 | 9.41 | (0.17 | ) | (4.38 | ) | (4.55 | ) | |||||||||||||||||
January 3, 2017 (g) through June 30, 2017 | 50.44 | 0.07 | 2.07 | 2.14 | — | — | — | |||||||||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 53.24 | (0.08 | )(f) | 8.58 | 8.50 | (0.04 | ) | (4.38 | ) | (4.42 | ) | |||||||||||||||||
Class R3 |
| |||||||||||||||||||||||||||
Year Ended June 30, 2021 | 42.23 | — | (h) | 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 | ) | ||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 53.24 | 0.05 | (f) | 8.58 | 8.63 | (0.09 | ) | (4.38 | ) | (4.47 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
(h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
57.16 | 18.37 | 4,624 | 1.24 | 0.07 | (f) | 1.41 | 39 | |||||||||||||||||||
52.32 | 26.29 | 2,203 | 1.24 | (0.07 | ) | 1.45 | 61 | |||||||||||||||||||
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 | ||||||||||||||||||
56.67 | 17.79 | 1,816 | 1.74 | (0.45 | )(f) | 1.90 | 39 | |||||||||||||||||||
52.14 | 25.68 | 1,017 | 1.74 | (0.47 | ) | 1.96 | 61 | |||||||||||||||||||
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 | |||||||||||||||||||
57.44 | 18.64 | 15,557 | 0.99 | 0.32 | (f) | 1.12 | 39 | |||||||||||||||||||
52.58 | 4.24 | 3,545 | 0.99 | 0.26 | 1.21 | 61 | ||||||||||||||||||||
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 | |||||||||||||||||||
57.32 | 16.67 | 24 | 1.49 | (0.15 | )(f) | 1.72 | 39 | |||||||||||||||||||
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 | |||||||||||||||||||
57.40 | 16.94 | 24 | 1.24 | 0.10 | (f) | 1.46 | 39 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 85 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (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 (formerly known as JPMorgan Small Cap Core Fund) (continued) |
| |||||||||||||||||||||||||||
Class R4 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 53.24 | 0.18 | (f) | 8.58 | 8.76 | (0.14 | ) | (4.38 | ) | (4.52 | ) | |||||||||||||||||
Class R5 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.64 | 0.26 | (f) | 9.28 | 9.54 | (0.17 | ) | (4.38 | ) | (4.55 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 45.90 | 0.20 | 11.83 | 12.03 | (0.16 | ) | (5.13 | ) | (5.29 | ) | ||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 52.57 | 0.33 | (f) | 9.23 | 9.56 | (0.20 | ) | (4.38 | ) | (4.58 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 45.90 | 0.29 | 11.76 | 12.05 | (0.25 | ) | (5.13 | ) | (5.38 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
57.48 | 17.21 | 1,536 | 0.99 | 0.36 | (f) | 1.11 | 39 | |||||||||||||||||||
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 | |||||||||||||||||||
57.63 | 18.88 | 223,933 | 0.79 | 0.48 | (f) | 0.97 | 39 | |||||||||||||||||||
52.64 | 26.87 | 187,198 | 0.79 | 0.40 | 1.11 | 61 | ||||||||||||||||||||
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 | |||||||||||||||||||
57.55 | 18.95 | 66,306 | 0.74 | 0.59 | (f) | 0.86 | 39 | |||||||||||||||||||
52.57 | 26.94 | 16,782 | 0.74 | 0.56 | 0.98 | 61 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 87 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 29.18 | 0.20 | (f) | 3.01 | 3.21 | (0.23 | ) | (1.74 | ) | (1.97 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 24.64 | 0.11 | (f) | 4.58 | 4.69 | (0.13 | ) | (0.02 | ) | (0.15 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 24.55 | 0.04 | (f) | 2.50 | 2.54 | (0.14 | ) | (1.74 | ) | (1.88 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 20.82 | (0.05 | )(f) | 3.87 | 3.82 | (0.07 | ) | (0.02 | ) | (0.09 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.80 | 0.30 | (f) | 3.18 | 3.48 | (0.29 | ) | (1.74 | ) | (2.03 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 25.97 | 0.20 | (f) | 4.81 | 5.01 | (0.16 | ) | (0.02 | ) | (0.18 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 28.94 | 0.12 | (f) | 2.98 | 3.10 | (0.17 | ) | (1.74 | ) | (1.91 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 24.48 | 0.04 | (f) | 4.53 | 4.57 | (0.09 | ) | (0.02 | ) | (0.11 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 29.14 | 0.20 | (f) | 3.01 | 3.21 | (0.23 | ) | (1.74 | ) | (1.97 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 25.89 | 0.12 | (f) | 3.31 | 3.43 | (0.16 | ) | (0.02 | ) | (0.18 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 32.06 | 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 | |||||||||||||||||||
30.42 | 11.41 | 336,054 | 1.24 | 0.67 | (f) | 1.30 | 39 | |||||||||||||||||||
29.18 | 19.01 | 518,464 | 1.24 | 0.39 | (f) | 1.44 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
25.21 | 10.80 | 25,885 | 1.75 | 0.14 | (f) | 1.78 | 39 | |||||||||||||||||||
24.55 | 18.32 | 40,349 | 1.85 | (0.21 | )(f) | 1.86 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
32.25 | 11.70 | 336,366 | 0.99 | 0.96 | (f) | 1.01 | 39 | |||||||||||||||||||
30.80 | 19.30 | 344,875 | 0.99 | 0.67 | (f) | 1.11 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
30.13 | 11.12 | 45,300 | 1.52 | 0.41 | (f) | 1.63 | 39 | |||||||||||||||||||
28.94 | 18.68 | 60,282 | 1.52 | 0.14 | (f) | 1.75 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
30.38 | 11.42 | 12,948 | 1.25 | 0.67 | (f) | 1.29 | 39 | |||||||||||||||||||
29.14 | 13.24 | 13,390 | 1.27 | 0.53 | (f) | 1.28 | 41 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 89 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Small Cap Value Fund (continued) | ||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.77 | 0.32 | (f) | 3.14 | 3.46 | (0.28 | ) | (1.74 | ) | (2.02 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 27.30 | 0.18 | (f) | 3.49 | 3.67 | (0.18 | ) | (0.02 | ) | (0.20 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.80 | 0.35 | (f) | 3.17 | 3.52 | (0.32 | ) | (1.74 | ) | (2.06 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 25.97 | 0.23 | (f) | 4.81 | 5.04 | (0.19 | ) | (0.02 | ) | (0.21 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 30.83 | 0.38 | (f) | 3.18 | 3.56 | (0.35 | ) | (1.74 | ) | (2.09 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 25.99 | 0.27 | (f) | 4.82 | 5.09 | (0.23 | ) | (0.02 | ) | (0.25 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
32.21 | 11.65 | 102 | 1.01 | 1.03 | (f) | 1.27 | 39 | |||||||||||||||||||
30.77 | 13.44 | 39 | 1.06 | 0.75 | (f) | 1.10 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
32.26 | 11.85 | 131,506 | 0.84 | 1.11 | (f) | 0.87 | 39 | |||||||||||||||||||
30.80 | 19.43 | 130,338 | 0.88 | 0.77 | (f) | 0.89 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
32.30 | 11.97 | 1,040,121 | 0.74 | 1.21 | (f) | 0.76 | 39 | |||||||||||||||||||
30.83 | 19.59 | 1,007,466 | 0.76 | 0.90 | (f) | 0.76 | 41 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 91 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 22.11 | 0.15 | 2.29 | 2.44 | (0.13 | ) | (1.66 | ) | (1.79 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 19.48 | 0.08 | 2.62 | 2.70 | (0.07 | ) | — | (f) | (0.07 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||
Year Ended June 30, 2018 | 18.90 | 0.04 | 1.96 | 2.00 | (0.01 | ) | (1.66 | ) | (1.67 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 16.72 | (0.04 | ) | 2.24 | 2.20 | (0.02 | ) | — | (f) | (0.02 | ) | |||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 23.22 | 0.22 | 2.41 | 2.63 | (0.18 | ) | (1.66 | ) | (1.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 20.43 | 0.14 | 2.75 | 2.89 | (0.10 | ) | — | (f) | (0.10 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 22.08 | 0.13 | 2.32 | 2.45 | (0.17 | ) | (1.66 | ) | (1.83 | ) | ||||||||||||||||||
September 9, 2016 (h) through June 30, 2017 | 19.97 | 0.11 | 2.09 | 2.20 | (0.09 | ) | — | (f) | (0.09 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 23.20 | 0.19 | 2.44 | 2.63 | (0.22 | ) | (1.66 | ) | (1.88 | ) | ||||||||||||||||||
September 9, 2016 (h) through June 30, 2017 | 20.95 | 0.12 | 2.24 | 2.36 | (0.11 | ) | — | (f) | (0.11 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 23.25 | 0.27 | 2.42 | 2.69 | (0.24 | ) | (1.66 | ) | (1.90 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 20.42 | 0.19 | 2.76 | 2.95 | (0.12 | ) | — | (f) | (0.12 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Amount rounds to less than 0.005%. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 21.12 | 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 | ||||||||||||||||||||
22.76 | 11.18 | 314,171 | 1.14 | 0.65 | 1.29 | 62 | ||||||||||||||||||||
22.11 | 13.91 | 304,927 | 1.14 | 0.40 | 1.38 | 70 | ||||||||||||||||||||
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 | 0.00 | (g) | 1.79 | 82 | |||||||||||||||||||
19.23 | 10.69 | 62,925 | 1.64 | 0.18 | 1.78 | 62 | ||||||||||||||||||||
18.90 | 13.20 | 81,761 | 1.74 | (0.21 | ) | 1.87 | 70 | |||||||||||||||||||
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 | ||||||||||||||||||||
24.01 | 11.47 | 296,876 | 0.89 | 0.91 | 1.02 | 62 | ||||||||||||||||||||
23.22 | 14.17 | 310,316 | 0.89 | 0.65 | 1.11 | 70 | ||||||||||||||||||||
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 | ||||||||||||||||||||
22.70 | 11.22 | 13,823 | 1.14 | 0.59 | 1.27 | 62 | ||||||||||||||||||||
22.08 | 11.07 | 8,854 | 1.15 | 0.64 | 1.34 | 70 | ||||||||||||||||||||
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 | ||||||||||||||||||||
23.95 | 11.46 | 1,157 | 0.89 | 0.80 | 1.11 | 62 | ||||||||||||||||||||
23.20 | 11.30 | 22 | 0.90 | 0.67 | 1.11 | 70 | ||||||||||||||||||||
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 | ||||||||||||||||||||
24.04 | 11.73 | 127,571 | 0.64 | 1.11 | 0.77 | 62 | ||||||||||||||||||||
23.25 | 14.52 | 183,859 | 0.65 | 0.86 | 0.77 | 70 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 93 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Small Company Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 18.10 | — | (f)(g) | 2.69 | 2.69 | — | (1.19 | ) | (1.19 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.09 | — | (f)(g) | 3.02 | 3.02 | (0.01 | ) | — | (f) | (0.01 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 17.40 | (0.09 | )(g) | 2.58 | 2.49 | — | (1.19 | ) | (1.19 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.57 | (0.08 | )(g) | 2.91 | 2.83 | — | — | (f) | — | (f) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.47 | 0.05 | (g) | 2.75 | 2.80 | (0.03 | ) | (1.19 | ) | (1.22 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 15.40 | 0.04 | (g) | 3.08 | 3.12 | (0.05 | ) | — | (f) | (0.05 | ) | |||||||||||||||||
Class L | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.46 | 0.08 | (g) | 2.76 | 2.84 | (0.06 | ) | (1.19 | ) | (1.25 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 15.39 | 0.08 | (g) | 3.08 | 3.16 | (0.09 | ) | — | (f) | (0.09 | ) | |||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 17.81 | (0.05 | )(g) | 2.65 | 2.60 | — | (1.19 | ) | (1.19 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.88 | (0.04 | )(g) | 2.97 | 2.93 | — | — | (f) | — | (f) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.03 | 0.01 | (g) | 2.68 | 2.69 | (0.03 | ) | (1.19 | ) | (1.22 | ) | |||||||||||||||||
September 9, 2016 (i) through June 30, 2017 | 16.02 | 0.04 | (g) | 2.04 | 2.08 | (0.07 | ) | — | (f) | (0.07 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(h) | Amount rounds to less than 0.005%. |
(i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 23.54 | 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 | |||||||||||||||||||
19.60 | 15.40 | 210,050 | 1.22 | 0.00 | (g)(h) | 1.23 | 52 | |||||||||||||||||||
18.10 | 20.04 | 244,958 | 1.25 | (0.01 | )(g) | 1.35 | 53 | |||||||||||||||||||
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 | ||||||||||||||||||
18.70 | 14.85 | 45,633 | 1.73 | (0.50 | )(g) | 1.73 | 52 | |||||||||||||||||||
17.40 | 19.43 | 49,946 | 1.75 | (0.51 | )(g) | 1.85 | 53 | |||||||||||||||||||
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 | |||||||||||||||||||
20.05 | 15.73 | 433,317 | 0.96 | 0.27 | (g) | 0.97 | 52 | |||||||||||||||||||
18.47 | 20.29 | 387,043 | 1.01 | 0.25 | (g) | 1.05 | 53 | |||||||||||||||||||
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 | |||||||||||||||||||
20.05 | 15.95 | 554,361 | 0.81 | 0.42 | (g) | 0.82 | 52 | |||||||||||||||||||
18.46 | 20.50 | 711,139 | 0.82 | 0.43 | (g) | 0.87 | 53 | |||||||||||||||||||
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 | ||||||||||||||||||
19.22 | 15.13 | 49,715 | 1.48 | (0.25 | )(g) | 1.48 | 52 | |||||||||||||||||||
17.81 | 19.70 | 51,511 | 1.50 | (0.24 | )(g) | 1.69 | 53 | |||||||||||||||||||
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 | |||||||||||||||||||
19.50 | 15.49 | 17,655 | 1.21 | 0.04 | (g) | 1.21 | 52 | |||||||||||||||||||
18.03 | 13.01 | 9,560 | 1.23 | 0.25 | (g) | 1.24 | 53 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 95 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Small Company Fund (continued) | ||||||||||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.44 | 0.05 | (g) | 2.75 | 2.80 | (0.07 | ) | (1.19 | ) | (1.26 | ) | |||||||||||||||||
September 9, 2016 (i) through June 30, 2017 | 16.36 | 0.13 | (g) | 2.04 | 2.17 | (0.09 | ) | — | (f) | (0.09 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.45 | 0.08 | (g) | 2.74 | 2.82 | (0.07 | ) | (1.19 | ) | (1.26 | ) | |||||||||||||||||
September 9, 2016 (i) through June 30, 2017 | 16.35 | 0.07 | (g) | 2.13 | 2.20 | (0.10 | ) | — | (f) | (0.10 | ) | |||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 18.48 | 0.10 | (g) | 2.76 | 2.86 | (0.08 | ) | (1.19 | ) | (1.27 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 15.40 | 0.10 | (g) | 3.08 | 3.18 | (0.10 | ) | — | (f) | (0.10 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
19.98 | 15.73 | 5,773 | 1.01 | 0.28 | (g) | 1.04 | 52 | |||||||||||||||||||
18.44 | 13.24 | 794 | 1.00 | 0.89 | (g) | 1.07 | 53 | |||||||||||||||||||
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 | |||||||||||||||||||
20.01 | 15.83 | 6,491 | 0.85 | 0.43 | (g) | 0.86 | 52 | |||||||||||||||||||
18.45 | 13.44 | 145 | 0.83 | 0.51 | (g) | 0.90 | 53 | |||||||||||||||||||
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 | |||||||||||||||||||
20.07 | 16.05 | 455,851 | 0.71 | 0.53 | (g) | 0.72 | 52 | |||||||||||||||||||
18.48 | 20.64 | 296,577 | 0.72 | 0.55 | (g) | 0.72 | 53 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 97 |
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AS OF JUNE 30, 2021
(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(1) | 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(2) | 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 |
(1) | Effective July 1, 2021, JPMorgan Small Cap Core Fund changed its name to JPMorgan Small Cap Sustainable Leaders Fund. |
(2) | Effective November 1, 2020, JPMorgan Intrepid Mid Cap Fund changed its name to JPMorgan SMID Cap Equity Fund. |
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.
Class L Shares of Small Cap Growth Fund and U.S. Small Company Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of the Funds unless they meet certain requirements as described in the Funds’ prospectus.
All share classes of Small Cap Equity Fund are publicly offered on a limited basis. Effective as of the close of business on February 5, 2021, all share classes of Small Cap Growth Fund are publicly offered on a limited basis. Investors are not eligible to purchase shares of the Funds unless they meet certain requirements as described in the Funds’ prospectuses.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“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
98 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations.
Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):
Small Cap Blend Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks | $ | 1,089,770 | $ | — | $ | — | $ | 1,089,770 | ||||||||
Rights | — | — | — | (a) | — | (a) | ||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 36,638 | — | — | 36,638 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 62,062 | — | — | 62,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 98,700 | — | — | 98,700 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,188,470 | $ | — | $ | — | (a) | $ | 1,188,470 | |||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 99 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (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) | $ | 8,686,587 | $ | — | $— | $ | 8,686,587 | |||||||||
|
|
|
|
|
|
|
|
(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 | |||||||||||||
Investments in Securities |
| |||||||||||||||
Common Stocks | $ | 6,688,103 | $ | — | $ | — | $ | 6,688,103 | ||||||||
Rights | — | — | — | (a) | — | (a) | ||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 176,586 | — | — | 176,586 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 522,156 | — | — | 522,156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 698,742 | — | — | 698,742 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 7,386,845 | $ | — | $—(a) | $ | 7,386,845 | |||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
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 | $ | 357,008 | $ | — | $ | — | $ | 357,008 | ||||||||
Rights | — | — | — | (a) | — | (a) | ||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 3,128 | — | — | 3,128 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 42,801 | — | — | 42,801 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 45,929 | — | — | 45,929 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 402,937 | $ | — | $ | — | (a) | $ | 402,937 | |||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | 1 | $ | — | $ | — | $ | 1 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 1,605,130 | $ | — | $ | — | $ | 1,605,130 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts (a) | $ | (547 | ) | $ | — | $ | — | $ | (547 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
100 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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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) | $ | 420,525 | $ | — | $— | $ | 420,525 | |||||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
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 | $ | 6,053 | $ | — | $ | — | $ | 6,053 | ||||||||
Air Freight & Logistics | 9,148 | — | — | 9,148 | ||||||||||||
Airlines | 4,598 | — | — | 4,598 | ||||||||||||
Auto Components | 6,198 | — | — | 6,198 | ||||||||||||
Automobiles | 204 | — | — | 204 | ||||||||||||
Banks | 79,787 | — | — | 79,787 | ||||||||||||
Biotechnology | 95,980 | — | — | 95,980 | ||||||||||||
Building Products | 7,093 | — | — | 7,093 | ||||||||||||
Capital Markets | 21,311 | — | — | 21,311 | ||||||||||||
Chemicals | 22,548 | — | — | 22,548 | ||||||||||||
Commercial Services & Supplies | 28,587 | — | — | 28,587 | ||||||||||||
Communications Equipment | 19,200 | — | — | 19,200 | ||||||||||||
Construction & Engineering | 42,227 | — | — | 42,227 | ||||||||||||
Construction Materials | 700 | — | — | 700 | ||||||||||||
Consumer Finance | 13,548 | — | — | 13,548 | ||||||||||||
Containers & Packaging | 2,879 | — | — | 2,879 | ||||||||||||
Distributors | 5,578 | — | — | 5,578 | ||||||||||||
Diversified Consumer Services | 2,435 | — | — | 2,435 | ||||||||||||
Diversified Telecommunication Services | 355 | — | — | 355 | ||||||||||||
Electric Utilities | 5,629 | — | — | 5,629 | ||||||||||||
Electrical Equipment | 10,817 | — | — | 10,817 | ||||||||||||
Electronic Equipment, Instruments & Components | 24,457 | — | — | 24,457 | ||||||||||||
Energy Equipment & Services | 6,446 | — | — | 6,446 | ||||||||||||
Entertainment | 12,498 | — | — | 12,498 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 62,911 | — | — | 62,911 | ||||||||||||
Food & Staples Retailing | 2,838 | — | — | 2,838 | ||||||||||||
Food Products | 13,089 | — | — | 13,089 | ||||||||||||
Gas Utilities | 5,181 | — | — | 5,181 | ||||||||||||
Health Care Equipment & Supplies | 55,596 | — | — | 55,596 | ||||||||||||
Health Care Providers & Services | 31,844 | — | — | 31,844 | ||||||||||||
Health Care Technology | 17,084 | — | — | 17,084 | ||||||||||||
Hotels, Restaurants & Leisure | 17,182 | — | — | (a) | 17,182 | |||||||||||
Household Durables | 22,893 | — | — | 22,893 | ||||||||||||
Household Products | 1,145 | — | — | 1,145 | ||||||||||||
Independent Power and Renewable Electricity Producers | 1,066 | — | — | 1,066 | ||||||||||||
Insurance | 10,817 | — | — | 10,817 | ||||||||||||
Interactive Media & Services | 8,476 | — | — | 8,476 | ||||||||||||
Internet & Direct Marketing Retail | 3,565 | — | — | 3,565 | ||||||||||||
IT Services | 18,461 | — | — | 18,461 | ||||||||||||
Life Sciences Tools & Services | 8,552 | — | — | 8,552 | ||||||||||||
Machinery | 19,762 | — | — | 19,762 | ||||||||||||
Marine | 712 | — | — | 712 |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 101 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (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 | |||||||||||||
Media | $ | 12,161 | $ | — | $ | — | $ | 12,161 | ||||||||
Metals & Mining | 17,262 | — | — | 17,262 | ||||||||||||
Mortgage Real Estate Investment Trusts (REITs) | 16,781 | — | — | 16,781 | ||||||||||||
Multiline Retail | 8,635 | — | — | 8,635 | ||||||||||||
Multi-Utilities | 1,634 | — | — | 1,634 | ||||||||||||
Oil, Gas & Consumable Fuels | 28,991 | — | — | 28,991 | ||||||||||||
Paper & Forest Products | 7,539 | — | — | 7,539 | ||||||||||||
Personal Products | 23,533 | — | — | 23,533 | ||||||||||||
Pharmaceuticals | 24,300 | — | — | 24,300 | ||||||||||||
Professional Services | 39,478 | — | — | 39,478 | ||||||||||||
Real Estate Management & Development | 2,720 | — | — | 2,720 | ||||||||||||
Road & Rail | 6,665 | — | — | 6,665 | ||||||||||||
Semiconductors & Semiconductor Equipment | 26,293 | — | — | 26,293 | ||||||||||||
Software | 59,742 | — | — | 59,742 | ||||||||||||
Specialty Retail | 34,301 | — | — | 34,301 | ||||||||||||
Technology Hardware, Storage & Peripherals | 878 | — | — | 878 | ||||||||||||
Textiles, Apparel & Luxury Goods | 6,431 | — | — | 6,431 | ||||||||||||
Thrifts & Mortgage Finance | 27,260 | — | — | 27,260 | ||||||||||||
Trading Companies & Distributors | 23,643 | — | — | 23,643 | ||||||||||||
Water Utilities | 7,101 | — | — | 7,101 | ||||||||||||
Wireless Telecommunication Services | 3,762 | — | — | 3,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Common Stocks | 1,108,560 | — | — | (a) | 1,108,560 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Rights | — | — | 165 | 165 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 30,588 | — | — | 30,588 | ||||||||||||
Investment of Cash Collateral from Securities Loaned | 95,346 | — | — | 95,346 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Short-Term Investments | 125,934 | — | — | 125,934 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 1,234,494 | $ | — | $ | 165 | $ | 1,234,659 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | (119 | ) | $ | — | $ | — | $ | (119 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
B. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain 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.
102 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
Table of Contents
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 June 30, 2021.
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 | $ | 60,304 | $ | (60,304 | ) | $ | — | |||||
Small Cap Equity Fund | 110,670 | (110,670 | ) | — | ||||||||
Small Cap Growth Fund | 505,147 | (505,147 | ) | — | ||||||||
Small Cap Sustainable Leaders Fund | 41,694 | (41,694 | ) | — | ||||||||
Small Cap Value Fund | 95,160 | (95,160 | ) | — | ||||||||
U.S. Small Company Fund | 92,471 | (92,471 | ) | — |
* | 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 0.12% to 0.06%. For the year ended June 30, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
Small Cap Blend Fund | $ | 3 | ||
Small Cap Equity Fund | 13 | |||
Small Cap Growth Fund | 30 | |||
Small Cap Sustainable Leaders Fund | 3 | |||
Small Cap Value Fund | 6 | |||
SMID Cap Equity Fund | 2 | |||
U.S. Small Company Fund | 7 |
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).
SMID Cap Equity Fund did not have any securities out on loan at June 30, 2021.
C. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 103 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Small Cap Blend Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 17,254 | $ | 319,425 | $ | 300,034 | $ | (4 | ) | $ | (3 | ) | $ | 36,638 | 36,619 | $ | 23 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 28,015 | 170,000 | 143,000 | (6 | )* | (6 | ) | 55,003 | 55,003 | 55 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 6,247 | 126,905 | 126,093 | — | — | 7,059 | 7,059 | 2 | * | — | ||||||||||||||||||||||||||
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Total | $ | 51,516 | $ | 616,330 | $ | 569,127 | $ | (10 | ) | $ | (9 | ) | $ | 98,700 | $ | 80 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | 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 year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 276,403 | $ | 2,318,849 | $ | 2,389,126 | $ | (41 | ) | $ | (72 | ) | $ | 206,013 | 205,911 | $ | 390 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 253,095 | 985,500 | 1,136,499 | (62 | )* | (6 | ) | 102,028 | 102,028 | 344 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 32,048 | 392,064 | 412,664 | — | — | 11,448 | 11,448 | 10 | * | — | ||||||||||||||||||||||||||
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Total | $ | 561,546 | $ | 3,696,413 | $ | 3,938,289 | $ | (103 | ) | $ | (78 | ) | $ | 319,489 | $ | 744 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
104 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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Small Cap Growth Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 123,428 | $ | 2,048,170 | $ | 1,994,977 | $ | (19 | ) | $ | (16 | ) | $ | 176,586 | 176,498 | $ | 132 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 284,105 | 1,702,150 | 1,518,800 | (100 | )* | (42 | ) | 467,313 | 467,313 | 726 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 32,903 | 750,879 | 728,939 | — | — | 54,843 | 54,843 | 20 | * | — | ||||||||||||||||||||||||||
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Total | $ | 440,436 | $ | 4,501,199 | $ | 4,242,716 | $ | (119 | ) | $ | (58 | ) | $ | 698,742 | $ | 878 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | 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 year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 9,177 | $ | 144,216 | $ | 150,263 | $ | (2 | ) | $ | — | (c) | $ | 3,128 | 3,127 | $ | 10 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 21,006 | 126,100 | 109,999 | (1 | )* | (9 | ) | 37,097 | 37,096 | 47 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 3,876 | 114,364 | 112,536 | — | — | 5,704 | 5,704 | 2 | * | — | ||||||||||||||||||||||||||
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Total | $ | 34,059 | $ | 384,680 | $ | 372,798 | $ | (3 | ) | $ | (9 | ) | $ | 45,929 | $ | 59 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
(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). |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 105 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Small Cap Value Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 14,798 | $ | 508,716 | $ | 470,760 | $ | (5 | ) | $ | — | (c) | $ | 52,749 | 52,722 | $ | 32 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 64,032 | 347,999 | 322,701 | (15 | )* | (15 | ) | 89,300 | 89,300 | 137 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 5,596 | 209,045 | 206,134 | — | — | 8,507 | 8,507 | 5 | * | — | ||||||||||||||||||||||||||
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Total | $ | 84,426 | $ | 1,065,760 | $ | 999,595 | $ | (20 | ) | $ | (15 | ) | $ | 150,556 | $ | 174 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
(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). |
SMID Cap Equity Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 4,828 | $ | 140,678 | $ | 139,692 | $ | (1 | ) | $ | (1 | ) | $ | 5,812 | 5,809 | $ | 10 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares (a) | 15,004 | 34,100 | 49,100 | (1 | )* | (3 | ) | — | — | 13 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | 5,757 | 75,258 | 81,015 | — | — | — | — | 1 | * | — | ||||||||||||||||||||||||||
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Total | $ | 25,589 | $ | 250,036 | $ | 269,807 | $ | (2 | ) | $ | (4 | ) | $ | 5,812 | $ | 24 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
106 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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U.S. Small Company Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 14,420 | $ | 519,454 | $ | 503,280 | $ | (6 | ) | $ | — | (c) | $ | 30,588 | 30,572 | $ | 26 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 82,037 | 338,000 | 335,401 | (16 | )* | (17 | ) | 84,603 | 84,604 | 158 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 9,849 | 203,308 | 202,414 | — | — | 10,743 | 10,743 | 6 | * | — | ||||||||||||||||||||||||||
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Total | $ | 106,306 | $ | 1,060,762 | $ | 1,041,095 | $ | (22 | ) | $ | (17 | ) | $ | 125,934 | $ | 190 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
(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). |
D. Futures Contracts — Small Cap Sustainable Leaders Fund, Small Cap Value Fund, SMID Cap Equity 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 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).
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2021:
Small Cap Sustainable Leaders Fund | Small Cap Value Fund | SMID Cap Equity Fund | U.S. Small Company Fund | |||||||||||||
Futures Contracts — Equity: | ||||||||||||||||
Average Notional Balance Long | $ | 7,386 | $ | 21,563 | $ | 1,908 | $ | 17,784 | ||||||||
Ending Notional Balance Long | 9,224 | 53,384 | — | 31,477 |
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 107 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. 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.
F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended June 30, 2021 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 | $ | 19 | $ | 2 | $ | 6 | n/a | n/a | n/a | n/a | n/a | $ | — | (a) | $ | 27 | ||||||||||||||||||||||||
Small Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 229 | 5 | 54 | n/a | $ | 2 | $ | — | (a) | $ | — | (a) | $ | 11 | 21 | 322 | ||||||||||||||||||||||||
Small Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 56 | 3 | 15 | $ | 7 | 5 | 2 | — | (a) | 1 | 84 | 173 | ||||||||||||||||||||||||||||
Small Cap Sustainable Leaders Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 2 | 1 | 1 | n/a | — | (a) | — | (a) | — | (a) | 6 | 4 | 14 | |||||||||||||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 11 | 2 | 10 | n/a | 24 | 4 | — | (a) | 2 | 44 | 97 | |||||||||||||||||||||||||||||
SMID Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 40 | 2 | 10 | n/a | n/a | — | (a) | — | (a) | n/a | 2 | 54 | ||||||||||||||||||||||||||||
U.S. Small Company Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 12 | 5 | 10 | 5 | 9 | 1 | 2 | — | (a) | 14 | 58 |
(a) | Amount rounds to less than one thousand. |
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2021, 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.
H. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually, except for Small Cap Value Fund, for which distributions are generally declared and paid at least quarterly. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated net investment | Accumulated net realized gains (losses) | ||||||||||
Small Cap Blend Fund | $ | 273 | $ | (101 | ) | $ | (172 | ) | ||||
Small Cap Equity Fund | — | (5,229 | ) | 5,229 |
108 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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Paid-in-Capital | Accumulated net investment | Accumulated net realized gains (losses) | ||||||||||
Small Cap Growth Fund | $ | 80,704 | $ | 18,355 | $ | (99,059 | ) | |||||
Small Cap Sustainable Leaders Fund | 61,857 | (119 | ) | (61,738 | ) | |||||||
Small Cap Value Fund | (250 | ) | (282 | ) | 532 | |||||||
SMID Cap Equity Fund | 16,171 | 14 | (16,185 | ) | ||||||||
U.S. Small Company Fund | — | 172 | (172 | ) |
The reclassifications for the Funds relate primarily to redemptions in-kind, net operating losses, non-taxable dividends, redesignation of distributions and tax equalization.
I. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
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 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the year ended June 30, 2021, the effective rate was 0.07% 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 | |||||||||||||
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 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2021, JPMDS retained the following:
Front-End Sales Charge | CDSC | |||||||
Small Cap Blend Fund | $ | 74 | $ | — | (a) | |||
Small Cap Equity Fund | 5 | — | (a) | |||||
Small Cap Growth Fund | 132 | — | (a) | |||||
Small Cap Sustainable Leaders Fund | 2 | — | ||||||
Small Cap Value Fund | 14 | — | (a) | |||||
SMID Cap Equity Fund | 4 | — | (a) | |||||
U.S. Small Company Fund | 10 | — | (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 | |||||||||||||||||||||||||
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.
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 | 1.24 | (1) | 1.74 | (1) | 0.99 | (1) | n/a | 1.49 | (1) | 1.24 | (1) | 0.99 | (1) | 0.80 | (1) | 0.74 | (1) | |||||||||||||||||||
Small Cap Value Fund | n/a | 1.74 | 0.99 | n/a | 1.49 | 1.24 | 0.99 | n/a | n/a | |||||||||||||||||||||||||||
SMID Cap Equity Fund | 1.14 | (2) | 1.64 | (2) | 0.89 | (2) | n/a | n/a | 1.14 | (2) | 0.89 | (2) | n/a | 0.64 | (2) | |||||||||||||||||||||
U.S. Small Company Fund | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a | n/a |
(1) | Effective July 1, 2021, the contractual expense limitations changed to 1.14%, 1.64%, 0.89%, 1.39%, 1.14%, 0.89%, 0.70% and 0.65% for Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares, respectively. |
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(2) | During the period September 1, 2020 through November 13, 2020, the Adviser, Administrator and/or JPMDS voluntarily waived fees 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 0.99%, 1.49%, 0.74%, 0.99%, 0.74% and 0.49% of Class A, Class C, Class I, Class R3, Class R4 and Class R6 Shares average net assets, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2021 for Small Cap Blend Fund, Small Cap Equity Fund, Small Cap Growth Fund, Small Cap Sustainable Leaders Fund and Small Cap Value Fund and are in place until at least October 31, 2022 for SMID Cap Equity Fund.
For the year ended June 30, 2021, 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 | $ | 126 | $ | 84 | $ | 26 | $ | 236 | $ | — | ||||||||||
Small Cap Equity Fund | — | — | 552 | 552 | — | |||||||||||||||
Small Cap Growth Fund | 193 | 126 | 69 | 388 | 65 | |||||||||||||||
Small Cap Sustainable Leaders Fund | 109 | 73 | 73 | 255 | 3 | |||||||||||||||
Small Cap Value Fund | 1 | — | 75 | 76 | — | |||||||||||||||
SMID Cap Equity Fund | 179 | 117 | 50 | 346 | 2 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. 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 year ended June 30, 2021 were as follows:
Small Cap Blend Fund | $ | 19 | ||
Small Cap Equity Fund | 315 | |||
Small Cap Growth Fund | 107 | |||
Small Cap Sustainable Leaders Fund | 9 | |||
Small Cap Value Fund | 27 | |||
SMID Cap Equity Fund | 8 | |||
U.S. Small Company Fund | 22 |
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 year ended June 30, 2021, the Funds purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
4. Investment Transactions
During the year ended June 30, 2021, 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 | $ | 704,357 | $ | 357,513 | ||||
Small Cap Equity Fund | 2,198,825 | 3,095,738 | ||||||
Small Cap Growth Fund | 3,759,825 | 2,971,379 | ||||||
Small Cap Sustainable Leaders Fund | 326,237 | 390,475 | ||||||
Small Cap Value Fund | 931,651 | 1,071,322 | ||||||
SMID Cap Equity Fund | 484,774 | 592,053 | ||||||
U.S. Small Company Fund | 925,276 | 1,178,054 |
During the year ended June 30, 2021, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Small Cap Blend Fund | $ | 931,767 | $ | 270,851 | $ | 14,148 | $ | 256,703 | ||||||||
Small Cap Equity Fund | 5,502,891 | 3,201,174 | 17,478 | 3,183,696 | ||||||||||||
Small Cap Growth Fund | 5,316,302 | 2,274,842 | 204,299 | 2,070,543 | ||||||||||||
Small Cap Sustainable Leaders Fund | 310,093 | 104,031 | 11,186 | 92,845 | ||||||||||||
Small Cap Value Fund | 1,221,609 | 408,478 | 25,504 | 382,974 | ||||||||||||
SMID Cap Equity Fund | 330,209 | 91,710 | 1,394 | 90,316 | ||||||||||||
U.S. Small Company Fund | 970,142 | 292,319 | 27,921 | 264,398 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, investments in passive foreign investment companies (“PFICs”) and non-taxable dividends.
The tax character of distributions paid during the year ended June 30, 2021 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Small Cap Blend Fund | $ | 1,555 | $ | 11,668 | $ | 13,223 | ||||||
Small Cap Equity Fund | 28,832 | 195,732 | 224,564 | |||||||||
Small Cap Growth Fund | 66,039 | 316,374 | 382,413 | |||||||||
Small Cap Sustainable Leaders Fund | 4,015 | — | 4,015 | |||||||||
Small Cap Value Fund | 9,406 | — | 9,406 | |||||||||
SMID Cap Equity Fund | 5,558 | 10,144 | 15,702 | |||||||||
U.S. Small Company Fund | 11,266 | 19,180 | 30,446 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended June 30, 2020 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Small Cap Blend Fund | $ | 1,416 | $ | 11,873 | $ | 13,289 | ||||||
Small Cap Equity Fund | 35,363 | 286,303 | 321,666 | |||||||||
Small Cap Growth Fund | 7,006 | 166,240 | 173,246 | |||||||||
Small Cap Sustainable Leaders Fund | 3,466 | 16,618 | 20,084 | |||||||||
Small Cap Value Fund | 14,435 | 69,340 | 83,775 | |||||||||
SMID Cap Equity Fund | 3,030 | 51,667 | 54,697 | |||||||||
U.S. Small Company Fund | 7,802 | 518 | 8,320 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
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As of June 30, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Small Cap Blend Fund | $ | 25,821 | $ | 29,244 | $ | 256,703 | ||||||
Small Cap Equity Fund | 226,558 | 816,050 | 3,183,696 | |||||||||
Small Cap Growth Fund | 169,160 | 381,771 | 2,070,543 | |||||||||
Small Cap Sustainable Leaders Fund | 11,002 | 11,357 | 92,845 | |||||||||
Small Cap Value Fund | 64,029 | 119,256 | 382,974 | |||||||||
SMID Cap Equity Fund | 34,406 | 32,383 | 90,316 | |||||||||
U.S. Small Company Fund | 86,855 | 120,583 | 264,398 |
The cumulative timing differences primarily consist of wash sale loss deferrals, investments in PFICs, non-taxable dividends and late year ordinary loss deferrals.
As of June 30, 2021, the Funds did not have any net capital loss carryforwards.
Late year ordinary losses incurred after December 31 and specified ordinary losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2021, the following Funds deferred to July 1, 2021 the following late year ordinary losses and specified ordinary losses of:
Late Year Ordinary Loss Deferral | Specified Ordinary Losses | |||||||
Small Cap Growth Fund | $ | 21,161 | $ | — | ||||
Small Cap Sustainable Leaders Fund | — | 574 | ||||||
SMID Cap Equity Fund | 95 | — | ||||||
U.S. Small Company Fund | 21 | — |
During the year ended June 30, 2021, the following Funds utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||||
Short-Term | ||||
Small Cap Sustainable Leaders Fund | $ | 2,830 | ||
Small Cap Value Fund | 31,422 | |||
U.S. Small Company Fund | 40 |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund during the year ended June 30, 2021.
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2021.
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
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25% (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended June 30, 2021.
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 June 30, 2021, the following 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 | |||||||||||||
Small Cap Blend Fund | — | — | 2 | 63.2 | % | |||||||||||
Small Cap Equity Fund | — | — | 3 | 48.3 | ||||||||||||
Small Cap Growth Fund | — | — | 1 | 16.4 | ||||||||||||
Small Cap Sustainable Leaders Fund | — | — | 2 | 50.3 | ||||||||||||
Small Cap Value Fund | — | — | 1 | 11.7 | ||||||||||||
SMID Cap Equity Fund | 1 | 23.5 | % | 1 | 15.3 | |||||||||||
U.S. Small Company Fund | — | — | 3 | 41.0 |
As of June 30, 2021, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds 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 | 18.6 | % | 12.9 | % |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
Because Small Cap Value Fund invests in Real Estate Investment Trusts (“REITs”), the Fund 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.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or 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
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the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to 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. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Redemption in-kind
On June 15, 2021, certain shareholders sold Class R6 Shares of Small Cap Sustainable Leaders Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
Value | Realized Gains (Losses) | Type | ||||||||||
Small Cap Sustainable Leaders Fund | $ | 121,250 | * | $ | 48,077 | Redemption in-kind |
* | This amount includes cash of $3,182 associated with the redemption in-kind. |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan Small Cap Blend Fund, JPMorgan Small Cap Equity Fund, JPMorgan Small Cap Sustainable Leaders Fund, JPMorgan U.S. Small Company Fund, JPMorgan Small Cap Growth Fund, JPMorgan Small Cap Value Fund and JPMorgan SMID Cap Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Small Cap Blend Fund, JPMorgan Small Cap Equity Fund, JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) and JPMorgan U.S. Small Company Fund (four of the funds constituting JPMorgan Trust I) and JPMorgan Small Cap Growth Fund, JPMorgan Small Cap Value Fund and JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) (three of the funds constituting JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) as of June 30, 2021, the related statements of operations for the year ended June 30, 2021, the statements of changes in net assets for each of the two years in the period ended June 30, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 24, 2021
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Chair since 2020; Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 127 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). | |||
Stephen P. Fisher (1959); Trustee of Trusts since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 127 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 127 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
Dennis P. Harrington* (1950); Trustee of Trusts since 2017. (3) | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | 127 | None | |||
Frankie D. Hughes (1952); Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 127 | None |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trusts since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 127 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Mary E. Martinez (1960); Vice Chair since 2021; Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 127 | None | |||
Marilyn McCoy (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 127 | None | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 127 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
Marian U. Pardo*** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 127 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
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(1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Boards of Trustees serve currently includes ten registered investment companies (127 funds). |
(3) | Mr. Harrington retired from the Board of Trustees effective July 31, 2021. |
* | Two family members of Mr. Harrington are employed as a partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Boards that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Boards have concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
Shannon Gaines (1977), Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
*** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of each Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Small Cap Blend Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,131.90 | $ | 6.55 | 1.24 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,128.40 | 9.18 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,133.10 | 5.24 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,134.70 | 3.92 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
JPMorgan Small Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,111.20 | 6.60 | 1.26 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.55 | 6.31 | 1.26 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,108.70 | 9.10 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,112.70 | 5.13 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,110.00 | 7.80 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,111.40 | 6.44 | 1.23 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.70 | 6.16 | 1.23 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Small Cap Equity Fund (continued) | ||||||||||||||||
Class R4 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,112.70 | $ | 5.19 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,113.80 | 4.19 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,114.10 | 3.88 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
JPMorgan Small Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,008.60 | 6.18 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,006.10 | 8.61 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,009.90 | 4.93 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,010.50 | 4.19 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.63 | 4.21 | 0.84 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,007.80 | 7.42 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,008.60 | 6.18 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,010.10 | 4.88 | 0.98 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.93 | 4.91 | 0.98 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,010.50 | 4.19 | 0.84 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.63 | 4.21 | 0.84 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,011.40 | 3.69 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,195.40 | 6.75 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,192.20 | 9.46 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,196.80 | 5.39 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,193.80 | 8.10 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,195.30 | 6.75 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 |
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Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Small Cap Sustainable Leaders Fund (formerly known as JPMorgan Small Cap Core Fund) (continued) | ||||||||||||||||
Class R4 | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,196.70 | $ | 5.39 | 0.99 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,197.90 | 4.36 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,198.20 | 4.03 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
JPMorgan Small Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,282.80 | 7.08 | 1.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.60 | 6.26 | 1.25 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,279.60 | 9.78 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,284.30 | 5.61 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,281.20 | 8.43 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,283.00 | 7.02 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,284.30 | 5.61 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,284.80 | 4.82 | 0.85 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,286.20 | 4.25 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
JPMorgan SMID Cap Equity Fund (formerly known as JPMorgan Intrepid Mid Cap Fund) | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,127.00 | 6.01 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,124.60 | 8.64 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.66 | 8.20 | 1.64 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,128.10 | 4.70 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,126.70 | 6.01 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,127.70 | 4.70 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,129.60 | 3.38 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan U.S. Small Company Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,185.90 | $ | 6.56 | 1.21 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.79 | 6.06 | 1.21 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,182.40 | 9.36 | 1.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.22 | 8.65 | 1.73 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,187.30 | 5.21 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,187.60 | 4.39 | 0.81 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.78 | 4.06 | 0.81 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,184.50 | 7.96 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,185.80 | 6.56 | 1.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.79 | 6.06 | 1.21 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,187.10 | 5.26 | 0.97 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.98 | 4.86 | 0.97 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,188.10 | 4.34 | 0.80 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.83 | 4.01 | 0.80 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,188.00 | 3.85 | 0.71 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.27 | 3.56 | 0.71 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
124 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board of Trustees reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this assessment; (2) the methodology and inputs for
classifying the investments of a Fund into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule); (4) whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (6) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (7) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of each Fund’s investments; and (2) perform additional stress testing. The Report noted that each Fund was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
JUNE 30, 2021 | J.P. MORGAN SMALL CAP FUNDS | 125 |
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(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, 2021. 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, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be pro- vided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2021:
Dividends Received Deduction | ||||
JPMorgan Small Cap Blend Fund | 100.00 | % | ||
JPMorgan Small Cap Equity Fund | 100.00 | |||
JPMorgan Small Cap Growth Fund | 17.48 | |||
JPMorgan Small Cap Sustainable Leaders Fund | 91.55 | |||
JPMorgan Small Cap Value Fund | 100.00 | |||
JPMorgan SMID Cap Equity Fund | 64.86 | |||
JPMorgan U.S. Small Company Fund | 77.44 |
Long-Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2021:
Long-Term Capital Gain Distribution | ||||
JPMorgan Small Cap Blend Fund | $ | 11,942 | ||
JPMorgan Small Cap Equity Fund | 195,732 | |||
JPMorgan Small Cap Growth Fund | 372,421 | |||
JPMorgan Small Cap Sustainable Leaders Fund | 16,298 | |||
JPMorgan SMID Cap Equity Fund | 22,238 | |||
JPMorgan U.S. Small Company Fund | 19,180 |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2021:
Qualified Dividend Income | ||||
JPMorgan Small Cap Blend Fund | $ | 1,555 | ||
JPMorgan Small Cap Equity Fund | 28,832 | |||
JPMorgan Small Cap Growth Fund | 11,516 | |||
JPMorgan Small Cap Sustainable Leaders Fund | 3,729 | |||
JPMorgan Small Cap Value Fund | 9,406 | |||
JPMorgan SMID Cap Equity Fund | 3,699 | |||
JPMorgan U.S. Small Company Fund | 8,783 |
126 | J.P. MORGAN SMALL CAP FUNDS | JUNE 30, 2021 |
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FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC 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.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | AN-SC-621 |
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Annual Report
J.P. Morgan Mid Cap/Multi-Cap Funds
June 30, 2021
JPMorgan Growth Advantage Fund
JPMorgan Mid Cap Equity Fund
JPMorgan Mid Cap Growth Fund
JPMorgan Mid Cap Value Fund
JPMorgan Value Advantage Fund
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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August 4, 2021 (Unaudited)
Dear Shareholders,
The rally in equity markets that began in the second half of last year accelerated in 2021 on the back of mass vaccinations against COVID-19, federal relief and recovery efforts and a surge in both corporate profits and consumer spending. As a result, we find ourselves in a different environment than we inhabited a year ago.
“Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a particularly remarkable performance over the twelve months ended June 30, 2021. The S&P 500 posted a total return of 40.79%; the Russell 1000 returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell Small Cap Index returned 62.03%. The lesson for investors, we believe, is clear: Those who were consistently and fully invested in the second half of 2020 through the first half of 2021 stood to benefit greatly from the superlative performance in global equity markets.
The rollout of mass vaccinations and the partial reopening of economies at all scales have fueled job growth, consumer spending and rising corporate profits. However, the pandemic
remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve. While the central bank has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 1 |
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J.P. Morgan Mid Cap/Multi-Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
Overall, U.S. and emerging markets equity led a remarkable global rally in stocks on the back of massive central bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Leading U.S. equity indexes rose in July and August 2020, punctuated by five consecutive record high closings for the S&P 500 Index in late August — a stretch not seen since 2017. While the spread of COVID-19 accelerated in the U.S., multiple candidate vaccines were being developed around the world and the number of hospitalizations at the end of the summer was relatively small compared with what was to come at the end of the year.
Equity prices across the globe largely declined over September and October 2020. Re-closings across Asia and Europe in response to the pandemic dented investor optimism. The inability of the U.S. Congress to adopt further spending for pandemic relief put acute pressure on the S&P 500 Index in the final week of October.
U.S. equity prices began to rebound in November and by mid-month the S&P 500 Index reached a closing high and crossed 3,600 points for the first time amid the U.S. Food and Drug Administration’s approval of the first COVID-19 vaccines. November and December saw broad gains in global equity, partly driven by continued investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Within U.S. equity markets, the S&P 500 Index returned 40.79%; the Russell 1000 Index returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell 2000 Index returned 62.03% for the twelve months ended June 30, 2021.
2 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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JPMorgan Growth Advantage Fund
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | 47.55% | |||
Russell 3000 Growth Index | 42.99% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 14,778,837 |
INVESTMENT OBJECTIVE**
The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, outperformed the Russell 3000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the information technology sector and its security selection and overweight position in the consumer discretionary sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the communication services and health care sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Tesla Inc., Generac Holdings Inc. and Enphase Energy Inc. Shares of Tesla, a producer of electric vehicles and energy storage systems, rose after the company was included in the S&P 500 Index. Shares of Generac Holdings, a manufacturer of power generators, rose amid increased consumer demand for residential back-up electricity generators. Shares of Enphase Energy, a provider of solar energy systems and services, rose amid better-than-expected earnings and investor expectations for increased U.S. spending on renewable energy.
Leading individual detractors from relative performance included the Funds out-of-Benchmark position in Discovery Inc. and its overweight positions in Regeneron Pharmaceuticals Inc. and Array Technologies Inc. Shares of Discovery, an entertainment and media company, fell sharply in March 2021 following the collapse of Archegos Capital Management, which held large leveraged positions in Discovery shares. Shares of Regeneron Pharmaceuticals, a drug development company, fell as the U.S. approval of multiple vaccines against COVID-19 reduced demand for alternative therapies for the virus. Shares of Array Technologies, a solar energy equipment maker, fell after the company reported lower-than-expected earnings for the first quarter of 2021.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies across market capitalizations in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Apple, Inc. | 6.2 | % | |||||
2. | Microsoft Corp. | 6.2 | ||||||
3. | Alphabet, Inc., Class C | 5.2 | ||||||
4. | Amazon.com, Inc. | 5.1 | ||||||
5. | Facebook, Inc., Class A | 2.7 | ||||||
6. | NVIDIA Corp. | 2.3 | ||||||
7. | Mastercard, Inc., Class A | 2.2 | ||||||
8. | PayPal Holdings, Inc. | 1.9 | ||||||
9. | Tesla, Inc. | 1.8 | ||||||
10. | Home Depot, Inc. (The) | 1.7 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 34.6 | % | ||
Consumer Discretionary | 16.7 | |||
Health Care | 13.1 | |||
Communication Services | 12.4 | |||
Industrials | 12.1 | |||
Financials | 6.3 | |||
Consumer Staples | 2.0 | |||
Materials | 0.7 | |||
Short-Term Investments | 2.1 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 3 |
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JPMorgan Growth Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||
CLASS A SHARES | October 29, 1999 | |||||||
With Sales Charge* | 39.81% | 25.22% | 18.45% | |||||
Without Sales Charge | 47.55 | 26.58 | 19.08 | |||||
CLASS C SHARES | May 1, 2006 | |||||||
With CDSC** | 45.80 | 25.94 | 18.62 | |||||
Without CDSC | 46.80 | 25.94 | 18.62 | |||||
CLASS I SHARES | May 1, 2006 | 47.95 | 26.89 | 19.35 | ||||
CLASS R2 SHARES | July 31, 2017 | 47.18 | 26.25 | 18.78 | ||||
CLASS R3 SHARES | May 31, 2017 | 47.60 | 26.59 | 19.09 | ||||
CLASS R4 SHARES | May 31, 2017 | 47.91 | 26.89 | 19.38 | ||||
CLASS R5 SHARES | January 8, 2009 | 48.16 | 27.07 | 19.55 | ||||
CLASS R6 SHARES | December 23, 2013 | 48.28 | 27.20 | 19.64 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 and Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns for Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares. The actual returns for Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been different than those shown because Class R4 Shares have different expenses to Class I Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund and the Russell 3000 Growth Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
4 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 47.64% | |||
Russell Midcap Index | 49.80% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 2,825,542 |
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 twelve months ended June 30, 2021. The Fund’s security selection in the health care sector and its security selection and underweight position in the materials sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the information technology and industrials sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight allocations to Moderna Inc. and Ford Motor Co. and its overweight position in Splunk Inc. Shares of Moderna, a biopharmaceuticals maker not held in the Fund, rose on demand for the company’s vaccine against COVID-19 and the potential for the vaccine’s mRNA technology to be applied to other illnesses. Shares of Ford Motor, an automaker not held in the Fund, rose amid increased demand for autos and expectations that the company’s electric car business could benefit from federal stimulus spending. Shares of Splunk, a data analysis software developer, fell after the company reported several quarters of lower-than-expected results.
Leading individual contributors to relative performance included the Fund’s overweight positions in Generac Holdings Inc., Enphase Energy Inc. and Diamondback Energy Inc. Shares of Generac Holdings, a manufacturer of power generators, rose amid increased consumer demand for residential back-up electricity generators. Shares of Enphase Energy, a provider of solar energy systems and services, rose amid better-than-expected earnings and investor expectations for increased U.S. spending on renewable energy. Shares of Diamondback Energy, an oil and gas extraction company, rose amid a strong rebound in energy demand in the first half of 2021.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on
company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to identify dominant franchises with predictable business models they deemed capable of achieving, in their view, sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Fortune Brands Home & Security, Inc. | 1.2 | % | |||||
2. | Roku, Inc. | 1.0 | ||||||
3. | ITT, Inc. | 1.0 | ||||||
4. | Ameriprise Financial, Inc. | 0.9 | ||||||
5. | Discover Financial Services | 0.9 | ||||||
6. | AMETEK, Inc. | 0.9 | ||||||
7. | Motorola Solutions, Inc. | 0.9 | ||||||
8. | Generac Holdings, Inc. | 0.9 | ||||||
9. | Huntington Bancshares, Inc. | 0.9 | ||||||
10. | Liberty Broadband Corp., Class C | 0.9 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 17.2 | % | ||
Industrials | 15.4 | |||
Financials | 15.0 | |||
Health Care | 12.4 | |||
Consumer Discretionary | 11.9 | |||
Communication Services | 6.0 | |||
Real Estate | 5.6 | |||
Utilities | 4.1 | |||
Materials | 3.1 | |||
Consumer Staples | 2.6 | |||
Energy | 2.4 | |||
Short-Term Investments | 4.3 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 5 |
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JPMorgan Mid Cap Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||
CLASS A SHARES | November 2, 2009 | |||||||
With Sales Charge* | 39.54% | 15.49% | 13.07% | |||||
Without Sales Charge | 47.28 | 16.74 | 13.68 | |||||
CLASS C SHARES | November 2, 2009 | |||||||
With CDSC** | 45.53 | 16.16 | 13.22 | |||||
Without CDSC | 46.53 | 16.16 | 13.22 | |||||
CLASS I SHARES | January 1, 1997 | 47.64 | 17.06 | 14.04 | ||||
CLASS R2 SHARES | March 14, 2014 | 46.94 | 16.45 | 13.48 | ||||
CLASS R5 SHARES | March 14, 2014 | 47.89 | 17.22 | 14.14 | ||||
CLASS R6 SHARES | March 14, 2014 | 48.03 | 17.32 | 14.21 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of 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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
6 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 43.99% | |||
Russell Midcap Growth Index | 43.77% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 9,072,764 |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell Midcap Growth Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the information technology sector and industrials sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the health care and communication services sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Generac Holdings Inc., Enphase Energy Inc. and CrowdStrike Holdings Inc. Shares of Generac Holdings, a manufacturer of power generators, rose amid increased consumer demand for residential back-up electricity generators. Shares of Enphase Energy, a provider of solar energy systems and services, rose amid better-than-expected earnings and investor expectations for increased U.S. spending on renewable energy. Shares of CrowdStrike, a cybersecurity provider, rose amid increased commercial demand for its services in the wake of several high-profile “ransomware” attacks during the period.
Leading individual detractors from relative performance included the Fund’s underweight positions in Moderna Inc. and Align Technology Inc., and its out-of-Benchmark position in Discovery Inc. Shares of Moderna, a biopharmaceuticals maker not held in the Fund, rose on demand for the company’s vaccine against COVID-19 and the potential for the vaccine’s mRNA technology to be applied to other illnesses. Shares of Align Technologies, a manufacturer of orthodontics and dentistry products, rose amid continued growth in sales of its Invisalign product. Shares of Discovery, an entertainment and media company, fell sharply in March 2021 following the collapse of Archegos Capital Management, which held large leveraged positions in Discovery shares.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies in an effort to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Roku, Inc. | 2.3 | % | |||||
2. | Generac Holdings, Inc. | 1.9 | ||||||
3. | Dexcom, Inc. | 1.9 | ||||||
4. | Trane Technologies plc | 1.6 | ||||||
5. | Match Group, Inc. | 1.6 | ||||||
6. | HubSpot, Inc. | 1.6 | ||||||
7. | Agilent Technologies, Inc. | 1.5 | ||||||
8. | Zebra Technologies Corp., Class A | 1.4 | ||||||
9. | Crowdstrike Holdings, Inc., Class A | 1.3 | ||||||
10. | Entegris, Inc. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL | |||
Information Technology | 27.8 | % | ||
Health Care | 19.3 | |||
Industrials | 17.7 | |||
Consumer Discretionary | 12.9 | |||
Communication Services | 8.2 | |||
Financials | 6.9 | |||
Consumer Staples | 1.0 | |||
Others (each less than 1.0%) | 1.3 | |||
Short-Term Investments | 4.9 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 7 |
Table of Contents
JPMorgan Mid Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | 36.02 | % | 21.71 | % | 15.30 | % | ||||||||
Without Sales Charge | 43.56 | 23.03 | 15.92 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 41.84 | 22.41 | 15.46 | |||||||||||
Without CDSC | 42.84 | 22.41 | 15.46 | |||||||||||
CLASS I SHARES | March 2, 1989 | 43.99 | 23.42 | 16.28 | ||||||||||
CLASS R2 SHARES | June 19, 2009 | 43.21 | 22.75 | 15.70 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 43.57 | 23.04 | 15.92 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 43.89 | 23.34 | 16.21 | ||||||||||
CLASS R5 SHARES | November 1, 2011 | 44.22 | 23.59 | 16.44 | ||||||||||
CLASS R6 SHARES | November 1, 2011 | 44.28 | 23.65 | 16.50 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for the Class R3, Class R4, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Class I Shares. Prior performance for Class R3 and Class R4 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Mid Cap Growth Fund and the Russell Midcap Growth Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
8 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | 51.76% | |||
Russell Midcap Value Index | 53.06% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 17,050,637 |
INVESTMENT OBJECTIVE**
The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the materials and utilities sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the information technology and real estate sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Freeport-McMoRan Inc. and its overweight positions in AutoZone Inc. and Silgan Holdings Inc. Shares of Freeport-McMoRan, a mining company, rose amid accelerating global demand for copper and other raw materials. Shares of AutoZone, an automotive parts retailer, fell after the company reported lower-than-expected sales for its fiscal first quarter. Shares of Silgan Holdings, a consumer goods packaging manufacturer, underperformed amid investor expectations that demand for its products would not increase significantly with the reopening of the economy.
Leading individual contributors to relative performance included the Fund’s overweight positions in Diamondback Energy Inc., Discovery Inc. and Gap Inc. Shares of Diamondback Energy, an oil and gas extraction company, rose amid a strong rebound in energy prices in the first half of 2021. Shares of Discovery, an entertainment and media company, rose ahead of a sharp selloff in March 2021 caused by the collapse of Archegos Capital Management, which held large leveraged positions in Discovery shares. Shares of Gap, a retail apparel chain, rose after the company reported better-than-expected earnings and sales for the first quarter of 2021, and raise its earnings forecast for 2021.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in their view, sustainable levels of free cash flow.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL | |||||
1. | Ameriprise Financial, Inc. | 1.8% | ||||
2. | Huntington Bancshares, Inc. | 1.6 | ||||
3. | Liberty Broadband Corp., Class C | 1.6 | ||||
4. | Motorola Solutions, Inc. | 1.6 | ||||
5. | Fifth Third Bancorp | 1.5 | ||||
6. | Xcel Energy, Inc. | 1.5 | ||||
7. | Loews Corp. | 1.5 | ||||
8. | Laboratory Corp. of America Holdings | 1.5 | ||||
9. | AutoZone, Inc. | 1.5 | ||||
10. | M&T Bank Corp. | 1.4 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL | |||
Financials | 22.2 | % | ||
Industrials | 13.8 | |||
Consumer Discretionary | 11.3 | |||
Real Estate | 10.6 | |||
Information Technology | 8.4 | |||
Utilities | 7.4 | |||
Health Care | 6.8 | |||
Materials | 5.2 | |||
Communication Services | 4.2 | |||
Consumer Staples | 4.0 | |||
Energy | 4.0 | |||
Short-Term Investments | 2.1 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 9 |
Table of Contents
JPMorgan Mid Cap Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | April 30, 2001 | |||||||||||||
With Sales Charge* | 43.14 | % | 9.12 | % | 10.62 | % | ||||||||
Without Sales Charge | 51.06 | 10.30 | 11.22 | |||||||||||
CLASS C SHARES | April 30, 2001 | |||||||||||||
With CDSC** | 49.27 | 9.74 | 10.76 | |||||||||||
Without CDSC | 50.27 | 9.74 | 10.76 | |||||||||||
CLASS I SHARES | October 31, 2001 | 51.42 | 10.58 | 11.50 | ||||||||||
CLASS L SHARES | November 13, 1997 | 51.76 | 10.84 | 11.76 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 50.69 | 10.02 | 10.93 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 51.07 | 10.31 | 11.22 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 51.47 | 10.57 | 11.50 | ||||||||||
CLASS R5 SHARES | September 9, 2016 | 51.69 | 10.75 | 11.72 | ||||||||||
CLASS R6 SHARES | September 9, 2016 | 51.83 | 10.85 | 11.77 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class A Shares.
Returns for the Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower because Class R4 Shares have higher expenses than Class I Shares.
Returns for the Class R5 and R6 Shares prior to their inception 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 June 30, 2011 to June 30, 2021. The performance of the Fund
assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The 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 reflects Class A 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.
10 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | 50.10% | |||
Russell 3000 Value Index | 45.40% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 11,151,316 |
INVESTMENT OBJECTIVE**
The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the Russell 3000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s overweight position and security selection in the financials sector and its security selection and underweight position in the information technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the energy sector and its underweight position in the industrials sector were leading detractors to relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Capital One Financial Corp. and CommScope Holding Co., and its underweight position in Intel Corp. Shares of Capital One Financial, a banking and financial services company, rose amid improvement in its credit card business during the reporting period and general investor demand for financial sector stocks. Shares of CommScope Holding, a communications network provider, rose after the company unveiled plans to spin off its home networks business and then reported better-than-expected earnings for the first quarter of 2021. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021.
Leading individual detractors from relative performance included the Fund’s overweight positions in Travelers Cos., Energizer Holdings Inc., and Autozone Inc. Shares of Travelers, a property and casualty insurer, fell late in the period amid investor concerns about losses from natural disasters in 2021. Shares of Energizer Holdings, a batteries and lighting manufacturer, fell late in the period following a runup in the stock price in the first quarter of 2021. Shares of AutoZone, an automotive parts retailer, fell after the company reported lower-than-expected sales for its fiscal first quarter.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in the portfolio managers’ view, significant levels of free cash flow.
TOP TEN EQUITY HOLDINGS OF THE | PERCENT OF TOTAL | |||||||
1. | Bank of America Corp. | 3.9 | % | |||||
2. | Berkshire Hathaway, Inc., Class B | 2.5 | ||||||
3. | Capital One Financial Corp. | 1.9 | ||||||
4. | Wells Fargo & Co. | 1.8 | ||||||
5. | AbbVie, Inc. | 1.8 | ||||||
6. | Verizon Communications, Inc. | 1.7 | ||||||
7. | Bristol-Myers Squibb Co. | 1.6 | ||||||
8. | Travelers Cos., Inc. (The) | 1.6 | ||||||
9. | Loews Corp. | 1.6 | ||||||
10. | AutoZone, Inc. | 1.5 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL | |||
Financials | 30.5 | % | ||
Health Care | 11.0 | |||
Consumer Discretionary | 8.8 | |||
Real Estate | 8.3 | |||
Industrials | 8.0 | |||
Communication Services | 6.6 | |||
Energy | 6.1 | |||
Consumer Staples | 5.3 | |||
Information Technology | 4.9 | |||
Utilities | 3.8 | |||
Materials | 3.0 | |||
Short-Term Investments | 3.7 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 11 |
Table of Contents
JPMorgan Value Advantage Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
CLASS A SHARES | February 28, 2005 | |||||||||||||||
With Sales Charge* | 41.60 | % | 10.66 | % | 10.74 | % | ||||||||||
Without Sales Charge | 49.47 | 11.87 | 11.34 | |||||||||||||
CLASS C SHARES | February 28, 2005 | |||||||||||||||
With CDSC** | 47.75 | 11.31 | 10.90 | |||||||||||||
Without CDSC | 48.75 | 11.31 | 10.90 | |||||||||||||
CLASS I SHARES | February 28, 2005 | 49.86 | 12.15 | 11.62 | ||||||||||||
CLASS L SHARES | February 28, 2005 | 50.10 | 12.34 | 11.86 | ||||||||||||
CLASS R2 SHARES | July 31, 2017 | 49.10 | 11.58 | 11.06 | ||||||||||||
CLASS R3 SHARES | September 9, 2016 | 49.46 | 11.86 | 11.34 | ||||||||||||
CLASS R4 SHARES | September 9, 2016 | 49.86 | 12.15 | 11.62 | ||||||||||||
CLASS R5 SHARES | September 9, 2016 | 50.12 | 12.33 | 11.85 | ||||||||||||
CLASS R6 SHARES | September 9, 2016 | 50.23 | 12.43 | 11.90 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 and Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares. Returns for Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for the Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for the Class R5 and Class R6 Shares prior to their inception 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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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 MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.4% |
| |||||||
Airlines — 0.6% |
| |||||||
Delta Air Lines, Inc. * | 2,156 | 93,257 | ||||||
|
| |||||||
Automobiles — 1.9% |
| |||||||
Tesla, Inc. * | 403 | 274,001 | ||||||
|
| |||||||
Banks — 1.3% |
| |||||||
First Republic Bank | 627 | 117,262 | ||||||
Signature Bank | 316 | 77,701 | ||||||
|
| |||||||
194,963 | ||||||||
|
| |||||||
Beverages — 0.6% |
| |||||||
Constellation Brands, Inc., Class A | 366 | 85,624 | ||||||
|
| |||||||
Biotechnology — 5.1% |
| |||||||
Agios Pharmaceuticals, Inc. * (a) | 828 | 45,644 | ||||||
Alnylam Pharmaceuticals, Inc. * | 392 | 66,369 | ||||||
Amgen, Inc. | 521 | 127,020 | ||||||
Biogen, Inc. * | 291 | 100,728 | ||||||
Exact Sciences Corp. * (a) | 740 | 92,037 | ||||||
Exelixis, Inc. * | 3,092 | 56,339 | ||||||
Horizon Therapeutics plc * | 1,016 | 95,103 | ||||||
Regeneron Pharmaceuticals, Inc. * | 293 | 163,927 | ||||||
|
| |||||||
747,167 | ||||||||
|
| |||||||
Building Products — 2.2% |
| |||||||
Fortune Brands Home & Security, Inc. | 1,402 | 139,663 | ||||||
Trane Technologies plc | 1,042 | 191,920 | ||||||
|
| |||||||
331,583 | ||||||||
|
| |||||||
Capital Markets — 4.0% |
| |||||||
BlackRock, Inc. | 142 | 123,821 | ||||||
Blackstone Group, Inc. (The), Class A | 1,852 | 179,878 | ||||||
Charles Schwab Corp. (The) | 2,458 | 178,968 | ||||||
S&P Global, Inc. | 249 | 102,191 | ||||||
|
| |||||||
584,858 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.8% |
| |||||||
Copart, Inc. * | 887 | 116,894 | ||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
Quanta Services, Inc. | 1,294 | 117,186 | ||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
Discover Financial Services | 569 | 67,248 | ||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 509 | 74,921 | ||||||
|
| |||||||
Electrical Equipment — 2.2% |
| |||||||
AMETEK, Inc. | 774 | 103,306 | ||||||
Generac Holdings, Inc. * (a) | 525 | 217,757 | ||||||
|
| |||||||
321,063 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electronic Equipment, Instruments & Components — 1.9% |
| |||||||
Keysight Technologies, Inc. * | 867 | 133,934 | ||||||
Zebra Technologies Corp., Class A * | 268 | 142,077 | ||||||
|
| |||||||
276,011 | ||||||||
|
| |||||||
Entertainment — 1.9% |
| |||||||
Roku, Inc. * | 422 | 193,877 | ||||||
Walt Disney Co. (The) * | 518 | 91,025 | ||||||
|
| |||||||
284,902 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
Oatly Group AB, ADR * | 2,076 | 50,785 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.2% |
| |||||||
Cooper Cos., Inc. (The) | 245 | 97,038 | ||||||
Dexcom, Inc. * | 385 | 164,518 | ||||||
Insulet Corp. * | 197 | 53,949 | ||||||
Intuitive Surgical, Inc. * | 166 | 152,426 | ||||||
|
| |||||||
467,931 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.7% |
| |||||||
McKesson Corp. | 534 | 102,145 | ||||||
UnitedHealth Group, Inc. | 385 | 154,078 | ||||||
|
| |||||||
256,223 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.1% |
| |||||||
Airbnb, Inc., Class A * | 248 | 38,042 | ||||||
Booking Holdings, Inc. * | 60 | 130,463 | ||||||
DraftKings, Inc., Class A * (a) | 1,971 | 102,833 | ||||||
Las Vegas Sands Corp. * | 1,975 | 104,047 | ||||||
Royal Caribbean Cruises Ltd. * (a) | 1,049 | 89,475 | ||||||
|
| |||||||
464,860 | ||||||||
|
| |||||||
Household Durables — 0.8% |
| |||||||
Garmin Ltd. | 817 | 118,154 | ||||||
|
| |||||||
Insurance — 0.7% |
| |||||||
Progressive Corp. (The) | 1,006 | 98,806 | ||||||
|
| |||||||
Interactive Media & Services — 10.2% |
| |||||||
Alphabet, Inc., Class C * | 312 | 783,113 | ||||||
Facebook, Inc., Class A * | 1,184 | 411,645 | ||||||
Match Group, Inc. * | 811 | 130,703 | ||||||
Snap, Inc., Class A * | 1,446 | 98,561 | ||||||
Zillow Group, Inc., Class C * (a) | 628 | 76,714 | ||||||
|
| |||||||
1,500,736 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.2% |
| |||||||
Amazon.com, Inc. * | 223 | 768,728 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 13 |
Table of Contents
JPMorgan Growth Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
IT Services — 6.1% |
| |||||||
Global Payments, Inc. | 845 | 158,544 | ||||||
Mastercard, Inc., Class A | 895 | 326,886 | ||||||
MongoDB, Inc. * | 252 | 91,136 | ||||||
PayPal Holdings, Inc. * | 979 | 285,315 | ||||||
Snowflake, Inc., Class A * | 183 | 44,165 | ||||||
|
| |||||||
906,046 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
Mettler-Toledo International, Inc. * | 82 | 113,990 | ||||||
Thermo Fisher Scientific, Inc. | 225 | 113,576 | ||||||
|
| |||||||
227,566 | ||||||||
|
| |||||||
Machinery — 2.8% |
| |||||||
Deere & Co. | 560 | 197,417 | ||||||
Ingersoll Rand, Inc. * | 2,659 | 129,809 | ||||||
Stanley Black & Decker, Inc. | 446 | 91,392 | ||||||
|
| |||||||
418,618 | ||||||||
|
| |||||||
Media — 0.5% |
| |||||||
Discovery, Inc., Class C * | 2,539 | 73,574 | ||||||
|
| |||||||
Metals & Mining — 0.7% |
| |||||||
Freeport-McMoRan, Inc. | 2,966 | 110,078 | ||||||
|
| |||||||
Personal Products — 1.1% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 491 | 156,129 | ||||||
|
| |||||||
Pharmaceuticals — 1.8% |
| |||||||
Catalent, Inc. * | 993 | 107,364 | ||||||
Jazz Pharmaceuticals plc * | 493 | 87,494 | ||||||
Royalty Pharma plc, Class A (a) | 1,901 | 77,918 | ||||||
|
| |||||||
272,776 | ||||||||
|
| |||||||
Professional Services — 1.4% |
| |||||||
Booz Allen Hamilton Holding Corp. | 1,294 | 110,217 | ||||||
IHS Markit Ltd. | 901 | 101,505 | ||||||
|
| |||||||
211,722 | ||||||||
|
| |||||||
Road & Rail — 1.4% |
| |||||||
Old Dominion Freight Line, Inc. | 443 | 112,417 | ||||||
Uber Technologies, Inc. * | 1,813 | 90,848 | ||||||
|
| |||||||
203,265 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 9.8% |
| |||||||
Advanced Micro Devices, Inc. * (a) | 1,720 | 161,557 | ||||||
Cree, Inc. * (a) | 790 | 77,378 | ||||||
Entegris, Inc. | 1,194 | 146,819 | ||||||
Lam Research Corp. | 342 | 222,496 | ||||||
Microchip Technology, Inc. | 536 | 80,211 | ||||||
NVIDIA Corp. | 430 | 344,065 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
QUALCOMM, Inc. | 1,258 | 179,788 | ||||||
SolarEdge Technologies, Inc. * | 503 | 138,924 | ||||||
Teradyne, Inc. | 679 | 90,934 | ||||||
|
| |||||||
1,442,172 | ||||||||
|
| |||||||
Software — 11.1% |
| |||||||
Confluent, Inc., Class A * (a) | 585 | 27,795 | ||||||
Crowdstrike Holdings, Inc., Class A * | 453 | 113,853 | ||||||
Five9, Inc. * | 486 | 89,128 | ||||||
HubSpot, Inc. * | 221 | 128,924 | ||||||
Microsoft Corp. | 3,432 | 929,714 | ||||||
ServiceNow, Inc. * | 211 | 115,994 | ||||||
Synopsys, Inc. * | 405 | 111,568 | ||||||
UiPath, Inc., Class A * | 527 | 35,818 | ||||||
Zscaler, Inc. * | 402 | 86,787 | ||||||
|
| |||||||
1,639,581 | ||||||||
|
| |||||||
Specialty Retail — 3.7% |
| |||||||
CarMax, Inc. * | 808 | 104,345 | ||||||
Home Depot, Inc. (The) | 822 | 262,039 | ||||||
National Vision Holdings, Inc. * (a) | 1,203 | 61,501 | ||||||
Tractor Supply Co. | 654 | 121,688 | ||||||
|
| |||||||
549,573 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.3% |
| |||||||
Apple, Inc. | 6,806 | 932,168 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.7% |
| |||||||
NIKE, Inc., Class B | 1,658 | 256,184 | ||||||
|
| |||||||
Total Common Stocks | 14,695,353 | |||||||
|
| |||||||
Short-Term Investments — 2.1% |
| |||||||
Investment Companies — 1.1% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 159,430 | 159,510 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.0% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 133,201 | 133,201 |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — continued |
| |||||||
Investment of Cash Collateral from Securities Loaned — continued |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 16,751 | 16,751 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned (Cost $149,962) |
| 149,952 | ||||||
|
| |||||||
Total Short-Term Investments |
| 309,462 | ||||||
|
| |||||||
Total Investments — 101.5% |
| 15,004,815 | ||||||
Liabilities in Excess of Other Assets — (1.5)% |
| (225,978 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 14,778,837 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
| ||
ADR | American Depositary Receipt | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $151,682. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 15 |
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.5% |
| |||||||
Aerospace & Defense — 0.2% |
| |||||||
HEICO Corp., Class A | 45 | 5,641 | ||||||
|
| |||||||
Airlines — 0.9% |
| |||||||
Delta Air Lines, Inc. * | 306 | 13,238 | ||||||
Frontier Group Holdings, Inc. * | 306 | 5,206 | ||||||
Southwest Airlines Co. * | 137 | 7,251 | ||||||
|
| |||||||
25,695 | ||||||||
|
| |||||||
Banks — 5.2% |
| |||||||
Citizens Financial Group, Inc. | 416 | 19,068 | ||||||
Fifth Third Bancorp | 616 | 23,565 | ||||||
First Republic Bank | 54 | 10,140 | ||||||
Huntington Bancshares, Inc. | 1,746 | 24,910 | ||||||
M&T Bank Corp. | 153 | 22,160 | ||||||
Regions Financial Corp. | 903 | 18,218 | ||||||
Signature Bank | 27 | 6,551 | ||||||
SVB Financial Group * | 16 | 8,856 | ||||||
Zions Bancorp NA | 202 | 10,655 | ||||||
|
| |||||||
144,123 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Constellation Brands, Inc., Class A | 92 | 21,596 | ||||||
Keurig Dr Pepper, Inc. | 228 | 8,025 | ||||||
|
| |||||||
29,621 | ||||||||
|
| |||||||
Biotechnology — 2.4% |
| |||||||
Agios Pharmaceuticals, Inc. * (a) | 151 | 8,302 | ||||||
Alnylam Pharmaceuticals, Inc. * | 68 | 11,481 | ||||||
Exact Sciences Corp. * (a) | 100 | 12,429 | ||||||
Exelixis, Inc. * | 323 | 5,878 | ||||||
Horizon Therapeutics plc * | 156 | 14,608 | ||||||
Ionis Pharmaceuticals, Inc. * | 64 | 2,537 | ||||||
Neurocrine Biosciences, Inc. * | 67 | 6,540 | ||||||
Seagen, Inc. * | 41 | 6,457 | ||||||
|
| |||||||
68,232 | ||||||||
|
| |||||||
Building Products — 2.3% |
| |||||||
Fortune Brands Home & Security, Inc. | 334 | 33,281 | ||||||
Trane Technologies plc | 117 | 21,547 | ||||||
Trex Co., Inc. * | 102 | 10,385 | ||||||
|
| |||||||
65,213 | ||||||||
|
| |||||||
Capital Markets — 5.2% |
| |||||||
Affiliated Managers Group, Inc. | 37 | 5,767 | ||||||
Ameriprise Financial, Inc. | 109 | 27,222 | ||||||
Blackstone Group, Inc. (The), Class A | 92 | 8,908 | ||||||
Charles Schwab Corp. (The) | 143 | 10,375 | ||||||
Evercore, Inc., Class A | 57 | 7,954 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — continued |
| |||||||
MarketAxess Holdings, Inc. | 17 | 7,927 | ||||||
MSCI, Inc. | 15 | 8,189 | ||||||
Northern Trust Corp. | 160 | 18,510 | ||||||
Raymond James Financial, Inc. | 145 | 18,898 | ||||||
State Street Corp. | 146 | 12,004 | ||||||
T. Rowe Price Group, Inc. | 96 | 19,076 | ||||||
|
| |||||||
144,830 | ||||||||
|
| |||||||
Chemicals — 0.9% |
| |||||||
Celanese Corp. | 88 | 13,270 | ||||||
Valvoline, Inc. (a) | 368 | 11,932 | ||||||
|
| |||||||
25,202 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.7% |
| |||||||
ACV Auctions, Inc., Class A * | 96 | 2,454 | ||||||
Copart, Inc. * | 125 | 16,517 | ||||||
|
| |||||||
18,971 | ||||||||
|
| |||||||
Communications Equipment — 1.2% |
| |||||||
CommScope Holding Co., Inc. * | 363 | 7,727 | ||||||
Motorola Solutions, Inc. | 119 | 25,701 | ||||||
|
| |||||||
33,428 | ||||||||
|
| |||||||
Construction & Engineering — 0.4% |
| |||||||
Quanta Services, Inc. | 110 | 9,993 | ||||||
|
| |||||||
Construction Materials — 0.5% |
| |||||||
Martin Marietta Materials, Inc. | 43 | 15,194 | ||||||
|
| |||||||
Consumer Finance — 0.9% |
| |||||||
Discover Financial Services | 223 | 26,352 | ||||||
|
| |||||||
Containers & Packaging — 1.0% |
| |||||||
Ball Corp. | 34 | 2,726 | ||||||
Packaging Corp. of America | 82 | 11,103 | ||||||
Silgan Holdings, Inc. | 325 | 13,475 | ||||||
|
| |||||||
27,304 | ||||||||
|
| |||||||
Distributors — 0.9% |
| |||||||
Genuine Parts Co. | 72 | 9,128 | ||||||
LKQ Corp. * | 333 | 16,379 | ||||||
|
| |||||||
25,507 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.3% |
| |||||||
Bright Horizons Family Solutions, Inc. * | 52 | 7,664 | ||||||
|
| |||||||
Diversified Financial Services — 0.3% |
| |||||||
Voya Financial, Inc. | 121 | 7,458 | ||||||
|
| |||||||
Electric Utilities — 1.9% |
| |||||||
Edison International | 237 | 13,689 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Electric Utilities — continued |
| |||||||
Entergy Corp. | 168 | 16,722 | ||||||
Xcel Energy, Inc. | 353 | 23,236 | ||||||
|
| |||||||
53,647 | ||||||||
|
| |||||||
Electrical Equipment — 3.2% |
| |||||||
Acuity Brands, Inc. | 104 | 19,463 | ||||||
AMETEK, Inc. | 196 | 26,129 | ||||||
Generac Holdings, Inc. * | 60 | 24,921 | ||||||
Hubbell, Inc. | 114 | 21,297 | ||||||
|
| |||||||
91,810 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.9% |
| |||||||
Amphenol Corp., Class A | 260 | 17,765 | ||||||
CDW Corp. | 68 | 11,905 | ||||||
Itron, Inc. * (a) | 76 | 7,608 | ||||||
Keysight Technologies, Inc. * | 131 | 20,184 | ||||||
Littelfuse, Inc. | 36 | 9,198 | ||||||
SYNNEX Corp. | 165 | 20,062 | ||||||
Trimble, Inc. * | 79 | 6,456 | ||||||
Zebra Technologies Corp., Class A * | 34 | 18,180 | ||||||
|
| |||||||
111,358 | ||||||||
|
| |||||||
Entertainment — 2.1% |
| |||||||
Roku, Inc. * | 65 | 29,943 | ||||||
Spotify Technology SA * (a) | 46 | 12,577 | ||||||
Take-Two Interactive Software, Inc. * | 46 | 8,175 | ||||||
Zynga, Inc., Class A * | 717 | 7,626 | ||||||
|
| |||||||
58,321 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.2% |
| |||||||
American Homes 4 Rent, Class A | 346 | 13,426 | ||||||
AvalonBay Communities, Inc. | 59 | 12,410 | ||||||
Boston Properties, Inc. | 114 | 13,106 | ||||||
Brixmor Property Group, Inc. | 396 | 9,075 | ||||||
Essex Property Trust, Inc. (a) | 28 | 8,367 | ||||||
Federal Realty Investment Trust | 57 | 6,735 | ||||||
JBG SMITH Properties | 180 | 5,673 | ||||||
Kimco Realty Corp. | 476 | 9,924 | ||||||
Mid-America Apartment Communities, Inc. | 41 | 6,912 | ||||||
Rayonier, Inc. (a) | 366 | 13,155 | ||||||
Regency Centers Corp. | 110 | 7,018 | ||||||
Rexford Industrial Realty, Inc. | 90 | 5,147 | ||||||
Sun Communities, Inc. | 40 | 6,786 | ||||||
Ventas, Inc. | 114 | 6,508 | ||||||
Weyerhaeuser Co. | 392 | 13,488 | ||||||
WP Carey, Inc. | 102 | 7,623 | ||||||
|
| |||||||
145,353 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food & Staples Retailing — 0.7% |
| |||||||
Kroger Co. (The) | 257 | 9,863 | ||||||
US Foods Holding Corp. * | 273 | 10,481 | ||||||
|
| |||||||
20,344 | ||||||||
|
| |||||||
Food Products — 0.6% |
| |||||||
Oatly Group AB, ADR * (a) | 176 | 4,305 | ||||||
Post Holdings, Inc. * | 123 | 13,326 | ||||||
|
| |||||||
17,631 | ||||||||
|
| |||||||
Gas Utilities — 0.6% |
| |||||||
National Fuel Gas Co. | 342 | 17,880 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.9% |
| |||||||
Align Technology, Inc. * | 11 | 6,599 | ||||||
Cooper Cos., Inc. (The) | 27 | 10,521 | ||||||
Dexcom, Inc. * | 58 | 24,663 | ||||||
Insulet Corp. * | 41 | 11,181 | ||||||
ResMed, Inc. | 33 | 8,170 | ||||||
Zimmer Biomet Holdings, Inc. | 129 | 20,786 | ||||||
|
| |||||||
81,920 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.3% |
| |||||||
Acadia Healthcare Co., Inc. * | 108 | 6,803 | ||||||
Amedisys, Inc. * | 32 | 7,911 | ||||||
AmerisourceBergen Corp. | 144 | 16,532 | ||||||
Centene Corp. * | 136 | 9,911 | ||||||
Cigna Corp. | 48 | 11,450 | ||||||
Henry Schein, Inc. * | 165 | 12,268 | ||||||
Humana, Inc. | 13 | 5,781 | ||||||
Laboratory Corp. of America Holdings * | 84 | 23,154 | ||||||
McKesson Corp. | 55 | 10,595 | ||||||
Universal Health Services, Inc., Class B | 122 | 17,851 | ||||||
|
| |||||||
122,256 | ||||||||
|
| |||||||
Health Care Technology — 0.3% |
| |||||||
Teladoc Health, Inc. * (a) | 59 | 9,785 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.5% |
| |||||||
Airbnb, Inc., Class A * | 21 | 3,236 | ||||||
Aramark | 195 | 7,256 | ||||||
Booking Holdings, Inc. * | 3 | 6,127 | ||||||
Chipotle Mexican Grill, Inc. * | 6 | 9,988 | ||||||
Darden Restaurants, Inc. | 51 | 7,425 | ||||||
DraftKings, Inc., Class A * (a) | 224 | 11,701 | ||||||
Expedia Group, Inc. * | 46 | 7,592 | ||||||
Las Vegas Sands Corp. * | 166 | 8,731 | ||||||
Royal Caribbean Cruises Ltd. * | 92 | 7,829 | ||||||
|
| |||||||
69,885 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 17 |
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Household Durables — 1.8% |
| |||||||
Garmin Ltd. | 59 | 8,564 | ||||||
Helen of Troy Ltd. * (a) | 45 | 10,357 | ||||||
Mohawk Industries, Inc. * | 66 | 12,768 | ||||||
Newell Brands, Inc. | 711 | 19,530 | ||||||
|
| |||||||
51,219 | ||||||||
|
| |||||||
Household Products — 0.3% |
| |||||||
Energizer Holdings, Inc. | 185 | 7,951 | ||||||
|
| |||||||
Industrial Conglomerates — 0.7% |
| |||||||
Carlisle Cos., Inc. | 110 | 20,974 | ||||||
|
| |||||||
Insurance — 3.7% |
| |||||||
Alleghany Corp. * | 12 | 8,154 | ||||||
Arch Capital Group Ltd. * | 160 | 6,216 | ||||||
Hartford Financial Services Group, Inc. (The) | 224 | 13,873 | ||||||
Lincoln National Corp. | 180 | 11,325 | ||||||
Loews Corp. | 425 | 23,207 | ||||||
Marsh & McLennan Cos., Inc. | 56 | 7,913 | ||||||
Progressive Corp. (The) | 165 | 16,163 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 41 | 6,078 | ||||||
WR Berkley Corp. | 146 | 10,882 | ||||||
|
| |||||||
103,811 | ||||||||
|
| |||||||
Interactive Media & Services — 2.2% |
| |||||||
Bumble, Inc., Class A * (a) | 100 | 5,787 | ||||||
InterActiveCorp. * | 70 | 10,805 | ||||||
Match Group, Inc. * | 128 | 20,707 | ||||||
Pinterest, Inc., Class A * | 160 | 12,600 | ||||||
Zillow Group, Inc., Class C * | 97 | 11,806 | ||||||
| �� | |||||||
61,705 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.2% |
| |||||||
Chewy, Inc., Class A * (a) | 79 | 6,321 | ||||||
|
| |||||||
IT Services — 1.5% |
| |||||||
Affirm Holdings, Inc. * (a) | 52 | 3,500 | ||||||
Global Payments, Inc. | 66 | 12,434 | ||||||
MongoDB, Inc. * | 31 | 11,026 | ||||||
Okta, Inc. * | 48 | 11,798 | ||||||
Snowflake, Inc., Class A * | 15 | 3,616 | ||||||
|
| |||||||
42,374 | ||||||||
|
| |||||||
Leisure Products — 0.2% |
| |||||||
Brunswick Corp. | 69 | 6,874 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.5% |
| |||||||
Agilent Technologies, Inc. | 130 | 19,215 | ||||||
Maravai LifeSciences Holdings, Inc., Class A * | 217 | 9,053 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Life Sciences Tools & Services — continued |
| |||||||
Mettler-Toledo International, Inc. * | 11 | 14,546 | ||||||
|
| |||||||
42,814 | ||||||||
|
| |||||||
Machinery — 4.4% |
| |||||||
IDEX Corp. | 70 | 15,418 | ||||||
Ingersoll Rand, Inc. * | 235 | 11,481 | ||||||
ITT, Inc. | 309 | 28,317 | ||||||
Lincoln Electric Holdings, Inc. | 133 | 17,540 | ||||||
Middleby Corp. (The) * | 86 | 14,814 | ||||||
Snap-on, Inc. | 62 | 13,904 | ||||||
Stanley Black & Decker, Inc. | 40 | 8,207 | ||||||
Timken Co. (The) | 167 | 13,446 | ||||||
|
| |||||||
123,127 | ||||||||
|
| |||||||
Media — 1.8% |
| |||||||
Discovery, Inc., Class C * (a) | 215 | 6,242 | ||||||
Liberty Broadband Corp., Class C * | 143 | 24,806 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 447 | 20,748 | ||||||
|
| |||||||
51,796 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
Freeport-McMoRan, Inc. | 603 | 22,395 | ||||||
|
| |||||||
Multiline Retail — 0.4% |
| |||||||
Kohl’s Corp. | 206 | 11,326 | ||||||
|
| |||||||
Multi-Utilities — 1.6% |
| |||||||
CMS Energy Corp. | 310 | 18,302 | ||||||
Sempra Energy | 65 | 8,560 | ||||||
WEC Energy Group, Inc. | 210 | 18,668 | ||||||
|
| |||||||
45,530 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.4% |
| |||||||
Cabot Oil & Gas Corp. (a) | 907 | 15,830 | ||||||
Diamondback Energy, Inc. | 233 | 21,912 | ||||||
EOG Resources, Inc. | 88 | 7,359 | ||||||
EQT Corp. * | 360 | 8,023 | ||||||
Williams Cos., Inc. (The) | 598 | 15,864 | ||||||
|
| |||||||
68,988 | ||||||||
|
| |||||||
Pharmaceuticals — 1.1% |
| |||||||
Catalent, Inc. * | 82 | 8,861 | ||||||
Jazz Pharmaceuticals plc * | 90 | 16,075 | ||||||
Royalty Pharma plc, Class A | 156 | 6,407 | ||||||
|
| |||||||
31,343 | ||||||||
|
| |||||||
Professional Services — 1.9% |
| |||||||
Booz Allen Hamilton Holding Corp. | 143 | 12,210 | ||||||
CoStar Group, Inc. * | 55 | 4,552 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Professional Services — continued |
| |||||||
Equifax, Inc. | 60 | 14,275 | ||||||
IHS Markit Ltd. | 97 | 10,912 | ||||||
Leidos Holdings, Inc. | 129 | 12,994 | ||||||
|
| |||||||
54,943 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.6% |
| |||||||
CBRE Group, Inc., Class A * | 205 | 17,573 | ||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Lyft, Inc., Class A * | 195 | 11,783 | ||||||
Old Dominion Freight Line, Inc. | 61 | 15,484 | ||||||
|
| |||||||
27,267 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
Advanced Micro Devices, Inc. * | 97 | 9,136 | ||||||
Analog Devices, Inc. | 104 | 17,913 | ||||||
Cree, Inc. * (a) | 67 | 6,532 | ||||||
Entegris, Inc. | 142 | 17,511 | ||||||
Lam Research Corp. | 22 | 14,088 | ||||||
Marvell Technology, Inc. | 151 | 8,819 | ||||||
Microchip Technology, Inc. | 93 | 13,868 | ||||||
SolarEdge Technologies, Inc. * | 51 | 14,040 | ||||||
Teradyne, Inc. | 116 | 15,593 | ||||||
Xilinx, Inc. | 53 | 7,623 | ||||||
|
| |||||||
125,123 | ||||||||
|
| |||||||
Software — 6.5% |
| |||||||
Avalara, Inc. * | 43 | 6,990 | ||||||
Bill.Com Holdings, Inc. * (a) | 34 | 6,191 | ||||||
Cadence Design Systems, Inc. * | 108 | 14,722 | ||||||
Confluent, Inc., Class A * (a) | 50 | 2,384 | ||||||
Coupa Software, Inc. * | 32 | 8,335 | ||||||
Crowdstrike Holdings, Inc., Class A * | 70 | 17,646 | ||||||
DocuSign, Inc. * | 52 | 14,538 | ||||||
Five9, Inc. * | 72 | 13,149 | ||||||
HubSpot, Inc. * | 35 | 20,513 | ||||||
NortonLifeLock, Inc. | 684 | 18,615 | ||||||
RingCentral, Inc., Class A * | 40 | 11,562 | ||||||
Synopsys, Inc. * | 68 | 18,634 | ||||||
Trade Desk, Inc. (The), Class A * | 193 | 14,924 | ||||||
UiPath, Inc., Class A * (a) | 45 | 3,043 | ||||||
Zscaler, Inc. * | 51 | 10,945 | ||||||
|
| |||||||
182,191 | ||||||||
|
| |||||||
Specialty Retail — 4.4% |
| |||||||
AutoZone, Inc. * | 15 | 23,010 | ||||||
Best Buy Co., Inc. | 165 | 18,998 | ||||||
Burlington Stores, Inc. * | 40 | 12,898 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Specialty Retail — continued |
| |||||||
CarMax, Inc. * | 77 | 9,996 | ||||||
Gap, Inc. (The) | 457 | 15,380 | ||||||
National Vision Holdings, Inc. * | 134 | 6,847 | ||||||
O’Reilly Automotive, Inc. * | 17 | �� | 9,624 | |||||
Tractor Supply Co. | 81 | 15,014 | ||||||
Ulta Beauty, Inc. * | 36 | 12,482 | ||||||
|
| |||||||
124,249 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.4% |
| |||||||
Carter’s, Inc. | 135 | 13,893 | ||||||
Lululemon Athletica, Inc. * | 19 | 6,909 | ||||||
Ralph Lauren Corp. | 115 | 13,588 | ||||||
Tapestry, Inc. * | 106 | 4,627 | ||||||
|
| |||||||
39,017 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.2% |
| |||||||
MGIC Investment Corp. | 435 | 5,922 | ||||||
|
| |||||||
Total Common Stocks | 2,755,451 | |||||||
|
| |||||||
Short-Term Investments — 4.4% | ||||||||
Investment Companies — 2.3% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 64,433 | 64,465 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 2.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 52,990 | 52,990 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 6,929 | 6,929 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 59,919 | |||||||
|
| |||||||
Total Short-Term Investments | 124,384 | |||||||
|
| |||||||
Total Investments — 101.9% | 2,879,835 | |||||||
Liabilities in Excess of Other Assets — (1.9)% | (54,293 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 2,825,542 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 19 |
Table of Contents
JPMorgan Mid Cap Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
Abbreviations
ADR | American Depositary Receipt | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $58,238. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.9% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
HEICO Corp., Class A | 323 | 40,095 | ||||||
|
| |||||||
Airlines — 1.4% |
| |||||||
Delta Air Lines, Inc. * | 2,173 | 94,022 | ||||||
Frontier Group Holdings, Inc. * (a) | 2,182 | 37,179 | ||||||
|
| |||||||
131,201 | ||||||||
|
| |||||||
Banks — 2.0% |
| |||||||
First Republic Bank | 387 | 72,417 | ||||||
Signature Bank | 190 | 46,713 | ||||||
SVB Financial Group * | 114 | 63,166 | ||||||
|
| |||||||
182,296 | ||||||||
|
| |||||||
Beverages — 0.7% |
| |||||||
Constellation Brands, Inc., Class A | 275 | 64,296 | ||||||
|
| |||||||
Biotechnology — 5.4% |
| |||||||
Agios Pharmaceuticals, Inc. * (a) | 1,076 | 59,282 | ||||||
Alnylam Pharmaceuticals, Inc. * | 484 | 81,963 | ||||||
Exact Sciences Corp. * | 714 | 88,770 | ||||||
Exelixis, Inc. * | 2,304 | 41,977 | ||||||
Horizon Therapeutics plc * | 1,108 | 103,771 | ||||||
Ionis Pharmaceuticals, Inc. * | 460 | 18,349 | ||||||
Neurocrine Biosciences, Inc. * | 480 | 46,694 | ||||||
Seagen, Inc. * | 291 | 45,912 | ||||||
|
| |||||||
486,718 | ||||||||
|
| |||||||
Building Products — 3.5% |
| |||||||
Fortune Brands Home & Security, Inc. | 908 | 90,436 | ||||||
Trane Technologies plc | 831 | 153,039 | ||||||
Trex Co., Inc. * | 726 | 74,194 | ||||||
|
| |||||||
317,669 | ||||||||
|
| |||||||
Capital Markets — 3.9% |
| |||||||
Affiliated Managers Group, Inc. | 269 | 41,513 | ||||||
Blackstone Group, Inc. (The), Class A | 655 | 63,627 | ||||||
Charles Schwab Corp. (The) | 1,014 | 73,851 | ||||||
Evercore, Inc., Class A | 403 | 56,773 | ||||||
MarketAxess Holdings, Inc. (a) | 122 | 56,558 | ||||||
MSCI, Inc. | 110 | 58,372 | ||||||
|
| |||||||
350,694 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.5% |
| |||||||
ACV Auctions, Inc., Class A * | 688 | 17,622 | ||||||
Copart, Inc. * | 895 | 117,922 | ||||||
|
| |||||||
135,544 | ||||||||
|
| |||||||
Construction & Engineering — 0.8% |
| |||||||
Quanta Services, Inc. | 785 | 71,107 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Consumer Finance — 0.7% |
| |||||||
Discover Financial Services | 570 | 67,461 | ||||||
|
| |||||||
Diversified Consumer Services — 0.6% |
| |||||||
Bright Horizons Family Solutions, Inc. * (a) | 372 | 54,784 | ||||||
|
| |||||||
Electrical Equipment — 2.8% |
| |||||||
AMETEK, Inc. | 557 | 74,413 | ||||||
Generac Holdings, Inc. * | 429 | 177,941 | ||||||
|
| |||||||
252,354 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.3% |
| |||||||
Itron, Inc. * (a) | 544 | 54,349 | ||||||
Keysight Technologies, Inc. * | 639 | 98,606 | ||||||
Littelfuse, Inc. | 258 | 65,736 | ||||||
Trimble, Inc. * | 564 | 46,119 | ||||||
Zebra Technologies Corp., Class A * | 244 | 129,408 | ||||||
|
| |||||||
394,218 | ||||||||
|
| |||||||
Entertainment — 4.0% |
| |||||||
Roku, Inc. * | 465 | 213,552 | ||||||
Spotify Technology SA * (a) | 324 | 89,291 | ||||||
Take-Two Interactive Software, Inc. * | 328 | 58,027 | ||||||
|
| |||||||
360,870 | ||||||||
|
| |||||||
Food Products — 0.3% |
| |||||||
Oatly Group AB, ADR * (a) | 1,257 | 30,745 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 4.8% |
| |||||||
Align Technology, Inc. * | 77 | 46,925 | ||||||
Cooper Cos., Inc. (The) | 189 | 75,014 | ||||||
Dexcom, Inc. * | 410 | 175,155 | ||||||
Insulet Corp. * | 291 | 79,855 | ||||||
ResMed, Inc. (a) | 235 | 57,982 | ||||||
|
| |||||||
434,931 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.7% |
| |||||||
Acadia Healthcare Co., Inc. * (a) | 774 | 48,589 | ||||||
Amedisys, Inc. * | 231 | 56,456 | ||||||
Centene Corp. * | 974 | 71,057 | ||||||
Cigna Corp. | 345 | 81,837 | ||||||
McKesson Corp. | 393 | 75,176 | ||||||
|
| |||||||
333,115 | ||||||||
|
| |||||||
Health Care Technology — 0.8% |
| |||||||
Teladoc Health, Inc. * (a) | 420 | 69,829 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.3% |
| |||||||
Airbnb, Inc., Class A * | 151 | 23,162 | ||||||
Aramark | 1,386 | 51,636 | ||||||
Booking Holdings, Inc. * | 20 | 43,105 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 21 |
Table of Contents
JPMorgan Mid Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Hotels, Restaurants & Leisure — continued |
| |||||||
Chipotle Mexican Grill, Inc. * | 46 | 71,471 | ||||||
DraftKings, Inc., Class A * (a) | 1,593 | 83,113 | ||||||
Las Vegas Sands Corp. * | 1,183 | 62,353 | ||||||
Royal Caribbean Cruises Ltd. * | 659 | 56,174 | ||||||
|
| |||||||
391,014 | ||||||||
|
| |||||||
Household Durables — 1.5% |
| |||||||
Garmin Ltd. | 423 | 61,188 | ||||||
Helen of Troy Ltd. * | 324 | 73,979 | ||||||
|
| |||||||
135,167 | ||||||||
|
| |||||||
Insurance — 0.5% |
| |||||||
Progressive Corp. (The) | 455 | 44,686 | ||||||
|
| |||||||
Interactive Media & Services — 4.0% |
| |||||||
Bumble, Inc., Class A * (a) | 717 | 41,319 | ||||||
Match Group, Inc. * | 917 | 147,894 | ||||||
Pinterest, Inc., Class A * | 1,140 | 89,971 | ||||||
Zillow Group, Inc., Class C * | 686 | 83,880 | ||||||
|
| |||||||
363,064 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.5% |
| |||||||
Chewy, Inc., Class A * (a) | 566 | 45,140 | ||||||
|
| |||||||
IT Services — 3.3% |
| |||||||
Affirm Holdings, Inc. * (a) | 372 | 25,077 | ||||||
Global Payments, Inc. | 473 | 88,743 | ||||||
MongoDB, Inc. * | 218 | 78,631 | ||||||
Okta, Inc. * | 344 | 84,194 | ||||||
Snowflake, Inc., Class A * | 107 | 25,984 | ||||||
|
| |||||||
302,629 | ||||||||
|
| |||||||
Leisure Products — 0.5% |
| |||||||
Brunswick Corp. | 493 | 49,063 | ||||||
|
| |||||||
Life Sciences Tools & Services — 3.4% |
| |||||||
Agilent Technologies, Inc. | 923 | 136,488 | ||||||
Maravai LifeSciences Holdings, Inc., Class A * (a) | 1,550 | 64,668 | ||||||
Mettler-Toledo International, Inc. * | 75 | 104,039 | ||||||
|
| |||||||
305,195 | ||||||||
|
| |||||||
Machinery — 2.3% |
| |||||||
Ingersoll Rand, Inc. * | 1,680 | 81,977 | ||||||
ITT, Inc. | 758 | 69,398 | ||||||
Stanley Black & Decker, Inc. | 284 | 58,135 | ||||||
|
| |||||||
209,510 | ||||||||
|
| |||||||
Media — 0.5% |
| |||||||
Discovery, Inc., Class C * (a) | 1,539 | 44,593 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Metals & Mining — 0.7% |
| |||||||
Freeport-McMoRan, Inc. | 1,817 | 67,414 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
EOG Resources, Inc. | 626 | 52,250 | ||||||
|
| |||||||
Pharmaceuticals — 1.9% |
| |||||||
Catalent, Inc. * | 587 | 63,445 | ||||||
Jazz Pharmaceuticals plc * | 338 | 60,019 | ||||||
Royalty Pharma plc, Class A | 1,117 | 45,765 | ||||||
|
| |||||||
169,229 | ||||||||
|
| |||||||
Professional Services — 3.3% |
| |||||||
Booz Allen Hamilton Holding Corp. | 1,024 | 87,190 | ||||||
CoStar Group, Inc. * | 392 | 32,465 | ||||||
Equifax, Inc. | 423 | 101,313 | ||||||
IHS Markit Ltd. | 688 | 77,533 | ||||||
|
| |||||||
298,501 | ||||||||
|
| |||||||
Road & Rail — 2.1% |
| |||||||
Lyft, Inc., Class A * | 1,384 | 83,684 | ||||||
Old Dominion Freight Line, Inc. | 436 | 110,568 | ||||||
|
| |||||||
194,252 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 8.5% |
| |||||||
Advanced Micro Devices, Inc. * | 697 | 65,488 | ||||||
Cree, Inc. * | 476 | 46,654 | ||||||
Entegris, Inc. | 1,017 | 125,072 | ||||||
Lam Research Corp. | 155 | 100,722 | ||||||
Marvell Technology, Inc. | 1,080 | 62,979 | ||||||
Microchip Technology, Inc. | 664 | 99,382 | ||||||
SolarEdge Technologies, Inc. * | 361 | 99,770 | ||||||
Teradyne, Inc. | 831 | 111,348 | ||||||
Xilinx, Inc. | 377 | 54,471 | ||||||
|
| |||||||
765,886 | ||||||||
|
| |||||||
Software — 12.6% |
| |||||||
Avalara, Inc. * | 309 | 49,931 | ||||||
Bill.Com Holdings, Inc. * | 241 | 44,183 | ||||||
Cadence Design Systems, Inc. * | 768 | 105,105 | ||||||
Confluent, Inc., Class A * (a) | 358 | 16,999 | ||||||
Coupa Software, Inc. * | 228 | 59,735 | ||||||
Crowdstrike Holdings, Inc., Class A * | 502 | 126,032 | ||||||
DocuSign, Inc. * | 371 | 103,804 | ||||||
Five9, Inc. * | 512 | 93,969 | ||||||
HubSpot, Inc. * | 252 | 146,963 | ||||||
RingCentral, Inc., Class A * | 283 | 82,176 | ||||||
Synopsys, Inc. * | 359 | 99,091 | ||||||
Trade Desk, Inc. (The), Class A * | 1,372 | 106,138 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Software — continued |
| |||||||
UiPath, Inc., Class A * (a) | 322 | 21,887 | ||||||
Zscaler, Inc. * | 362 | 78,106 | ||||||
|
| |||||||
1,134,119 | ||||||||
|
| |||||||
Specialty Retail — 5.3% |
| |||||||
Burlington Stores, Inc. * | 286 | 92,089 | ||||||
CarMax, Inc. * | 553 | 71,368 | ||||||
National Vision Holdings, Inc. * (a) | 957 | 48,916 | ||||||
O’Reilly Automotive, Inc. * | 120 | 68,172 | ||||||
Tractor Supply Co. | 576 | 107,134 | ||||||
Ulta Beauty, Inc. * | 258 | 89,070 | ||||||
|
| |||||||
476,749 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.5% |
| |||||||
Lululemon Athletica, Inc. * | 135 | 49,380 | ||||||
|
| |||||||
Total Common Stocks | 8,875,768 | |||||||
|
| |||||||
Short-Term Investments — 5.0% | ||||||||
Investment Companies — 2.1% | ||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 190,049 | 190,144 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 2.9% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 238,992 | 238,992 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 26,765 | 26,765 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 265,757 | |||||||
|
| |||||||
Total Short-Term Investments | 455,901 | |||||||
|
| |||||||
Total Investments — 102.9% | 9,331,669 | |||||||
Liabilities in Excess of | (258,905 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 9,072,764 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $258,405. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 23 |
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.5% |
| |||||||
Airlines — 0.5% |
| |||||||
Southwest Airlines Co. * | 1,525 | 80,988 | ||||||
|
| |||||||
Banks — 7.8% |
| |||||||
Citizens Financial Group, Inc. | 4,630 | 212,388 | ||||||
Fifth Third Bancorp | 6,864 | 262,403 | ||||||
Huntington Bancshares, Inc. | 19,437 | 277,365 | ||||||
M&T Bank Corp. | 1,698 | 246,774 | ||||||
Regions Financial Corp. | 10,057 | 202,941 | ||||||
Zions Bancorp NA | 2,248 | 118,832 | ||||||
|
| |||||||
1,320,703 | ||||||||
|
| |||||||
Beverages — 1.3% |
| |||||||
Constellation Brands, Inc., Class A | 599 | 140,146 | ||||||
Keurig Dr Pepper, Inc. | 2,543 | 89,619 | ||||||
|
| |||||||
229,765 | ||||||||
|
| |||||||
Building Products — 1.3% |
| |||||||
Fortune Brands Home & Security, Inc. | 2,306 | 229,674 | ||||||
|
| |||||||
Capital Markets — 6.3% |
| |||||||
Ameriprise Financial, Inc. | 1,218 | 303,061 | ||||||
Northern Trust Corp. | 1,783 | 206,193 | ||||||
Raymond James Financial, Inc. | 1,620 | 210,495 | ||||||
State Street Corp. | 1,627 | 133,846 | ||||||
T. Rowe Price Group, Inc. | 1,073 | 212,482 | ||||||
|
| |||||||
1,066,077 | ||||||||
|
| |||||||
Chemicals — 1.6% |
| |||||||
Celanese Corp. | 969 | 146,912 | ||||||
Valvoline, Inc. (a) | 4,099 | 133,050 | ||||||
|
| |||||||
279,962 | ||||||||
|
| |||||||
Communications Equipment — 2.1% |
| |||||||
CommScope Holding Co., Inc. * | 4,050 | 86,301 | ||||||
Motorola Solutions, Inc. | 1,249 | 270,866 | ||||||
|
| |||||||
357,167 | ||||||||
|
| |||||||
Construction Materials — 1.0% |
| |||||||
Martin Marietta Materials, Inc. | 480 | 168,750 | ||||||
|
| |||||||
Consumer Finance — 1.1% |
| |||||||
Discover Financial Services | 1,587 | 187,764 | ||||||
|
| |||||||
Containers & Packaging — 1.8% |
| |||||||
Ball Corp. | 379 | 30,678 | ||||||
Packaging Corp. of America | 914 | 123,839 | ||||||
Silgan Holdings, Inc. | 3,620 | 150,210 | ||||||
|
| |||||||
304,727 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Distributors — 1.7% |
| |||||||
Genuine Parts Co. | 806 | 101,875 | ||||||
LKQ Corp. * | 3,708 | 182,489 | ||||||
|
| |||||||
284,364 | ||||||||
|
| |||||||
Diversified Financial Services — 0.5% |
| |||||||
Voya Financial, Inc. | 1,355 | 83,303 | ||||||
|
| |||||||
Electric Utilities — 3.3% |
| |||||||
Edison International | 2,144 | 123,981 | ||||||
Entergy Corp. | 1,869 | 186,305 | ||||||
Xcel Energy, Inc. | 3,928 | 258,750 | ||||||
|
| |||||||
569,036 | ||||||||
|
| |||||||
Electrical Equipment — 3.7% |
| |||||||
Acuity Brands, Inc. (a) | 1,159 | 216,783 | ||||||
AMETEK, Inc. | 1,311 | 175,003 | ||||||
Hubbell, Inc. | 1,269 | 237,183 | ||||||
|
| |||||||
628,969 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 3.7% |
| |||||||
Amphenol Corp., Class A | 2,893 | 197,902 | ||||||
CDW Corp. | 760 | 132,763 | ||||||
Keysight Technologies, Inc. * | 461 | 71,233 | ||||||
SYNNEX Corp. | 1,835 | 223,449 | ||||||
|
| |||||||
625,347 | ||||||||
|
| |||||||
Entertainment — 0.5% |
| |||||||
Zynga, Inc., Class A * | 7,949 | 84,498 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 9.6% |
| |||||||
American Homes 4 Rent, Class A (a) | 3,852 | 149,663 | ||||||
AvalonBay Communities, Inc. (a) | 663 | 138,349 | ||||||
Boston Properties, Inc. | 1,273 | 145,888 | ||||||
Brixmor Property Group, Inc. | 4,424 | 101,277 | ||||||
Essex Property Trust, Inc. (a) | 311 | 93,410 | ||||||
Federal Realty Investment Trust | 642 | 75,267 | ||||||
JBG SMITH Properties | 2,004 | 63,155 | ||||||
Kimco Realty Corp. | 5,310 | 110,724 | ||||||
Mid-America Apartment Communities, Inc. | 459 | 77,221 | ||||||
Rayonier, Inc. (a) | 4,082 | 146,659 | ||||||
Regency Centers Corp. | 1,224 | 78,401 | ||||||
Rexford Industrial Realty, Inc. | 1,007 | 57,321 | ||||||
Sun Communities, Inc. (a) | 442 | 75,818 | ||||||
Ventas, Inc. | 1,274 | 72,731 | ||||||
Weyerhaeuser Co. | 4,368 | 150,363 | ||||||
WP Carey, Inc. | 1,136 | 84,776 | ||||||
|
| |||||||
1,621,023 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Food & Staples Retailing — 1.3% |
| |||||||
Kroger Co. (The) | 2,872 | 110,040 | ||||||
US Foods Holding Corp. * | 3,048 | 116,903 | ||||||
|
| |||||||
226,943 | ||||||||
|
| |||||||
Food Products — 0.9% |
| |||||||
Post Holdings, Inc. * (a) | 1,370 | 148,559 | ||||||
|
| |||||||
Gas Utilities — 1.2% |
| |||||||
National Fuel Gas Co. | 3,812 | 199,186 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.4% |
| |||||||
Zimmer Biomet Holdings, Inc. | 1,439 | 231,487 | ||||||
|
| |||||||
Health Care Providers & Services — 4.9% |
| |||||||
AmerisourceBergen Corp. | 1,609 | 184,203 | ||||||
Henry Schein, Inc. * (a) | 1,844 | 136,781 | ||||||
Humana, Inc. | 146 | 64,640 | ||||||
Laboratory Corp. of America Holdings * | 935 | 257,839 | ||||||
Universal Health Services, Inc., Class B (a) | 1,358 | 198,851 | ||||||
|
| |||||||
842,314 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Darden Restaurants, Inc. | 568 | 82,942 | ||||||
Expedia Group, Inc. * | 518 | 84,780 | ||||||
|
| |||||||
167,722 | ||||||||
|
| |||||||
Household Durables — 2.1% |
| |||||||
Mohawk Industries, Inc. * | 741 | 142,361 | ||||||
Newell Brands, Inc. | 7,919 | 217,543 | ||||||
|
| |||||||
359,904 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
Energizer Holdings, Inc. | 2,066 | 88,788 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
Carlisle Cos., Inc. | 1,221 | 233,598 | ||||||
|
| |||||||
Insurance — 6.4% |
| |||||||
Alleghany Corp. * | 136 | 91,026 | ||||||
Arch Capital Group Ltd. * | 1,784 | 69,487 | ||||||
Hartford Financial Services Group, Inc. (The) | 2,495 | 154,636 | ||||||
Lincoln National Corp. | 2,010 | 126,297 | ||||||
Loews Corp. | 4,728 | 258,404 | ||||||
Marsh & McLennan Cos., Inc. | 628 | 88,366 | ||||||
Progressive Corp. (The) | 1,125 | 110,489 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 457 | 67,953 | ||||||
WR Berkley Corp. | 1,631 | 121,379 | ||||||
|
| |||||||
1,088,037 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Interactive Media & Services — 0.7% |
| |||||||
InterActiveCorp. * | 777 | 119,744 | ||||||
|
| |||||||
Machinery — 6.1% |
| |||||||
IDEX Corp. | 781 | 171,817 | ||||||
ITT, Inc. | 2,262 | 207,190 | ||||||
Lincoln Electric Holdings, Inc. | 1,484 | 195,400 | ||||||
Middleby Corp. (The) * (a) | 949 | 164,416 | ||||||
Snap-on, Inc. | 694 | 154,980 | ||||||
Timken Co. (The) | 1,860 | 149,875 | ||||||
|
| |||||||
1,043,678 | ||||||||
|
| |||||||
Media — 3.0% |
| |||||||
Liberty Broadband Corp., Class C * | 1,591 | 276,208 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 4,981 | 231,085 | ||||||
|
| |||||||
507,293 | ||||||||
|
| |||||||
Metals & Mining — 0.8% |
| |||||||
Freeport-McMoRan, Inc. | 3,874 | 143,762 | ||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
Kohl’s Corp. | 2,292 | 126,308 | ||||||
|
| |||||||
Multi-Utilities — 3.0% |
| |||||||
CMS Energy Corp. | 3,451 | 203,882 | ||||||
Sempra Energy | 721 | 95,541 | ||||||
WEC Energy Group, Inc. | 2,338 | 207,945 | ||||||
|
| |||||||
507,368 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 4.0% |
| |||||||
Cabot Oil & Gas Corp. (a) | 10,094 | 176,237 | ||||||
Diamondback Energy, Inc. | 2,598 | 243,968 | ||||||
EQT Corp. * | 4,025 | 89,599 | ||||||
Williams Cos., Inc. (The) | 6,658 | 176,766 | ||||||
|
| |||||||
686,570 | ||||||||
|
| |||||||
Pharmaceuticals — 0.5% |
| |||||||
Jazz Pharmaceuticals plc * | 478 | 84,966 | ||||||
|
| |||||||
Professional Services — 0.8% |
| |||||||
Leidos Holdings, Inc. | 1,433 | 144,849 | ||||||
|
| |||||||
Real Estate Management & Development — 1.1% |
| |||||||
CBRE Group, Inc., Class A * | 2,283 | 195,692 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.2% |
| |||||||
Analog Devices, Inc. | 1,159 | 199,581 | ||||||
|
| |||||||
Software — 1.5% |
| |||||||
NortonLifeLock, Inc. | 7,618 | 207,364 | ||||||
Synopsys, Inc. * | 188 | 51,829 | ||||||
|
| |||||||
259,193 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 25 |
Table of Contents
JPMorgan Mid Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Specialty Retail — 3.7% |
| |||||||
AutoZone, Inc. * | 172 | 256,173 | ||||||
Best Buy Co., Inc. | 1,841 | 211,631 | ||||||
Gap, Inc. (The) | 5,094 | 171,399 | ||||||
|
| |||||||
639,203 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 2.1% |
| |||||||
Carter’s, Inc. (a) | 1,501 | 154,854 | ||||||
Ralph Lauren Corp. | 1,286 | 151,448 | ||||||
Tapestry, Inc. * | 1,192 | 51,823 | ||||||
|
| |||||||
358,125 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 0.4% |
| |||||||
MGIC Investment Corp. | 4,869 | 66,212 | ||||||
|
| |||||||
Total Common Stocks |
| 16,791,199 | ||||||
|
| |||||||
Short-Term Investments — 2.1% |
| |||||||
Investment Companies — 2.0% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 334,028 | 334,195 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 18,536 | 18,535 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 3,666 | 3,666 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 22,201 | |||||||
|
| |||||||
Total Short-Term Investments | 356,396 | |||||||
|
| |||||||
Total Investments — 100.6% |
| 17,147,595 | ||||||
Liabilities in Excess of |
| (96,958 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 17,050,637 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $21,845. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.1% |
| |||||||
Aerospace & Defense — 2.6% |
| |||||||
General Dynamics Corp. | 413 | 77,676 | ||||||
Northrop Grumman Corp. | 227 | 82,390 | ||||||
Raytheon Technologies Corp. | 1,520 | 129,711 | ||||||
|
| |||||||
289,777 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
FedEx Corp. | 207 | 61,814 | ||||||
|
| |||||||
Banks — 12.8% |
| |||||||
Bank of America Corp. | 10,598 | 436,967 | ||||||
Citigroup, Inc. | 1,455 | 102,972 | ||||||
Citizens Financial Group, Inc. | 3,034 | 139,166 | ||||||
M&T Bank Corp. | 1,073 | 155,920 | ||||||
PNC Financial Services Group, Inc. (The) | 770 | 146,862 | ||||||
Truist Financial Corp. | 2,445 | 135,705 | ||||||
US Bancorp | 1,863 | 106,129 | ||||||
Wells Fargo & Co. | 4,515 | 204,504 | ||||||
|
| |||||||
1,428,225 | ||||||||
|
| |||||||
Beverages — 0.9% |
| |||||||
Constellation Brands, Inc., Class A | 159 | 37,142 | ||||||
Keurig Dr Pepper, Inc. | 1,653 | 58,261 | ||||||
|
| |||||||
95,403 | ||||||||
|
| |||||||
Biotechnology — 2.5% |
| |||||||
AbbVie, Inc. | 1,737 | 195,676 | ||||||
Amgen, Inc. | 116 | 28,153 | ||||||
Biogen, Inc. * | 59 | 20,257 | ||||||
Regeneron Pharmaceuticals, Inc. * | 68 | 38,037 | ||||||
|
| |||||||
282,123 | ||||||||
|
| |||||||
Building Products — 0.3% |
| |||||||
Fortune Brands Home & Security, Inc. | 323 | 32,174 | ||||||
|
| |||||||
Capital Markets — 4.4% |
| |||||||
Brookfield Asset Management Reinsurance Partners Ltd., Class A (Canada) * (a) | 5 | 278 | ||||||
Brookfield Asset Management, Inc., Class A (Canada) (a) | 774 | 39,459 | ||||||
Charles Schwab Corp. (The) | 1,462 | 106,477 | ||||||
Invesco Ltd. (a) | 1,441 | 38,517 | ||||||
Morgan Stanley | 1,522 | 139,527 | ||||||
Northern Trust Corp. | 777 | 89,889 | ||||||
T. Rowe Price Group, Inc. | 398 | 78,740 | ||||||
|
| |||||||
492,887 | ||||||||
|
| |||||||
Communications Equipment — 1.4% |
| |||||||
Cisco Systems, Inc. | 1,113 | 59,015 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Communications Equipment — continued |
| |||||||
CommScope Holding Co., Inc. * | 4,618 | 98,416 | ||||||
|
| |||||||
157,431 | ||||||||
|
| |||||||
Construction Materials — 0.9% |
| |||||||
Martin Marietta Materials, Inc. | 291 | 102,298 | ||||||
|
| |||||||
Consumer Finance — 2.9% |
| |||||||
American Express Co. | 724 | 119,610 | ||||||
Capital One Financial Corp. | 1,342 | 207,593 | ||||||
|
| |||||||
327,203 | ||||||||
|
| |||||||
Containers & Packaging — 2.1% |
| |||||||
Ball Corp. | 302 | 24,441 | ||||||
Graphic Packaging Holding Co. | 2,326 | 42,185 | ||||||
Packaging Corp. of America | 664 | 89,893 | ||||||
Westrock Co. | 1,495 | 79,541 | ||||||
|
| |||||||
236,060 | ||||||||
|
| |||||||
Diversified Financial Services — 2.5% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 995 | 276,447 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.7% |
| |||||||
Verizon Communications, Inc. | 3,412 | 191,168 | ||||||
|
| |||||||
Electric Utilities — 3.8% |
| |||||||
American Electric Power Co., Inc. | 923 | 78,086 | ||||||
Edison International | 795 | 45,944 | ||||||
Entergy Corp. | 460 | 45,842 | ||||||
NextEra Energy, Inc. | 1,210 | 88,637 | ||||||
PG&E Corp. * | 4,026 | 40,939 | ||||||
Xcel Energy, Inc. | 1,894 | 124,768 | ||||||
|
| |||||||
424,216 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
Arrow Electronics, Inc. * | 280 | 31,920 | ||||||
SYNNEX Corp. | 456 | 55,574 | ||||||
|
| |||||||
87,494 | ||||||||
|
| |||||||
Entertainment — 0.4% |
| |||||||
Walt Disney Co. (The) * | 255 | 44,839 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 7.5% |
| |||||||
American Homes 4 Rent, Class A (a) | 1,969 | 76,499 | ||||||
Brixmor Property Group, Inc. | 3,605 | 82,510 | ||||||
EastGroup Properties, Inc. | 381 | 62,589 | ||||||
Federal Realty Investment Trust | 423 | 49,610 | ||||||
Kimco Realty Corp. | 4,262 | 88,872 | ||||||
Lamar Advertising Co., Class A | 176 | 18,357 | ||||||
Mid-America Apartment Communities, Inc. | 629 | 105,961 | ||||||
Public Storage | 395 | 118,802 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 27 |
Table of Contents
JPMorgan Value Advantage Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Rayonier, Inc. (a) | 2,472 | 88,834 | ||||||
Welltower, Inc. | 430 | 35,716 | ||||||
Weyerhaeuser Co. | 3,237 | 111,431 | ||||||
|
| |||||||
839,181 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
Sysco Corp. | 803 | 62,441 | ||||||
|
| |||||||
Food Products — 1.5% |
| |||||||
Kraft Heinz Co. (The) | 1,599 | 65,199 | ||||||
Post Holdings, Inc. * | 907 | 98,432 | ||||||
|
| |||||||
163,631 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 0.8% |
| |||||||
Medtronic plc | 692 | 85,944 | ||||||
|
| |||||||
Health Care Providers & Services — 3.5% |
| |||||||
AmerisourceBergen Corp. | 753 | 86,257 | ||||||
Cigna Corp. | 173 | 40,966 | ||||||
CVS Health Corp. | 1,111 | 92,702 | ||||||
HCA Healthcare, Inc. | 264 | 54,505 | ||||||
UnitedHealth Group, Inc. | 276 | 110,655 | ||||||
|
| |||||||
385,085 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.1% |
| |||||||
Booking Holdings, Inc. * | 25 | 55,140 | ||||||
Las Vegas Sands Corp. * | 1,244 | 65,557 | ||||||
|
| |||||||
120,697 | ||||||||
|
| |||||||
Household Durables — 1.5% |
| |||||||
Mohawk Industries, Inc. * | 442 | 85,006 | ||||||
Newell Brands, Inc. | 2,849 | 78,257 | ||||||
|
| |||||||
163,263 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
Energizer Holdings, Inc. | 1,400 | 60,158 | ||||||
Procter & Gamble Co. (The) | 770 | 103,846 | ||||||
|
| |||||||
164,004 | ||||||||
|
| |||||||
Industrial Conglomerates — 1.5% |
| |||||||
Carlisle Cos., Inc. | 367 | 70,258 | ||||||
Honeywell International, Inc. | 465 | 101,937 | ||||||
|
| |||||||
172,195 | ||||||||
|
| |||||||
Insurance — 7.8% |
| |||||||
Alleghany Corp. * | 91 | 60,701 | ||||||
American International Group, Inc. | 874 | 41,588 | ||||||
Chubb Ltd. | 491 | 78,110 | ||||||
CNA Financial Corp.(a) | 643 | 29,241 | ||||||
Fairfax Financial Holdings Ltd. (Canada) | 155 | 67,843 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Insurance — continued |
| |||||||
Hartford Financial Services Group, Inc. (The) | 1,721 | 106,624 | ||||||
Loews Corp. | 3,236 | 176,847 | ||||||
Marsh & McLennan Cos., Inc. | 503 | 70,711 | ||||||
Progressive Corp. (The) | 659 | 64,701 | ||||||
Travelers Cos., Inc. (The) | 1,184 | 177,298 | ||||||
|
| |||||||
873,664 | ||||||||
|
| |||||||
Interactive Media & Services — 0.7% |
| |||||||
Alphabet, Inc., Class C * | 32 | 78,949 | ||||||
|
| |||||||
IT Services — 0.4% |
| |||||||
International Business Machines Corp. | 337 | 49,430 | ||||||
|
| |||||||
Machinery — 2.5% |
| |||||||
Dover Corp. | 936 | 140,978 | ||||||
ITT, Inc. | 829 | 75,956 | ||||||
Stanley Black & Decker, Inc. | 328 | 67,298 | ||||||
|
| |||||||
284,232 | ||||||||
|
| |||||||
Media — 3.0% |
| |||||||
Discovery, Inc., Class C * (a) | 700 | 20,274 | ||||||
DISH Network Corp., Class A * | 1,454 | 60,761 | ||||||
Liberty Broadband Corp., Class C * | 630 | 109,389 | ||||||
Liberty Media Corp.-Liberty SiriusXM, Class C * | 1,653 | 76,697 | ||||||
Nexstar Media Group, Inc., Class A | 424 | 62,747 | ||||||
|
| |||||||
329,868 | ||||||||
|
| |||||||
Multiline Retail — 0.9% |
| |||||||
Dollar General Corp. | 274 | 59,334 | ||||||
Kohl’s Corp. | 830 | 45,737 | ||||||
|
| |||||||
105,071 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 6.0% |
| |||||||
Cabot Oil & Gas Corp. (a) | 3,359 | 58,639 | ||||||
Chevron Corp. | 945 | 98,990 | ||||||
ConocoPhillips | 2,670 | 162,619 | ||||||
Diamondback Energy, Inc. | 370 | 34,721 | ||||||
Equitrans Midstream Corp. | 2,063 | 17,554 | ||||||
Kinder Morgan, Inc. | 5,148 | 93,846 | ||||||
Marathon Petroleum Corp. | 910 | 54,989 | ||||||
Phillips 66 | 853 | 73,220 | ||||||
Williams Cos., Inc. (The) | 2,956 | 78,487 | ||||||
|
| |||||||
673,065 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Coty, Inc., Class A * | 3,155 | 29,466 | ||||||
|
| |||||||
Pharmaceuticals — 4.2% |
| |||||||
Bristol-Myers Squibb Co. | 2,709 | 181,023 |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — continued |
| |||||||
Johnson & Johnson | 831 | 136,836 | ||||||
Merck & Co., Inc. | 763 | 59,311 | ||||||
Organon & Co. * | 725 | 21,940 | ||||||
Pfizer, Inc. | 682 | 26,712 | ||||||
Viatris, Inc. | 2,996 | 42,816 | ||||||
|
| |||||||
468,638 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
Leidos Holdings, Inc. | 544 | 54,988 | ||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
CBRE Group, Inc., Class A * | 1,044 | 89,518 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 2.0% |
| |||||||
Analog Devices, Inc. | 673 | 115,778 | ||||||
Texas Instruments, Inc. | 535 | 102,874 | ||||||
|
| |||||||
218,652 | ||||||||
|
| |||||||
Software — 0.2% |
| |||||||
Microsoft Corp. | 102 | 27,692 | ||||||
|
| |||||||
Specialty Retail — 4.3% |
| |||||||
AutoZone, Inc. * | 115 | 171,388 | ||||||
Best Buy Co., Inc. | 650 | 74,734 | ||||||
Gap, Inc. (The) | 2,484 | 83,590 | ||||||
Lowe’s Cos., Inc. | 320 | 62,070 | ||||||
Murphy USA, Inc. | 666 | 88,774 | ||||||
|
| |||||||
480,556 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
Columbia Sportswear Co. | 494 | 48,580 | ||||||
Ralph Lauren Corp. | 528 | 62,145 | ||||||
|
| |||||||
110,725 | ||||||||
|
| |||||||
Tobacco — 0.6% |
| |||||||
Philip Morris International, Inc. | 714 | 70,804 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.8% |
| |||||||
T-Mobile US, Inc. * | 620 | 89,809 | ||||||
|
| |||||||
Total Common Stocks |
| 10,721,127 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 3.7% |
| |||||||
Investment Companies — 3.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 359,916 | 360,095 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.4% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 41,074 | 41,074 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 5,968 | 5,968 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned (Cost $47,045) |
| 47,042 | ||||||
|
| |||||||
Total Short-Term Investments | 407,137 | |||||||
|
| |||||||
Total Investments — 99.8% |
| 11,128,264 | ||||||
Other Assets Less Liabilities — 0.2% |
| 23,052 | ||||||
|
| |||||||
NET ASSETS — 100.0% |
| 11,151,316 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $45,570. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 29 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021
(Amounts in thousands, except per share amounts)
JPMorgan | JPMorgan Mid Cap Equity Fund | JPMorgan Mid Cap Growth Fund | ||||||||||
ASSETS: |
| |||||||||||
Investments in non-affiliates, at value | $ | 14,695,353 | $ | 2,755,451 | $ | 8,875,768 | ||||||
Investments in affiliates, at value | 159,510 | 64,465 | 190,144 | |||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 149,952 | 59,919 | 265,757 | |||||||||
Cash | 95 | 11 | 53 | |||||||||
Receivables: | ||||||||||||
Investment securities sold | — | 4,904 | 25,350 | |||||||||
Fund shares sold | 16,748 | 4,726 | 9,327 | |||||||||
Dividends from non-affiliates | 1,863 | 2,892 | 708 | |||||||||
Dividends from affiliates | 1 | — | (a) | — | (a) | |||||||
Securities lending income (See Note 2.B.) | 798 | 84 | 525 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 15,024,320 | 2,892,452 | 9,367,632 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: |
| |||||||||||
Payables: | ||||||||||||
Investment securities purchased | — | 2,941 | 11,008 | |||||||||
Collateral received on securities loaned (See Note 2.B.) | 149,952 | 59,919 | 265,757 | |||||||||
Fund shares redeemed | 84,840 | 2,117 | 11,739 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 6,485 | 1,337 | 4,561 | |||||||||
Administration fees | 798 | 79 | 476 | |||||||||
Distribution fees | 1,331 | 134 | 429 | |||||||||
Service fees | 1,774 | 297 | 684 | |||||||||
Custodian and accounting fees | 115 | 22 | 66 | |||||||||
Other | 188 | 64 | 148 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 245,483 | 66,910 | 294,868 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 14,778,837 | $ | 2,825,542 | $ | 9,072,764 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan | JPMorgan Mid Cap Equity Fund | JPMorgan Mid Cap Growth Fund | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 5,600,295 | $ | 1,643,489 | $ | 5,188,873 | ||||||
Total distributable earnings (loss) | 9,178,542 | 1,182,053 | 3,883,891 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 14,778,837 | $ | 2,825,542 | $ | 9,072,764 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 3,013,691 | $ | 595,304 | $ | 1,642,278 | ||||||
Class C | 1,218,051 | 21,836 | 109,845 | |||||||||
Class I | 4,622,602 | 886,782 | 2,003,878 | |||||||||
Class R2 | 510 | 555 | 57,273 | |||||||||
Class R3 | 5,089 | — | 70,608 | |||||||||
Class R4 | 22,559 | — | 22,947 | |||||||||
Class R5 | 141,386 | 74 | 730,273 | |||||||||
Class R6 | 5,754,949 | 1,320,991 | 4,435,662 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 14,778,837 | $ | 2,825,542 | $ | 9,072,764 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 89,543 | 9,581 | 35,548 | |||||||||
Class C | 43,761 | 373 | 3,360 | |||||||||
Class I | 131,333 | 13,980 | 35,816 | |||||||||
Class R2 | 15 | 9 | 1,122 | |||||||||
Class R3 | 151 | — | 1,285 | |||||||||
Class R4 | 641 | — | 412 | |||||||||
Class R5 | 3,908 | 1 | 12,811 | |||||||||
Class R6 | 157,576 | 20,780 | 77,295 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 33.66 | $ | 62.14 | $ | 46.20 | ||||||
Class C — Offering price per share (b) | 27.83 | 58.61 | 32.69 | |||||||||
Class I — Offering and redemption price per share | 35.20 | 63.43 | 55.95 | |||||||||
Class R2 — Offering and redemption price per share | 33.24 | 61.24 | 51.05 | |||||||||
Class R3 — Offering and redemption price per share | 33.61 | — | 54.95 | |||||||||
Class R4 — Offering and redemption price per share | 35.21 | — | 55.76 | |||||||||
Class R5 — Offering and redemption price per share | 36.18 | 63.52 | 57.00 | |||||||||
Class R6 — Offering and redemption price per share | 36.52 | 63.57 | 57.39 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 35.53 | $ | 65.58 | $ | 48.76 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 7,368,918 | $ | 1,720,774 | $ | 5,650,807 | ||||||
Cost of investments in affiliates | 159,479 | 64,456 | 190,128 | |||||||||
Investment securities on loan, at value (See Note 2.B.) | 151,682 | 58,238 | 258,405 | |||||||||
Cost of investment of cash collateral (See Note 2.B.) | 149,962 | 59,922 | 265,774 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 31 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan | JPMorgan Value Advantage Fund | |||||||
ASSETS: |
| |||||||
Investments in non-affiliates, at value | $ | 16,791,199 | $ | 10,721,127 | ||||
Investments in affiliates, at value | 334,195 | 360,095 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 22,201 | 47,042 | ||||||
Cash | 18 | 29 | ||||||
Receivables: | ||||||||
Investment securities sold | 16,286 | — | ||||||
Fund shares sold | 13,565 | 73,945 | ||||||
Dividends from non-affiliates | 31,701 | 9,175 | ||||||
Dividends from affiliates | 1 | 1 | ||||||
Securities lending income (See Note 2.B.) | 2 | 4 | ||||||
|
|
|
| |||||
Total Assets | 17,209,168 | 11,211,418 | ||||||
|
|
|
| |||||
LIABILITIES: |
| |||||||
Payables: | ||||||||
Investment securities purchased | 15,149 | — | ||||||
Collateral received on securities loaned (See Note 2.B.) | 22,201 | 47,042 | ||||||
Fund shares redeemed | 108,704 | 5,187 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | 9,206 | 5,007 | ||||||
Administration fees | 912 | 667 | ||||||
Distribution fees | 428 | 436 | ||||||
Service fees | 1,201 | 1,391 | ||||||
Custodian and accounting fees | 114 | 73 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | |||||
Other | 616 | 299 | ||||||
|
|
|
| |||||
Total Liabilities | 158,531 | 60,102 | ||||||
|
|
|
| |||||
Net Assets | $ | 17,050,637 | $ | 11,151,316 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan | JPMorgan Value | |||||||
NET ASSETS: |
| |||||||
Paid-in-Capital | $ | 8,208,478 | $ | 6,215,481 | ||||
Total distributable earnings (loss) | 8,842,159 | 4,935,835 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 17,050,637 | $ | 11,151,316 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 1,608,828 | $ | 1,050,569 | ||||
Class C | 76,078 | 349,246 | ||||||
Class I | 3,061,126 | 2,326,829 | ||||||
Class L | 7,839,627 | 1,855,713 | ||||||
Class R2 | 71,087 | 194 | ||||||
Class R3 | 88,116 | 3,020 | ||||||
Class R4 | 31,938 | 1,724 | ||||||
Class R5 | 89,178 | 1,365 | ||||||
Class R6 | 4,184,659 | 5,562,656 | ||||||
|
|
|
| |||||
Total | $ | 17,050,637 | $ | 11,151,316 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||
Class A | 36,826 | 24,488 | ||||||
Class C | 1,821 | 8,173 | ||||||
Class I | 69,101 | 53,927 | ||||||
Class L | 174,299 | 42,956 | ||||||
Class R2 | 1,714 | 4 | ||||||
Class R3 | 2,038 | 71 | ||||||
Class R4 | 726 | 40 | ||||||
Class R5 | 1,986 | 32 | ||||||
Class R6 | 93,080 | 128,882 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 43.69 | $ | 42.90 | ||||
Class C — Offering price per share (b) | 41.77 | 42.73 | ||||||
Class I — Offering and redemption price per share | 44.30 | 43.15 | ||||||
Class L — Offering and redemption price per share | 44.98 | 43.20 | ||||||
Class R2 — Offering and redemption price per share | 41.48 | 42.46 | ||||||
Class R3 — Offering and redemption price per share | 43.25 | 42.36 | ||||||
Class R4 — Offering and redemption price per share | 44.02 | 42.92 | ||||||
Class R5 — Offering and redemption price per share | 44.90 | 43.12 | ||||||
Class R6 — Offering and redemption price per share | 44.96 | 43.16 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 46.11 | $ | 45.28 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 9,597,946 | $ | 6,663,243 | ||||
Cost of investments in affiliates | 334,195 | 360,095 | ||||||
Investment securities on loan, at value (See Note 2.B.) | 21,845 | 45,570 | ||||||
Cost of investment of cash collateral (See Note 2.B.) | 22,203 | 47,045 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 33 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2021
(Amounts in thousands)
JPMorgan | JPMorgan Mid Cap Equity Fund | JPMorgan Mid Cap Growth Fund | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 78,439 | $ | 23,606 | $ | 27,081 | ||||||
Dividend income from affiliates | 245 | 58 | 169 | |||||||||
Income from securities lending (net) (See Note 2.B.) | 1,572 | 177 | 1,240 | |||||||||
|
|
|
|
|
| |||||||
Total investment income | 80,256 | 23,841 | 28,490 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: | ||||||||||||
Investment advisory fees | 73,872 | 14,151 | 48,314 | |||||||||
Administration fees | 9,294 | 1,633 | 5,575 | |||||||||
Distribution fees: | ||||||||||||
Class A | 6,462 | 1,230 | 3,618 | |||||||||
Class C | 8,374 | 161 | 750 | |||||||||
Class R2 | 2 | 4 | 245 | |||||||||
Class R3 | 6 | — | 144 | |||||||||
Service fees: | ||||||||||||
Class A | 6,462 | 1,230 | 3,618 | |||||||||
Class C | 2,791 | 54 | 250 | |||||||||
Class I | 9,525 | 1,404 | 4,223 | |||||||||
Class R2 | 1 | 2 | 123 | |||||||||
Class R3 | 6 | — | 144 | |||||||||
Class R4 | 51 | — | 42 | |||||||||
Class R5 | 140 | 1 | 641 | |||||||||
Custodian and accounting fees | 459 | 82 | 255 | |||||||||
Interest expense to affiliates | 2 | — | (a) | 1 | ||||||||
Professional fees | 160 | 65 | 106 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 61 | 30 | 44 | |||||||||
Printing and mailing costs | 488 | 211 | 325 | |||||||||
Registration and filing fees | 451 | 147 | 396 | |||||||||
Transfer agency fees (See Note 2.E.) | 326 | 65 | 455 | |||||||||
Other | 225 | 37 | 116 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 119,158 | 20,507 | 69,385 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (215 | ) | (2,536 | ) | (2,018 | ) | ||||||
Less expense reimbursements | — | (a) | (1 | ) | (65 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 118,943 | 17,970 | 67,302 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | (38,687 | ) | 5,871 | (38,812 | ) | |||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: | ||||||||||||
Investments in non-affiliates | 2,615,588 | 236,515 | 977,650 | |||||||||
Investments in affiliates | (64 | ) | (14 | ) | (20 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 2,615,524 | 236,501 | 977,630 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: | ||||||||||||
Investments in non-affiliates | 2,518,078 | 551,892 | 1,605,435 | |||||||||
Investments in affiliates | (34 | ) | (5 | ) | (28 | ) | ||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 2,518,044 | 551,887 | 1,605,407 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 5,133,568 | 788,388 | 2,583,037 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 5,094,881 | $ | 794,259 | $ | 2,544,225 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan | JPMorgan Value | |||||||
INVESTMENT INCOME: |
| |||||||
Interest income from affiliates | $ | 1 | $ | — | ||||
Dividend income from non-affiliates | 252,767 | 200,772 | ||||||
Dividend income from affiliates | 368 | 322 | ||||||
Income from securities lending (net) (See Note 2.B.) | 250 | 290 | ||||||
|
|
|
| |||||
Total investment income | 253,386 | 201,384 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 97,543 | 53,194 | ||||||
Administration fees | 10,070 | 7,205 | ||||||
Distribution fees: | ||||||||
Class A | 3,438 | 2,174 | ||||||
Class C | 567 | 2,429 | ||||||
Class R2 | 331 | 1 | ||||||
Class R3 | 190 | 5 | ||||||
Service fees: | ||||||||
Class A | 3,438 | 2,174 | ||||||
Class C | 189 | 810 | ||||||
Class I | 6,876 | 5,727 | ||||||
Class L | 6,872 | 1,700 | ||||||
Class R2 | 166 | — | (a) | |||||
Class R3 | 190 | 5 | ||||||
Class R4 | 84 | 55 | ||||||
Class R5 | 80 | 4 | ||||||
Custodian and accounting fees | 451 | 291 | ||||||
Interest expense to affiliates | 2 | — | ||||||
Professional fees | 165 | 122 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 65 | 51 | ||||||
Printing and mailing costs | 768 | 471 | ||||||
Registration and filing fees | 243 | 149 | ||||||
Transfer agency fees (See Note 2.E.) | 233 | 214 | ||||||
Other | 334 | 153 | ||||||
|
|
|
| |||||
Total expenses | 132,295 | 76,934 | ||||||
|
|
|
| |||||
Less fees waived | (6,667 | ) | (439 | ) | ||||
Less expense reimbursements | (39 | ) | (27 | ) | ||||
|
|
|
| |||||
Net expenses | 125,589 | 76,468 | ||||||
|
|
|
| |||||
Net investment income (loss) | 127,797 | 124,916 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: | ||||||||
Investments in non-affiliates | 1,768,107 | 961,575 | ||||||
Investments in affiliates | 66 | (105 | ) | |||||
|
|
|
| |||||
Net realized gain (loss) | 1,768,173 | 961,470 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments in non-affiliates | 4,261,659 | 2,800,517 | ||||||
Investments in affiliates | (171 | ) | 1 | |||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 4,261,488 | 2,800,518 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 6,029,661 | 3,761,988 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 6,157,458 | $ | 3,886,904 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 35 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (38,687 | ) | $ | (10,353 | ) | $ | 5,871 | $ | 11,563 | ||||||
Net realized gain (loss) | 2,615,524 | 1,432,215 | 236,501 | 457,289 | ||||||||||||
Change in net unrealized appreciation/depreciation | 2,518,044 | 972,047 | 551,887 | (437,747 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 5,094,881 | 2,393,909 | 794,259 | 31,105 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (248,914 | ) | (176,120 | ) | (51,016 | ) | (38,917 | ) | ||||||||
Class C | (129,471 | ) | (88,186 | ) | (2,405 | ) | (1,879 | ) | ||||||||
Class I | (360,812 | ) | (199,341 | ) | (43,367 | ) | (23,411 | ) | ||||||||
Class R2 | (32 | ) | (12 | ) | (76 | ) | (49 | ) | ||||||||
Class R3 | (192 | ) | (61 | ) | — | — | ||||||||||
Class R4 | (1,887 | ) | (1,510 | ) | — | — | ||||||||||
Class R5 | (12,763 | ) | (10,297 | ) | (111 | ) | (518 | ) | ||||||||
Class R6 | (579,464 | ) | (359,755 | ) | (120,036 | ) | (159,341 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,333,535 | ) | (835,282 | ) | (217,011 | ) | (224,115 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 207,286 | (137,511 | ) | 611,112 | (961,205 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 3,968,632 | 1,421,116 | 1,188,360 | (1,154,215 | ) | |||||||||||
Beginning of period | 10,810,205 | 9,389,089 | 1,637,182 | 2,791,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 14,778,837 | $ | 10,810,205 | $ | 2,825,542 | $ | 1,637,182 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Mid Cap Growth Fund | JPMorgan Mid Cap Value Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||||||||||
Net investment income (loss) | $ | (38,812 | ) | $ | (14,047 | ) | $ | 127,797 | $ | 203,596 | ||||||
Net realized gain (loss) | 977,630 | 659,097 | 1,768,173 | 860,851 | ||||||||||||
Change in net unrealized appreciation/depreciation | 1,605,407 | 281,309 | 4,261,488 | (3,168,215 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 2,544,225 | 926,359 | 6,157,458 | (2,103,768 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (173,779 | ) | (82,704 | ) | (92,478 | ) | (76,720 | ) | ||||||||
Class C | (16,088 | ) | (8,737 | ) | (5,006 | ) | (6,335 | ) | ||||||||
Class I | (173,836 | ) | (75,633 | ) | (197,658 | ) | (133,060 | ) | ||||||||
Class L | — | — | (492,109 | ) | (443,822 | ) | ||||||||||
Class R2 | (5,377 | ) | (2,939 | ) | (4,986 | ) | (3,525 | ) | ||||||||
Class R3 | (5,883 | ) | (2,669 | ) | (5,364 | ) | (3,809 | ) | ||||||||
Class R4 | (1,774 | ) | (679 | ) | (2,242 | ) | (1,419 | ) | ||||||||
Class R5 | (63,349 | ) | (33,403 | ) | (5,676 | ) | (4,996 | ) | ||||||||
Class R6 | (329,350 | ) | (138,679 | ) | (264,623 | ) | (181,586 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (769,436 | ) | (345,443 | ) | (1,070,142 | ) | (855,272 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 1,816,908 | 341,659 | (751,266 | ) | (1,341,858 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 3,591,697 | 922,575 | 4,336,050 | (4,300,898 | ) | |||||||||||
Beginning of period | 5,481,067 | 4,558,492 | 12,714,587 | 17,015,485 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 9,072,764 | $ | 5,481,067 | $ | 17,050,637 | $ | 12,714,587 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 37 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Value Advantage Fund | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
| |||||||
Net investment income (loss) | $ | 124,916 | $ | 184,647 | ||||
Net realized gain (loss) | 961,470 | 159,367 | ||||||
Change in net unrealized appreciation/depreciation | 2,800,518 | (1,858,485 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 3,886,904 | (1,514,471 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (23,476 | ) | (44,981 | ) | ||||
Class C | (7,055 | ) | (16,494 | ) | ||||
Class I | (72,893 | ) | (99,554 | ) | ||||
Class L | (53,516 | ) | (100,871 | ) | ||||
Class R2 | (7 | ) | (3 | ) | ||||
Class R3 | (63 | ) | (70 | ) | ||||
Class R4 | (1,188 | ) | (1,174 | ) | ||||
Class R5 | (145 | ) | (334 | ) | ||||
Class R6 | (133,423 | ) | (204,414 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (291,766 | ) | (467,895 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: | ||||||||
Change in net assets resulting from capital transactions | (1,143,741 | ) | (143,475 | ) | ||||
|
|
|
| |||||
NET ASSETS: | ||||||||
Change in net assets | 2,451,397 | (2,125,841 | ) | |||||
Beginning of period | 8,699,919 | 10,825,760 | ||||||
|
|
|
| |||||
End of period | $ | 11,151,316 | $ | 8,699,919 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Proceeds from shares issued | $ | 617,307 | $ | 424,450 | $ | 108,793 | $ | 123,140 | ||||||||
Distributions reinvested | 240,271 | 171,962 | 50,959 | 38,873 | ||||||||||||
Cost of shares redeemed | (591,206 | ) | (690,381 | ) | (103,045 | ) | (176,855 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 266,372 | (93,969 | ) | 56,707 | (14,842 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 163,112 | 152,886 | 1,523 | 2,246 | ||||||||||||
Distributions reinvested | 125,552 | 83,431 | 2,405 | 1,879 | ||||||||||||
Cost of shares redeemed | (301,892 | ) | (200,570 | ) | (8,655 | ) | (5,867 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (13,228 | ) | 35,747 | (4,727 | ) | (1,742 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 1,479,235 | 971,337 | 599,516 | 147,037 | ||||||||||||
Distributions reinvested | 337,895 | 183,814 | 43,123 | 23,288 | ||||||||||||
Cost of shares redeemed | (1,078,748 | ) | (804,519 | ) | (236,107 | ) | (114,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 738,382 | 350,632 | 406,532 | 55,772 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 300 | 157 | 191 | 391 | ||||||||||||
Distributions reinvested | 32 | 12 | 73 | 42 | ||||||||||||
Cost of shares redeemed | (154 | ) | (52 | ) | (535 | ) | (313 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | 178 | 117 | (271 | ) | 120 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | 3,643 | 501 | — | — | ||||||||||||
Distributions reinvested | 163 | 61 | — | — | ||||||||||||
Cost of shares redeemed | (434 | ) | (126 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | 3,372 | 436 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | 2,600 | 2,017 | — | — | ||||||||||||
Distributions reinvested | 1,886 | 1,510 | — | — | ||||||||||||
Cost of shares redeemed | (5,512 | ) | (4,951 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | (1,026 | ) | (1,424 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 22,343 | 23,475 | 272 | 674 | ||||||||||||
Distributions reinvested | 12,555 | 10,290 | 111 | 517 | ||||||||||||
Cost of shares redeemed | (70,249 | ) | (37,782 | ) | (1,462 | ) | (6,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | (35,351 | ) | (4,017 | ) | (1,079 | ) | (5,119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 1,205,957 | 1,257,140 | 334,403 | 348,033 | ||||||||||||
Distributions reinvested | 578,133 | 358,754 | 119,998 | 159,315 | ||||||||||||
Cost of shares redeemed | (2,535,503 | ) | (2,040,927 | ) | (300,451 | ) | (302,027 | ) | ||||||||
Redemptions in-kind (See Note 8) | — | — | — | (1,200,715 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | (751,413 | ) | (425,033 | ) | 153,950 | (995,394 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 207,286 | $ | (137,511 | ) | $ | 611,112 | $ | (961,205 | ) | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 39 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Growth Advantage Fund | JPMorgan Mid Cap Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 20,460 | 19,559 | 1,925 | 2,661 | ||||||||||||
Reinvested | 8,308 | 8,088 | 961 | 853 | ||||||||||||
Redeemed | (19,686 | ) | (30,991 | ) | (1,903 | ) | (3,845 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 9,082 | (3,344 | ) | 983 | (331 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 6,449 | 8,221 | 28 | 54 | ||||||||||||
Reinvested | 5,236 | 4,615 | 48 | 43 | ||||||||||||
Redeemed | (11,926 | ) | (10,900 | ) | (165 | ) | (133 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (241 | ) | 1,936 | (89 | ) | (36 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 46,557 | 42,055 | 10,207 | 3,117 | ||||||||||||
Reinvested | 11,160 | 8,317 | 795 | 501 | ||||||||||||
Redeemed | (33,943 | ) | (36,324 | ) | (4,122 | ) | (2,381 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 23,774 | 14,048 | 6,880 | 1,237 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 9 | 8 | 3 | 7 | ||||||||||||
Reinvested | 1 | 1 | 2 | 1 | ||||||||||||
Redeemed | (5 | ) | (3 | ) | (9 | ) | (6 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 5 | 6 | (4 | ) | 2 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | 116 | 26 | — | — | ||||||||||||
Reinvested | 6 | 3 | — | — | ||||||||||||
Redeemed | (14 | ) | (6 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | 108 | 23 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | 81 | 90 | — | — | ||||||||||||
Reinvested | 62 | 68 | — | — | ||||||||||||
Redeemed | (177 | ) | (212 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | (34 | ) | (54 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 696 | 992 | 5 | 14 | ||||||||||||
Reinvested | 403 | 455 | 2 | 11 | ||||||||||||
Redeemed | (2,158 | ) | (1,630 | ) | (24 | ) | (125 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (1,059 | ) | (183 | ) | (17 | ) | (100 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 36,597 | 53,895 | 5,844 | 7,401 | ||||||||||||
Reinvested | 18,399 | 15,742 | 2,206 | 3,444 | ||||||||||||
Redeemed | (76,164 | ) | (86,443 | ) | (5,296 | ) | (6,434 | ) | ||||||||
Redemptions in-kind (See Note 8) | — | — | — | (25,455 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (21,168 | ) | (16,806 | ) | 2,754 | (21,044 | ) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Mid Cap Growth Fund | JPMorgan Mid Cap Value Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 269,885 | $ | 143,119 | $ | 312,241 | $ | 209,763 | ||||||||
Distributions reinvested | 168,194 | 80,011 | 84,258 | 69,743 | ||||||||||||
Cost of shares redeemed | (265,651 | ) | (203,777 | ) | (421,860 | ) | (484,932 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 172,428 | 19,353 | (25,361 | ) | (205,426 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 18,817 | 11,326 | 11,152 | 12,682 | ||||||||||||
Distributions reinvested | 15,598 | 8,149 | 4,875 | 5,516 | ||||||||||||
Cost of shares redeemed | (29,254 | ) | (22,446 | ) | (50,512 | ) | (56,184 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | 5,161 | (2,971 | ) | (34,485 | ) | (37,986 | ) | |||||||||
|
|
|
|
|
| �� |
|
| ||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 807,758 | 306,997 | 944,499 | 900,902 | ||||||||||||
Distributions reinvested | 163,157 | 71,080 | 187,286 | 123,076 | ||||||||||||
Cost of shares redeemed | (572,464 | ) | (382,936 | ) | (1,167,802 | ) | (1,051,200 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 398,451 | (4,859 | ) | (36,017 | ) | (27,222 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | — | — | 1,079,544 | 1,165,380 | ||||||||||||
Distributions reinvested | — | — | 466,015 | 394,599 | ||||||||||||
Cost of shares redeemed | — | — | (2,003,837 | ) | (3,139,666 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | — | — | (458,278 | ) | (1,579,687 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 19,596 | 11,105 | 11,087 | 15,289 | ||||||||||||
Distributions reinvested | 5,366 | 2,875 | 4,944 | 3,405 | ||||||||||||
Cost of shares redeemed | (18,633 | ) | (22,776 | ) | (26,032 | ) | (20,258 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | 6,329 | (8,796 | ) | (10,001 | ) | (1,564 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | 27,679 | 17,057 | 10,318 | 15,417 | ||||||||||||
Distributions reinvested | 5,811 | 2,669 | 5,120 | 3,652 | ||||||||||||
Cost of shares redeemed | (19,436 | ) | (11,619 | ) | (16,546 | ) | (14,432 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | 14,054 | 8,107 | (1,108 | ) | 4,637 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | 15,324 | 3,625 | 29,189 | 11,128 | ||||||||||||
Distributions reinvested | 1,774 | 679 | 2,242 | 1,419 | ||||||||||||
Cost of shares redeemed | (9,549 | ) | (3,668 | ) | (36,170 | ) | (10,446 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | 7,549 | 636 | (4,739 | ) | 2,101 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 169,023 | 143,113 | 15,455 | 14,343 | ||||||||||||
Distributions reinvested | 59,609 | 31,744 | 5,671 | 4,992 | ||||||||||||
Cost of shares redeemed | (178,446 | ) | (169,555 | ) | (28,691 | ) | (29,341 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | 50,186 | 5,302 | (7,565 | ) | (10,006 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 1,731,741 | 776,302 | 880,233 | 1,587,348 | ||||||||||||
Distributions reinvested | 326,519 | 137,892 | 243,857 | 174,996 | ||||||||||||
Cost of shares redeemed | (895,510 | ) | (589,307 | ) | (1,297,802 | ) | (1,249,049 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 1,162,750 | 324,887 | (173,712 | ) | 513,295 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 1,816,908 | $ | 341,659 | $ | (751,266 | ) | $ | (1,341,858 | ) | ||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 41 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Mid Cap Growth Fund | JPMorgan Mid Cap Value Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 6,348 | 4,392 | 8,294 | 6,133 | ||||||||||||
Reinvested | 4,077 | 2,499 | 2,357 | 1,812 | ||||||||||||
Redeemed | (6,207 | ) | (6,309 | ) | (11,461 | ) | (14,044 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 4,218 | 582 | (810 | ) | (6,099 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 609 | 461 | 302 | 374 | ||||||||||||
Reinvested | 533 | 341 | 143 | 150 | ||||||||||||
Redeemed | (951 | ) | (930 | ) | (1,473 | ) | (1,787 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 191 | (128 | ) | (1,028 | ) | (1,263 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 15,656 | 8,021 | 26,465 | 28,169 | ||||||||||||
Reinvested | 3,271 | 1,879 | 5,165 | 3,157 | ||||||||||||
Redeemed | (11,073 | ) | (10,235 | ) | (31,205 | ) | (31,853 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 7,854 | (335 | ) | 425 | (527 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Issued | — | — | 27,115 | 34,257 | ||||||||||||
Reinvested | — | — | 12,656 | 9,979 | ||||||||||||
Redeemed | — | — | (52,480 | ) | (87,974 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | — | — | (12,709 | ) | (43,738 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 411 | 313 | 308 | 458 | ||||||||||||
Reinvested | 118 | 82 | 146 | 93 | ||||||||||||
Redeemed | (395 | ) | (645 | ) | (735 | ) | (599 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | 134 | (250 | ) | (281 | ) | (48 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Issued | 550 | 447 | 273 | 452 | ||||||||||||
Reinvested | 118 | 71 | 145 | 96 | ||||||||||||
Redeemed | (384 | ) | (307 | ) | (451 | ) | (421 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | 284 | 211 | (33 | ) | 127 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Issued | 299 | 94 | 772 | 308 | ||||||||||||
Reinvested | 36 | 18 | 62 | 37 | ||||||||||||
Redeemed | (183 | ) | (96 | ) | (892 | ) | (284 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | 152 | 16 | (58 | ) | 61 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 3,227 | 3,638 | 389 | 392 | ||||||||||||
Reinvested | 1,172 | 826 | 154 | 126 | ||||||||||||
Redeemed | (3,436 | ) | (4,377 | ) | (723 | ) | (798 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 963 | 87 | (180 | ) | (280 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 32,743 | 19,998 | 22,671 | 44,485 | ||||||||||||
Reinvested | 6,379 | 3,570 | 6,625 | 4,428 | ||||||||||||
Redeemed | (17,096 | ) | (15,241 | ) | (33,322 | ) | (35,794 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 22,026 | 8,327 | (4,026 | ) | 13,119 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Value Advantage Fund | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 228,457 | $ | 225,893 | ||||
Distributions reinvested | 21,985 | 42,378 | ||||||
Cost of shares redeemed | (256,183 | ) | (562,591 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | (5,741 | ) | (294,320 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | 42,809 | 31,902 | ||||||
Distributions reinvested | 6,902 | 14,740 | ||||||
Cost of shares redeemed | (152,617 | ) | (152,885 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | (102,906 | ) | (106,243 | ) | ||||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | 632,458 | 873,832 | ||||||
Distributions reinvested | 67,804 | 87,746 | ||||||
Cost of shares redeemed | (1,288,594 | ) | (965,662 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | (588,332 | ) | (4,084 | ) | ||||
|
|
|
| |||||
Class L | ||||||||
Proceeds from shares issued | 329,055 | 566,706 | ||||||
Distributions reinvested | 51,517 | 96,694 | ||||||
Cost of shares redeemed | (753,164 | ) | (1,203,324 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class L capital transactions | (372,592 | ) | (539,924 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | 81 | 128 | ||||||
Distributions reinvested | 7 | 2 | ||||||
Cost of shares redeemed | (144 | ) | (23 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | (56 | ) | 107 | |||||
|
|
|
| |||||
Class R3 | ||||||||
Proceeds from shares issued | 1,146 | 359 | ||||||
Distributions reinvested | 51 | 69 | ||||||
Cost of shares redeemed | (488 | ) | (887 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R3 capital transactions | 709 | (459 | ) | |||||
|
|
|
| |||||
Class R4 | ||||||||
Proceeds from shares issued | 3,069 | 23,194 | ||||||
Distributions reinvested | 1,187 | 1,174 | ||||||
Cost of shares redeemed | (42,655 | ) | (8,710 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R4 capital transactions | (38,399 | ) | 15,658 | |||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | 839 | 2,112 | ||||||
Distributions reinvested | 137 | 334 | ||||||
Cost of shares redeemed | (6,702 | ) | (3,498 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | (5,726 | ) | (1,052 | ) | ||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | 1,674,385 | 2,406,252 | ||||||
Distributions reinvested | 133,248 | 203,530 | ||||||
Cost of shares redeemed | (1,838,331 | ) | (1,822,940 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | (30,698 | ) | 786,842 | |||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | (1,143,741 | ) | $ | (143,475 | ) | ||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 43 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Value Advantage Fund | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
SHARE TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Issued | 6,264 | 7,038 | ||||||
Reinvested | 627 | 1,145 | ||||||
Redeemed | (7,354 | ) | (17,957 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (463 | ) | (9,774 | ) | ||||
|
|
|
| |||||
Class C | ||||||||
Issued | 1,112 | 966 | ||||||
Reinvested | 198 | 401 | ||||||
Redeemed | (4,444 | ) | (4,876 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | (3,134 | ) | (3,509 | ) | ||||
|
|
|
| |||||
Class I | ||||||||
Issued | 17,384 | 28,338 | ||||||
Reinvested | 1,924 | 2,357 | ||||||
Redeemed | (34,308 | ) | (30,342 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | (15,000 | ) | 353 | |||||
|
|
|
| |||||
Class L | ||||||||
Issued | 9,182 | 17,778 | ||||||
Reinvested | 1,461 | 2,596 | ||||||
Redeemed | (21,293 | ) | (38,762 | ) | ||||
|
|
|
| |||||
Change in Class L Shares | (10,650 | ) | (18,388 | ) | ||||
|
|
|
| |||||
Class R2 | ||||||||
Issued | 2 | 5 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | (4 | ) | (1 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | (2 | ) | 4 | |||||
|
|
|
| |||||
Class R3 | ||||||||
Issued | 32 | 11 | ||||||
Reinvested | 1 | 2 | ||||||
Redeemed | (14 | ) | (25 | ) | ||||
|
|
|
| |||||
Change in Class R3 Shares | 19 | (12 | ) | |||||
|
|
|
| |||||
Class R4 | ||||||||
Issued | 89 | 741 | ||||||
Reinvested | 34 | 32 | ||||||
Redeemed | (1,184 | ) | (250 | ) | ||||
|
|
|
| |||||
Change in Class R4 Shares | (1,061 | ) | 523 | |||||
|
|
|
| |||||
Class R5 | ||||||||
Issued | 26 | 62 | ||||||
Reinvested | 4 | 9 | ||||||
Redeemed | (184 | ) | (110 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | (154 | ) | (39 | ) | ||||
|
|
|
| |||||
Class R6 | ||||||||
Issued | 43,621 | 70,239 | ||||||
Reinvested | 3,783 | 5,469 | ||||||
Redeemed | (51,458 | ) | (55,634 | ) | ||||
|
|
|
| |||||
Change in Class R6 Shares | (4,054 | ) | 20,074 | |||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 45 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized gains | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Growth Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 17.95 | (0.12 | ) | 4.74 | 4.62 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.42 | (0.09 | ) | 3.62 | 3.53 | — | — | — | ||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.99 | (0.19 | ) | 4.20 | 4.01 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.91 | (0.15 | ) | 3.23 | 3.08 | — | — | — | ||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 18.40 | (0.07 | ) | 4.87 | 4.80 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.75 | (0.05 | ) | 3.70 | 3.65 | — | — | — | ||||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (f) through June 30, 2018 | 18.47 | (0.14 | ) | 4.19 | 4.05 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 17.96 | (0.11 | ) | 4.73 | 4.62 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
May 31, 2017 (f) through June 30, 2017 | 17.85 | (0.01 | ) | 0.12 | 0.11 | — | — | — | ||||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 18.40 | (0.03 | ) | 4.83 | 4.80 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
May 31, 2017 (f) through June 30, 2017 | 18.29 | — | (g) | 0.11 | 0.11 | — | — | — | ||||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 18.69 | (0.04 | ) | 4.95 | 4.91 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.96 | (0.03 | ) | 3.76 | 3.73 | — | — | — | ||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 18.76 | (0.02 | ) | 4.97 | 4.95 | — | (0.84 | ) | (0.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.00 | (0.01 | ) | 3.77 | 3.76 | — | — | — |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
(g) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c) (d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 33.66 | 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 | |||||||||||||||||||
21.73 | 26.22 | 1,724,681 | 1.16 | (0.57 | ) | 1.25 | 31 | |||||||||||||||||||
17.95 | 24.48 | 1,550,092 | 1.24 | (0.56 | ) | 1.32 | 34 | |||||||||||||||||||
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 | |||||||||||||||||||
19.16 | 25.60 | 740,817 | 1.66 | (1.07 | ) | 1.76 | 31 | |||||||||||||||||||
15.99 | 23.86 | 605,999 | 1.74 | (1.06 | ) | 1.82 | 34 | |||||||||||||||||||
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 | |||||||||||||||||||
22.36 | 26.56 | 1,753,505 | 0.92 | (0.32 | ) | 1.00 | 31 | |||||||||||||||||||
18.40 | 24.75 | 1,691,899 | 1.00 | (0.31 | ) | 1.04 | 34 | |||||||||||||||||||
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 | |||||||||||||||||||
21.68 | 22.39 | 43 | 1.41 | (0.77 | ) | 1.59 | 31 | |||||||||||||||||||
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 | |||||||||||||||||||
21.74 | 26.20 | 266 | 1.15 | (0.53 | ) | 1.28 | 31 | |||||||||||||||||||
17.96 | 0.62 | 20 | 1.25 | (0.55 | ) | 1.25 | 34 | |||||||||||||||||||
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 | |||||||||||||||||||
22.36 | 26.56 | 12,005 | 0.88 | (0.16 | ) | 1.00 | 31 | |||||||||||||||||||
18.40 | 0.60 | 20 | 0.99 | (0.29 | ) | 1.00 | 34 | |||||||||||||||||||
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 | ||||||||||||||||||||
22.76 | 26.74 | 112,830 | 0.77 | (0.18 | ) | 0.85 | 31 | |||||||||||||||||||
18.69 | 24.93 | 95,952 | 0.85 | (0.17 | ) | 0.88 | 34 | |||||||||||||||||||
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 | ||||||||||||||||||||
22.87 | 26.86 | 4,347,440 | 0.67 | (0.07 | ) | 0.75 | 31 | |||||||||||||||||||
18.76 | 25.07 | 3,153,928 | 0.74 | (0.06 | ) | 0.75 | 34 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 47 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Mid Cap Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.53 | — | (d) | 5.89 | 5.89 | — | (2.85 | ) | (2.85 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 42.95 | (0.02 | ) | 7.02 | 7.00 | (0.05 | ) | (1.37 | ) | (1.42 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.05 | (0.24 | ) | 5.70 | 5.46 | — | (2.85 | ) | (2.85 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 41.85 | (0.25 | ) | 6.82 | 6.57 | — | (1.37 | ) | (1.37 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.13 | 0.14 | 5.97 | 6.11 | (0.07 | ) | (2.85 | ) | (2.92 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 43.41 | 0.14 | 7.09 | 7.23 | (0.14 | ) | (1.37 | ) | (1.51 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.21 | (0.14 | ) | 5.86 | 5.72 | — | (2.85 | ) | (2.85 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 42.75 | (0.14 | ) | 6.98 | 6.84 | (0.01 | ) | (1.37 | ) | (1.38 | ) | |||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.17 | 0.24 | 5.94 | 6.18 | (0.15 | ) | (2.85 | ) | (3.00 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 43.43 | 0.18 | 7.11 | 7.29 | (0.18 | ) | (1.37 | ) | (1.55 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.18 | 0.27 | 5.96 | 6.23 | (0.17 | ) | (2.85 | ) | (3.02 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 43.44 | 0.21 | 7.09 | 7.30 | (0.19 | ) | (1.37 | ) | (1.56 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
51.57 | 12.37 | 402,897 | 1.17 | 0.01 | 1.25 | 31 | ||||||||||||||||||||
48.53 | 16.61 | 378,055 | 1.24 | (0.05 | ) | 1.37 | 38 | |||||||||||||||||||
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 | |||||||||||||||||||
49.66 | 11.83 | 27,666 | 1.67 | (0.50 | ) | 1.76 | 31 | |||||||||||||||||||
47.05 | 16.01 | 30,596 | 1.74 | (0.56 | ) | 1.92 | 38 | |||||||||||||||||||
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 | ||||||||||||||||||||
52.32 | 12.68 | 326,026 | 0.89 | 0.26 | 1.00 | 31 | ||||||||||||||||||||
49.13 | 17.01 | 778,378 | 0.89 | 0.30 | 1.08 | 38 | ||||||||||||||||||||
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 | ||||||||||||||||||||
51.08 | 12.09 | 443 | 1.43 | (0.28 | ) | 1.57 | 31 | |||||||||||||||||||
48.21 | 16.30 | 600 | 1.49 | (0.31 | ) | 1.69 | 38 | |||||||||||||||||||
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 | ||||||||||||||||||||
52.35 | 12.83 | 6,499 | 0.75 | 0.47 | 0.85 | 31 | ||||||||||||||||||||
49.17 | 17.14 | 1,804 | 0.79 | 0.40 | 0.87 | 38 | ||||||||||||||||||||
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 | ||||||||||||||||||||
52.39 | 12.93 | 1,970,177 | 0.67 | 0.51 | 0.75 | 31 | ||||||||||||||||||||
49.18 | 17.18 | 1,619,045 | 0.74 | 0.45 | 0.75 | 38 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 49 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 27.99 | (0.19 | ) | 5.18 | 4.99 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.43 | (0.14 | ) | 4.71 | 4.57 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 22.64 | (0.27 | ) | 4.14 | 3.87 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 19.05 | (0.22 | ) | 3.82 | 3.60 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 31.79 | (0.10 | ) | 5.89 | 5.79 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.52 | (0.07 | ) | 5.35 | 5.28 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 30.31 | (0.28 | ) | 5.60 | 5.32 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 25.41 | (0.21 | ) | 5.12 | 4.91 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 31.71 | (0.19 | ) | 5.85 | 5.66 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 27.06 | (0.13 | ) | 4.79 | 4.66 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 31.77 | (0.12 | ) | 5.89 | 5.77 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 27.06 | (0.06 | ) | 4.78 | 4.72 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 32.09 | (0.06 | ) | 5.96 | 5.90 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.74 | (0.03 | ) | 5.39 | 5.36 | — | (0.01 | ) | (0.01 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 32.20 | (0.04 | ) | 5.98 | 5.94 | — | (2.14 | ) | (2.14 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.82 | (0.02 | ) | 5.41 | 5.39 | — | (0.01 | ) | (0.01 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c) (d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
30.84 | 18.39 | 934,982 | 1.23 | (0.62 | ) | 1.30 | 56 | |||||||||||||||||||
27.99 | 19.52 | 915,226 | 1.23 | (0.56 | ) | 1.36 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
24.37 | 17.76 | 82,939 | 1.73 | (1.12 | ) | 1.76 | 56 | |||||||||||||||||||
22.64 | 18.92 | 90,640 | 1.73 | (1.06 | ) | 1.85 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
35.44 | 18.72 | 1,140,704 | 0.92 | (0.30 | ) | 1.00 | 56 | |||||||||||||||||||
31.79 | 19.92 | 1,050,151 | 0.92 | (0.25 | ) | 1.08 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
33.49 | 18.06 | 38,486 | 1.48 | (0.87 | ) | 1.57 | 56 | |||||||||||||||||||
30.31 | 19.34 | 35,242 | 1.42 | (0.74 | ) | 1.69 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
35.23 | 18.34 | 26,638 | 1.23 | (0.54 | ) | 1.26 | 56 | |||||||||||||||||||
31.71 | 17.24 | 152 | 1.23 | (0.54 | ) | 1.42 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
35.40 | 18.66 | 14,320 | 0.98 | (0.33 | ) | 1.01 | 56 | |||||||||||||||||||
31.77 | 17.46 | 129 | 0.98 | (0.23 | ) | 1.10 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
35.85 | 18.89 | 313,336 | 0.78 | (0.16 | ) | 0.85 | 56 | |||||||||||||||||||
32.09 | 20.06 | 247,068 | 0.78 | (0.10 | ) | 0.89 | 41 | |||||||||||||||||||
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 | |||||||||||||||||||
36.00 | 18.95 | 1,365,839 | 0.73 | (0.11 | ) | 0.76 | 56 | |||||||||||||||||||
32.20 | 20.11 | 749,670 | 0.73 | (0.06 | ) | 0.76 | 41 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 51 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Mid Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.80 | 0.20 | 2.14 | 2.34 | (0.18 | ) | (0.72 | ) | (0.90 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 35.41 | 0.17 | 4.60 | 4.77 | (0.14 | ) | (2.24 | ) | (2.38 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 36.35 | (0.02 | ) | 2.07 | 2.05 | — | (0.72 | ) | (0.72 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 34.17 | (0.02 | ) | 4.44 | 4.42 | — | (2.24 | ) | (2.24 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.24 | 0.30 | 2.16 | 2.46 | (0.28 | ) | (0.72 | ) | (1.00 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 35.79 | 0.27 | 4.66 | 4.93 | (0.24 | ) | (2.24 | ) | (2.48 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.70 | 0.40 | 2.20 | 2.60 | (0.37 | ) | (0.72 | ) | (1.09 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 36.19 | 0.36 | 4.71 | 5.07 | (0.32 | ) | (2.24 | ) | (2.56 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 36.33 | 0.10 | 2.05 | 2.15 | (0.12 | ) | (0.72 | ) | (0.84 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 34.14 | 0.07 | 4.43 | 4.50 | (0.07 | ) | (2.24 | ) | (2.31 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.67 | 0.21 | 2.11 | 2.32 | (0.30 | ) | (0.72 | ) | (1.02 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 35.78 | 0.26 | 4.15 | 4.41 | (0.28 | ) | (2.24 | ) | (2.52 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.16 | 0.33 | 2.13 | 2.46 | (0.34 | ) | (0.72 | ) | (1.06 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 36.18 | 0.38 | 4.15 | 4.53 | (0.31 | ) | (2.24 | ) | (2.55 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.67 | 0.38 | 2.17 | 2.55 | (0.35 | ) | (0.72 | ) | (1.07 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 36.60 | 0.36 | 4.28 | 4.64 | (0.33 | ) | (2.24 | ) | (2.57 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.69 | 0.43 | 2.16 | 2.59 | (0.37 | ) | (0.72 | ) | (1.09 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 36.60 | 0.32 | 4.34 | 4.66 | (0.33 | ) | (2.24 | ) | (2.57 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c) (d) | Net assets, period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
39.24 | 6.20 | 1,967,162 | 1.23 | 0.51 | 1.26 | 13 | ||||||||||||||||||||
37.80 | 13.83 | 2,149,689 | 1.23 | 0.45 | 1.36 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
37.68 | 5.65 | 214,331 | 1.74 | (0.06 | ) | 1.75 | 13 | |||||||||||||||||||
36.35 | 13.27 | 452,351 | 1.74 | (0.06 | ) | 1.80 | 23 | |||||||||||||||||||
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 | ||||||||||||||||||||
39.70 | 6.44 | 2,985,882 | 0.98 | 0.77 | 1.00 | 13 | ||||||||||||||||||||
38.24 | 14.15 | 2,902,646 | 0.98 | 0.72 | 1.07 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
40.21 | 6.73 | 11,795,588 | 0.74 | 1.00 | 0.86 | 13 | ||||||||||||||||||||
38.70 | 14.39 | 12,478,637 | 0.74 | 0.96 | 0.91 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
37.64 | 5.93 | 82,108 | 1.49 | 0.26 | 1.51 | 13 | ||||||||||||||||||||
36.33 | 13.53 | 85,287 | 1.49 | 0.21 | 1.65 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
38.97 | 6.17 | 62,576 | 1.24 | 0.55 | 1.25 | 13 | ||||||||||||||||||||
37.67 | 12.70 | 19,262 | 1.24 | 0.87 | 1.35 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
39.56 | 6.45 | 17,859 | 0.99 | 0.83 | 1.00 | 13 | ||||||||||||||||||||
38.16 | 12.89 | 3,537 | 0.99 | 1.26 | 1.10 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
40.15 | 6.61 | 84,457 | 0.84 | 0.96 | 0.85 | 13 | ||||||||||||||||||||
38.67 | 13.06 | 30,334 | 0.84 | 1.18 | 1.02 | 23 | ||||||||||||||||||||
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 | ||||||||||||||||||||
40.19 | 6.71 | 1,073,888 | 0.74 | 1.08 | 0.75 | 13 | ||||||||||||||||||||
38.69 | 13.13 | 281,269 | 0.74 | 1.05 | 0.75 | 23 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 53 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Value Advantage Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.40 | 0.35 | (f) | 2.26 | 2.61 | (0.28 | ) | (0.35 | ) | (0.63 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 28.66 | 0.27 | 4.77 | 5.04 | (0.30 | ) | — | (0.30 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.20 | 0.18 | (f) | 2.24 | 2.42 | (0.07 | ) | (0.35 | ) | (0.42 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 28.52 | 0.11 | 4.74 | 4.85 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.62 | 0.44 | (f) | 2.28 | 2.72 | (0.39 | ) | (0.35 | ) | (0.74 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 28.86 | 0.35 | 4.80 | 5.15 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.63 | 0.50 | (f) | 2.29 | 2.79 | (0.45 | ) | (0.35 | ) | (0.80 | ) | |||||||||||||||||
Year Ended June 30, 2017 | 28.86 | 0.41 | 4.82 | 5.23 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (g) through June 30, 2018 | 34.04 | 0.25 | (f) | 1.64 | 1.89 | (0.36 | ) | (0.35 | ) | (0.71 | ) | |||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.24 | 0.35 | (f) | 2.26 | 2.61 | (0.39 | ) | (0.35 | ) | (0.74 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.33 | 0.29 | 4.06 | 4.35 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.55 | 0.51 | (f) | 2.20 | 2.71 | (0.44 | ) | (0.35 | ) | (0.79 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.56 | 0.27 | 4.18 | 4.45 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.59 | 0.50 | (f) | 2.28 | 2.78 | (0.45 | ) | (0.35 | ) | (0.80 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.57 | 0.30 | 4.20 | 4.50 | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 33.61 | 0.54 | (f) | 2.26 | 2.80 | (0.46 | ) | (0.35 | ) | (0.81 | ) | |||||||||||||||||
September 9, 2016 (g) through June 30, 2017 | 29.57 | 0.36 | 4.17 | 4.53 | (0.49 | ) | — | (0.49 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net investment income (loss) may appear disproportionate among the classes due to the timing of recognition of income and changes in the relative size of the classes. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c) (d) | Net assets, period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
35.38 | 7.81 | 1,346,080 | 1.17 | 1.01 | (f) | 1.25 | 23 | |||||||||||||||||||
33.40 | 17.60 | 1,432,370 | 1.24 | 0.85 | 1.36 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.20 | 7.27 | 591,602 | 1.67 | 0.51 | (f) | 1.75 | 23 | |||||||||||||||||||
33.20 | 17.02 | 746,521 | 1.74 | 0.34 | 1.81 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.60 | 8.07 | 2,296,056 | 0.92 | 1.26 | (f) | 1.00 | 23 | |||||||||||||||||||
33.62 | 17.89 | 2,165,577 | 0.99 | 1.09 | 1.04 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.62 | 8.29 | 3,255,993 | 0.74 | 1.42 | (f) | 0.85 | 23 | |||||||||||||||||||
33.63 | 18.17 | 3,643,327 | 0.75 | 1.32 | 0.87 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.22 | 5.54 | 38 | 1.41 | 0.78 | (f) | 1.61 | 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 | ||||||||||||||||||||
35.11 | 7.82 | 1,132 | 1.15 | 1.01 | (f) | 1.28 | 23 | |||||||||||||||||||
33.24 | 14.87 | 385 | 1.24 | 1.09 | 1.36 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.47 | 8.07 | 17,231 | 0.89 | 1.43 | (f) | 1.00 | 23 | |||||||||||||||||||
33.55 | 15.10 | 34 | 1.00 | 1.05 | 1.08 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.57 | 8.25 | 6,114 | 0.76 | 1.41 | (f) | 0.88 | 23 | |||||||||||||||||||
33.59 | 15.27 | 422 | 0.83 | 1.14 | 0.89 | 24 | ||||||||||||||||||||
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 | ||||||||||||||||||||
35.60 | 8.31 | 3,869,991 | 0.67 | 1.52 | (f) | 0.75 | 23 | |||||||||||||||||||
33.61 | 15.35 | 3,069,390 | 0.74 | 1.39 | 0.75 | 24 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 55 |
Table of Contents
AS OF JUNE 30, 2021
(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. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as
56 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
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 | |||||||||||||
Total Investments in Securities (a) | $ | 15,004,815 | $ | — | $ | — | $ | 15,004,815 | ||||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
Mid Cap Equity Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 2,879,835 | $ | — | $ | — | $ | 2,879,835 | ||||||||
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(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 | |||||||||||||
Total Investments in Securities (a) | $ | 9,331,669 | $ | — | $ | — | $ | 9,331,669 | ||||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
Mid Cap Value Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 17,147,595 | $ | — | $ | — | $ | 17,147,595 | ||||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 57 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (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) | $ | 11,128,264 | $ | — | $ | — | $ | 11,128,264 | ||||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain 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 June 30, 2021.
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 | $ | 151,682 | (149,952 | )** | $ | 1,730 | ||||||
Mid Cap Equity Fund | 58,238 | (58,238 | ) | — | ||||||||
Mid Cap Growth Fund | 258,405 | (258,405 | ) | — | ||||||||
Mid Cap Value Fund | 21,845 | (21,845 | ) | — | ||||||||
Value Advantage Fund | 45,570 | (45,570 | ) | — |
* | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
** | Subsequent to June 30, 2021, additional collateral was received. |
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.
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JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the year ended June 30, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
Growth Advantage Fund | $ | 19 | ||
Mid Cap Equity Fund | 2 | |||
Mid Cap Growth Fund | 17 | |||
Mid Cap Value Fund | 7 | |||
Value Advantage Fund | 7 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank���s compensation and is included on the Statements of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. 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 year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund | $ | 105,416 | $ | 4,419,023 | $ | 4,364,840 | $ | (64 | ) | $ | (25 | ) | $ | 159,510 | 159,430 | $ | 245 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money | 302,529 | 2,066,000 | 2,235,244 | (75 | )* | (9 | ) | 133,201 | 133,201 | 420 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money | 31,490 | 1,031,923 | 1,046,662 | — | — | 16,751 | 16,751 | 13 | * | — | ||||||||||||||||||||||||||
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Total | $ | 439,435 | $ | 7,516,946 | $ | 7,646,746 | $ | (139 | ) | $ | (34 | ) | $ | 309,462 | $ | 678 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 59 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Mid Cap Equity Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, | $ | 40,612 | $ | 830,766 | $ | 806,897 | $ | (14 | ) | $ | (2 | ) | $ | 64,465 | 64,433 | $ | 58 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market | — | 323,000 | 270,000 | (7 | )* | (3 | ) | 52,990 | 52,990 | 42 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, | — | 143,549 | 136,620 | — | — | 6,929 | 6,929 | 2 | * | — | ||||||||||||||||||||||||||
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Total | $ | 40,612 | $ | 1,297,315 | $ | 1,213,517 | $ | (21 | ) | $ | (5 | ) | $ | 124,384 | $ | 102 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | 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 year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, | $ | 51,560 | $ | 1,518,917 | $ | 1,380,301 | $ | (20 | ) | $ | (12 | ) | $ | 190,144 | 190,049 | $ | 169 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, | 211,088 | 1,697,000 | 1,668,999 | (81 | )* | (16 | ) | 238,992 | 238,992 | 447 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 24,377 | 573,278 | 570,890 | — | — | 26,765 | 26,765 | 13 | * | — | ||||||||||||||||||||||||||
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Total | $ | 287,025 | $ | 3,789,195 | $ | 3,620,190 | $ | (101 | ) | $ | (28 | ) | $ | 455,901 | $ | 629 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
60 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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Mid Cap Value Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, | $ | 170,302 | $ | 3,085,766 | $ | 2,921,769 | $ | 66 | $ | (170 | ) | $ | 334,195 | 334,028 | $ | 368 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency | 168,074 | 604,000 | 753,500 | (38 | )* | (1 | ) | 18,535 | 18,536 | 163 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, | 23,472 | 280,045 | 299,851 | — | — | 3,666 | 3,666 | 5 | * | — | ||||||||||||||||||||||||||
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$ | 361,848 | $ | 3,969,811 | $ | 3,975,120 | $ | 28 | $ | (171 | ) | $ | 356,396 | $ | 536 | $ | — | ||||||||||||||||||||
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(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 June 30, 2021. |
* | 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 year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, | $ | 193,827 | $ | 5,039,507 | $ | 4,873,138 | $ | (105 | ) | $ | 4 | $ | 360,095 | 359,916 | $ | 322 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency | 139,126 | 690,985 | 789,000 | (34 | )* | (3 | ) | 41,074 | 41,074 | 202 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, | 15,136 | 290,778 | 299,946 | — | — | 5,968 | 5,968 | 7 | * | — | ||||||||||||||||||||||||||
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Total | $ | 348,089 | $ | 6,021,270 | $ | 5,962,084 | $ | (139 | ) | $ | 1 | $ | 407,137 | $ | 531 | $ | — | |||||||||||||||||||
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(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
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. 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.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 61 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
E. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended June 30, 2021 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 | $ | 124 | $ | 57 | $ | 70 | n/a | $ | 1 | $ | 1 | $ | — | (a) | $ | 3 | $ | 70 | $ | 326 | ||||||||||||||||||||
Mid Cap Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 29 | 1 | 21 | n/a | 1 | n/a | n/a | — | (a) | 13 | 65 | |||||||||||||||||||||||||||||
Mid Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 293 | 7 | 40 | n/a | 22 | 3 | 1 | 7 | 82 | 455 | ||||||||||||||||||||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 88 | 4 | 38 | $ | 18 | 7 | 2 | 1 | 1 | 74 | 233 | |||||||||||||||||||||||||||||
Value Advantage Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 70 | 32 | 45 | 29 | — | (a) | 1 | — | (a) | — | (a) | 37 | 214 |
(a) | Amount rounds to less than one thousand. |
F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2021, 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 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.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Growth Advantage Fund | $ | 202,249 | $ | 34,392 | $ | (236,641 | ) | |||||
Mid Cap Equity Fund | 2,483 | (1,295 | ) | (1,188 | ) | |||||||
Mid Cap Growth Fund | — | 29,519 | (29,519 | ) | ||||||||
Mid Cap Value Fund | — | (11,446 | ) | 11,446 | ||||||||
Value Advantage Fund | — | (7,008 | ) | 7,008 |
The reclassifications for the Funds relate primarily to net operating losses, non-taxable dividends and tax equalization.
H. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
62 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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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.
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 year ended June 30, 2021, the effective rate was 0.07% 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 year ended June 30, 2021, JPMDS retained the following:
Front-End Sales Charge | CDSC | |||||||
Growth Advantage Fund | $ | 596 | $ | 1 | ||||
Mid Cap Equity Fund | 107 | 1 | ||||||
Mid Cap Growth Fund | 180 | — | (a) | |||||
Mid Cap Value Fund | 64 | — | ||||||
Value Advantage Fund | 142 | — | (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 |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 63 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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 L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||||||||||||||||||||
Growth Advantage Fund | 1.14 | % | 1.64 | % | 0.89 | % | n/a | 1.39 | % | 1.14 | % | n/a | n/a | n/a | ||||||||||||||||||||||
Mid Cap Equity Fund | 1.14 | 1.64 | 0.89 | n/a | 1.39 | n/a | n/a | 0.74 | % | 0.64 | % | |||||||||||||||||||||||||
Mid Cap Growth Fund | 1.24 | n/a | 0.93 | n/a | 1.49 | n/a | 0.99 | % | 0.79 | 0.74 | ||||||||||||||||||||||||||
Mid Cap Value Fund | 1.24 | 1.75 | 0.99 | 0.75 | % | 1.50 | 1.25 | 1.00 | 0.85 | 0.73 | ||||||||||||||||||||||||||
Value Advantage Fund | 1.14 | 1.64 | 0.89 | 0.75 | 1.39 | 1.14 | 0.89 | 0.74 | 0.64 |
The expense limitation agreements were in effect for the year ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2021.
For the year ended June 30, 2021, 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 | $ | — | $ | — | $ | 21 | $ | 21 | $ | — | (a) | |||||||||
Mid Cap Equity Fund | 1,468 | 979 | 40 | 2,487 | 1 | |||||||||||||||
Mid Cap Growth Fund | 148 | 97 | 1,638 | 1,883 | 65 | |||||||||||||||
Mid Cap Value Fund | 904 | 594 | 4,874 | 6,372 | 39 | |||||||||||||||
Value Advantage Fund | 55 | 36 | 97 | 188 | 27 |
(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 year ended June 30, 2021 were as follows:
Growth Advantage Fund | $ | 194 | ||
Mid Cap Equity Fund | 49 | |||
Mid Cap Growth Fund | 135 | |||
Mid Cap Value Fund | 295 | |||
Value Advantage Fund | 251 |
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.
64 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
Table of Contents
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 year ended June 30, 2021, Growth Advantage Fund, Mid Cap Equity Fund and Mid Cap Growth Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2021, 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 | $ | 5,664,969 | $ | 6,793,527 | ||||
Mid Cap Equity Fund | 1,513,567 | 1,141,472 | ||||||
Mid Cap Growth Fund | 3,891,283 | 3,031,971 | ||||||
Mid Cap Value Fund | 3,121,834 | 4,865,259 | ||||||
Value Advantage Fund | 3,185,060 | 4,629,186 |
During the year ended June 30, 2021, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Growth Advantage Fund | $ | 7,740,972 | $ | 7,362,987 | $ | 99,144 | $ | 7,263,843 | ||||||||
Mid Cap Equity Fund | 1,876,346 | 1,011,246 | 7,757 | 1,003,489 | ||||||||||||
Mid Cap Growth Fund | 6,140,513 | 3,274,487 | 83,331 | 3,191,156 | ||||||||||||
Mid Cap Value Fund | 9,973,135 | 7,225,530 | 51,070 | 7,174,460 | ||||||||||||
Value Advantage Fund | 7,162,655 | 3,980,011 | 14,402 | 3,965,609 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, investments in passive foreign investment companies (“PFICs”) and non-taxable dividends.
The tax character of distributions paid during the year ended June 30, 2021 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Growth Advantage Fund | $ | 173,658 | $ | 1,159,877 | $ | 1,333,535 | ||||||
Mid Cap Equity Fund | 34,787 | 182,224 | 217,011 | |||||||||
Mid Cap Growth Fund | 98,717 | 670,719 | 769,436 | |||||||||
Mid Cap Value Fund | 166,699 | 903,443 | 1,070,142 | |||||||||
Value Advantage Fund | 156,787 | 134,979 | 291,766 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 65 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
The tax character of distributions paid during the year ended June 30, 2020 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Growth Advantage Fund | $ | — | $ | 835,282 | $ | 835,282 | ||||||
Mid Cap Equity Fund | 18,575 | 205,540 | 224,115 | |||||||||
Mid Cap Growth Fund | — | 345,443 | 345,443 | |||||||||
Mid Cap Value Fund | 207,560 | 647,712 | 855,272 | |||||||||
Value Advantage Fund | 180,428 | 287,467 | 467,895 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of June 30, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Growth Advantage Fund | $ | 416,691 | $ | 1,517,775 | $ | 7,263,843 | ||||||
Mid Cap Equity Fund | 34,680 | 143,942 | 1,003,489 | |||||||||
Mid Cap Growth Fund | 160,207 | 554,291 | 3,191,156 | |||||||||
Mid Cap Value Fund | 157,708 | 1,510,292 | 7,174,460 | |||||||||
Value Advantage Fund | 226,518 | 743,807 | 3,965,609 |
The cumulative timing differences primarily consist of investments in PFICs, wash sale loss deferrals, non-taxable dividends and late year ordinary loss deferrals.
As of June 30, 2021, the Funds did not have any net capital loss carryforwards.
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, 2021, the following Funds deferred to July 1, 2021 late year ordinary losses of:
Late Year Ordinary Loss Deferral | ||||
Growth Advantage Fund | $ | 19,685 | ||
Mid Cap Growth Fund | 21,652 |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund during the year ended June 30, 2021.
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2021.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which
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any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25% (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended June 30, 2021.
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 June 30, 2021, the following 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 | |||||||||||||
Growth Advantage Fund | 1 | 14.1 | % | 1 | 23.8 | % | ||||||||||
Mid Cap Equity Fund | — | — | 2 | 66.5 | ||||||||||||
Mid Cap Growth Fund | 1 | 10.9 | 2 | 28.3 | ||||||||||||
Mid Cap Value Fund | — | — | 2 | 35.2 | ||||||||||||
Value Advantage Fund | — | — | 2 | 23.3 |
As of June 30, 2021, JPMorgan SmartRetirement Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
JPMorgan SmartRetirement Funds | ||||
Growth Advantage Fund | 10.7 | % | ||
Value Advantage Fund | 26.5 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or 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 prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to 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
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Redemption in-kind
On October 11, 2019, certain shareholders sold Class R6 Shares of Mid Cap Equity Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
Value | Realized Gains (Losses) | Type | ||||||||||
Mid Cap Equity Fund | $ | 1,200,715 | * | $ | 234,072 | Redemption in-kind |
* | This amount includes cash of $42,541 associated with the redemption in-kind. |
9. Subsequent Event
Effective November 1, 2021, the contractual expense limitation for the following funds will decrease to the percentages shown in the table below, and will be in place until at least October 31, 2022.
Class A | Class C | Class I | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | |||||||||||||||||||||||||
Growth Advantage Fund | 1.04 | % | 1.54 | % | 0.79 | % | 1.30 | % | 1.05 | % | 0.80 | % | 0.65 | % | 0.55 | % | ||||||||||||||||
Mid Cap Growth Fund | 1.14 | 1.64 | 0.89 | 1.45 | 1.20 | 0.95 | n/a | 0.70 | ||||||||||||||||||||||||
Mid Cap Value Fund | 1.14 | 1.64 | 0.89 | 1.40 | 1.15 | 0.90 | 0.75 | 0.65 | ||||||||||||||||||||||||
Value Advantage Fund | 1.04 | 1.54 | 0.79 | 1.30 | 1.05 | 0.80 | 0.65 | 0.55 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of J.P. Morgan Mutual Fund Investment Trust, J.P. Morgan Fleming Mutual Fund Group, Inc., JPMorgan Trust I and JPMorgan Trust II and Shareholders of JPMorgan Growth Advantage Fund, JPMorgan Mid Cap Value Fund, JPMorgan Mid Cap Equity Fund, JPMorgan Value Advantage Fund and JPMorgan Mid Cap Growth Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Growth Advantage Fund (constituting J.P. Morgan Mutual Fund Investment Trust), JPMorgan Mid Cap Value Fund (constituting J.P. Morgan Fleming Mutual Fund Group, Inc.), JPMorgan Mid Cap Equity Fund and JPMorgan Value Advantage Fund (two of the funds constituting JPMorgan Trust I) and JPMorgan Mid Cap Growth Fund (one of the funds constituting JPMorgan Trust II) (hereafter collectively referred to as the “Funds”) as of June 30, 2021, the related statements of operations for the year ended June 30, 2021, the statements of changes in net assets for each of the two years in the period ended June 30, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 24, 2021
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Chair since 2020; Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 127 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). | |||
Stephen P. Fisher (1959); Trustee of Trusts since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 127 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 127 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
Dennis P. Harrington* (1950); Trustee of Trusts since 2017. (3) | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | 127 | None | |||
Frankie D. Hughes (1952); Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 127 | None |
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Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trusts since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 127 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Mary E. Martinez (1960); Vice Chair since 2021; Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 127 | None | |||
Marilyn McCoy (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 127 | None | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 127 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
Marian U. Pardo*** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 127 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
(1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Boards of Trustees serve currently includes ten registered investment companies (127 funds). |
(3) | Mr. Harrington retired from the Board of Trustees effective July 31, 2021. |
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TRUSTEES
(Unaudited) (continued)
* | Two family members of Mr. Harrington are employed as a partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Boards that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Boards have concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
Shannon Gaines (1977), Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
*** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Growth Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,115.70 | $ | 5.93 | 1.13 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,112.80 | 8.54 | 1.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.71 | 8.15 | 1.63 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,117.10 | 4.62 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,114.30 | 7.29 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,115.90 | 5.98 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,117.10 | 4.62 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,117.70 | 3.83 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,118.50 | 3.31 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 |
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Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Mid Cap Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,146.50 | $ | 6.07 | 1.14 | % | ||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,143.80 | 8.72 | 1.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.66 | 8.20 | 1.64 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,147.80 | 4.74 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,145.10 | 7.39 | 1.39 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.90 | 6.95 | 1.39 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,148.90 | 3.94 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,149.30 | 3.41 | 0.64 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
JPMorgan Mid Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,084.30 | 6.41 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,081.40 | 8.98 | 1.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.17 | 8.70 | 1.74 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,086.00 | 4.81 | 0.93 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.18 | 4.66 | 0.93 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,082.90 | 7.70 | 1.49 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.41 | 7.45 | 1.49 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,084.30 | 6.41 | 1.24 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.65 | 6.21 | 1.24 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,085.70 | 5.12 | 0.99 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.89 | 4.96 | 0.99 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,086.50 | 4.09 | 0.79 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.88 | 3.96 | 0.79 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,087.10 | 3.83 | 0.74 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.12 | 3.71 | 0.74 |
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 75 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Mid Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,214.60 | $ | 6.70 | 1.22 | % | ||||||||
Hypothetical | 1,000.00 | 1,018.74 | 6.11 | 1.22 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,211.40 | 9.38 | 1.71 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.31 | 8.55 | 1.71 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,216.00 | 5.27 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,217.60 | 4.12 | 0.75 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.08 | 3.76 | 0.75 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,213.20 | 8.07 | 1.47 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.50 | 7.35 | 1.47 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,214.90 | 6.65 | 1.21 | ||||||||||||
Hypothetical | 1,000.00 | 1,018.79 | 6.06 | 1.21 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,216.40 | 5.28 | 0.96 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,217.10 | 4.45 | 0.81 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.78 | 4.06 | 0.81 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,217.80 | 3.90 | 0.71 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.27 | 3.56 | 0.71 | ||||||||||||
JPMorgan Value Advantage Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,212.90 | 6.20 | 1.13 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.19 | 5.66 | 1.13 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,209.80 | 8.93 | 1.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,016.71 | 8.15 | 1.63 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,214.50 | 4.83 | 0.88 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.43 | 4.41 | 0.88 | ||||||||||||
Class L | ||||||||||||||||
Actual | 1,000.00 | 1,215.20 | 4.01 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,211.10 | 7.57 | 1.38 | ||||||||||||
Hypothetical | 1,000.00 | 1,017.95 | 6.90 | 1.38 | ||||||||||||
Class R3 | ||||||||||||||||
Actual | 1,000.00 | 1,212.70 | 6.25 | 1.14 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class R4 | ||||||||||||||||
Actual | 1,000.00 | 1,214.10 | 4.89 | 0.89 | ||||||||||||
Hypothetical | 1,000.00 | 1,020.38 | 4.46 | 0.89 | ||||||||||||
Class R5 | ||||||||||||||||
Actual | 1,000.00 | 1,215.30 | 4.01 | 0.73 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.17 | 3.66 | 0.73 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,215.80 | 3.46 | 0.63 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.67 | 3.16 | 0.63 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
76 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board of Trustees reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule); (4) whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (6) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (7) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of each Fund’s investments; and (2) perform additional stress testing. The Report noted that each Fund was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
JUNE 30, 2021 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | 77 |
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(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, 2021. 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, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2021:
Dividends Received Deduction | ||||
JPMorgan Growth Advantage Fund | 41.77 | % | ||
JPMorgan Mid Cap Equity Fund | 57.41 | |||
JPMorgan Mid Cap Growth Fund | 23.86 | |||
JPMorgan Mid Cap Value Fund | 100.00 | |||
JPMorgan Value Advantage Fund | 100.00 |
Long-Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2021:
Long-Term Capital Gain Distribution | ||||
JPMorgan Growth Advantage Fund | $ | 1,318,561 | ||
JPMorgan Mid Cap Equity Fund | 184,140 | |||
JPMorgan Mid Cap Growth Fund | 670,719 | |||
JPMorgan Mid Cap Value Fund | 903,443 | |||
JPMorgan Value Advantage Fund | 134,979 |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2021:
Qualified Dividend Income | ||||
JPMorgan Growth Advantage Fund | $ | 75,026 | ||
JPMorgan Mid Cap Equity Fund | 20,127 | |||
JPMorgan Mid Cap Growth Fund | 24,984 | |||
JPMorgan Mid Cap Value Fund | 166,699 | |||
JPMorgan Value Advantage Fund | 156,787 |
78 | J.P. MORGAN MID CAP/MULTI-CAP FUNDS | JUNE 30, 2021 |
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FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC 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.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | AN-MC-621 |
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Annual Report
J.P. Morgan Large Cap Funds
June 30, 2021
JPMorgan Equity Focus Fund
JPMorgan Equity Income 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
(formerly known as JPMorgan Intrepid Value Fund)
JPMorgan U.S. Equity Fund
JPMorgan U.S. GARP Equity Fund
(formerly known as JPMorgan Intrepid Growth Fund)
JPMorgan U.S. Large Cap Core Plus Fund
JPMorgan U.S. Research Enhanced Equity Fund
JPMorgan U.S. Sustainable Leaders Fund
(formerly known as JPMorgan Intrepid Sustainable Equity Fund)
JPMorgan U.S. Value Fund
(formerly known as JPMorgan Growth and Income Fund)
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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August 4, 2021 (Unaudited)
Dear Shareholders,
The rally in equity markets that began in the second half of last year accelerated in 2021 on the back of mass vaccinations against COVID-19, federal relief and recovery efforts and a surge in both corporate profits and consumer spending. As a result, we find ourselves in a different environment than we inhabited a year ago.
“Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a particularly remarkable performance over the twelve months ended June 30, 2021. The S&P 500 posted a total return of 40.79%; the Russell 1000 returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell Small Cap Index returned 62.03%. The lesson for investors, we believe, is clear: Those who were consistently and fully invested in the second half of 2020 through the first half of 2021 stood to benefit greatly from the superlative performance in global equity markets.
The rollout of mass vaccinations and the partial reopening of economies at all scales have fueled job growth, consumer spending and rising corporate profits. However, the pandemic
remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve. While the central bank has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 1 |
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J.P. Morgan Large Cap Funds
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
Overall, U.S. and emerging markets equity led a remarkable global rally in stocks on the back of massive central bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Leading U.S. equity indexes rose in July and August 2020, punctuated by five consecutive record high closings for the S&P 500 Index in late August – a stretch not seen since 2017. While the spread of COVID-19 accelerated in the U.S., multiple candidate vaccines were being developed around the world and the number of hospitalizations at the end of the summer was relatively small compared with what was to come at the end of the year.
Equity prices across the globe largely declined over September and October 2020. Re-closings across Asia and Europe in response to the pandemic dented investor optimism. The inability of the U.S. Congress to adopt further spending for pandemic relief put acute pressure on the S&P 500 Index in the final week of October.
U.S. equity prices began to rebound in November and by mid-month the S&P 500 Index reached a closing high and crossed 3,600 points for the first time amid the U.S. Food and Drug Administration’s approval of the first COVID-19 vaccines. November and December saw broad gains in global equity, partly driven by continued investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package -- and the prospect of additional federal government spending – helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Within U.S. equity markets, the S&P 500 Index returned 40.79%; the Russell 1000 Index returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell 2000 Index returned 62.03% for the twelve months ended June 30, 2021.
2 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 47.46% | |||
S&P 500 Index | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $131,894 |
INVESTMENT OBJECTIVE**
The JPMorgan Equity Focus Fund (the “Fund”) seeks long term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection and overweight position in the financials sector and its security selection in the consumer discretionary sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the health care sector and its underweight position in the communication services sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Tesla Inc., Capital One Financial Corp. and Charles Schwab Corp. Shares of Tesla, a producer of electric vehicles and energy storage systems, rose after the company was added to the S&P 500 Index. Shares of Capital One Financial, a banking and financial services company, rose amid improvement in its credit card business during the reporting period and general investor demand for financial sector stocks. Shares of Charles Schwab, a financial services provider, rose following the company’s $26 billion acquisition of TD Ameritrade in October 2020 and amid general investor demand for financials sector stocks.
Leading individual detractors from relative performance included the Fund’s overweight positions in Xcel Energy Inc., Home Depot Inc. and Discovery Inc. Shares of Xcel, an electricity and natural gas utility, fell late in the period following a run-up in the share price in early 2021. Shares of Home Depot, a home improvement retail chain, fell after a significant run-up in the share price in 2020. Shares of Discovery, an entertainment and media company, fell sharply in March 2021 following the collapse of Archegos Capital Management, which held large leveraged positions in Discovery shares.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection. As a result of this approach to stock selection, the Fund’s largest positions were
in the information technology and financials sectors and the Fund’s smallest positions were in the consumer staples and utilities sectors.
TOP TEN EQUITY HOLDINGS OF THE | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 5.5 | % | |||||
2. | Apple, Inc. | 4.8 | ||||||
3. | Alphabet, Inc., Class C | 4.7 | ||||||
4. | AutoZone, Inc. | 3.8 | ||||||
5. | Amazon.com, Inc. | 3.8 | ||||||
6. | Berkshire Hathaway, Inc., Class B | 3.5 | ||||||
7. | Loews Corp. | 3.4 | ||||||
8. | Capital One Financial Corp. | 3.1 | ||||||
9. | Bank of America Corp. | 3.0 | ||||||
10. | AbbVie, Inc. | 2.9 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 23.4 | % | ||
Financials | 15.0 | |||
Communication Services | 13.1 | |||
Health Care | 12.7 | |||
Consumer Discretionary | 10.8 | |||
Materials | 5.0 | |||
Real Estate | 4.6 | |||
Industrials | 3.6 | |||
Energy | 3.5 | |||
Utilities | 2.8 | |||
Consumer Staples | 2.8 | |||
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. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 3 |
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JPMorgan Equity Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | July 29, 2011 | |||||||||||||
With Sales Charge* | 39.35 | % | 18.13 | % | 14.55 | % | ||||||||
Without Sales Charge | 47.07 | 19.40 | 15.18 | |||||||||||
CLASS C SHARES | July 29, 2011 | |||||||||||||
With CDSC** | 45.37 | 18.81 | 14.71 | |||||||||||
Without CDSC | 46.37 | 18.81 | 14.71 | |||||||||||
CLASS I SHARES | July 29, 2011 | 47.46 | 19.71 | 15.47 | ||||||||||
CLASS R6 SHARES | October 1, 2018 | 47.82 | 19.88 | 15.55 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (7/29/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on July 29, 2011.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Focus Fund and the S&P 500 Index from July 29, 2011 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmark, if applicable. The 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.
Subsequent to the inception date of the Fund and through July 31, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable 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.
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 reflects Class A 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.
4 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 40.16% | |||
Russell 1000 Value Index | 43.68% | |||
Net Assets as of 6/30/2021 (In Thousands) | $46,405,657 |
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 twelve months ended June 30, 2021. 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 industrials sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in CME Group Inc. and General Dynamics Corp., and its underweight position in Alphabet Inc. Shares of CME Group, a financial derivatives market operator, underperformed after the company reported lower-than-expected earnings and revenue for the third quarter of 2020. Shares of General Dynamics, an aerospace and defense manufacturer, underperformed after the company reported lower-than-expected earnings and revenue for the fourth quarter of 2020. Shares of Alphabet, parent company of Google Inc., which were not held in the Fund, rose on continued growth in earnings and revenue throughout the period.
Leading individual contributors to relative performance included the Fund’s underweight positions in AT&T Corp. and Intel Corp. and its out-of-Benchmark position in Deere Inc. Shares of AT&T, a telecommunications and entertainment provider not held in the Fund, fell amid investor concerns that the company’s sale of its WarnerMedia unit would reduce AT&T’s quarterly dividends. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021. Shares of Deere, a maker of agriculture and construction equipment, rose after the company reported better-than-expected earnings for its fiscal second quarter and raised its earnings forecast for the fiscal year 2021.
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 was designed to identify companies with predictable and durable business models deemed capable of generating sustainable free cash flow.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Comcast Corp., Class A | 2 .6 | % | |||||
2. | BlackRock, Inc. | 2 .5 | ||||||
3. | Bank of America Corp. | 2 .4 | ||||||
4. | UnitedHealth Group, Inc. | 2 .4 | ||||||
5. | ConocoPhillips | 2 .4 | ||||||
6. | Bristol-Myers Squibb Co. | 2 .2 | ||||||
7. | Analog Devices, Inc. | 2 .2 | ||||||
8. | PNC Financial Services Group, Inc. (The) | 2 .2 | ||||||
9. | Medtronic plc | 2 .0 | ||||||
10. | Philip Morris International, Inc. | 2 .0 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Financials | 23.7 | % | ||
Industrials | 14.8 | |||
Health Care | 14.4 | |||
Information Technology | 9.5 | |||
Consumer Staples | 8.6 | |||
Consumer Discretionary | 8.1 | |||
Energy | 5.6 | |||
Utilities | 3.9 | |||
Communication Services | 3.6 | |||
Materials | 3.2 | |||
Real Estate | 2.2 | |||
Short-Term Investments | 2.4 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 5 |
Table of Contents
JPMorgan Equity Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | 32.46 | % | 11.63 | % | 11.64 | % | ||||||||
Without Sales Charge | 39.81 | 12.84 | 12.24 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 38.19 | 12.29 | 11.79 | |||||||||||
Without CDSC | 39.19 | 12.29 | 11.79 | |||||||||||
CLASS I SHARES | July 2, 1987 | 40.16 | 13.13 | 12.52 | ||||||||||
CLASS R2 SHARES | February 28, 2011 | 39.47 | 12.56 | 11.96 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 39.79 | 12.85 | 12.24 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 40.19 | 13.13 | 12.52 | ||||||||||
CLASS R5 SHARES | February 28, 2011 | 40.41 | 13.32 | 12.73 | ||||||||||
CLASS R6 SHARES | January 31, 2012 | 40.51 | 13.43 | 12.81 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R4 Shares prior to their inception dates are based on the performance of 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 than those shown because Class R3 Shares currently have the same expenses as Class A Shares.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares and, prior to February 28, 2011, Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 and Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Income Fund and the Russell 1000 Value
Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
6 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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JPMorgan Equity Premium Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 29.87% | |||
S&P 500 Index | 40.79% | |||
ICE BofAML 3-Month US Treasury Bill Index | 0.09% | |||
Net Assets as of 6/30/2021 (In Thousands) | $900,804 |
INVESTMENT OBJECTIVE**
The JPMorgan Equity Premium Income Fund (the “Fund”) seeks current income while maintaining prospects for capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) and outperformed the ICE BofAML 3-Month US Treasury Bill Index for the twelve months ended June 30, 2021. The Fund’s security selection in the financials sector and its underweight position in the utilities sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection and overweight position in the industrials sector and its security selection in the consumer discretionary sector were leading contributors to relative performance.
Leading individual detractors from performance relative to the Benchmark included the Fund’s underweight position in Nvidia Corp. and its overweight positions in Jack Henry & Associates Inc. and Progressive Corp. Shares of Nvidia, a semiconductor maker not held in the Fund, rose amid consecutive quarters of better-than-expected earnings and revenue. Shares of Jack Henry & Associates, a payment processing provider mainly serving the financial services sector, fell after the company reported several quarters of lower-than-expected revenue. Shares of Progressive, a property and casualty insurer, fell amid lower-than-expected earnings and revenue for the first quarter of 2021 as well as a decline in monthly revenue.
Leading individual contributors to relative performance included the Fund’s overweight positions in Target Corp. and Trane Technologies PLC, and its underweight position in Intel Corp. Shares of Target, a discount department store chain, rose following consecutive quarters of better-than-expected growth in earnings and revenue amid a strong rebound in consumer spending during the period. Shares of Trane Technologies, an air conditioning, heating and ventilation company, rose after the company reported better-than-expected earnings and revenue amid strong consumer and commercial demand. Shares of Intel, a semiconductor manufacturer not held in the Fund, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021.
HOW WAS THE FUND POSITIONED?
The Fund seeks to generate income through a combination of selling options and investing in large cap stocks and delivering monthly income from associated option premiums and stock dividends. The Fund’s portfolio managers employed a proprietary research process designed to identify what they believed were overvalued and undervalued stocks with attractive risk/return characteristics.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 7 |
Table of Contents
JPMorgan Equity Premium Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Toronto-Dominion Bank (The), ELN, 35.60%, 8/6/2021, (linked to S&P 500 Index) | 3.6 | % | |||||
2. | Royal Bank of Canada, ELN, 36.35%, 7/16/2021, (linked to S&P 500 Index) | 3.1 | ||||||
3. | BNP Paribas, ELN, 37.87%, 7/23/2021, (linked to S&P 500 Index) | 3.0 | ||||||
4. | UBS AG, ELN, 36.40%, 7/30/2021, (linked to S&P 500 Index) | 3.0 | ||||||
5. | Citigroup Global Markets Holdings, Inc., ELN, 38.70%, 7/9/2021, (linked to S&P 500 Index) | 2.6 | ||||||
6. | Microsoft Corp. | 1.6 | ||||||
7. | Intuit, Inc. | 1.6 | ||||||
8. | Accenture plc, Class A | 1.5 | ||||||
9. | Target Corp. | 1.5 | ||||||
10. | Eli Lilly & Co. | 1.4 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Health Care | 11.3 | % | ||
Information Technology | 11.2 | |||
Industrials | 10.6 | |||
Consumer Staples | 9.9 | |||
Financials | 9.1 | |||
Communication Services | 7.5 | |||
Consumer Discretionary | 7.4 | |||
Utilities | 6.3 | |||
Materials | 3.3 | |||
Real Estate | 2.6 | |||
Energy | 0.8 | |||
Other*** | 15.3 | |||
Short-Term Investments | 4.7 |
* | 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. |
*** | Equity-Linked Notes that are linked to the S&P 500 Index. |
ELN | Equity-Linked Note |
8 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 |
INCEPTION DATE OF CLASS | 1 YEAR | SINCE INCEPTION | ||||||||||
CLASS A SHARES | August 31, 2018 | |||||||||||
With Sales Charge* | 22.76 | % | 8.28 | % | ||||||||
Without Sales Charge | 29.57 | 10.36 | ||||||||||
CLASS C SHARES | August 31, 2018 | |||||||||||
With CDSC** | 28.03 | 9.81 | ||||||||||
Without CDSC | 29.03 | 9.81 | ||||||||||
CLASS I SHARES | August 31, 2018 | 29.87 | 10.61 | |||||||||
CLASS R5 SHARES | August 31, 2018 | 30.06 | 10.78 | |||||||||
CLASS R6 SHARES | August 31, 2018 | 30.29 | 10.89 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (8/31/18 to 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on August 31, 2018.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Premium Income Fund, the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index from August 31, 2018 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and the ICE BofAML 3-Month 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 BofAML 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 BofAML 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 9 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 19.66% | |||
S&P 500 Index | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $18,294,923 |
INVESTMENT OBJECTIVE**
The JPMorgan Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the pharmaceutical/medical technology and real estate investment trust sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and telecommunications sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight position in FedEx Corp. and its underweight positions in Walt Disney Co. and J.P. Morgan Chase & Co. Shares of FedEx, a parcel and freight delivery company, underperformed amid investor concerns about global supply chain problems. Shares of Walt Disney, an entertainment and media company, rose amid increased consumer demand for its online streaming service. Shares of J.P. Morgan Chase, a banking and financial services company that the Fund is prohibited from holding, rose amid better-than-expected earnings and general investor demand for financial sector stocks.
Leading individual contributors to relative performance included the Fund’s overweight positions in Applied Materials Inc. and Capital One Financial Corp. and its underweight position in Intel Inc. Shares of Applied Materials, a semiconductor manufacturing equipment provider, rose amid a surge in global demand for semiconductors in 2021. Shares of Capital One Financial, a banking and financial services company, rose amid improvement in its credit card business during the reporting period and general investor demand for financial sector stocks. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The option overlay is known as a Put/Spread Collar
strategy. The combination of the diversified portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments while exposing the Fund to less risk than traditional long-only equity strategies.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 6.5 | % | |||||
2. | Apple, Inc. | 5.8 | ||||||
3. | Amazon.com, Inc. | 4.4 | ||||||
4. | Alphabet, Inc., Class A | 2.5 | ||||||
5. | Facebook, Inc., Class A | 2.2 | ||||||
6. | Alphabet, Inc., Class C | 2.0 | ||||||
7. | Berkshire Hathaway, Inc., Class B | 1.6 | ||||||
8. | S&P 500 Index 9/30/2021 at USD 4,065.00, European Style | 1.5 | ||||||
9. | Tesla, Inc. | 1.4 | ||||||
10. | Mastercard, Inc., Class A | 1.4 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 26.4 | % | ||
Consumer Discretionary | 12.6 | |||
Health Care | 12.6 | |||
Financials | 11.4 | |||
Communication Services | 11.0 | |||
Industrials | 8.5 | |||
Consumer Staples | 4.9 | |||
Energy | 2.8 | |||
Utilities | 2.4 | |||
Materials | 2.3 | |||
Real Estate | 1.8 | |||
Put Options Purchased | 1.6 | |||
Short-Term Investments | 1.7 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
10 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | SINCE INCEPTION | |||||||||||
CLASS A SHARES | December 13, 2013 | |||||||||||||
With Sales Charge* | 13.06 | % | 9.56 | % | 7.79 | % | ||||||||
Without Sales Charge | 19.31 | 10.75 | 8.56 | |||||||||||
CLASS C SHARES | December 13, 2013 | |||||||||||||
With CDSC** | 17.76 | 10.21 | 8.02 | |||||||||||
Without CDSC | 18.76 | 10.21 | 8.02 | |||||||||||
CLASS I SHARES | December 13, 2013 | 19.66 | 11.04 | 8.84 | ||||||||||
CLASS R5 SHARES | December 13, 2013 | 19.79 | 11.21 | 9.03 | ||||||||||
CLASS R6 SHARES | December 13, 2013 | 19.90 | 11.30 | 9.10 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (12/13/13 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on December 13, 2013.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity Fund, the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index from December 13, 2013 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and the ICE BofAML 3-Month 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 BofAML 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 BofAML 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 11 |
Table of Contents
FUND COMMENTARY
FOR THE PERIOD FEBRUARY 26, 2021 (INCEPTION DATE) THROUGH JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 6.63% | |||
S&P 500 Index | 13.30% | |||
Net Assets as of 6/30/2021 (In Thousands)
| $1,391,868 |
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 period from inception on February 26, 2021 to June 30, 2021. The Fund’s security selection in the pharmaceutical/medical technology and utilities sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and media sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Adobe Inc. and its overweight positions in Deere & Co. and Netflix Inc. Shares of Adobe, a software company not held in the Fund, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter. Shares of Deere, a maker of agricultural and construction equipment, underperformed late in the period after the company warned of pandemic-related constraints on its supply chain. Shares of Netflix, an online entertainment provider, fell amid investor concerns about slowing growth in new subscribers.
Leading individual contributors to relative performance included the Fund’s overweight position in Walt Disney Co. and its underweight positions in J.P. Morgan Chase & Co. and Intel Inc. Shares of Walt Disney, an entertainment and media company, rose amid increased consumer demand for its online streaming service. Shares of J.P. Morgan Chase, a banking and financial services company that the Fund is prohibited from holding, underperformed amid declining interest rates during the period. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call
options. The option overlay is known as a Put/Spread Collar strategy. The combination of the diversified portfolio of equity
securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments while exposing the Fund to less risk than traditional long-only equity strategies.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 6.3 | % | |||||
2. | Apple, Inc. | 5.7 | ||||||
3. | Amazon.com, Inc. | 4.3 | ||||||
4. | Alphabet, Inc., Class A | 2.4 | ||||||
5. | Facebook, Inc., Class A | 2.2 | ||||||
6. | Alphabet, Inc., Class C | 2.0 | ||||||
7. | Berkshire Hathaway, Inc., Class B | 1.5 | ||||||
8. | Tesla, Inc. | 1.4 | ||||||
9. | Mastercard, Inc., Class A | 1.3 | ||||||
10. | NVIDIA Corp. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 25.7 | % | ||
Consumer Discretionary | 12.3 | |||
Health Care | 12.2 | |||
Financials | 11.0 | |||
Communication Services | 10.7 | |||
Industrials | 8.3 | |||
Consumer Staples | 4.8 | |||
Energy | 2.7 | |||
Utilities | 2.3 | |||
Materials | 2.3 | |||
Real Estate | 1.7 | |||
Put Options Purchased | 0.3 | |||
Short-Term Investments | 5.7 |
* | 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. |
12 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||
INCEPTION DATE OF CLASS | SINCE INCEPTION | |||||
CLASS A SHARES | February 26, 2021 | |||||
With Sales Charge* | 6.54 | % | ||||
Without Sales Charge | 6.54 | |||||
CLASS C SHARES | February 26, 2021 | |||||
With CDSC** | 5.36 | |||||
Without CDSC | 6.36 | |||||
CLASS I SHARES | February 26, 2021 | 6.63 | ||||
CLASS R5 SHARES | February 26, 2021 | 6.66 | ||||
CLASS R6 SHARES | February 26, 2021 | 6.75 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the period. |
LIFE OF FUND PERFORMANCE (2/26/21 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 26, 2021.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity 2 Fund and the S&P 500 Index from February 26, 2021 to June 30, 2021. 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 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.
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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 13 |
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FUND COMMENTARY
FOR THE PERIOD FEBRUARY 26, 2021 (INCEPTION DATE) THROUGH JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 6.64% | |||
S&P 500 Index | 13.30% | |||
Net Assets as of 6/30/2021 (In Thousands) | $566,566 |
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 period from inception on February 26, 2021 to June 30, 2021. The Fund’s security selection in the pharmaceutical/medical technology and utilities sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the technology and media sectors was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s underweight position in Adobe Inc. and its overweight positions in Deere & Co. and Netflix Inc. Shares of Adobe, a software company not held in the Fund, rose after the company reported better-than-expected earnings and revenue for its fiscal second quarter. Shares of Deere, a maker of agricultural and construction equipment, underperformed late in the period after the company warned of pandemic-related constraints on its supply chain. Shares of Netflix, an online entertainment provider, fell amid investor concerns about slowing growth in new subscribers.
Leading individual contributors to relative performance included the Fund’s overweight position in Walt Disney Co. and its underweight positions in J.P. Morgan Chase & Co. and Intel Inc. Shares of Walt Disney, an entertainment and media company, rose amid increased consumer demand for its online streaming service. Shares of J.P. Morgan Chase, a banking and financial services company that the Fund is prohibited from holding, underperformed amid declining interest rates during the period. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021.
HOW WAS THE FUND POSITIONED?
The Fund used an enhanced index strategy that invests primarily in common stocks of large capitalization U.S. companies, while systematically purchasing and selling exchange-traded index put options and selling exchange-traded index call options. The option overlay is known as a Put/Spread Collar
strategy. The combination of the diversified portfolio of equity securities, downside protection from index put options and income from index call options provided the Fund with a portion of the returns associated with equity market investments while exposing the Fund to less risk than traditional long-only equity strategies.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 6.4 | % | |||||
2. | Apple, Inc. | 5.8 | ||||||
3. | Amazon.com, Inc. | 4.4 | ||||||
4. | Alphabet, Inc., Class A | 2.5 | ||||||
5. | Facebook, Inc., Class A | 2.2 | ||||||
6. | Alphabet, Inc., Class C | 2.0 | ||||||
7. | Berkshire Hathaway, Inc., Class B | 1.6 | ||||||
8. | Tesla, Inc. | 1.4 | ||||||
9. | Mastercard, Inc., Class A | 1.4 | ||||||
10. | NVIDIA Corp. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 26.3 | % | ||
Consumer Discretionary | 12.6 | |||
Health Care | 12.5 | |||
Financials | 11.3 | |||
Communication Services | 10.9 | |||
Industrials | 8.5 | |||
Consumer Staples | 4.9 | |||
Energy | 2.8 | |||
Utilities | 2.3 | |||
Materials | 2.3 | |||
Real Estate | 1.8 | |||
Put Options Purchased | 0.8 | |||
Short-Term Investments | 3.0 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
14 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||
INCEPTION DATE OF CLASS | SINCE INCEPTION | |||||
CLASS A SHARES | February 26, 2021 | |||||
With Sales Charge* | 6.50 | % | ||||
Without Sales Charge | 6.50 | |||||
CLASS C SHARES | February 26, 2021 | |||||
With CDSC** | 5.37 | |||||
Without CDSC | 6.37 | |||||
CLASS I SHARES | February 26, 2021 | 6.64 | ||||
CLASS R5 SHARES | February 26, 2021 | 6.64 | ||||
CLASS R6 SHARES | February 26, 2021 | 6.68 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the period. |
LIFE OF FUND PERFORMANCE (2/26/21 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on February 26, 2021.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Hedged Equity 3 Fund and the S&P 500 Index from February 26, 2021 to June 30, 2021. 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 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.
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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 15 |
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JPMorgan Large Cap Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 41.37% | |||
Russell 1000 Growth Index | 42.50% | |||
Net Assets as of 6/30/2021 (In Thousands) | $37,416,380 |
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 twelve months ended June 30, 2021. 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 and overweight position in the consumer discretionary sector and its security selection in the information technology sector were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Seagen Inc., Regeneron Pharmaceuticals Inc. and DexCom Inc. Shares of Seagen, a drug development company, fell after the company reported lower-than-expected earnings for the first quarter of 2021. Shares of Regeneron Pharmaceuticals, a drug development company, fell as the U.S. approval of multiple vaccines against COVID-19 reduced demand for alternative therapies for the virus. Shares of DexCom, a medical device manufacturer, fell during the period following a run-up in the stock price in 2020.
Leading individual contributors to relative performance included the Fund’s overweight positions in Tesla Inc., Snap Inc. and ASML Holdings NV. Shares of Tesla, a producer of electric vehicles and energy storage systems, rose after the company was added to the S&P 500 Index. Shares of Snap, an online camera platform and social media provider, rose after the company reported consecutive quarters of better-than-expected earnings and revenue during the period. Shares of ASML Holdings, a semiconductor manufacturing equipment maker, rose on growth in demand amid a global supply shortage of semiconductors.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers utilized a bottom-up approach to stock selection, rigorously researching individual companies in an effort to construct portfolios of stocks that have strong fundamentals and positive price momentum. The Fund’s portfolio managers sought to invest in companies with attractive
fundamentals that, in their view, possessed the potential to significantly exceed expectations for a prolonged period of time.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Alphabet, Inc., Class C | 6.0 | % | |||||
2. | Apple, Inc. | 5.8 | ||||||
3. | Microsoft Corp. | 4.7 | ||||||
4. | Facebook, Inc., Class A | 4.5 | ||||||
5. | PayPal Holdings, Inc. | 3.4 | ||||||
6. | Amazon.com, Inc. | 3.2 | ||||||
7. | Deere & Co. | 3.1 | ||||||
8. | Snap, Inc., Class A | 2.5 | ||||||
9. | Charles Schwab Corp. (The) | 2.1 | ||||||
10. | Morgan Stanley | 2.0 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 28.9 | % | ||
Communication Services | 17.3 | |||
Consumer Discretionary | 13.7 | |||
Health Care | 10.8 | |||
Industrials | 9.6 | |||
Financials | 8.6 | |||
Consumer Staples | 3.7 | |||
Materials | 2.3 | |||
Short-Term Investments | 5.1 |
* | 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. |
16 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 22, 1994 | |||||||||||||
With Sales Charge* | 33.60 | % | 26.47 | % | 17.67 | % | ||||||||
Without Sales Charge | 41.00 | 27.84 | 18.30 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 39.32 | 27.20 | 17.83 | |||||||||||
Without CDSC | 40.32 | 27.20 | 17.83 | |||||||||||
CLASS I SHARES | February 28, 1992 | 41.37 | 28.13 | 18.54 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 40.65 | 27.51 | 18.01 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 41.01 | 27.81 | 18.28 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 41.37 | 28.12 | 18.54 | ||||||||||
CLASS R5 SHARES | April 14, 2009 | 41.57 | 28.33 | 18.75 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 41.70 | 28.46 | 18.85 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 and Class R4 Shares prior to their inception dates are based on the performance of Class I Shares. With respect to Class R3 Shares, prior class performance has been adjusted to reflect the differences in expenses between classes. The actual returns 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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 17 |
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FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 62.22% | |||
Russell 1000 Value Index | 43.68% | |||
Net Assets as of 6/30/2021 (In Thousands) | $4,341,470 |
INVESTMENT OBJECTIVE**
The JPMorgan Large Cap Value Fund (the “Fund”) seeks capital appreciation with the incidental goal of achieving current income by investing primarily in equity securities.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection and overweight position in the consumer discretionary sector and its security selection in the information technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the health care and financials sectors were the smallest contributors and no sectors detracted from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in U.S. Foods Holding Corp., General Motors Co. and ON Semiconductor Corp. Shares of U.S. Foods Holding, a foodservice distributor, rose after the company reported a narrower-than-expected loss for the first quarter of 2021 and amid investor demand for value stocks. Shares of ON Semiconductor, a semiconductor manufacturer, rose amid a surge in global demand for semiconductors in 2021. Shares of General Motors, an automobile manufacturer, rose amid increased demand for cars and trucks in the second half of 2020 and investor expectations for increased government spending on electric vehicle development.
Leading individual detractors from relative performance included the Fund’s overweight positions in FMC Corp. and Carter’s Inc. and its underweight position in Alphabet Inc. Shares of FMC, a diversified chemicals manufacturer, underperformed after the company issued a lower-than-expected earnings forecast for the first quarter and full year 2021. Shares of Carter’s, a maker of children’s apparel, underperformed late in the period following a run-up in the stock price driven by better-than-expected earnings for the first quarter of 2021. Shares of Alphabet, parent company of Google Inc., rose on continued growth in earnings and revenue throughout the period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio manager combined a bottom-up fundamental approach to security selection with a systematic valuation process. Overall, the Fund’s portfolio manager looked to take advantage of mispriced stocks that he believed appeared attractive relative to their fair value.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Wells Fargo & Co. | 3.8 | % | |||||
2. | US Foods Holding Corp. | 3.6 | ||||||
3. | Bank of America Corp. | 3.2 | ||||||
4. | Comcast Corp., Class A | 2.7 | ||||||
5. | Lamb Weston Holdings, Inc. | 2.7 | ||||||
6. | Cigna Corp. | 2.7 | ||||||
7. | Freeport-McMoRan, Inc. | 2.5 | ||||||
8. | State Street Corp. | 2.4 | ||||||
9. | FMC Corp. | 2.3 | ||||||
10. | Boeing Co. (The) | 2.3 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Financials | 18.0 | % | ||
Industrials | 15.7 | |||
Health Care | 15.0 | |||
Energy | 9.9 | |||
Materials | 9.5 | |||
Consumer Discretionary | 8.9 | |||
Consumer Staples | 8.0 | |||
Information Technology | 5.9 | |||
Communication Services | 3.3 | |||
Real Estate | 2.9 | |||
Utilities | 0.9 | |||
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. |
18 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | 53.42 | % | 14.15 | % | 12.17 | % | ||||||||
Without Sales Charge | 61.86 | 15.38 | 12.78 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
With CDSC** | 60.04 | 14.79 | 12.32 | |||||||||||
Without CDSC | 61.04 | 14.79 | 12.32 | |||||||||||
CLASS I SHARES | March 1, 1991 | 62.22 | 15.64 | 13.00 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 61.40 | 15.07 | 12.48 | ||||||||||
CLASS R3 SHARES | October 1, 2018 | 61.83 | 15.38 | 12.78 | ||||||||||
CLASS R4 SHARES | October 1, 2018 | 62.16 | 15.63 | 12.99 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 62.47 | 15.81 | 13.20 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 62.68 | 15.92 | 13.28 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been 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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
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JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 46.80% | |||
Russell 1000 Value Index | 43.68% | |||
Net Assets as of 6/30/2021 (In Thousands) | $276,279 |
INVESTMENT OBJECTIVE**
The JPMorgan 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 twelve months ended June 30, 2021. The Fund’s security selection in the information technology and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the consumer staples and real estate sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark position in Lam Research Corp. and its overweight positions in Discovery Inc. and Alphabet Inc. Shares of Lam Research, a semiconductor manufacturing equipment provider, rose amid a surge in global demand for semiconductors in 2021. Shares of Discovery, an entertainment and media company, rose through most of the period before dropping sharply in March 2021 following the collapse of Archegos Capital Management, which held large leveraged positions in Discovery shares. Shares of Alphabet, parent company of Google Inc., rose on continued growth in earnings and revenue throughout the period.
Leading individual detractors from relative performance included the Fund’s overweight positions in Verizon Communications Inc., Electronic Arts Inc. and eBay Inc. Shares of Verizon Communications, a wireless telecommunications provider, underperformed amid increased competition for market share, particularly in 5G services, following T-Mobile US Inc.’s merger with Sprint Corp. in 2020. Shares of Electronic Arts, a publisher of video games and other digital content, underperformed amid low growth in the company’s mobile games business and lower-than-expected earnings for the first quarter of 2021. Shares of eBay, a provider of online marketplaces, underperformed after the company lowered its earnings forecast in April 2021.
HOW WAS THE FUND POSITIONED?
During the period, the Fund employed a behavioral finance investment process that seeks to capitalize on market inefficiencies. The Fund’s portfolio managers sought companies that they believed had attractive valuations, high quality characteristics and strong momentum. The Fund’s positioning was a result of that process.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Bank of America Corp. | 2.9 | % | |||||
2. | Verizon Communications, Inc. | 2.5 | ||||||
3. | Medtronic plc | 2.3 | ||||||
4. | Citigroup, Inc. | 2.1 | ||||||
5. | Anthem, Inc. | 1.9 | ||||||
6. | Eaton Corp. plc | 1.9 | ||||||
7. | Bristol-Myers Squibb Co. | 1.9 | ||||||
8. | Alphabet, Inc., Class C | 1.8 | ||||||
9. | Lam Research Corp. | 1.6 | ||||||
10. | Trane Technologies plc | 1.6 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Financials | 19.0 | % | ||
Industrials | 13.5 | |||
Health Care | 13.2 | |||
Communication Services | 9.6 | |||
Consumer Discretionary | 8.5 | |||
Information Technology | 8.4 | |||
Consumer Staples | 6.3 | |||
Energy | 5.7 | |||
Materials | 4.9 | |||
Utilities | 4.2 | |||
Real Estate | 3.4 | |||
Short-Term Investments | 3.3 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
20 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
With Sales Charge* | 38.78 | % | 11.32 | % | 10.33 | % | ||||||||
Without Sales Charge | 46.45 | 12.53 | 10.93 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | 44.71 | 11.97 | 10.49 | |||||||||||
Without CDSC | 45.71 | 11.97 | 10.49 | |||||||||||
CLASS I SHARES | February 28, 2003 | 46.80 | 12.77 | 11.14 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 46.05 | 12.22 | 10.64 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 46.96 | 12.95 | 11.34 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 47.17 | 13.05 | 11.41 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Applied Data Science Value Fund and the Russell 1000 Value Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 21 |
Table of Contents
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class L Shares)* | 41.81% | |||
S&P 500 Index | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $19,843,651 |
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 twelve months ended June 30, 2021. The Fund’s overweight position and security selection in the semiconductors & hardware sector and its security selection in the auto & transportation sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the industrial cyclical sector and its underweight position and security selection in the consumer cyclical sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Tesla Inc. and NXP Semiconductors NV. and its out-of-Benchmark position in Taiwan Semiconductor Manufacturing Co. Shares of Tesla, a producer of electric vehicles and energy storage systems, rose after the company was added to the S&P 500 Index. Shares of NXP Semiconductors and Taiwan Semiconductor Manufacturing, both semiconductor makers, rose amid a surge in global demand for semiconductors in 2021.
Leading individual detractors from relative performance included the Fund’s overweight positions in Leidos Holdings Inc. and Northrop Grumman Corp., and its underweight position in Nvidia Corp. Shares of Leidos Holdings, a provider of engineering and technology to the aerospace and defense sectors, fell after the company reported lower-than-expected revenue for the fourth quarter of 2020. Shares of Northrop Grumman, an aerospace and defense manufacturer, underperformed amid investor expectations that the defense sector would be unlikely to immediately benefit from the re-opening of the U.S. economy in 2021. Shares of Nvidia, a semiconductor maker not held in the fund, rose amid consecutive quarters of better-than-expected earnings and 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 EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 7.1 | % | |||||
2. | Alphabet, Inc., Class A | 7.0 | ||||||
3. | Apple, Inc. | 5.6 | ||||||
4. | Amazon.com, Inc. | 5.4 | ||||||
5. | Mastercard, Inc., Class A | 4.4 | ||||||
6. | Eaton Corp. plc | 3.2 | ||||||
7. | Norfolk Southern Corp. | 3.1 | ||||||
8. | Analog Devices, Inc. | 3.1 | ||||||
9. | Prologis, Inc. | 2.8 | ||||||
10. | Coca-Cola Co. (The) | 2.8 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 27.1 | % | ||
Consumer Discretionary | 15.6 | |||
Financials | 12.3 | |||
Health Care | 11.4 | |||
Industrials | 10.2 | |||
Communication Services | 9.1 | |||
Utilities | 4.1 | |||
Materials | 3.0 | |||
Real Estate | 2.8 | |||
Consumer Staples | 2.8 | |||
Energy | 0.3 | |||
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. |
22 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 10, 2001 | |||||||||||||
With Sales Charge* | 33.76 | % | 17.42 | % | 14.29 | % | ||||||||
Without Sales Charge | 41.18 | 18.68 | 14.90 | |||||||||||
CLASS C SHARES | September 10, 2001 | |||||||||||||
With CDSC** | 39.52 | 18.09 | 14.44 | |||||||||||
Without CDSC | 40.52 | 18.09 | 14.44 | |||||||||||
CLASS I SHARES | September 10, 2001 | 41.64 | 18.96 | 15.14 | ||||||||||
CLASS L SHARES | September 17, 1993 | 41.81 | 19.13 | 15.31 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 40.92 | 18.39 | 14.61 | ||||||||||
CLASS R3 SHARES | September 9, 2016 | 41.30 | 18.67 | 14.90 | ||||||||||
CLASS R4 SHARES | September 9, 2016 | 41.58 | 18.95 | 15.14 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 41.79 | 19.16 | 15.34 | ||||||||||
CLASS R6 SHARES | November 30, 2010 | 41.98 | 19.27 | 15.43 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses than Class I Shares.
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 June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 23 |
Table of Contents
JPMorgan U.S. GARP Equity Fund
(formerly known as JPMorgan Intrepid Growth Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 40.38% | |||
Russell 1000 Growth Index | 42.50% | |||
Net Assets as of 6/30/2021 (In Thousands) | $1,307,588 |
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 underperformed the Russell 1000 Growth Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the health care and consumer staples 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 the Fund’s relative performance included the Fund’s overweight positions in Mastercard Inc., Sprouts Farmers Market Inc. and VMware Inc. Shares of Mastercard, a credit card and payments company, underperformed amid investor concerns that the ongoing pandemic would limit consumer spending on travel in 2021. Shares of Sprouts Farmers Market, a supermarket chain, fell after the company reported several quarters of lower-than-expected revenue during the period. Shares of VMware, a provider of cloud-based software, underperformed following a run-up in the stock price early in the period.
Leading individual contributors to relative performance included the Fund’s overweight positions in Applied Materials Inc., Lam Research Inc. and Dell Technologies Inc. Shares of Applied Materials and Lam Research, both semiconductor manufacturing equipment providers, rose amid a surge in global demand for semiconductors in 2021. Shares of Dell Technologies, a provider of computers, software and services, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2021.
HOW WAS THE FUND POSITIONED?
During the period, the Fund employed a behavioral finance investment process that sought to capitalize on market inefficiencies. The Fund’s managers sought growth companies that they believed had attractive relative valuations, high quality characteristics and strong momentum.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 9.6 | % | |||||
2. | Apple, Inc. | 8.7 | ||||||
3. | Amazon.com, Inc. | 6.3 | ||||||
4. | Facebook, Inc., Class A | 5.0 | ||||||
5. | Mastercard, Inc., Class A | 3.2 | ||||||
6. | Adobe, Inc. | 2.8 | ||||||
7. | Alphabet, Inc., Class C | 2.6 | ||||||
8. | Alphabet, Inc., Class A | 2.6 | ||||||
9. | Tesla, Inc. | 2.3 | ||||||
10. | Intuit, Inc. | 2.2 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 42.8 | % | ||
Consumer Discretionary | 16.9 | |||
Communication Services | 12.5 | |||
Health Care | 10.5 | |||
Industrials | 6.5 | |||
Consumer Staples | 4.2 | |||
Real Estate | 1.5 | |||
Financials | 1.4 | |||
Others (each less than 1.0%) | 1.0 | |||
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 | JUNE 30, 2021 |
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AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
With Sales Charge* | 32.69 | % | 19.33 | % | 15.17 | % | ||||||||
Without Sales Charge | 40.03 | 20.62 | 15.79 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | 38.34 | 20.03 | 15.33 | |||||||||||
Without CDSC | 39.34 | 20.03 | 15.33 | |||||||||||
CLASS I SHARES | February 28, 2003 | 40.38 | 20.93 | 16.08 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 39.68 | 20.32 | 15.50 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 40.59 | 21.12 | 16.29 | ||||||||||
CLASS R6 SHARES | November 02, 2015 | 40.73 | 21.23 | 16.35 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. GARP Equity Fund and the Russell 1000 Growth Index, from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 25 |
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 42.65% | |||
S&P 500 Index | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $2,651,246 |
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 twelve months ended June 30, 2021. The Fund’s security selection in the semiconductors & hardware sector and its security selection and underweight position in the consumer stable sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the retail and industrial cyclical sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s short positions in Cisco Systems Inc. and Intel Corp., and long position in Diamondback Energy Inc. Shares of Cisco Systems, a provider of networking products and services, fell after pandemic-related supply chain problems led to decreased revenue in 2020. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021. Shares of Diamondback Energy, an oil and gas extraction company, rose amid a strong rebound in energy prices in the first half of 2021.
Leading individual detractors from relative performance included the Fund’s short positions in AMC Entertainment Holdings Inc. and General Electric Co., and its long position in Leidos Holdings Inc. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters that was not held in the Benchmark,
rose sharply in the first half of 2021, driven by users of Internet forums in response to large short positions in the stock. Shares of General Electric, a technology and financial services conglomerate, rose amid investor expectations for a rebound in air travel and demand for jet engines. Shares of Leidos Holdings, a provider of engineering and technology to the aerospace and defense sectors, fell after the company reported lower-than-expected revenue for the fourth quarter of 2020.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a bottom-up fundamental approach to stock selection, researching companies to determine their underlying value and potential for future earnings growth. Overall, the Fund’s portfolio managers aimed to take advantage of mispriced stocks that appeared attractive relative to fair value for long positions, and looked for overvalued stocks in which to take short positions. The long-to-short exposure ratio at the end of the reporting period was 125% to 25%.
* | 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. |
26 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
TOP TEN LONG POSITIONS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 5.6 | % | |||||
2. | Amazon.com, Inc. | 4.4 | ||||||
3. | Apple, Inc. | 3.7 | ||||||
4. | Alphabet, Inc., Class A | 3.2 | ||||||
5. | Facebook, Inc., Class A | 2.6 | ||||||
6. | Mastercard, Inc., Class A | 2.4 | ||||||
7. | NXP Semiconductors NV (China) | 2.0 | ||||||
8. | Analog Devices, Inc. | 1.8 | ||||||
9. | Norfolk Southern Corp. | 1.5 | ||||||
10. | Wells Fargo & Co. | 1.4 |
TOP TEN SHORT POSITIONS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Take-Two Interactive Software, Inc. | 2.6 | % | |||||
2. | 3M Co. | 2.2 | ||||||
3. | Clorox Co. (The) | 2.2 | ||||||
4. | Kroger Co. (The) | 2.2 | ||||||
5. | QUALCOMM, Inc. | 2.1 | ||||||
6. | Exxon Mobil Corp. | 1.9 | ||||||
7. | Intel Corp. | 1.9 | ||||||
8. | Omnicom Group, Inc. | 1.8 | ||||||
9. | Iron Mountain, Inc. | 1.7 | ||||||
10. | Consolidated Edison, Inc. | 1.7 |
LONG POSITION PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 25.4 | % | ||
Industrials | 12.5 | |||
Consumer Discretionary | 12.4 | |||
Health Care | 12.0 | |||
Communication Services | 11.1 | |||
Financials | 8.8 | |||
Energy | 4.2 | |||
Consumer Staples | 4.0 | |||
Materials | 3.9 | |||
Real Estate | 2.7 | |||
Utilities | 2.6 | |||
Short-Term Investments | 0.4 |
SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Industrials | 16.7 | % | ||
Communication Services | 15.1 | |||
Information Technology | 14.1 | |||
Consumer Staples | 10.9 | |||
Energy | 8.3 | |||
Financials | 7.8 | |||
Health Care | 7.3 | |||
Real Estate | 6.6 | |||
Utilities | 5.9 | |||
Materials | 4.7 | |||
Consumer Discretionary | 2.6 |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 27 |
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | November 1, 2005 | |||||||||||||
With Sales Charge* | 34.84 | % | 17.23 | % | 13.90 | % | ||||||||
Without Sales Charge | 42.30 | 18.50 | 14.52 | |||||||||||
CLASS C SHARES | November 1, 2005 | |||||||||||||
With CDSC** | 40.55 | 17.91 | 14.07 | |||||||||||
Without CDSC | 41.55 | 17.91 | 14.07 | |||||||||||
CLASS I SHARES | November 1, 2005 | 42.65 | 18.80 | 14.81 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 41.77 | 18.12 | 14.19 | ||||||||||
CLASS R5 SHARES | May 15, 2006 | 42.70 | 18.90 | 14.97 | ||||||||||
CLASS R6 SHARES | November 1, 2017 | 42.86 | 18.99 | 15.02 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class R5 Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Large Cap Core Plus Fund and the S&P 500 Index from June 30, 2011 to June 30, 2021. 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 appli-
cable. 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 reflects Class A 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.
28 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 42.92% | |||
S&P 500 Index | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $5,052,042 |
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 twelve months ended June 30, 2021. The Fund’s security selection in the technology and telecommunications sectors was a leading contributor to performance relative to the Benchmark. The Fund’s security selection in the pharmaceutical/medical and real estate investment trusts sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Applied Materials Inc. and Capital One Financial Corp., and its underweight position in Intel Corp. Shares of Applied Materials, a semiconductor manufacturing equipment provider, rose amid a surge in global demand for semiconductors in 2021. Shares of Capital One Financial, a banking and financial services company, rose amid improvement in its credit card business during the reporting period and general investor demand for financial sector stocks. Shares of Intel, a semiconductor manufacturer, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021.
Leading individual detractors from relative performance included the Fund’s overweight position in FedEx Corp. and its underweight positions in Walt Disney Co. and J.P. Morgan Chase & Co. Shares of FedEx, a parcel and freight delivery company, underperformed amid investor concerns about global supply chain problems. Shares of Walt Disney, an entertainment and media company, rose amid increased consumer demand for its online streaming service. Shares of J.P. Morgan Chase, a banking and financial services company that the Fund is prohibited from holding, rose amid better-than-expected earnings and general investor demand for financial sector stocks as the economic rebound began in 2020.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers attempted to construct the portfolio so that stock selection was the principal source of potential excess return. The Fund’s portfolio managers sought investment opportunities in companies that they believed were attractive based on valuation and strong fundamentals.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 6.6 | % | |||||
2. | Apple, Inc. | 5.9 | ||||||
3. | Amazon.com, Inc. | 4.5 | ||||||
4. | Alphabet, Inc., Class A | 2.6 | ||||||
5. | Facebook, Inc., Class A | 2.3 | ||||||
6. | Alphabet, Inc., Class C | 2.1 | ||||||
7. | Berkshire Hathaway, Inc., Class B | 1.6 | ||||||
8. | Tesla, Inc. | 1.4 | ||||||
9. | Mastercard, Inc., Class A | 1.4 | ||||||
10. | NVIDIA Corp. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 27.0 | % | ||
Consumer Discretionary | 12.9 | |||
Health Care | 12.8 | |||
Financials | 11.6 | |||
Communication Services | 11.3 | |||
Industrials | 8.7 | |||
Consumer Staples | 5.0 | |||
Energy | 2.8 | |||
Utilities | 2.4 | |||
Materials | 2.4 | |||
Real Estate | 1.8 | |||
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. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 29 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 28, 2001 | |||||||||||||
With Sales Charge* | 35.08 | % | 16.62 | % | 13.77 | % | ||||||||
Without Sales Charge | 42.55 | 17.88 | 14.39 | |||||||||||
CLASS I SHARES | September 10, 2001 | 42.92 | 18.18 | 14.68 | ||||||||||
CLASS R6 SHARES | March 24, 2003 | 43.09 | 18.31 | 14.89 |
* | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Research Enhanced Equity Fund and the S&P 500 Index from June 30, 2011 to June 30, 2021. 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.
30 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Sustainable Leaders Fund
(formerly known as JPMorgan Intrepid Sustainable Equity Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 40.99% | |||
S&P 500 Index | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $115,550 |
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 twelve months ended June 30, 2021. The Fund’s security selection in the industrials and consumer discretionary sectors was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the communication services and financials sectors was a
leading detractor relative performance.
Leading individual contributors to performance relative to the Benchmark included the Fund’s overweight positions in Lam Research Corp., Aptiv PLC and Applied Materials Corp. Shares of Lam Research and Applied Materials, both semiconductor manufacturing equipment providers, rose amid a surge in global demand for semiconductors in 2021. Shares of Aptiv, an automotive components manufacturer based in Ireland, rose after the company reported better-than-expected earnings and revenue for the first quarter of 2021.
Leading individual detractors from performance relative to the Benchmark included the Fund’s overweight positions in Verizon Communications and Electronic Arts Inc., and its underweight position in Alphabet Inc. Shares of Verizon Communications, a wireless telecommunications provider, underperformed amid increased competition for market share, particularly in 5G services, following T-Mobile US Inc.’s merger with Sprint Corp. in 2020. Shares of Electronic Arts, a publisher of video games and other digital content, underperformed amid low growth in the company’s mobile games business and lower-than-expected earnings for the first quarter of 2021. Shares of Alphabet, parent company of Google Inc., rose on continued growth in earnings and revenue throughout the period.
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 EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Microsoft Corp. | 8.0 | % | |||||
2. | Apple, Inc. | 4.3 | ||||||
3. | Walt Disney Co. (The) | 3.5 | ||||||
4. | Mastercard, Inc., Class A | 3.4 | ||||||
5. | Bank of America Corp. | 2.9 | ||||||
6. | Home Depot, Inc. (The) | 2.8 | ||||||
7. | Intuit, Inc. | 2.7 | ||||||
8. | Trane Technologies plc | 2.5 | ||||||
9. | Eaton Corp. plc | 2.4 | ||||||
10. | Citigroup, Inc. | 2.4 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 31.8 | % | ||
Health Care | 14.3 | |||
Financials | 12.8 | |||
Industrials | 10.0 | |||
Consumer Discretionary | 9.3 | |||
Communication Services | 6.5 | |||
Real Estate | 4.9 | |||
Consumer Staples | 3.5 | |||
Utilities | 1.6 | |||
Materials | 1.3 | |||
Short-Term Investments | 4.0 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 31 |
Table of Contents
JPMorgan U.S. Sustainable Leaders Fund
(formerly known as JPMorgan Intrepid Sustainable Equity Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 19, 2005 | |||||||||||||
With Sales Charge* | 33.26 | % | 16.52 | % | 13.82 | % | ||||||||
Without Sales Charge | 40.64 | 17.79 | 14.43 | |||||||||||
CLASS C SHARES | February 19, 2005 | |||||||||||||
With CDSC** | 38.94 | 17.20 | 13.98 | |||||||||||
Without CDSC | 39.94 | 17.20 | 13.98 | |||||||||||
CLASS I SHARES | February 28, 2003 | 40.99 | 18.08 | 14.72 | ||||||||||
CLASS R6 SHARES | September 30, 2020 | 41.02 | 18.09 | 14.72 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan U.S. Sustainable Leaders Fund and the S&P 500 Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
32 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
(formerly known as JPMorgan Growth and Income Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class A Shares, without a sales charge)* | 44.88% | |||
Russell 1000 Value Index | 43.68% | |||
Net Assets as of 6/30/2021 (In Thousands) | $1,706,985 |
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, outperformed the Russell 1000 Value Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s overweight position and security selection in the financials sector and its security selection in the information technology sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the health care and consumer discretionary sectors was a leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in Intel Corp. and AT&T Inc. and its overweight position in Wells Fargo & Co. Shares of Intel, a semiconductor manufacturer not held in the Fund, fell as competitive pressure reduced sales in the data center business and the company issued a lower-than-expected forecast for the second quarter of 2021. Shares of AT&T, a telecommunications and entertainment provider not held in the Fund, fell amid investor concerns that the company’s sale of its WarnerMedia unit would reduce AT&T’s quarterly dividends. Shares of Wells Fargo & Co., a banking and financial services company, rose after the company reported better-than-expected earnings for the first quarter of 2021.
Leading individual detractors from relative performance included the Fund’s overweight positions in AutoZone Inc. Northrop Grumman Corp. and Home Depot Inc. Shares of AutoZone, an automotive parts retailer, fell after the company reported lower-than-expected sales for its fiscal first quarter. Shares of Northrop Grumman, an aerospace and defense manufacturer, underperformed amid investor expectations that the defense sector would be unlikely to immediately benefit from the re-opening of the U.S. economy in 2021. Shares of Home Depot, a home improvement retail chain, fell after a significant run-up in the share price in 2020.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers focused on stock selection and aimed to invest in undervalued companies with durable
franchises, strong management and the ability to grow their intrinsic value per share. The portfolio managers employed a bottom-up approach to security selection and fundamental research.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | BlackRock, Inc. | 2.5 | % | |||||
2. | Wells Fargo & Co. | 2.5 | ||||||
3. | Citigroup, Inc. | 2.1 | ||||||
4. | Bank of America Corp. | 2.1 | ||||||
5. | ConocoPhillips | 2.1 | ||||||
6. | Bristol-Myers Squibb Co. | 2.0 | ||||||
7. | Comcast Corp., Class A | 1.9 | ||||||
8. | Morgan Stanley | 1.9 | ||||||
9. | UnitedHealth Group, Inc. | 1.9 | ||||||
10. | Berkshire Hathaway, Inc., Class B | 1.9 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Financials | 28.1 | % | ||
Health Care | 14.4 | |||
Industrials | 13.2 | |||
Consumer Discretionary | 9.8 | |||
Information Technology | 8.7 | |||
Energy | 5.3 | |||
Communication Services | 5.1 | |||
Materials | 4.6 | |||
Consumer Staples | 4.5 | |||
Utilities | 3.0 | |||
Real Estate | 1.1 | |||
Short-Term Investments | 2.2 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 33 |
Table of Contents
JPMorgan U.S. Value Fund
(formerly known as JPMorgan Growth and Income Fund)
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | September 23, 1987 | |||||||||||||
With Sales Charge* | 37.27 | % | 12.61 | % | 12.18 | % | ||||||||
Without Sales Charge | 44.88 | 13.83 | 12.79 | |||||||||||
CLASS C SHARES | January 2, 1998 | |||||||||||||
With CDSC** | 43.13 | 13.26 | 12.34 | |||||||||||
Without CDSC | 44.13 | 13.26 | 12.34 | |||||||||||
CLASS I SHARES | January 25, 1996 | 45.22 | 14.12 | 13.08 | ||||||||||
CLASS R2 SHARES | November 2, 2015 | 44.51 | 13.55 | 12.63 | ||||||||||
CLASS R3 SHARES | July 31, 2017 | 44.89 | 13.84 | 12.79 | ||||||||||
CLASS R4 SHARES | July 31, 2017 | 45.26 | 14.12 | 13.08 | ||||||||||
CLASS R5 SHARES | November 2, 2015 | 45.47 | 14.31 | 13.19 | ||||||||||
CLASS R6 SHARES | November 2, 2015 | 45.60 | 14.40 | 13.24 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R2 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A Shares.
Returns for Class R3 Shares prior to their inception date are based on the performance of the Class A Shares. The actual returns of Class R3 Shares would have been similar to those shown because Class R3 Shares have similar expenses to Class A Shares.
Returns for Class R4 Shares prior to their inception date are based on the performance of the Class I Shares. The actual returns of Class R4 Shares would have been similar to those shown because Class R4 Shares have similar expenses to Class I Shares.
Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan U.S. Value Fund and the Russell 1000 Value Index from
June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
34 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.4% |
| |||||||
Banks — 3.0% |
| |||||||
Bank of America Corp. | 97 | 3,979 | ||||||
|
| |||||||
Biotechnology — 4.5% |
| |||||||
AbbVie, Inc. | 34 | 3,799 | ||||||
Regeneron Pharmaceuticals, Inc. * | 4 | 2,167 | ||||||
|
| |||||||
5,966 | ||||||||
|
| |||||||
Capital Markets — 2.1% |
| |||||||
Charles Schwab Corp. (The) | 38 | 2,732 | ||||||
|
| |||||||
Construction Materials — 1.3% |
| |||||||
Martin Marietta Materials, Inc. | 5 | 1,650 | ||||||
|
| |||||||
Consumer Finance — 3.1% |
| |||||||
Capital One Financial Corp. | 26 | 4,023 | ||||||
|
| |||||||
Containers & Packaging — 2.5% |
| |||||||
Packaging Corp. of America | 24 | 3,280 | ||||||
|
| |||||||
Diversified Financial Services — 3.5% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 17 | 4,615 | ||||||
|
| |||||||
Electric Utilities — 2.8% |
| |||||||
Xcel Energy, Inc. | 57 | 3,753 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 1.7% |
| |||||||
Zebra Technologies Corp., Class A * | 4 | 2,270 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 4.6% |
| |||||||
Public Storage | 8 | 2,435 | ||||||
Weyerhaeuser Co. | 107 | 3,688 | ||||||
|
| |||||||
6,123 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.5% |
| |||||||
Dexcom, Inc. * | 5 | 2,318 | ||||||
Intuitive Surgical, Inc. * | 2 | 2,258 | ||||||
|
| |||||||
4,576 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% |
| |||||||
UnitedHealth Group, Inc. | 9 | 3,457 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
Booking Holdings, Inc. * | 1 | 2,514 | ||||||
|
| |||||||
Household Products — 2.8% |
| |||||||
Procter & Gamble Co. (The) | 27 | 3,651 | ||||||
|
| |||||||
Insurance — 3.4% |
| |||||||
Loews Corp. | 82 | 4,481 | ||||||
|
| |||||||
Interactive Media & Services — 7.1% |
| |||||||
Alphabet, Inc., Class C * | 2 | 6,157 | ||||||
Facebook, Inc., Class A * | 10 | 3,379 | ||||||
|
| |||||||
9,536 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Internet & Direct Marketing Retail — 3.8% |
| |||||||
Amazon.com, Inc. * | 1 | 5,016 | ||||||
|
| |||||||
IT Services — 6.5% |
| |||||||
Global Payments, Inc. | 10 | 1,937 | ||||||
Mastercard, Inc., Class A | 10 | 3,782 | ||||||
PayPal Holdings, Inc. * | 10 | 2,899 | ||||||
|
| |||||||
8,618 | ||||||||
|
| |||||||
Machinery — 3.6% |
| |||||||
Deere & Co. | 7 | 2,431 | ||||||
Stanley Black & Decker, Inc. | 11 | 2,269 | ||||||
|
| |||||||
4,700 | ||||||||
|
| |||||||
Media — 3.6% |
| |||||||
Charter Communications, Inc., Class A * | 4 | 3,056 | ||||||
Discovery, Inc., Class C * | 59 | 1,701 | ||||||
|
| |||||||
4,757 | ||||||||
|
| |||||||
Metals & Mining — 1.3% |
| |||||||
Freeport-McMoRan, Inc. | 45 | 1,662 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 3.5% |
| |||||||
ConocoPhillips | 43 | 2,601 | ||||||
Kinder Morgan, Inc. | 107 | 1,953 | ||||||
|
| |||||||
4,554 | ||||||||
|
| |||||||
Pharmaceuticals — 2.1% |
| |||||||
Bristol-Myers Squibb Co. | 42 | 2,802 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.8% |
| |||||||
Advanced Micro Devices, Inc. * | 22 | 2,086 | ||||||
Lam Research Corp. | 3 | 2,206 | ||||||
QUALCOMM, Inc. | 15 | 2,085 | ||||||
|
| |||||||
6,377 | ||||||||
|
| |||||||
Software — 5.5% |
| |||||||
Microsoft Corp. | 27 | 7,304 | ||||||
|
| |||||||
Specialty Retail — 5.2% |
| |||||||
AutoZone, Inc. * | 3 | 5,053 | ||||||
Gap, Inc. (The) | 52 | 1,744 | ||||||
|
| |||||||
6,797 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.8% |
| |||||||
Apple, Inc. | 46 | 6,324 | ||||||
|
| |||||||
Wireless Telecommunication Services — 2.3% |
| |||||||
T-Mobile US, Inc. * | 21 | 2,990 | ||||||
|
| |||||||
Total Common Stocks |
| 128,507 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 35 |
Table of Contents
JPMorgan Equity Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 2.7% |
| |||||||
Investment Companies — 2.7% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 3,580 | 3,582 | ||||||
|
| |||||||
Total Investments — 100.1% | 132,089 | |||||||
Liabilities in Excess of | (195 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 131,894 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
36 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.5% |
| |||||||
Aerospace & Defense — 4.3% |
| |||||||
General Dynamics Corp. | 3,339 | 628,512 | ||||||
Northrop Grumman Corp. | 1,394 | 506,659 | ||||||
Raytheon Technologies Corp. | 10,291 | 877,899 | ||||||
|
| |||||||
2,013,070 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.1% |
| |||||||
United Parcel Service, Inc., Class B | 2,378 | 494,551 | ||||||
|
| |||||||
Banks — 7.8% |
| |||||||
Bank of America Corp. | 26,897 | 1,108,981 | ||||||
Citigroup, Inc. | 8,711 | 616,311 | ||||||
PNC Financial Services Group, Inc. (The) | 5,257 | 1,002,900 | ||||||
Truist Financial Corp. | 7,848 | 435,549 | ||||||
US Bancorp | 8,352 | 475,841 | ||||||
|
| |||||||
3,639,582 | ||||||||
|
| |||||||
Beverages — 1.8% |
| |||||||
Coca-Cola Co. (The) | 7,089 | 383,566 | ||||||
PepsiCo, Inc. | 3,160 | 468,269 | ||||||
|
| |||||||
851,835 | ||||||||
|
| |||||||
Biotechnology — 0.6% |
| |||||||
Amgen, Inc. | 1,097 | 267,469 | ||||||
|
| |||||||
Building Products — 0.4% |
| |||||||
Trane Technologies plc | 1,067 | 196,507 | ||||||
|
| |||||||
Capital Markets — 9.1% |
| |||||||
BlackRock, Inc. | 1,297 | 1,134,845 | ||||||
Charles Schwab Corp. (The) | 7,571 | 551,263 | ||||||
CME Group, Inc. | 4,345 | 924,174 | ||||||
Morgan Stanley | 9,576 | 878,008 | ||||||
Northern Trust Corp. | 1,877 | 217,059 | ||||||
T. Rowe Price Group, Inc. | 2,409 | 476,987 | ||||||
|
| |||||||
4,182,336 | ||||||||
|
| |||||||
Chemicals — 3.2% |
| |||||||
Air Products and Chemicals, Inc. | 2,422 | 696,654 | ||||||
PPG Industries, Inc. | 4,512 | 765,985 | ||||||
|
| |||||||
1,462,639 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.8% |
| |||||||
Republic Services, Inc. | 3,242 | 356,669 | ||||||
|
| |||||||
Consumer Finance — 2.7% |
| |||||||
American Express Co. | 4,766 | 787,467 | ||||||
Capital One Financial Corp. | 2,888 | 446,683 | ||||||
|
| |||||||
1,234,150 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 1.0% |
| |||||||
Verizon Communications, Inc. | 7,873 | 441,106 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electric Utilities — 2.7% |
| |||||||
Entergy Corp. | 1,020 | 101,659 | ||||||
NextEra Energy, Inc. | 9,410 | 689,587 | ||||||
Xcel Energy, Inc. | 6,946 | 457,594 | ||||||
|
| |||||||
1,248,840 | ||||||||
|
| |||||||
Electrical Equipment — 1.7% |
| |||||||
Eaton Corp. plc | 5,204 | 771,078 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.2% |
| |||||||
Corning, Inc. | 2,324 | 95,043 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.2% |
| |||||||
Alexandria Real Estate Equities, Inc. | 768 | 139,742 | ||||||
AvalonBay Communities, Inc. | 1,158 | 241,657 | ||||||
Boston Properties, Inc. | 1,052 | 120,602 | ||||||
Prologis, Inc. | 2,080 | 248,582 | ||||||
Realty Income Corp. | 975 | 65,104 | ||||||
Ventas, Inc. | 3,037 | 173,413 | ||||||
Vornado Realty Trust | 1,029 | 48,041 | ||||||
|
| |||||||
1,037,141 | ||||||||
|
| |||||||
Food & Staples Retailing — 2.7% |
| |||||||
Sysco Corp. | 8,670 | 674,069 | ||||||
Walmart, Inc. | 4,168 | 587,744 | ||||||
|
| |||||||
1,261,813 | ||||||||
|
| |||||||
Food Products — 1.2% |
| |||||||
Mondelez International, Inc., Class A | 8,853 | 552,805 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.3% |
| |||||||
Abbott Laboratories | 1,119 | 129,714 | ||||||
Becton Dickinson and Co. | 1,960 | 476,709 | ||||||
Medtronic plc | 7,582 | 941,173 | ||||||
|
| |||||||
1,547,596 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.3% |
| |||||||
AmerisourceBergen Corp. | 2,833 | 324,347 | ||||||
CVS Health Corp. | 6,517 | 543,742 | ||||||
UnitedHealth Group, Inc. | 2,762 | 1,106,187 | ||||||
|
| |||||||
1,974,276 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.8% |
| |||||||
McDonald’s Corp. | 2,483 | 573,663 | ||||||
Starbucks Corp. | 2,546 | 284,629 | ||||||
|
| |||||||
858,292 | ||||||||
|
| |||||||
Household Products — 0.8% |
| |||||||
Procter & Gamble Co. (The) | 2,749 | 370,929 | ||||||
|
| |||||||
Insurance — 4.2% |
| |||||||
Arthur J Gallagher & Co. | 2,439 | 341,671 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 37 |
Table of Contents
JPMorgan Equity Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Insurance — continued |
| |||||||
Chubb Ltd. | 2,728 | 433,510 | ||||||
Hartford Financial Services Group, Inc. (The) | 5,655 | 350,466 | ||||||
Marsh & McLennan Cos., Inc. | 1,103 | 155,188 | ||||||
MetLife, Inc. | 6,268 | 375,113 | ||||||
Progressive Corp. (The) | 3,048 | 299,296 | ||||||
|
| |||||||
1,955,244 | ||||||||
|
| |||||||
IT Services — 2.7% |
| |||||||
Accenture plc, Class A | 965 | 284,508 | ||||||
Fidelity National Information Services, Inc. | 4,299 | 609,024 | ||||||
International Business Machines Corp. | 2,566 | 376,083 | ||||||
|
| |||||||
1,269,615 | ||||||||
|
| |||||||
Leisure Products — 0.6% |
| |||||||
Hasbro, Inc. | 3,161 | 298,734 | ||||||
|
| |||||||
Machinery — 5.0% |
| |||||||
Deere & Co. | 1,488 | 524,939 | ||||||
Dover Corp. | 5,765 | 868,234 | ||||||
Parker-Hannifin Corp. | 2,081 | 639,201 | ||||||
Stanley Black & Decker, Inc. | 1,404 | 287,863 | ||||||
|
| |||||||
2,320,237 | ||||||||
|
| |||||||
Media — 2.6% |
| |||||||
Comcast Corp., Class A | 21,181 | 1,207,748 | ||||||
|
| |||||||
Multi-Utilities — 1.2% |
| |||||||
CMS Energy Corp. | 5,244 | 309,842 | ||||||
Public Service Enterprise Group, Inc. | 3,876 | 231,529 | ||||||
|
| |||||||
541,371 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.6% |
| |||||||
Chevron Corp. | 6,436 | 674,062 | ||||||
ConocoPhillips | 17,878 | 1,088,792 | ||||||
EOG Resources, Inc. | 7,851 | 655,102 | ||||||
Valero Energy Corp. | 2,150 | 167,835 | ||||||
|
| |||||||
2,585,791 | ||||||||
|
| |||||||
Pharmaceuticals — 6.2% |
| |||||||
Bristol-Myers Squibb Co. | 15,275 | 1,020,664 | ||||||
Eli Lilly & Co. | 2,413 | 553,909 | ||||||
Johnson & Johnson | 5,362 | 883,269 | ||||||
Merck & Co., Inc. | 2,392 | 186,000 | ||||||
Organon & Co. * | 239 | 7,237 | ||||||
Pfizer, Inc. | 6,146 | 240,686 | ||||||
|
| |||||||
2,891,765 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Road & Rail — 1.5% |
| |||||||
Norfolk Southern Corp. | 2,671 | 708,832 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 4.3% |
| |||||||
Analog Devices, Inc. | 5,849 | 1,006,926 | ||||||
Intel Corp. | 1,360 | 76,333 | ||||||
Texas Instruments, Inc. | 4,731 | 909,781 | ||||||
|
| |||||||
1,993,040 | ||||||||
|
| |||||||
Software — 1.5% |
| |||||||
Microsoft Corp. | 2,526 | 684,241 | ||||||
|
| |||||||
Specialty Retail — 4.8% |
| |||||||
Advance Auto Parts, Inc. | 1,017 | 208,705 | ||||||
Best Buy Co., Inc. | 3,753 | 431,523 | ||||||
Gap, Inc. (The) | 7,057 | 237,468 | ||||||
Home Depot, Inc. (The) | 2,502 | 797,788 | ||||||
TJX Cos., Inc. (The) | 8,348 | 562,818 | ||||||
|
| |||||||
2,238,302 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.8% |
| |||||||
Apple, Inc. | 1,315 | 180,040 | ||||||
Seagate Technology Holdings plc (Ireland) | 2,255 | 198,306 | ||||||
|
| |||||||
378,346 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.8% |
| |||||||
VF Corp. | 4,649 | 381,433 | ||||||
|
| |||||||
Tobacco — 2.0% |
| |||||||
Philip Morris International, Inc. | 9,433 | 934,877 | ||||||
|
| |||||||
Total Common Stocks |
| 45,247,303 | ||||||
|
| |||||||
Short-Term Investments — 2.4% |
| |||||||
Investment Companies — 2.4% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 1,107,879 | 1,108,433 | ||||||
|
| |||||||
Total Investments — 99.9% | 46,355,736 | |||||||
Other Assets Less Liabilities — 0.1% | 49,921 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 46,405,657 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
38 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Premium Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 82.3% |
| |||||||
Aerospace & Defense — 0.4% |
| |||||||
Northrop Grumman Corp. | 10 | 3,618 | ||||||
|
| |||||||
Air Freight & Logistics — 1.4% |
| |||||||
United Parcel Service, Inc., Class B | 61 | 12,647 | ||||||
|
| |||||||
Banks — 1.5% |
| |||||||
Regions Financial Corp. | 80 | 1,622 | ||||||
Truist Financial Corp. | 30 | 1,657 | ||||||
US Bancorp | 112 | 6,384 | ||||||
Wells Fargo & Co. | 86 | 3,913 | ||||||
|
| |||||||
13,576 | ||||||||
|
| |||||||
Beverages — 2.5% |
| |||||||
Coca-Cola Co. (The) | 205 | 11,080 | ||||||
PepsiCo, Inc. | 75 | 11,163 | ||||||
|
| |||||||
22,243 | ||||||||
|
| |||||||
Biotechnology — 2.7% |
| |||||||
AbbVie, Inc. | 101 | 11,428 | ||||||
Biogen, Inc. * | 4 | 1,495 | ||||||
Regeneron Pharmaceuticals, Inc. * | 9 | 5,138 | ||||||
Vertex Pharmaceuticals, Inc. * | 31 | 6,335 | ||||||
|
| |||||||
24,396 | ||||||||
|
| |||||||
Building Products — 1.4% |
| |||||||
Trane Technologies plc | 69 | 12,616 | ||||||
|
| |||||||
Capital Markets — 2.5% |
| |||||||
Intercontinental Exchange, Inc. | 94 | 11,109 | ||||||
S&P Global, Inc. | 27 | 11,016 | ||||||
|
| |||||||
22,125 | ||||||||
|
| |||||||
Chemicals — 3.0% |
| |||||||
Corteva, Inc. | 118 | 5,240 | ||||||
Eastman Chemical Co. | 30 | 3,458 | ||||||
Linde plc (United Kingdom) | 20 | 5,788 | ||||||
PPG Industries, Inc. | 72 | 12,282 | ||||||
|
| |||||||
26,768 | ||||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Avery Dennison Corp. | 17 | 3,524 | ||||||
|
| |||||||
Diversified Financial Services — 1.3% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 42 | 11,576 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.9% |
| |||||||
Verizon Communications, Inc. | 144 | 8,079 | ||||||
|
| |||||||
Electric Utilities — 4.1% |
| |||||||
Duke Energy Corp. | 107 | 10,569 | ||||||
Evergy, Inc. | 86 | 5,215 | ||||||
NextEra Energy, Inc. | 145 | 10,615 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electric Utilities — continued |
| |||||||
Xcel Energy, Inc. | 166 | 10,928 | ||||||
|
| |||||||
37,327 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
Eaton Corp. plc | 74 | 11,034 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.4% |
| |||||||
Amphenol Corp., Class A | 54 | 3,726 | ||||||
|
| |||||||
Entertainment — 0.8% |
| |||||||
Netflix, Inc. * | 13 | 6,969 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.7% |
| |||||||
Equinix, Inc. | 8 | 6,321 | ||||||
Prologis, Inc. | 64 | 7,605 | ||||||
Public Storage | 19 | 5,862 | ||||||
Sun Communities, Inc. | 28 | 4,752 | ||||||
|
| |||||||
24,540 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.8% |
| |||||||
Costco Wholesale Corp. | 31 | 12,155 | ||||||
Walmart, Inc. | 29 | 4,048 | ||||||
|
| |||||||
16,203 | ||||||||
|
| |||||||
Food Products — 2.5% |
| |||||||
Hershey Co. (The) | 64 | 11,140 | ||||||
Mondelez International, Inc., Class A | 179 | 11,174 | ||||||
|
| |||||||
22,314 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.0% |
| |||||||
Boston Scientific Corp. * | 60 | 2,584 | ||||||
Medtronic plc | 49 | 6,133 | ||||||
|
| |||||||
8,717 | ||||||||
|
| |||||||
Health Care Providers & Services — 1.6% |
| |||||||
Anthem, Inc. | 10 | 3,706 | ||||||
UnitedHealth Group, Inc. | 27 | 10,618 | ||||||
|
| |||||||
14,324 | ||||||||
|
| |||||||
Household Products — 2.3% |
| |||||||
Kimberly-Clark Corp. | 75 | 9,993 | ||||||
Procter & Gamble Co. (The) | 82 | 11,079 | ||||||
|
| |||||||
21,072 | ||||||||
|
| |||||||
Insurance — 4.1% |
| |||||||
Arthur J Gallagher & Co. | 84 | 11,764 | ||||||
Chubb Ltd. | 58 | 9,159 | ||||||
Hartford Financial Services Group, Inc. (The) | 22 | 1,372 | ||||||
Progressive Corp. (The) | 114 | 11,174 | ||||||
Travelers Cos., Inc. (The) | 23 | 3,402 | ||||||
|
| |||||||
36,871 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 39 |
Table of Contents
JPMorgan Equity Premium Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Interactive Media & Services — 2.4% |
| |||||||
Alphabet, Inc., Class A * | 5 | 13,057 | ||||||
Facebook, Inc., Class A * | 25 | 8,766 | ||||||
|
| |||||||
21,823 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 1.4% |
| |||||||
Amazon.com, Inc. * | 4 | 12,959 | ||||||
|
| |||||||
IT Services — 4.4% |
| |||||||
Accenture plc, Class A | 48 | 14,124 | ||||||
Automatic Data Processing, Inc. | 28 | 5,471 | ||||||
Mastercard, Inc., Class A | 25 | 9,064 | ||||||
Visa, Inc., Class A | 48 | 11,264 | ||||||
|
| |||||||
39,923 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
Thermo Fisher Scientific, Inc. | 22 | 11,245 | ||||||
|
| |||||||
Machinery — 2.5% |
| |||||||
Deere & Co. | 33 | 11,789 | ||||||
Stanley Black & Decker, Inc. | 54 | 11,129 | ||||||
|
| |||||||
22,918 | ||||||||
|
| |||||||
Media — 2.4% |
| |||||||
Charter Communications, Inc., Class A * | 14 | 9,989 | ||||||
Comcast Corp., Class A | 197 | 11,246 | ||||||
|
| |||||||
21,235 | ||||||||
|
| |||||||
Multiline Retail — 2.7% |
| |||||||
Dollar General Corp. | 50 | 10,926 | ||||||
Target Corp. | 57 | 13,838 | ||||||
|
| |||||||
24,764 | ||||||||
|
| |||||||
Multi-Utilities — 2.3% |
| |||||||
CMS Energy Corp. | 173 | 10,227 | ||||||
Sempra Energy | 51 | 6,745 | ||||||
WEC Energy Group, Inc. | 45 | 3,995 | ||||||
|
| |||||||
20,967 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.8% |
| |||||||
TC Energy Corp. (Canada) | 147 | 7,286 | ||||||
|
| |||||||
Personal Products — 0.1% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 4 | 1,165 | ||||||
|
| |||||||
Pharmaceuticals — 5.2% |
| |||||||
Bristol-Myers Squibb Co. | 170 | 11,339 | ||||||
Eli Lilly & Co. | 58 | 13,366 | ||||||
Johnson & Johnson | 64 | 10,567 | ||||||
Merck & Co., Inc. | 137 | 10,690 | ||||||
|
| |||||||
45,962 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Professional Services — 1.4% |
| |||||||
Booz Allen Hamilton Holding Corp. | 86 | 7,319 | ||||||
Leidos Holdings, Inc. | 48 | 4,853 | ||||||
|
| |||||||
12,172 | ||||||||
|
| |||||||
Road & Rail — 2.3% |
| |||||||
Norfolk Southern Corp. | 25 | 6,717 | ||||||
Old Dominion Freight Line, Inc. | 47 | 11,995 | ||||||
Union Pacific Corp. | 11 | 2,330 | ||||||
|
| |||||||
21,042 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.5% |
| |||||||
Analog Devices, Inc. | 32 | 5,558 | ||||||
Texas Instruments, Inc. | 40 | 7,640 | ||||||
|
| |||||||
13,198 | ||||||||
|
| |||||||
Software — 4.0% |
| |||||||
Adobe, Inc. * | 6 | 3,536 | ||||||
Intuit, Inc. | 29 | 14,455 | ||||||
Microsoft Corp. | 54 | 14,495 | ||||||
Oracle Corp. | 47 | 3,668 | ||||||
|
| |||||||
36,154 | ||||||||
|
| |||||||
Specialty Retail — 2.2% |
| |||||||
Lowe’s Cos., Inc. | 59 | 11,380 | ||||||
O’Reilly Automotive, Inc. * | 8 | 4,655 | ||||||
TJX Cos., Inc. (The) | 62 | 4,201 | ||||||
|
| |||||||
20,236 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 1.2% |
| |||||||
Apple, Inc. | 54 | 7,339 | ||||||
Seagate Technology Holdings plc (Ireland) | 42 | 3,695 | ||||||
|
| |||||||
11,034 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
NIKE, Inc., Class B | 69 | 10,736 | ||||||
|
| |||||||
Tobacco — 1.0% |
| |||||||
Altria Group, Inc. | 81 | 3,843 | ||||||
Philip Morris International, Inc. | 48 | 4,744 | ||||||
|
| |||||||
8,587 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.3% |
| |||||||
WW Grainger, Inc. | 6 | 2,534 | ||||||
|
| |||||||
Wireless Telecommunication Services — 1.3% |
| |||||||
T-Mobile US, Inc. * | 79 | 11,436 | ||||||
|
| |||||||
Total Common Stocks |
| 741,641 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
40 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | PRINCIPAL AMOUNT ($000) | VALUE ($000) | ||||||
Equity-Linked Notes — 15.8% |
| |||||||
BNP Paribas, ELN, 37.87%, 7/23/2021, (linked to S&P 500 Index) (a) | 7 | 27,785 | ||||||
Citigroup Global Markets Holdings, Inc., ELN, 38.70%, 7/9/2021, (linked to S&P 500 Index) (a) | 6 | 24,013 | ||||||
Royal Bank of Canada, ELN, 36.35%, 7/16/2021, (linked to S&P 500 Index) (a) | 7 | 28,800 | ||||||
Toronto-Dominion Bank (The), ELN, 35.60%, 8/6/2021, (linked to S&P 500 Index) (a) | 8 | 33,745 | ||||||
UBS AG, ELN, 36.40%, 7/30/2021, (linked to S&P 500 Index) (a) | 7 | 27,553 | ||||||
|
| |||||||
Total Equity-Linked Notes |
| 141,896 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 4.9% |
| |||||||
Investment Companies — 4.9% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 43,906 | 43,928 | ||||||
|
| |||||||
Total Investments — 103.0% | 927,465 | |||||||
Liabilities in Excess of | (26,661 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 900,804 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ELN | Equity-Linked Note | |
(a) | Securities exempt from registration under Rule 144A or section 4 (a)(2), of the Securities Act of 1933, as amended. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 7 | 09/2021 | USD | 1,501 | 3 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 41 |
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.9% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
General Dynamics Corp. (a) | 163 | 30,711 | ||||||
Northrop Grumman Corp. | 176 | 63,860 | ||||||
Raytheon Technologies Corp. | 1,100 | 93,844 | ||||||
|
| |||||||
188,415 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.3% |
| |||||||
FedEx Corp. | 390 | 116,489 | ||||||
United Parcel Service, Inc., Class B | 602 | 125,296 | ||||||
|
| |||||||
241,785 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. * | 468 | 20,225 | ||||||
Southwest Airlines Co. * | 606 | 32,173 | ||||||
|
| |||||||
52,398 | ||||||||
|
| |||||||
Auto Components — 0.3% |
| |||||||
Aptiv plc * | 124 | 19,500 | ||||||
Magna International, Inc. (Canada) | 444 | 41,137 | ||||||
|
| |||||||
60,637 | ||||||||
|
| |||||||
Automobiles — 1.6% |
| |||||||
General Motors Co. * | 685 | 40,554 | ||||||
Tesla, Inc. * (a) | 379 | 257,573 | ||||||
|
| |||||||
298,127 | ||||||||
|
| |||||||
Banks — 3.5% |
| |||||||
Bank of America Corp. (a) | 2,362 | 97,389 | ||||||
Citigroup, Inc. | 1,880 | 132,987 | ||||||
KeyCorp (a) | 401 | 8,288 | ||||||
Regions Financial Corp. | 2,659 | 53,664 | ||||||
SVB Financial Group * | 59 | 32,640 | ||||||
Truist Financial Corp. | 1,068 | 59,296 | ||||||
US Bancorp | 1,411 | 80,370 | ||||||
Wells Fargo & Co. | 3,972 | 179,880 | ||||||
|
| |||||||
644,514 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Coca-Cola Co. (The) (a) | 2,432 | 131,610 | ||||||
Constellation Brands, Inc., Class A | 244 | 57,080 | ||||||
|
| |||||||
188,690 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
AbbVie, Inc. | 1,677 | 188,893 | ||||||
Alexion Pharmaceuticals, Inc. * | 105 | 19,285 | ||||||
Biogen, Inc. * (a) | 157 | 54,415 | ||||||
Regeneron Pharmaceuticals, Inc. * | 90 | 50,097 | ||||||
Vertex Pharmaceuticals, Inc. * | 358 | 72,221 | ||||||
|
| |||||||
384,911 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Building Products — 1.1% |
| |||||||
Johnson Controls International plc | 367 | 25,220 | ||||||
Masco Corp. | 942 | 55,466 | ||||||
Trane Technologies plc | 688 | 126,734 | ||||||
|
| |||||||
207,420 | ||||||||
|
| |||||||
Capital Markets — 4.0% |
| |||||||
Ameriprise Financial, Inc. | 57 | 14,222 | ||||||
Charles Schwab Corp. (The) | 244 | 17,789 | ||||||
Goldman Sachs Group, Inc. (The) | 416 | 157,908 | ||||||
Intercontinental Exchange, Inc. | 727 | 86,322 | ||||||
Morgan Stanley | 1,441 | 132,110 | ||||||
S&P Global, Inc. | 390 | 160,078 | ||||||
State Street Corp. | 910 | 74,859 | ||||||
T. Rowe Price Group, Inc. | 473 | 93,739 | ||||||
|
| |||||||
737,027 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products and Chemicals, Inc. | 78 | 22,413 | ||||||
Celanese Corp. | 172 | 26,062 | ||||||
DuPont de Nemours, Inc. | 759 | 58,758 | ||||||
Eastman Chemical Co. | 725 | 84,643 | ||||||
Linde plc (United Kingdom) | 186 | 53,695 | ||||||
LyondellBasell Industries NV, Class A | 129 | 13,315 | ||||||
PPG Industries, Inc. | 608 | 103,182 | ||||||
|
| |||||||
362,068 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Cintas Corp. (a) | 52 | 19,715 | ||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
Cisco Systems, Inc. | 1,089 | 57,730 | ||||||
Motorola Solutions, Inc. | 48 | 10,436 | ||||||
|
| |||||||
68,166 | ||||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
Capital One Financial Corp. | 613 | 94,812 | ||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Crown Holdings, Inc. (a) | 194 | 19,870 | ||||||
Westrock Co. | 523 | 27,822 | ||||||
|
| |||||||
47,692 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc., Class B * (a) | 1,056 | 293,578 | ||||||
Voya Financial, Inc. | 182 | 11,179 | ||||||
|
| |||||||
304,757 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
Verizon Communications, Inc. (a) | 2,036 | 114,051 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
42 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Electric Utilities — 1.8% |
| |||||||
Duke Energy Corp. | 994 | 98,082 | ||||||
Evergy, Inc. | 778 | 47,001 | ||||||
NextEra Energy, Inc. | 1,802 | 132,062 | ||||||
Xcel Energy, Inc. (a) | 858 | 56,494 | ||||||
|
| |||||||
333,639 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
Eaton Corp. plc | 825 | 122,208 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Amphenol Corp., Class A | 285 | 19,497 | ||||||
|
| |||||||
Entertainment — 1.1% |
| |||||||
Netflix, Inc. * (a) | 277 | 146,254 | ||||||
Walt Disney Co. (The) * | 354 | 62,166 | ||||||
|
| |||||||
208,420 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
Camden Property Trust | 349 | 46,333 | ||||||
Equinix, Inc. | 98 | 78,510 | ||||||
Equity LifeStyle Properties, Inc. | 203 | 15,066 | ||||||
Mid-America Apartment Communities, Inc. | 218 | 36,657 | ||||||
Prologis, Inc. | 731 | 87,413 | ||||||
Public Storage | 47 | 14,091 | ||||||
Sun Communities, Inc. | 100 | 17,115 | ||||||
UDR, Inc. | 144 | 7,074 | ||||||
Ventas, Inc. | 513 | 29,277 | ||||||
|
| |||||||
331,536 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
Costco Wholesale Corp. | 153 | 60,699 | ||||||
Kroger Co. (The) | 141 | 5,392 | ||||||
|
| |||||||
66,091 | ||||||||
|
| |||||||
Food Products — 0.6% |
| |||||||
Mondelez International, Inc., Class A (a) | 1,679 | 104,833 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
Abbott Laboratories | 985 | 114,223 | ||||||
ABIOMED, Inc. * | 22 | 6,846 | ||||||
Becton Dickinson and Co. | 213 | 51,887 | ||||||
Boston Scientific Corp. * (a) | 1,727 | 73,857 | ||||||
Danaher Corp. | 93 | 24,955 | ||||||
Dexcom, Inc. * | 46 | 19,709 | ||||||
Intuitive Surgical, Inc. * (a) | 33 | 30,362 | ||||||
Medtronic plc (a) | 1,239 | 153,786 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 540 | 86,778 | ||||||
|
| |||||||
562,403 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — 2.7% |
| |||||||
AmerisourceBergen Corp. | 162 | 18,508 | ||||||
Anthem, Inc. (a) | 243 | 92,958 | ||||||
Centene Corp. * | 433 | 31,561 | ||||||
Cigna Corp. (a) | 459 | 108,793 | ||||||
UnitedHealth Group, Inc. (a) | 592 | 237,137 | ||||||
|
| |||||||
488,957 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Booking Holdings, Inc. * (a) | 34 | 73,667 | ||||||
Hilton Worldwide Holdings, Inc. * | 373 | 45,024 | ||||||
Royal Caribbean Cruises Ltd. * | 108 | 9,171 | ||||||
Yum! Brands, Inc. | 498 | 57,253 | ||||||
|
| |||||||
185,115 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
DR Horton, Inc. | 69 | 6,199 | ||||||
Lennar Corp., Class A | 809 | 80,356 | ||||||
|
| |||||||
86,555 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
Kimberly-Clark Corp. | 509 | 68,119 | ||||||
Procter & Gamble Co. (The) (a) | 1,548 | 208,921 | ||||||
|
| |||||||
277,040 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
Honeywell International, Inc. (a) | 361 | 79,207 | ||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
Allstate Corp. (The) (a) | 192 | 25,008 | ||||||
American International Group, Inc. | 611 | 29,106 | ||||||
Chubb Ltd. | 349 | 55,517 | ||||||
Hartford Financial Services Group, Inc. (The) | 770 | 47,688 | ||||||
Marsh & McLennan Cos., Inc. | 173 | 24,278 | ||||||
Progressive Corp. (The) | 959 | 94,153 | ||||||
Prudential Financial, Inc. | 287 | 29,439 | ||||||
Travelers Cos., Inc. (The) | 123 | 18,341 | ||||||
|
| |||||||
323,530 | ||||||||
|
| |||||||
Interactive Media & Services — 6.8% |
| |||||||
Alphabet, Inc., Class A * (a) | 190 | 464,397 | ||||||
Alphabet, Inc., Class C * (a) | 150 | 375,923 | ||||||
Facebook, Inc., Class A * (a) | 1,186 | 412,440 | ||||||
|
| |||||||
1,252,760 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.5% |
| |||||||
Amazon.com, Inc. * (a) | 237 | 815,442 | ||||||
|
| |||||||
IT Services — 4.7% |
| |||||||
Accenture plc, Class A | 700 | 206,243 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 43 |
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
IT Services — continued |
| |||||||
Fiserv, Inc. * | 74 | 7,915 | ||||||
FleetCor Technologies, Inc. * | 42 | 10,814 | ||||||
Mastercard, Inc., Class A (a) | 702 | 256,180 | ||||||
PayPal Holdings, Inc. * (a) | 532 | 155,157 | ||||||
Visa, Inc., Class A (a) | 992 | 232,014 | ||||||
|
| |||||||
868,323 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.4% |
| |||||||
Illumina, Inc. * | 105 | 49,739 | ||||||
Thermo Fisher Scientific, Inc. (a) | 379 | 191,223 | ||||||
Waters Corp. * | 34 | 11,728 | ||||||
|
| |||||||
252,690 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Deere & Co. | 445 | 156,973 | ||||||
Ingersoll Rand, Inc. * | 553 | 27,002 | ||||||
Otis Worldwide Corp. | 471 | 38,530 | ||||||
Parker-Hannifin Corp. | 250 | 76,754 | ||||||
Stanley Black & Decker, Inc. | 493 | 101,084 | ||||||
|
| |||||||
400,343 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
Altice USA, Inc., Class A * | 514 | 17,549 | ||||||
Charter Communications, Inc., Class A * (a) | 161 | 116,501 | ||||||
Comcast Corp., Class A (a) | 2,966 | 169,130 | ||||||
Fox Corp., Class A | 115 | 4,276 | ||||||
|
| |||||||
307,456 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 609 | 22,613 | ||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
Dollar General Corp. | 74 | 16,099 | ||||||
Dollar Tree, Inc. * | 344 | 34,205 | ||||||
Target Corp. | 304 | 73,401 | ||||||
|
| |||||||
123,705 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
CenterPoint Energy, Inc. | 580 | 14,232 | ||||||
Public Service Enterprise Group, Inc. | 295 | 17,620 | ||||||
Sempra Energy | 555 | 73,523 | ||||||
|
| |||||||
105,375 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
Cabot Oil & Gas Corp. | 234 | 4,083 | ||||||
Cheniere Energy, Inc. * | 298 | 25,883 | ||||||
Chevron Corp. (a) | 948 | 99,325 | ||||||
ConocoPhillips | 1,127 | 68,608 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Diamondback Energy, Inc. | 524 | 49,226 | ||||||
EOG Resources, Inc. (a) | 578 | 48,267 | ||||||
Kinder Morgan, Inc. | 1,075 | 19,589 | ||||||
Phillips 66 | 534 | 45,841 | ||||||
Pioneer Natural Resources Co. (a) | 508 | 82,496 | ||||||
Williams Cos., Inc. (The) | 2,662 | 70,679 | ||||||
|
| |||||||
513,997 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 194 | 61,650 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% |
| |||||||
Bristol-Myers Squibb Co. (a) | 2,408 | 160,873 | ||||||
Eli Lilly & Co. (a) | 703 | 161,348 | ||||||
Johnson & Johnson (a) | 1,101 | 181,337 | ||||||
Merck & Co., Inc. | 1,233 | 95,901 | ||||||
Organon & Co. * | 149 | 4,512 | ||||||
Pfizer, Inc. | 876 | 34,298 | ||||||
|
| |||||||
638,269 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
Booz Allen Hamilton Holding Corp. | 272 | 23,162 | ||||||
Leidos Holdings, Inc. | 573 | 57,889 | ||||||
|
| |||||||
81,051 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Lyft, Inc., Class A * | 412 | 24,933 | ||||||
Norfolk Southern Corp. (a) | 374 | 99,286 | ||||||
Union Pacific Corp. | 291 | 64,070 | ||||||
|
| |||||||
188,289 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.6% |
| |||||||
Advanced Micro Devices, Inc. * (a) | 1,162 | 109,142 | ||||||
Analog Devices, Inc. | 751 | 129,347 | ||||||
Applied Materials, Inc. | 1,040 | 148,116 | ||||||
Intel Corp. | 1,022 | 57,373 | ||||||
Lam Research Corp. | 240 | 156,377 | ||||||
Microchip Technology, Inc. | 235 | 35,217 | ||||||
Micron Technology, Inc. * | 219 | 18,636 | ||||||
NVIDIA Corp. (a) | 305 | 243,845 | ||||||
NXP Semiconductors NV (China) | 445 | 91,500 | ||||||
QUALCOMM, Inc. | 176 | 25,138 | ||||||
Texas Instruments, Inc. (a) | 972 | 186,896 | ||||||
|
| |||||||
1,201,587 | ||||||||
|
| |||||||
Software — 8.7% |
| |||||||
Fortinet, Inc. * | 70 | 16,665 | ||||||
Intuit, Inc. (a) | 325 | 159,090 |
SEE NOTES TO FINANCIAL STATEMENTS.
44 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
Microsoft Corp. (a) | 4,413 | 1,195,552 | ||||||
Oracle Corp. | 902 | 70,227 | ||||||
salesforce.com, Inc. * (a) | 423 | 103,237 | ||||||
Workday, Inc., Class A * | 150 | 35,723 | ||||||
|
| |||||||
1,580,494 | ||||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
AutoZone, Inc. * (a) | 11 | 16,732 | ||||||
Best Buy Co., Inc. (a) | 620 | 71,328 | ||||||
Home Depot, Inc. (The) (a) | 528 | 168,262 | ||||||
Lowe’s Cos., Inc. (a) | 918 | 178,068 | ||||||
O’Reilly Automotive, Inc. * | 161 | 90,981 | ||||||
TJX Cos., Inc. (The) (a) | 1,049 | 70,690 | ||||||
|
| |||||||
596,061 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.3% |
| |||||||
Apple, Inc. (a) | 7,872 | 1,078,102 | ||||||
Seagate Technology Holdings plc (Ireland) | 861 | 75,717 | ||||||
|
| |||||||
1,153,819 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Carter’s, Inc. | 367 | 37,893 | ||||||
NIKE, Inc., Class B | 877 | 135,464 | ||||||
|
| |||||||
173,357 | ||||||||
|
| |||||||
Tobacco — 1.2% |
| |||||||
Altria Group, Inc. (a) | 1,803 | 85,963 | ||||||
Philip Morris International, Inc. | 1,292 | 128,052 | ||||||
|
| |||||||
214,015 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
T-Mobile US, Inc. * | 1,079 | 156,301 | ||||||
|
| |||||||
Total Common Stocks |
| 17,911,813 | ||||||
|
|
INVESTMENTS | NO. OF CONTRACTS | VALUE ($000) | ||||||
Options Purchased — 1.6% |
| |||||||
Put Options Purchased — 1.6% |
| |||||||
Index Funds — 1.6% | ||||||||
S&P 500 Index 9/30/2021 at USD 4,065.00, European Style | 42,646 | 289,993 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 1.7% |
| |||||||
Investment Companies — 1.7% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (b) (c) | 312,969 | 312,969 | ||||||
|
| |||||||
Total Investments — 101.2% | 18,514,775 | |||||||
Liabilities in Excess of | (219,852 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 18,294,923 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
USD | United States Dollar | |
(a) | All or a portion of the security is segregated for options written. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 1,691 | 09/2021 | USD | 362,593 | 5,311 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 45 |
Table of Contents
JPMorgan Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
Written Call Options Contracts as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
S&P 500 Index | Exchange-Traded | 42,646 | USD 36,654,237 | USD 4,430.00 | 9/30/2021 | (200,436 | ) | |||||||||||||||
|
|
Written Put Options Contracts as of June 30, 2021 (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 | 42,646 | USD 36,654,237 | USD 3,425.00 | 9/30/2021 | (66,315 | ) | |||||||||||||||
|
|
| ||||||||||||||||||||
Total Written Options Contracts (Premiums Received $274,598) | (266,751 | ) | ||||||||||||||||||||
|
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
46 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Hedged Equity 2 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.8% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
General Dynamics Corp. | 12 | 2,339 | ||||||
Northrop Grumman Corp. | 13 | 4,859 | ||||||
Raytheon Technologies Corp. | 84 | 7,143 | ||||||
|
| |||||||
14,341 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.3% |
| |||||||
FedEx Corp. | 30 | 8,865 | ||||||
United Parcel Service, Inc., Class B | 46 | 9,514 | ||||||
|
| |||||||
18,379 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. * | 36 | 1,539 | ||||||
Southwest Airlines Co. * | 46 | 2,449 | ||||||
|
| |||||||
3,988 | ||||||||
|
| |||||||
Auto Components — 0.3% |
| |||||||
Aptiv plc * | 9 | 1,483 | ||||||
Magna International, Inc. (Canada) | 34 | 3,131 | ||||||
|
| |||||||
4,614 | ||||||||
|
| |||||||
Automobiles — 1.6% |
| |||||||
General Motors Co. * | 52 | 3,087 | ||||||
Tesla, Inc. * | 29 | 19,604 | ||||||
|
| |||||||
22,691 | ||||||||
|
| |||||||
Banks — 3.5% |
| |||||||
Bank of America Corp. | 180 | 7,413 | ||||||
Citigroup, Inc. | 143 | 10,128 | ||||||
KeyCorp | 30 | 610 | ||||||
Regions Financial Corp. | 202 | 4,085 | ||||||
SVB Financial Group * | 4 | 2,288 | ||||||
Truist Financial Corp. | 81 | 4,513 | ||||||
US Bancorp | 107 | 6,118 | ||||||
Wells Fargo & Co. | 302 | 13,692 | ||||||
|
| |||||||
48,847 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Coca-Cola Co. (The) | 185 | 10,017 | ||||||
Constellation Brands, Inc., Class A | 19 | 4,345 | ||||||
|
| |||||||
14,362 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
AbbVie, Inc. | 128 | 14,377 | ||||||
Alexion Pharmaceuticals, Inc. * | 8 | 1,465 | ||||||
Biogen, Inc. * | 12 | 4,160 | ||||||
Regeneron Pharmaceuticals, Inc. * | 7 | 3,812 | ||||||
Vertex Pharmaceuticals, Inc. * | 27 | 5,506 | ||||||
|
| |||||||
29,320 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Building Products — 1.1% |
| |||||||
Johnson Controls International plc | 28 | 1,918 | ||||||
Masco Corp. | 72 | 4,222 | ||||||
Trane Technologies plc | 52 | 9,646 | ||||||
|
| |||||||
15,786 | ||||||||
|
| |||||||
Capital Markets — 4.0% |
| |||||||
Ameriprise Financial, Inc. | 4 | 1,081 | ||||||
Charles Schwab Corp. (The) | 19 | 1,354 | ||||||
Goldman Sachs Group, Inc. (The) | 32 | 12,020 | ||||||
Intercontinental Exchange, Inc. | 55 | 6,570 | ||||||
Morgan Stanley | 109 | 10,034 | ||||||
S&P Global, Inc. | 30 | 12,187 | ||||||
State Street Corp. | 69 | 5,699 | ||||||
T. Rowe Price Group, Inc. | 36 | 7,133 | ||||||
|
| |||||||
56,078 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products and Chemicals, Inc. | 6 | 1,705 | ||||||
Celanese Corp. | 13 | 1,984 | ||||||
DuPont de Nemours, Inc. | 58 | 4,471 | ||||||
Eastman Chemical Co. | 55 | 6,441 | ||||||
Linde plc (United Kingdom) | 14 | 4,087 | ||||||
LyondellBasell Industries NV, Class A | 10 | 1,014 | ||||||
PPG Industries, Inc. | 46 | 7,852 | ||||||
|
| |||||||
27,554 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Cintas Corp. | 4 | 1,499 | ||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
Cisco Systems, Inc. | 83 | 4,394 | ||||||
Motorola Solutions, Inc. | 4 | 795 | ||||||
|
| |||||||
5,189 | ||||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
Capital One Financial Corp. | 47 | 7,217 | ||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Crown Holdings, Inc. | 15 | 1,512 | ||||||
Westrock Co. | 40 | 2,107 | ||||||
|
| |||||||
3,619 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc., Class B * (a) | 80 | 22,334 | ||||||
Voya Financial, Inc. | 14 | 851 | ||||||
|
| |||||||
23,185 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
Verizon Communications, Inc. | 155 | 8,681 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 47 |
Table of Contents
JPMorgan Hedged Equity 2 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Electric Utilities — 1.8% |
| |||||||
Duke Energy Corp. | 76 | 7,461 | ||||||
Evergy, Inc. | 59 | 3,575 | ||||||
NextEra Energy, Inc. | 137 | 10,030 | ||||||
Xcel Energy, Inc. | 62 | 4,109 | ||||||
|
| |||||||
25,175 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
Eaton Corp. plc | 63 | 9,303 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Amphenol Corp., Class A | 22 | 1,483 | ||||||
|
| |||||||
Entertainment — 1.1% |
| |||||||
Netflix, Inc. * | 21 | 11,109 | ||||||
Walt Disney Co. (The) * | 27 | 4,721 | ||||||
|
| |||||||
15,830 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
Camden Property Trust | 27 | 3,527 | ||||||
Equinix, Inc. | 7 | 5,971 | ||||||
Equity LifeStyle Properties, Inc. | 15 | 1,147 | ||||||
Mid-America Apartment Communities, Inc. | 17 | 2,791 | ||||||
Prologis, Inc. | 56 | 6,652 | ||||||
Public Storage | 4 | 1,073 | ||||||
Realty Income Corp. | 1 | 36 | ||||||
Sun Communities, Inc. | 8 | 1,303 | ||||||
UDR, Inc. | 11 | 539 | ||||||
Ventas, Inc. | 39 | 2,228 | ||||||
|
| |||||||
25,267 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
Costco Wholesale Corp. | 12 | 4,623 | ||||||
Kroger Co. (The) | 11 | 408 | ||||||
|
| |||||||
5,031 | ||||||||
|
| |||||||
Food Products — 0.6% |
| |||||||
Mondelez International, Inc., Class A | 128 | 7,980 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
Abbott Laboratories | 75 | 8,693 | ||||||
ABIOMED, Inc. * | 2 | 520 | ||||||
Becton Dickinson and Co. | 16 | 3,948 | ||||||
Boston Scientific Corp. * | 131 | 5,621 | ||||||
Danaher Corp. | 7 | 1,903 | ||||||
Dexcom, Inc. * | 4 | 1,501 | ||||||
Intuitive Surgical, Inc. * | 3 | 2,309 | ||||||
Medtronic plc | 94 | 11,706 | ||||||
Zimmer Biomet Holdings, Inc. | 41 | 6,605 | ||||||
|
| |||||||
42,806 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — 2.7% |
| |||||||
AmerisourceBergen Corp. | 12 | 1,408 | ||||||
Anthem, Inc. | 19 | 7,066 | ||||||
Centene Corp. * | 32 | 2,363 | ||||||
Cigna Corp. | 35 | 8,279 | ||||||
UnitedHealth Group, Inc. | 45 | 18,052 | ||||||
|
| |||||||
37,168 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Booking Holdings, Inc. * | 3 | 5,595 | ||||||
Hilton Worldwide Holdings, Inc. * | 28 | 3,427 | ||||||
Royal Caribbean Cruises Ltd. * | 8 | 699 | ||||||
Yum! Brands, Inc. | 38 | 4,357 | ||||||
|
| |||||||
14,078 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
DR Horton, Inc. | 5 | 472 | ||||||
Lennar Corp., Class A | 62 | 6,116 | ||||||
|
| |||||||
6,588 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
Kimberly-Clark Corp. | 39 | 5,185 | ||||||
Procter & Gamble Co. (The) | 118 | 15,901 | ||||||
|
| |||||||
21,086 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
Honeywell International, Inc. | 27 | 6,020 | ||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
Allstate Corp. (The) | 14 | 1,842 | ||||||
American International Group, Inc. | 47 | 2,215 | ||||||
Chubb Ltd. | 27 | 4,225 | ||||||
Hartford Financial Services Group, Inc. (The) | 59 | 3,631 | ||||||
Marsh & McLennan Cos., Inc. | 13 | 1,849 | ||||||
Progressive Corp. (The) | 73 | 7,166 | ||||||
Prudential Financial, Inc. | 22 | 2,241 | ||||||
Travelers Cos., Inc. (The) | 9 | 1,398 | ||||||
|
| |||||||
24,567 | ||||||||
|
| |||||||
Interactive Media & Services — 6.9% |
| |||||||
Alphabet, Inc., Class A * (a) | 14 | 35,342 | ||||||
Alphabet, Inc., Class C * (a) | 11 | 28,610 | ||||||
Facebook, Inc., Class A * (a) | 90 | 31,394 | ||||||
|
| |||||||
95,346 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.5% |
| |||||||
Amazon.com, Inc. * (a) | 18 | 62,071 | ||||||
|
| |||||||
IT Services — 4.7% |
| |||||||
Accenture plc, Class A | 53 | 15,699 |
SEE NOTES TO FINANCIAL STATEMENTS.
48 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
IT Services — continued |
| |||||||
Fiserv, Inc. * | 6 | 602 | ||||||
FleetCor Technologies, Inc. * | 3 | 821 | ||||||
Mastercard, Inc., Class A | 53 | 19,500 | ||||||
PayPal Holdings, Inc. * | 41 | 11,809 | ||||||
Visa, Inc., Class A | 76 | 17,659 | ||||||
|
| |||||||
66,090 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.4% |
| |||||||
Illumina, Inc. * | 8 | 3,786 | ||||||
Thermo Fisher Scientific, Inc. | 29 | 14,554 | ||||||
Waters Corp. * | 3 | 894 | ||||||
|
| |||||||
19,234 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Deere & Co. | 34 | 11,945 | ||||||
Ingersoll Rand, Inc. * | 43 | 2,076 | ||||||
Otis Worldwide Corp. | 36 | 2,933 | ||||||
Parker-Hannifin Corp. | 19 | 5,842 | ||||||
Stanley Black & Decker, Inc. | 38 | 7,694 | ||||||
|
| |||||||
30,490 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
Altice USA, Inc., Class A * | 39 | 1,336 | ||||||
Charter Communications, Inc., Class A * | 12 | 8,846 | ||||||
Comcast Corp., Class A | 226 | 12,874 | ||||||
Fox Corp., Class A | 9 | 325 | ||||||
|
| |||||||
23,381 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 46 | 1,721 | ||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
Dollar General Corp. | 6 | 1,225 | ||||||
Dollar Tree, Inc. * | 26 | 2,604 | ||||||
Target Corp. | 23 | 5,589 | ||||||
|
| |||||||
9,418 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
CenterPoint Energy, Inc. | 44 | 1,082 | ||||||
Public Service Enterprise Group, Inc. | 19 | 1,150 | ||||||
Sempra Energy | 43 | 5,709 | ||||||
|
| |||||||
7,941 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
Cabot Oil & Gas Corp. | 18 | 311 | ||||||
Cheniere Energy, Inc. * | 23 | 1,970 | ||||||
Chevron Corp. | 72 | 7,543 | ||||||
ConocoPhillips | 86 | 5,224 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Diamondback Energy, Inc. | 40 | 3,741 | ||||||
EOG Resources, Inc. | 43 | 3,553 | ||||||
Kinder Morgan, Inc. | 82 | 1,491 | ||||||
Phillips 66 | 41 | 3,490 | ||||||
Pioneer Natural Resources Co. | 39 | 6,280 | ||||||
Williams Cos., Inc. (The) | 203 | 5,380 | ||||||
|
| |||||||
38,983 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 15 | 4,693 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% |
| |||||||
Bristol-Myers Squibb Co. | 183 | 12,246 | ||||||
Eli Lilly & Co. | 54 | 12,280 | ||||||
Johnson & Johnson | 84 | 13,798 | ||||||
Merck & Co., Inc. | 94 | 7,284 | ||||||
Organon & Co. * | 11 | 343 | ||||||
Pfizer, Inc. | 67 | 2,610 | ||||||
|
| |||||||
48,561 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
Booz Allen Hamilton Holding Corp. | 21 | 1,763 | ||||||
Leidos Holdings, Inc. | 44 | 4,406 | ||||||
|
| |||||||
6,169 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Lyft, Inc., Class A * | 31 | 1,898 | ||||||
Norfolk Southern Corp. | 28 | 7,540 | ||||||
Union Pacific Corp. | 22 | 4,942 | ||||||
|
| |||||||
14,380 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.6% |
| |||||||
Advanced Micro Devices, Inc. * | 88 | 8,307 | ||||||
Analog Devices, Inc. | 57 | 9,845 | ||||||
Applied Materials, Inc. | 79 | 11,211 | ||||||
Intel Corp. | 78 | 4,367 | ||||||
Lam Research Corp. | 18 | 11,910 | ||||||
Microchip Technology, Inc. | 18 | 2,666 | ||||||
Micron Technology, Inc. * | 17 | 1,419 | ||||||
NVIDIA Corp. | 23 | 18,555 | ||||||
NXP Semiconductors NV (China) | 34 | 6,964 | ||||||
QUALCOMM, Inc. | 13 | 1,912 | ||||||
Texas Instruments, Inc. | 74 | 14,227 | ||||||
|
| |||||||
91,383 | ||||||||
|
| |||||||
Software — 8.5% |
| |||||||
Fortinet, Inc. * | 5 | 1,270 | ||||||
Intuit, Inc. | 25 | 12,108 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 49 |
Table of Contents
JPMorgan Hedged Equity 2 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
Microsoft Corp. (a) | 336 | 90,994 | ||||||
Oracle Corp. | 69 | 5,345 | ||||||
salesforce.com, Inc. * | 32 | 7,840 | ||||||
Workday, Inc., Class A * | 11 | 2,721 | ||||||
|
| |||||||
120,278 | ||||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
AutoZone, Inc. * | 1 | 1,151 | ||||||
Best Buy Co., Inc. | 47 | 5,429 | ||||||
Home Depot, Inc. (The) | 40 | 12,805 | ||||||
Lowe’s Cos., Inc. | 70 | 13,554 | ||||||
O’Reilly Automotive, Inc. * | 12 | 6,927 | ||||||
TJX Cos., Inc. (The) | 80 | 5,380 | ||||||
|
| |||||||
45,246 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.3% |
| |||||||
Apple, Inc. (a) | 599 | 82,090 | ||||||
Seagate Technology Holdings plc (Ireland) | 65 | 5,756 | ||||||
|
| |||||||
87,846 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Carter’s, Inc. | 28 | 2,884 | ||||||
NIKE, Inc., Class B | 67 | 10,315 | ||||||
|
| |||||||
13,199 | ||||||||
|
| |||||||
Tobacco — 1.2% |
| |||||||
Altria Group, Inc. | 137 | 6,543 | ||||||
Philip Morris International, Inc. | 98 | 9,747 | ||||||
|
| |||||||
16,290 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
T-Mobile US, Inc. * | 82 | 11,896 | ||||||
|
| |||||||
Total Common Stocks |
| 1,362,348 | ||||||
|
|
INVESTMENTS | NO. OF CONTRACTS | VALUE ($000) | ||||||
Options Purchased — 0.3% |
| |||||||
Put Options Purchased — 0.3% |
| |||||||
Index Funds — 0.3% |
| |||||||
S&P 500 Index 7/30/2021 at | 3,233 | 3,573 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 6.0% |
| |||||||
Investment Companies — 6.0% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 82,933 | 82,933 | ||||||
|
| |||||||
Total Investments — 104.1% | 1,448,854 | |||||||
Liabilities in Excess of | (56,986 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 1,391,868 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
USD | United States Dollar | |
(a) | All or a portion of the security is segregated for options written. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 128 | 09/2021 | USD | 27,446 | 45 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
50 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
Written Call Options Contracts as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
DESCRIPTION | Counterparty | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
S&P 500 Index | Exchange-Traded | 3,233 | USD 1,410,869 | USD 4,325.00 | 7/30/2021 | (12,140 | ) | |||||||||||||||
|
|
Written Put Options Contracts as of June 30, 2021 (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 | 3,233 | USD 1,410,869 | USD 3,325.00 | 7/30/2021 | (640 | ) | |||||||||||||||
|
|
| ||||||||||||||||||||
Total Written Options Contracts (Premiums Received $20,801) | (12,780 | ) | ||||||||||||||||||||
|
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 51 |
Table of Contents
JPMorgan Hedged Equity 3 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.5% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
General Dynamics Corp. | 5 | 967 | ||||||
Northrop Grumman Corp. | 6 | 2,010 | ||||||
Raytheon Technologies Corp. | 35 | 2,955 | ||||||
|
| |||||||
5,932 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.3% |
| |||||||
FedEx Corp. | 12 | 3,668 | ||||||
United Parcel Service, Inc., Class B | 19 | 3,936 | ||||||
|
| |||||||
7,604 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. * | 15 | 637 | ||||||
Southwest Airlines Co. * | 19 | 1,013 | ||||||
|
| |||||||
1,650 | ||||||||
|
| |||||||
Auto Components — 0.3% |
| |||||||
Aptiv plc * | 4 | 614 | ||||||
Magna International, Inc. (Canada) | 14 | 1,295 | ||||||
|
| |||||||
1,909 | ||||||||
|
| |||||||
Automobiles — 1.7% |
| |||||||
General Motors Co. * | 22 | 1,277 | ||||||
Tesla, Inc. * | 12 | 8,108 | ||||||
|
| |||||||
9,385 | ||||||||
|
| |||||||
Banks — 3.6% |
| |||||||
Bank of America Corp. | 74 | 3,066 | ||||||
Citigroup, Inc. | 59 | 4,187 | ||||||
KeyCorp | 13 | 261 | ||||||
Regions Financial Corp. | 84 | 1,689 | ||||||
SVB Financial Group * | 2 | 1,014 | ||||||
Truist Financial Corp. | 34 | 1,867 | ||||||
US Bancorp | 45 | 2,543 | ||||||
Wells Fargo & Co. | 125 | 5,663 | ||||||
|
| |||||||
20,290 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Coca-Cola Co. (The) | 77 | 4,143 | ||||||
Constellation Brands, Inc., Class A | 8 | 1,797 | ||||||
|
| |||||||
5,940 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
AbbVie, Inc. | 53 | 5,947 | ||||||
Alexion Pharmaceuticals, Inc. * | 3 | 607 | ||||||
Biogen, Inc. * | 5 | 1,713 | ||||||
Regeneron Pharmaceuticals, Inc. * | 3 | 1,577 | ||||||
Vertex Pharmaceuticals, Inc. * | 11 | 2,274 | ||||||
|
| |||||||
12,118 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Building Products — 1.2% |
| |||||||
Johnson Controls International plc | 12 | 799 | ||||||
Masco Corp. | 30 | 1,746 | ||||||
Trane Technologies plc | 22 | 3,990 | ||||||
|
| |||||||
6,535 | ||||||||
|
| |||||||
Capital Markets — 4.1% |
| |||||||
Ameriprise Financial, Inc. | 2 | 448 | ||||||
Charles Schwab Corp. (The) | 8 | 560 | ||||||
Goldman Sachs Group, Inc. (The) | 13 | 4,971 | ||||||
Intercontinental Exchange, Inc. | 23 | 2,718 | ||||||
Morgan Stanley | 45 | 4,159 | ||||||
S&P Global, Inc. | 12 | 5,039 | ||||||
State Street Corp. | 29 | 2,357 | ||||||
T. Rowe Price Group, Inc. | 15 | 2,951 | ||||||
|
| |||||||
23,203 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products and Chemicals, Inc. | 2 | 706 | ||||||
Celanese Corp. | 5 | 820 | ||||||
DuPont de Nemours, Inc. | 24 | 1,850 | ||||||
Eastman Chemical Co. | 23 | 2,665 | ||||||
Linde plc (United Kingdom) | 6 | 1,690 | ||||||
LyondellBasell Industries NV, Class A | 4 | 419 | ||||||
PPG Industries, Inc. | 19 | 3,249 | ||||||
|
| |||||||
11,399 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Cintas Corp. | 2 | 621 | ||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
Cisco Systems, Inc. | 34 | 1,817 | ||||||
Motorola Solutions, Inc. | 2 | 329 | ||||||
|
| |||||||
2,146 | ||||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
Capital One Financial Corp. | 19 | 2,985 | ||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Crown Holdings, Inc. | 6 | 626 | ||||||
Westrock Co. | 16 | 876 | ||||||
|
| |||||||
1,502 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc., Class B * (a) | 33 | 9,243 | ||||||
Voya Financial, Inc. | 6 | 352 | ||||||
|
| |||||||
9,595 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
Verizon Communications, Inc. | 64 | 3,591 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
52 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Electric Utilities — 1.8% |
| |||||||
Duke Energy Corp. | 31 | 3,088 | ||||||
Evergy, Inc. | 24 | 1,479 | ||||||
NextEra Energy, Inc. | 57 | 4,158 | ||||||
Xcel Energy, Inc. | 26 | 1,700 | ||||||
|
| |||||||
10,425 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
Eaton Corp. plc | 26 | 3,847 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Amphenol Corp., Class A | 9 | 615 | ||||||
|
| |||||||
Entertainment — 1.2% |
| |||||||
Netflix, Inc. * | 9 | 4,630 | ||||||
Walt Disney Co. (The) * | 11 | 1,957 | ||||||
|
| |||||||
6,587 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
Camden Property Trust | 11 | 1,459 | ||||||
Equinix, Inc. | 3 | 2,471 | ||||||
Equity LifeStyle Properties, Inc. | 6 | 474 | ||||||
Mid-America Apartment Communities, Inc. | 7 | 1,154 | ||||||
Prologis, Inc. | 23 | 2,751 | ||||||
Public Storage | 1 | 444 | ||||||
Sun Communities, Inc. | 3 | 539 | ||||||
UDR, Inc. | 5 | 223 | ||||||
Ventas, Inc. | 16 | 922 | ||||||
|
| |||||||
10,437 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
Costco Wholesale Corp. | 5 | 1,911 | ||||||
Kroger Co. (The) | 4 | 169 | ||||||
|
| |||||||
2,080 | ||||||||
|
| |||||||
Food Products — 0.6% |
| |||||||
Mondelez International, Inc., Class A | 53 | 3,300 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
Abbott Laboratories | 31 | 3,596 | ||||||
ABIOMED, Inc. * | 1 | 215 | ||||||
Becton Dickinson and Co. | 7 | 1,634 | ||||||
Boston Scientific Corp. * | 54 | 2,325 | ||||||
Danaher Corp. | 3 | 786 | ||||||
Dexcom, Inc. * | 1 | 620 | ||||||
Intuitive Surgical, Inc. * | 1 | 956 | ||||||
Medtronic plc | 39 | 4,841 | ||||||
Zimmer Biomet Holdings, Inc. | 17 | 2,732 | ||||||
|
| |||||||
17,705 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — 2.7% |
| |||||||
AmerisourceBergen Corp. | 5 | 583 | ||||||
Anthem, Inc. | 8 | 2,926 | ||||||
Centene Corp. * | 14 | 994 | ||||||
Cigna Corp. | 14 | 3,424 | ||||||
UnitedHealth Group, Inc. | 19 | 7,466 | ||||||
|
| |||||||
15,393 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Booking Holdings, Inc. * | 1 | 2,315 | ||||||
Hilton Worldwide Holdings, Inc. * | 12 | 1,418 | ||||||
Royal Caribbean Cruises Ltd. * | 3 | 289 | ||||||
Yum! Brands, Inc. | 16 | 1,802 | ||||||
|
| |||||||
5,824 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
DR Horton, Inc. | 2 | 195 | ||||||
Lennar Corp., Class A | 25 | 2,530 | ||||||
|
| |||||||
2,725 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
Kimberly-Clark Corp. | 16 | 2,145 | ||||||
Procter & Gamble Co. (The) | 49 | 6,577 | ||||||
|
| |||||||
8,722 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
Honeywell International, Inc. | 11 | 2,449 | ||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
Allstate Corp. (The) | 6 | 787 | ||||||
American International Group, Inc. | 19 | 916 | ||||||
Chubb Ltd. | 11 | 1,748 | ||||||
Hartford Financial Services Group, Inc. (The) | 24 | 1,501 | ||||||
Marsh & McLennan Cos., Inc. | 5 | 764 | ||||||
Progressive Corp. (The) | 30 | 2,965 | ||||||
Prudential Financial, Inc. | 9 | 927 | ||||||
Travelers Cos., Inc. (The) | 4 | 577 | ||||||
|
| |||||||
10,185 | ||||||||
|
| |||||||
Interactive Media & Services — 7.1% |
| |||||||
Alphabet, Inc., Class A * (a) | 6 | 14,620 | ||||||
Alphabet, Inc., Class C * (a) | 5 | 11,837 | ||||||
Facebook, Inc., Class A * (a) | 37 | 12,985 | ||||||
|
| |||||||
39,442 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.5% |
| |||||||
Amazon.com, Inc. * (a) | 7 | 25,670 | ||||||
|
| |||||||
IT Services — 4.8% |
| |||||||
Accenture plc, Class A | 22 | 6,493 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 53 |
Table of Contents
JPMorgan Hedged Equity 3 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
IT Services — continued |
| |||||||
Fiserv, Inc. * | 2 | 249 | ||||||
FleetCor Technologies, Inc. * | 1 | 340 | ||||||
Mastercard, Inc., Class A (a) | 22 | 8,065 | ||||||
PayPal Holdings, Inc. * | 17 | 4,870 | ||||||
Visa, Inc., Class A | 31 | 7,305 | ||||||
|
| |||||||
27,322 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.4% |
| |||||||
Illumina, Inc. * | 3 | 1,566 | ||||||
Thermo Fisher Scientific, Inc. | 12 | 6,021 | ||||||
Waters Corp. * | 1 | 369 | ||||||
|
| |||||||
7,956 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Deere & Co. | 14 | 4,941 | ||||||
Ingersoll Rand, Inc. * | 17 | 850 | ||||||
Otis Worldwide Corp. | 15 | 1,213 | ||||||
Parker-Hannifin Corp. | 8 | 2,417 | ||||||
Stanley Black & Decker, Inc. | 16 | 3,182 | ||||||
|
| |||||||
12,603 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
Altice USA, Inc., Class A * | 16 | 552 | ||||||
Charter Communications, Inc., Class A * | 5 | 3,648 | ||||||
Comcast Corp., Class A | 93 | 5,324 | ||||||
Fox Corp., Class A | 4 | 135 | ||||||
|
| |||||||
9,659 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 19 | 712 | ||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
Dollar General Corp. | 2 | 507 | ||||||
Dollar Tree, Inc. * | 11 | 1,077 | ||||||
Target Corp. | 10 | 2,310 | ||||||
|
| |||||||
3,894 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
CenterPoint Energy, Inc. | 18 | 436 | ||||||
Public Service Enterprise Group, Inc. | 9 | 555 | ||||||
Sempra Energy | 17 | 2,252 | ||||||
|
| |||||||
3,243 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.9% |
| |||||||
Cabot Oil & Gas Corp. | 7 | 129 | ||||||
Cheniere Energy, Inc. * | 9 | 815 | ||||||
Chevron Corp. | 30 | 3,126 | ||||||
ConocoPhillips | 35 | 2,160 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Diamondback Energy, Inc. | 17 | 1,550 | ||||||
EOG Resources, Inc. | 18 | 1,520 | ||||||
Kinder Morgan, Inc. | 34 | 617 | ||||||
Phillips 66 | 17 | 1,443 | ||||||
Pioneer Natural Resources Co. | 16 | 2,597 | ||||||
Williams Cos., Inc. (The) | 84 | 2,225 | ||||||
|
| |||||||
16,182 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 6 | 1,941 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% |
| |||||||
Bristol-Myers Squibb Co. | 76 | 5,065 | ||||||
Eli Lilly & Co. | 22 | 5,080 | ||||||
Johnson & Johnson | 35 | 5,708 | ||||||
Merck & Co., Inc. | 39 | 3,019 | ||||||
Organon & Co. * | 5 | 142 | ||||||
Pfizer, Inc. | 28 | 1,080 | ||||||
|
| |||||||
20,094 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
Booz Allen Hamilton Holding Corp. | 9 | 729 | ||||||
Leidos Holdings, Inc. | 18 | 1,823 | ||||||
|
| |||||||
2,552 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Lyft, Inc., Class A * | 13 | 785 | ||||||
Norfolk Southern Corp. | 12 | 3,126 | ||||||
Union Pacific Corp. | 9 | 2,017 | ||||||
|
| |||||||
5,928 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.7% |
| |||||||
Advanced Micro Devices, Inc. * | 37 | 3,436 | ||||||
Analog Devices, Inc. | 24 | 4,072 | ||||||
Applied Materials, Inc. | 33 | 4,663 | ||||||
Intel Corp. | 32 | 1,806 | ||||||
Lam Research Corp. | 8 | 4,923 | ||||||
Microchip Technology, Inc. | 7 | 1,109 | ||||||
Micron Technology, Inc. * | 7 | 587 | ||||||
NVIDIA Corp. | 10 | 7,677 | ||||||
NXP Semiconductors NV (China) | 14 | 2,881 | ||||||
QUALCOMM, Inc. | 6 | 791 | ||||||
Texas Instruments, Inc. | 31 | 5,884 | ||||||
|
| |||||||
37,829 | ||||||||
|
| |||||||
Software — 8.9% |
| |||||||
Fortinet, Inc. * | 2 | 525 | ||||||
Intuit, Inc. | 10 | 5,009 |
SEE NOTES TO FINANCIAL STATEMENTS.
54 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
Microsoft Corp. (a) | 139 | 37,638 | ||||||
Oracle Corp. | 28 | 2,211 | ||||||
salesforce.com, Inc. * | 13 | 3,250 | ||||||
Workday, Inc., Class A * | 5 | 1,125 | ||||||
|
| |||||||
49,758 | ||||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
AutoZone, Inc. * | — | (b) | 528 | |||||
Best Buy Co., Inc. | 20 | 2,246 | ||||||
Home Depot, Inc. (The) | 17 | 5,297 | ||||||
Lowe’s Cos., Inc. | 29 | 5,606 | ||||||
O’Reilly Automotive, Inc. * | 5 | 2,864 | ||||||
TJX Cos., Inc. (The) | 33 | 2,226 | ||||||
|
| |||||||
18,767 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.4% |
| |||||||
Apple, Inc. (a) | 248 | 33,941 | ||||||
Seagate Technology Holdings plc (Ireland) | 27 | 2,384 | ||||||
|
| |||||||
36,325 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
Carter’s, Inc. | 12 | 1,193 | ||||||
NIKE, Inc., Class B | 28 | 4,265 | ||||||
|
| |||||||
5,458 | ||||||||
|
| |||||||
Tobacco — 1.2% |
| |||||||
Altria Group, Inc. | 57 | 2,707 | ||||||
Philip Morris International, Inc. | 41 | 4,032 | ||||||
|
| |||||||
6,739 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
T-Mobile US, Inc. * | 34 | 4,921 | ||||||
|
| |||||||
Total Common Stocks |
| 563,694 | ||||||
|
|
INVESTMENTS | NO. OF CONTRACTS | VALUE ($000) | ||||||
Options Purchased — 0.8% |
| |||||||
Put Options Purchased — 0.8% |
| |||||||
Index Funds — 0.8% |
| |||||||
S&P 500 Index 8/31/2021 at | 1,318 | 4,395 | ||||||
|
| |||||||
SHARES (000) | ||||||||
Short-Term Investments — 3.1% |
| |||||||
Investment Companies — 3.1% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) | 17,690 | 17,690 | ||||||
|
| |||||||
Total Investments — 103.4% | 585,779 | |||||||
Liabilities in Excess of | (19,213 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 566,566 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations | ||
USD | United States Dollar | |
(a) | All or a portion of the security is segregated for options written. | |
(b) | Amount rounds to less than one thousand. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 13 | 09/2021 | USD | 2,788 | 32 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 55 |
Table of Contents
JPMorgan Hedged Equity 3 Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
Written Call Options Contracts as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||
DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS | NOTIONAL AMOUNT | EXERCISE PRICE | EXPIRATION DATE | VALUE ($) | ||||||||||||||||
S&P 500 Index | Exchange-Traded | 1,318 | USD 575,435 | USD 4,350.00 | 8/31/2021 | (7,591 | ) | |||||||||||||||
|
|
Written Put Options Contracts as of June 30, 2021 (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 | 1,318 | USD 575,436 | USD 3,360.00 | 8/31/2021 | (969 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total Written Options Contracts (Premiums Received $8,880) | (8,560 | ) | ||||||||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
56 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 95.9% |
| |||||||
Air Freight & Logistics — 1.5% |
| |||||||
FedEx Corp. | 1,905 | 568,289 | ||||||
|
| |||||||
Automobiles — 1.9% |
| |||||||
Tesla, Inc. * | 1,042 | 708,383 | ||||||
|
| |||||||
Banks — 1.3% |
| |||||||
SVB Financial Group * | 905 | 503,460 | ||||||
|
| |||||||
Beverages — 2.2% |
| |||||||
Boston Beer Co., Inc. (The), Class A * | 248 | 252,750 | ||||||
Monster Beverage Corp. * | 6,437 | 588,043 | ||||||
|
| |||||||
840,793 | ||||||||
|
| |||||||
Biotechnology — 4.1% |
| |||||||
Alnylam Pharmaceuticals, Inc. * | 132 | 22,394 | ||||||
Biogen, Inc. * | 1,152 | 399,042 | ||||||
BioMarin Pharmaceutical, Inc. * | 1,794 | 149,703 | ||||||
Exact Sciences Corp. * (a) | 1,091 | 135,601 | ||||||
Moderna, Inc. * | 794 | 186,504 | ||||||
Regeneron Pharmaceuticals, Inc. * | 485 | 270,780 | ||||||
Seagen, Inc. * | 2,304 | 363,787 | ||||||
|
| |||||||
1,527,811 | ||||||||
|
| |||||||
Building Products — 0.5% |
| |||||||
Trane Technologies plc | 1,079 | 198,632 | ||||||
|
| |||||||
Capital Markets — 7.1% |
| |||||||
Blackstone Group, Inc. (The), Class A | 7,555 | 733,922 | ||||||
Charles Schwab Corp. (The) | 11,050 | 804,566 | ||||||
Coinbase Global, Inc., Class A * (a) | 63 | 15,854 | ||||||
MarketAxess Holdings, Inc. | 393 | 182,052 | ||||||
Morgan Stanley | 8,150 | 747,264 | ||||||
MSCI, Inc. | 315 | 167,654 | ||||||
|
| |||||||
2,651,312 | ||||||||
|
| |||||||
Chemicals — 0.9% |
| |||||||
Sherwin-Williams Co. (The) | 1,172 | 319,339 | ||||||
|
| |||||||
Consumer Finance — 0.3% |
| |||||||
Capital One Financial Corp. | 617 | 95,506 | ||||||
|
| |||||||
Electrical Equipment — 1.6% |
| |||||||
Rockwell Automation, Inc. | 2,032 | 581,222 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.9% |
| |||||||
Amphenol Corp., Class A | 5,104 | 349,147 | ||||||
|
| |||||||
Entertainment — 1.2% |
| |||||||
Netflix, Inc. * | 494 | 260,989 | ||||||
Roku, Inc. * | 157 | 72,194 | ||||||
Spotify Technology SA * (a) | 359 | 99,019 | ||||||
|
| |||||||
432,202 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Equipment & Supplies — 3.4% |
| |||||||
ABIOMED, Inc. * (a) | 345 | 107,616 | ||||||
Align Technology, Inc. * | 894 | 546,233 | ||||||
Dexcom, Inc. * | 526 | 224,389 | ||||||
Intuitive Surgical, Inc. * | 436 | 401,400 | ||||||
|
| |||||||
1,279,638 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.2% |
| |||||||
HCA Healthcare, Inc. | 2,955 | 610,834 | ||||||
McKesson Corp. | 3,089 | 590,819 | ||||||
|
| |||||||
1,201,653 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.0% |
| |||||||
Airbnb, Inc., Class A * | 75 | 11,449 | ||||||
Booking Holdings, Inc. * | 257 | 562,120 | ||||||
Chipotle Mexican Grill, Inc. * | 346 | 536,108 | ||||||
|
| |||||||
1,109,677 | ||||||||
|
| |||||||
Interactive Media & Services — 16.2% |
| |||||||
Alphabet, Inc., Class C * (a) | 902 | 2,259,853 | ||||||
Facebook, Inc., Class A * | 4,916 | 1,709,176 | ||||||
Match Group, Inc. * | 2,490 | 401,451 | ||||||
Pinterest, Inc., Class A * | 2,410 | 190,262 | ||||||
Snap, Inc., Class A * | 13,712 | 934,329 | ||||||
Twitter, Inc. * | 2,670 | 183,730 | ||||||
Zillow Group, Inc., Class C * (a) | 3,504 | 428,283 | ||||||
|
| |||||||
6,107,084 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.6% |
| |||||||
Amazon.com, Inc. * | 348 | 1,196,849 | ||||||
Etsy, Inc. * (a) | 377 | 77,499 | ||||||
MercadoLibre, Inc. (Argentina) * | 112 | 173,857 | ||||||
Wayfair, Inc., Class A * (a) | 824 | 260,145 | ||||||
|
| |||||||
1,708,350 | ||||||||
|
| |||||||
IT Services — 6.0% |
| |||||||
Cognizant Technology Solutions Corp., Class A | 1,636 | 113,341 | ||||||
Mastercard, Inc., Class A | 1,138 | 415,545 | ||||||
MongoDB, Inc. * (a) | 74 | 26,716 | ||||||
PayPal Holdings, Inc. * | 4,343 | 1,265,796 | ||||||
Shopify, Inc., Class A (Canada) * | 7 | 10,081 | �� | |||||
Square, Inc., Class A * | 1,466 | 357,338 | ||||||
Twilio, Inc., Class A * | 121 | 47,536 | ||||||
|
| |||||||
2,236,353 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 0.2% |
| |||||||
Thermo Fisher Scientific, Inc. | 164 | 82,662 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 57 |
Table of Contents
JPMorgan Large Cap Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Machinery — 3.2% |
| |||||||
Deere & Co. | 3,349 | 1,181,303 | ||||||
|
| |||||||
Metals & Mining — 1.5% |
| |||||||
Freeport-McMoRan, Inc. | 14,994 | 556,423 | ||||||
|
| |||||||
Personal Products — 1.5% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 1,808 | 575,144 | ||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
Verisk Analytics, Inc. | 990 | 173,043 | ||||||
|
| |||||||
Road & Rail — 2.4% |
| |||||||
Norfolk Southern Corp. | 2,189 | 580,930 | ||||||
Uber Technologies, Inc. * | 6,535 | 327,524 | ||||||
|
| |||||||
908,454 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.8% |
| |||||||
Advanced Micro Devices, Inc. * | 4,234 | 397,681 | ||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 798 | 551,083 | ||||||
Cree, Inc. * (a) | 1,425 | 139,511 | ||||||
Enphase Energy, Inc. * (a) | 108 | 19,905 | ||||||
Lam Research Corp. | 881 | 573,528 | ||||||
NVIDIA Corp. | 440 | 351,697 | ||||||
QUALCOMM, Inc. | 2,343 | 334,856 | ||||||
Texas Instruments, Inc. | 2,864 | 550,651 | ||||||
|
| |||||||
2,918,912 | ||||||||
|
| |||||||
Software — 8.6% |
| |||||||
HubSpot, Inc. * | 170 | 99,295 | ||||||
Microsoft Corp. | 6,497 | 1,759,928 | ||||||
Oracle Corp. | 5,299 | 412,459 | ||||||
SS&C Technologies Holdings, Inc. | 5,294 | 381,450 | ||||||
Synopsys, Inc. * | 1,287 | 354,969 | ||||||
Trade Desk, Inc. (The), Class A * | 208 | 16,091 | ||||||
Workday, Inc., Class A * | 905 | 216,036 | ||||||
|
| |||||||
3,240,228 | ||||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
AutoZone, Inc. * | 215 | 321,445 | ||||||
Carvana Co. * (a) | 1,019 | 307,585 | ||||||
Lowe’s Cos., Inc. | 3,062 | 593,858 | ||||||
|
| |||||||
1,222,888 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.8% |
| |||||||
Apple, Inc. | 15,866 | 2,173,070 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
Tapestry, Inc. * | 10,235 | 445,026 | ||||||
|
| |||||||
Total Common Stocks |
| 35,896,004 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 5.2% |
| |||||||
Investment Companies — 4.1% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 1,500,482 | 1,501,233 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 1.1% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 314,119 | 314,119 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 113,675 | 113,675 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 427,794 | |||||||
|
| |||||||
Total Short-Term Investments | 1,929,027 | |||||||
|
| |||||||
Total Investments — 101.1% | 37,825,031 | |||||||
Liabilities in Excess of | (408,651 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 37,416,380 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
NYRS | New York Registry Shares | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $422,906. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
58 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 98.5% |
| |||||||
Aerospace & Defense — 4.3% |
| |||||||
Boeing Co. (The) * | 419 | 100,280 | ||||||
Raytheon Technologies Corp. | 1,030 | 87,852 | ||||||
|
| |||||||
188,132 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.7% |
| |||||||
FedEx Corp. | 254 | 75,806 | ||||||
|
| |||||||
Airlines — 1.7% |
| |||||||
Spirit Airlines, Inc. * | 1,046 | 31,838 | ||||||
United Airlines Holdings, Inc. * (a) | 787 | 41,152 | ||||||
|
| |||||||
72,990 | ||||||||
|
| |||||||
Automobiles — 2.3% |
| |||||||
Ford Motor Co. * | 1,111 | 16,509 | ||||||
General Motors Co. * | 1,378 | 81,537 | ||||||
|
| |||||||
98,046 | ||||||||
|
| |||||||
Banks — 11.2% |
| |||||||
Bank of America Corp. | 3,424 | 141,184 | ||||||
Citigroup, Inc. | 1,044 | 73,837 | ||||||
People’s United Financial, Inc. | 2,427 | 41,602 | ||||||
Truist Financial Corp. | 1,095 | 60,750 | ||||||
Wells Fargo & Co. | 3,649 | 165,241 | ||||||
|
| |||||||
482,614 | ||||||||
|
| |||||||
Beverages — 1.3% |
| |||||||
Coca-Cola Co. (The) | 1,053 | 56,972 | ||||||
|
| |||||||
Biotechnology — 5.8% |
| |||||||
AbbVie, Inc. | 588 | 66,277 | ||||||
Biogen, Inc. * | 93 | 32,342 | ||||||
BioMarin Pharmaceutical, Inc. * | 160 | 13,350 | ||||||
Regeneron Pharmaceuticals, Inc. * | 137 | 76,632 | ||||||
Vertex Pharmaceuticals, Inc. * | 311 | 62,687 | ||||||
|
| |||||||
251,288 | ||||||||
|
| |||||||
Building Products — 4.2% |
| |||||||
Carrier Global Corp. | 660 | 32,095 | ||||||
Owens Corning | 1,014 | 99,251 | ||||||
Trane Technologies plc | 271 | 49,872 | ||||||
|
| |||||||
181,218 | ||||||||
|
| |||||||
Capital Markets — 3.6% |
| |||||||
Intercontinental Exchange, Inc. | 416 | 49,367 | ||||||
State Street Corp. | 1,281 | 105,385 | ||||||
|
| |||||||
154,752 | ||||||||
|
| |||||||
Chemicals — 4.6% |
| |||||||
Celanese Corp. | 456 | 69,088 | ||||||
Eastman Chemical Co. | 263 | 30,717 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued |
| |||||||
FMC Corp. | 939 | 101,567 | ||||||
|
| |||||||
201,372 | ||||||||
|
| |||||||
Communications Equipment — 1.4% |
| |||||||
Cisco Systems, Inc. | 1,125 | 59,625 | ||||||
|
| |||||||
Containers & Packaging — 1.4% |
| |||||||
Westrock Co. | 1,110 | 59,080 | ||||||
|
| |||||||
Electric Utilities — 0.9% |
| |||||||
PG&E Corp. * | 3,836 | 39,009 | ||||||
|
| |||||||
Energy Equipment & Services — 0.3% |
| |||||||
Schlumberger NV | 428 | 13,713 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.9% |
| |||||||
AvalonBay Communities, Inc. | 233 | 48,687 | ||||||
Host Hotels & Resorts, Inc. * | 3,253 | 55,596 | ||||||
Prologis, Inc. | 180 | 21,515 | ||||||
|
| |||||||
125,798 | ||||||||
|
| |||||||
Food & Staples Retailing — 4.0% |
| |||||||
BJ’s Wholesale Club Holdings, Inc. * (a) | 384 | 18,266 | ||||||
US Foods Holding Corp. * | 4,053 | 155,477 | ||||||
|
| |||||||
173,743 | ||||||||
|
| |||||||
Food Products — 2.7% |
| |||||||
Lamb Weston Holdings, Inc. | 1,453 | 117,231 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 1.2% |
| |||||||
Zimmer Biomet Holdings, Inc. | 324 | 52,074 | ||||||
|
| |||||||
Health Care Providers & Services — 5.7% |
| |||||||
Centene Corp. * | 625 | 45,596 | ||||||
Cigna Corp. | 487 | 115,429 | ||||||
CVS Health Corp. | 400 | 33,384 | ||||||
UnitedHealth Group, Inc. | 138 | 55,221 | ||||||
|
| |||||||
249,630 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.3% |
| |||||||
Darden Restaurants, Inc. | 115 | 16,847 | ||||||
McDonald’s Corp. | 213 | 49,270 | ||||||
Royal Caribbean Cruises Ltd. * | 900 | 76,786 | ||||||
|
| |||||||
142,903 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
Toll Brothers, Inc. | 386 | 22,309 | ||||||
|
| |||||||
Industrial Conglomerates — 1.4% |
| |||||||
Honeywell International, Inc. | 278 | 60,957 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 59 |
Table of Contents
JPMorgan Large Cap Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Insurance — 3.4% |
| |||||||
American International Group, Inc. | 1,600 | 76,160 | ||||||
Prudential Financial, Inc. | 718 | 73,532 | ||||||
|
| |||||||
149,692 | ||||||||
|
| |||||||
Interactive Media & Services — 0.6% |
| |||||||
Alphabet, Inc., Class A * | 11 | 25,883 | ||||||
|
| |||||||
IT Services — 2.3% |
| |||||||
Sabre Corp. * (a) | 2,448 | 30,547 | ||||||
WEX, Inc. * | 356 | 69,009 | ||||||
|
| |||||||
99,556 | ||||||||
|
| |||||||
Machinery — 1.4% |
| |||||||
Parker-Hannifin Corp. | 203 | 62,374 | ||||||
|
| |||||||
Media — 2.7% |
| |||||||
Comcast Corp., Class A | 2,061 | 117,507 | ||||||
|
| |||||||
Metals & Mining — 3.6% |
| |||||||
Alcoa Corp. * | 1,311 | 48,308 | ||||||
Freeport-McMoRan, Inc. | 2,889 | 107,211 | ||||||
|
| |||||||
155,519 | ||||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
Kohl’s Corp. | 665 | 36,648 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 9.7% |
| |||||||
Chevron Corp. | 727 | 76,146 | ||||||
Diamondback Energy, Inc. | 736 | 69,094 | ||||||
EOG Resources, Inc. | 860 | 71,783 | ||||||
Occidental Petroleum Corp. | 1,197 | 37,433 | ||||||
Phillips 66 | 863 | 74,071 | ||||||
Pioneer Natural Resources Co. | 543 | 88,270 | ||||||
|
| |||||||
416,797 | ||||||||
|
| |||||||
Pharmaceuticals — 2.3% |
| |||||||
Bristol-Myers Squibb Co. | 1,335 | 89,232 | ||||||
Organon & Co. * | 359 | 10,857 | ||||||
|
| |||||||
100,089 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Norfolk Southern Corp. | 158 | 41,829 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 1.2% |
| |||||||
Intel Corp. | 582 | 32,691 | ||||||
ON Semiconductor Corp. * | 552 | 21,111 | ||||||
|
| |||||||
53,802 | ||||||||
|
| |||||||
Specialty Retail — 1.2% |
| |||||||
AutoNation, Inc. * (a) | 540 | 51,233 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Technology Hardware, Storage & Peripherals — 1.0% |
| |||||||
Seagate Technology Holdings plc (Ireland) | 510 | 44,853 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.9% |
| |||||||
Tapestry, Inc. * | 911 | 39,601 | ||||||
|
| |||||||
Total Common Stocks | 4,274,645 | |||||||
|
| |||||||
Short-Term Investments — 2.0% |
| |||||||
Investment Companies — 1.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 57,297 | 57,325 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.7% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 7,896 | 7,897 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 23,462 | 23,462 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 31,359 | |||||||
|
| |||||||
Total Short-Term Investments | 88,684 | |||||||
|
| |||||||
Total Investments — 100.5% | 4,363,329 | |||||||
Liabilities in Excess of | (21,859 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 4,341,470 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $30,637. | |
(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 June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
60 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.0% |
| |||||||
Aerospace & Defense — 0.8% |
| |||||||
Raytheon Technologies Corp. | 25 | 2,141 | ||||||
|
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
United Parcel Service, Inc., Class B | 5 | 957 | ||||||
|
| |||||||
Airlines — 0.7% |
| |||||||
Delta Air Lines, Inc. * | 44 | 1,916 | ||||||
|
| |||||||
Auto Components — 0.9% |
| |||||||
Lear Corp. | 14 | 2,366 | ||||||
|
| |||||||
Banks — 9.8% |
| |||||||
Bank of America Corp. | 197 | 8,134 | ||||||
Citigroup, Inc. | 82 | 5,785 | ||||||
Citizens Financial Group, Inc. | 50 | 2,312 | ||||||
Sterling Bancorp | 71 | 1,768 | ||||||
Truist Financial Corp. | 17 | 944 | ||||||
Wells Fargo & Co. | 86 | 3,908 | ||||||
Western Alliance Bancorp | 23 | 2,145 | ||||||
Zions Bancorp NA | 36 | 1,887 | ||||||
|
| |||||||
26,883 | ||||||||
|
| |||||||
Biotechnology — 2.6% |
| |||||||
AbbVie, Inc. | 38 | 4,266 | ||||||
Biogen, Inc. * | 4 | 1,489 | ||||||
Exelixis, Inc. * | 29 | 525 | ||||||
Horizon Therapeutics plc * | 9 | 815 | ||||||
|
| |||||||
7,095 | ||||||||
|
| |||||||
Building Products — 2.7% |
| |||||||
Johnson Controls International plc | 42 | 2,882 | ||||||
Trane Technologies plc | 24 | 4,457 | ||||||
|
| |||||||
7,339 | ||||||||
|
| |||||||
Capital Markets — 2.4% |
| |||||||
Affiliated Managers Group, Inc. | 9 | 1,326 | ||||||
Ameriprise Financial, Inc. | 2 | 448 | ||||||
Goldman Sachs Group, Inc. (The) | 10 | 3,606 | ||||||
Jefferies Financial Group, Inc. | 40 | 1,371 | ||||||
|
| |||||||
6,751 | ||||||||
|
| |||||||
Chemicals — 2.5% |
| |||||||
Celanese Corp. | 10 | 1,471 | ||||||
DuPont de Nemours, Inc. | 43 | 3,289 | ||||||
Eastman Chemical Co. | 7 | 829 | ||||||
Huntsman Corp. | 52 | 1,390 | ||||||
|
| |||||||
6,979 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Republic Services, Inc. | 10 | 1,122 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Communications Equipment — 0.9% |
| |||||||
Cisco Systems, Inc. | 47 | 2,465 | ||||||
|
| |||||||
Construction & Engineering — 0.9% |
| |||||||
AECOM * | 21 | 1,298 | ||||||
Quanta Services, Inc. | 12 | 1,078 | ||||||
|
| |||||||
2,376 | ||||||||
|
| |||||||
Consumer Finance — 2.5% |
| |||||||
Ally Financial, Inc. | 46 | 2,312 | ||||||
Capital One Financial Corp. | 10 | 1,470 | ||||||
Discover Financial Services | 7 | 864 | ||||||
Synchrony Financial | 48 | 2,343 | ||||||
|
| |||||||
6,989 | ||||||||
|
| |||||||
Containers & Packaging — 1.5% |
| |||||||
Berry Global Group, Inc. * | 32 | 2,061 | ||||||
Crown Holdings, Inc. | 19 | 1,973 | ||||||
|
| |||||||
4,034 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.4% |
| |||||||
H&R Block, Inc. | 47 | 1,092 | ||||||
|
| |||||||
Diversified Financial Services — 2.2% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 16 | 4,377 | ||||||
Voya Financial, Inc. | 29 | 1,759 | ||||||
|
| |||||||
6,136 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 2.5% |
| |||||||
Verizon Communications, Inc. | 124 | 6,920 | ||||||
|
| |||||||
Electric Utilities — 2.4% |
| |||||||
Exelon Corp. | 76 | 3,372 | ||||||
NextEra Energy, Inc. | 33 | 2,382 | ||||||
Southern Co. (The) | 14 | 865 | ||||||
|
| |||||||
6,619 | ||||||||
|
| |||||||
Electrical Equipment — 1.9% |
| |||||||
Eaton Corp. plc | 36 | 5,320 | ||||||
|
| |||||||
Entertainment — 0.4% |
| |||||||
Walt Disney Co. (The) * | 6 | 1,002 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.6% |
| |||||||
Essex Property Trust, Inc. | 6 | 1,770 | ||||||
Invitation Homes, Inc. | 54 | 2,029 | ||||||
Kilroy Realty Corp. | 14 | 982 | ||||||
VEREIT, Inc. | 26 | 1,214 | ||||||
VICI Properties, Inc. | 40 | 1,247 | ||||||
|
| |||||||
7,242 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
Sysco Corp. | 39 | 3,009 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 61 |
Table of Contents
JPMorgan U.S. Applied Data Science Value Fund
(formerly known as JPMorgan Intrepid Value Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Food Products — 1.8% |
| |||||||
Bunge Ltd. | 25 | 1,930 | ||||||
Mondelez International, Inc., Class A | 18 | 1,111 | ||||||
Tyson Foods, Inc., Class A | 28 | 2,037 | ||||||
|
| |||||||
5,078 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.3% |
| |||||||
Medtronic plc | 51 | 6,343 | ||||||
|
| |||||||
Health Care Providers & Services — 3.8% |
| |||||||
Anthem, Inc. | 14 | 5,384 | ||||||
Centene Corp. * | 17 | 1,254 | ||||||
Cigna Corp. | 7 | 1,683 | ||||||
HCA Healthcare, Inc. | 7 | 1,427 | ||||||
McKesson Corp. | 4 | 841 | ||||||
|
| |||||||
10,589 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||||
Darden Restaurants, Inc. | 13 | 1,964 | ||||||
Expedia Group, Inc. * | 13 | 2,161 | ||||||
Las Vegas Sands Corp. * | 19 | 1,006 | ||||||
Travel + Leisure Co. | 35 | 2,075 | ||||||
|
| |||||||
7,206 | ||||||||
|
| |||||||
Household Durables — 1.3% |
| |||||||
PulteGroup, Inc. | 24 | 1,326 | ||||||
Whirlpool Corp. | 10 | 2,158 | ||||||
|
| |||||||
3,484 | ||||||||
|
| |||||||
Household Products — 1.8% |
| |||||||
Procter & Gamble Co. (The) | 23 | 3,103 | ||||||
Spectrum Brands Holdings, Inc. | 23 | 1,939 | ||||||
|
| |||||||
5,042 | ||||||||
|
| |||||||
Insurance — 2.2% |
| |||||||
Allstate Corp. (The) | 12 | 1,591 | ||||||
MetLife, Inc. | 13 | 790 | ||||||
Prudential Financial, Inc. | 22 | 2,204 | ||||||
Travelers Cos., Inc. (The) | 10 | 1,437 | ||||||
|
| |||||||
6,022 | ||||||||
|
| |||||||
Interactive Media & Services — 3.7% |
| |||||||
Alphabet, Inc., Class A * | 2 | 4,029 | ||||||
Alphabet, Inc., Class C * | 2 | 5,112 | ||||||
Zillow Group, Inc., Class C * | 9 | 1,076 | ||||||
|
| |||||||
10,217 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.4% |
| |||||||
Qurate Retail, Inc., Series A | 82 | 1,067 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
IT Services — 0.7% |
| |||||||
DXC Technology Co. * | 29 | 1,118 | ||||||
Mastercard, Inc., Class A | 2 | 898 | ||||||
|
| |||||||
2,016 | ||||||||
|
| |||||||
Leisure Products — 0.6% |
| |||||||
Brunswick Corp. | 16 | 1,564 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.4% |
| |||||||
Agilent Technologies, Inc. | 18 | 2,646 | ||||||
IQVIA Holdings, Inc. * | 5 | 1,187 | ||||||
|
| |||||||
3,833 | ||||||||
|
| |||||||
Machinery — 2.8% |
| |||||||
AGCO Corp. | 12 | 1,512 | ||||||
Deere & Co. | 6 | 1,940 | ||||||
Parker-Hannifin Corp. | 7 | 2,218 | ||||||
Snap-on, Inc. | 9 | 2,011 | ||||||
|
| |||||||
7,681 | ||||||||
|
| |||||||
Media — 3.0% |
| |||||||
Charter Communications, Inc., Class A * | 5 | 3,427 | ||||||
Comcast Corp., Class A | 38 | 2,161 | ||||||
Fox Corp., Class B | 22 | 764 | ||||||
Nexstar Media Group, Inc., Class A | 5 | 769 | ||||||
Omnicom Group, Inc. | 16 | 1,248 | ||||||
|
| |||||||
8,369 | ||||||||
|
| |||||||
Metals & Mining — 0.9% |
| |||||||
Freeport-McMoRan, Inc. | 68 | 2,535 | ||||||
|
| |||||||
Multiline Retail — 1.3% |
| |||||||
Target Corp. | 15 | 3,723 | ||||||
|
| |||||||
Multi-Utilities — 1.8% |
| |||||||
Dominion Energy, Inc. | 45 | 3,274 | ||||||
Sempra Energy | 13 | 1,735 | ||||||
|
| |||||||
5,009 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.7% |
| |||||||
Cheniere Energy, Inc. * | 25 | 2,203 | ||||||
Chevron Corp. | 12 | 1,294 | ||||||
Cimarex Energy Co. | 36 | 2,614 | ||||||
ConocoPhillips | 27 | 1,645 | ||||||
EOG Resources, Inc. | 21 | 1,761 | ||||||
Exxon Mobil Corp. | 40 | 2,536 | ||||||
Kinder Morgan, Inc. | 129 | 2,355 | ||||||
Williams Cos., Inc. (The) | 52 | 1,370 | ||||||
|
| |||||||
15,778 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
62 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Pharmaceuticals — 3.1% |
| |||||||
Bristol-Myers Squibb Co. | 77 | 5,132 | ||||||
Jazz Pharmaceuticals plc * | 13 | 2,309 | ||||||
Johnson & Johnson | 7 | 1,203 | ||||||
|
| |||||||
8,644 | ||||||||
|
| |||||||
Professional Services — 0.5% |
| |||||||
ManpowerGroup, Inc. | 11 | 1,296 | ||||||
|
| |||||||
Real Estate Management & Development — 0.8% |
| |||||||
CBRE Group, Inc., Class A * | 26 | 2,195 | ||||||
|
| |||||||
Road & Rail — 1.9% |
| |||||||
CSX Corp. | 91 | 2,919 | ||||||
Old Dominion Freight Line, Inc. | 6 | 1,497 | ||||||
Union Pacific Corp. | 4 | 858 | ||||||
|
| |||||||
5,274 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.4% |
| |||||||
Intel Corp. | 33 | 1,875 | ||||||
Lam Research Corp. | 7 | 4,549 | ||||||
Qorvo, Inc. * | 5 | 880 | ||||||
QUALCOMM, Inc. | 14 | 1,958 | ||||||
|
| |||||||
9,262 | ||||||||
|
| |||||||
Software — 2.2% |
| |||||||
Dropbox, Inc., Class A * | 20 | 597 | ||||||
Microsoft Corp. | 15 | 4,036 | ||||||
Oracle Corp. | 20 | 1,557 | ||||||
|
| |||||||
6,190 | ||||||||
|
| |||||||
Specialty Retail — 1.1% |
| |||||||
Foot Locker, Inc. | 18 | 1,079 | ||||||
Lowe’s Cos., Inc. | 10 | 1,959 | ||||||
|
| |||||||
3,038 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Technology Hardware, Storage & Peripherals — 1.2% |
| |||||||
Dell Technologies, Inc., Class C * | 14 | 1,435 | ||||||
Hewlett Packard Enterprise Co. | 134 | 1,950 | ||||||
|
| |||||||
3,385 | ||||||||
|
| |||||||
Tobacco — 1.6% |
| |||||||
Altria Group, Inc. | 69 | 3,270 | ||||||
Philip Morris International, Inc. | 12 | 1,160 | ||||||
|
| |||||||
4,430 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.7% |
| |||||||
United Rentals, Inc. * | 6 | 1,850 | ||||||
|
| |||||||
Total Common Stocks | 267,873 | |||||||
|
| |||||||
Short-Term Investments — 3.3% |
| |||||||
Investment Companies — 3.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 9,178 | 9,182 | ||||||
|
| |||||||
Total Investments — 100.3% | 277,055 | |||||||
Liabilities in Excess of | (776 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 276,279 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 36 | 09/2021 | USD | 7,719 | 107 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 63 |
Table of Contents
JPMorgan U.S. Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.0% |
| |||||||
Aerospace & Defense — 1.1% |
| |||||||
Northrop Grumman Corp. | 612 | 222,320 | ||||||
|
| |||||||
Automobiles — 1.9% |
| |||||||
Tesla, Inc. * | 557 | 378,711 | ||||||
|
| |||||||
Banks — 6.7% |
| |||||||
SVB Financial Group * (a) | 115 | 63,992 | ||||||
Truist Financial Corp. | 8,531 | 473,445 | ||||||
US Bancorp (a) | 5,880 | 334,976 | ||||||
Wells Fargo & Co. | 9,904 | 448,535 | ||||||
|
| |||||||
1,320,948 | ||||||||
|
| |||||||
Beverages — 2.8% |
| |||||||
Coca-Cola Co. (The) | 10,442 | 565,038 | ||||||
|
| |||||||
Biotechnology — 4.1% |
| |||||||
AbbVie, Inc. | 4,403 | 495,903 | ||||||
Biogen, Inc. * | 511 | 176,810 | ||||||
Regeneron Pharmaceuticals, Inc. * | 248 | 138,434 | ||||||
|
| |||||||
811,147 | ||||||||
|
| |||||||
Capital Markets — 4.7% |
| |||||||
Ameriprise Financial, Inc. | 931 | 231,607 | ||||||
Morgan Stanley | 4,214 | 386,389 | ||||||
S&P Global, Inc. | 747 | 306,797 | ||||||
|
| |||||||
924,793 | ||||||||
|
| |||||||
Chemicals — 2.5% |
| |||||||
Eastman Chemical Co. | 2,079 | 242,761 | ||||||
PPG Industries, Inc. | 1,469 | 249,457 | ||||||
|
| |||||||
492,218 | ||||||||
|
| |||||||
Containers & Packaging — 0.5% |
| |||||||
Crown Holdings, Inc. | 956 | 97,702 | ||||||
|
| |||||||
Electric Utilities — 4.1% |
| |||||||
NextEra Energy, Inc. | 6,386 | 467,988 | ||||||
Xcel Energy, Inc. | 5,142 | 338,732 | ||||||
|
| |||||||
806,720 | ||||||||
|
| |||||||
Electrical Equipment — 3.2% |
| |||||||
Eaton Corp. plc | 4,283 | 634,717 | ||||||
|
| |||||||
Entertainment — 0.2% |
| |||||||
Netflix, Inc. * | 83 | 43,756 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.9% |
| |||||||
Prologis, Inc. | 4,731 | 565,555 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.5% |
| |||||||
Boston Scientific Corp. * | 6,683 | 285,782 | ||||||
Intuitive Surgical, Inc. * | 227 | 209,131 | ||||||
|
| |||||||
494,913 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — 1.6% |
| |||||||
Cigna Corp. | 1,358 | 321,870 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 4.9% |
| |||||||
Marriott International, Inc., Class A * | 2,553 | 348,587 | ||||||
McDonald’s Corp. | 2,116 | 488,757 | ||||||
Yum! Brands, Inc. | 1,139 | 130,998 | ||||||
|
| |||||||
968,342 | ||||||||
|
| |||||||
Insurance — 1.0% |
| |||||||
Progressive Corp. (The) | 1,962 | 192,696 | ||||||
|
| |||||||
Interactive Media & Services — 8.3% |
| |||||||
Alphabet, Inc., Class A * | 570 | 1,391,047 | ||||||
Facebook, Inc., Class A * | 772 | 268,366 | ||||||
|
| |||||||
1,659,413 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.4% |
| |||||||
Amazon.com, Inc. * | 309 | 1,064,547 | ||||||
|
| |||||||
IT Services — 6.4% |
| |||||||
Affirm Holdings, Inc. * (a) | 866 | 58,293 | ||||||
FleetCor Technologies, Inc. * | 796 | 203,700 | ||||||
Mastercard, Inc., Class A | 2,389 | 872,221 | ||||||
Shopify, Inc., Class A (Canada) * | 66 | 95,808 | ||||||
Visa, Inc., Class A | 153 | 35,872 | ||||||
|
| |||||||
1,265,894 | ||||||||
|
| |||||||
Machinery — 1.3% |
| |||||||
Deere & Co. | 425 | 150,061 | ||||||
Stanley Black & Decker, Inc. | 548 | 112,283 | ||||||
|
| |||||||
262,344 | ||||||||
|
| |||||||
Media — 0.6% |
| |||||||
Charter Communications, Inc., Class A * | 161 | 116,001 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.3% |
| |||||||
Pioneer Natural Resources Co. | 378 | 61,408 | ||||||
|
| |||||||
Pharmaceuticals — 3.2% |
| |||||||
Bristol-Myers Squibb Co. | 5,426 | 362,554 | ||||||
Eli Lilly & Co. | 1,228 | 281,782 | ||||||
|
| |||||||
644,336 | ||||||||
|
| |||||||
Professional Services — 1.5% |
| |||||||
Leidos Holdings, Inc. | 2,870 | 290,185 | ||||||
|
| |||||||
Road & Rail — 3.2% |
| |||||||
Norfolk Southern Corp. | 2,357 | 625,614 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.5% |
| |||||||
Advanced Micro Devices, Inc. * | 2,444 | 229,526 | ||||||
Analog Devices, Inc. | 3,601 | 619,986 |
SEE NOTES TO FINANCIAL STATEMENTS.
64 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
ASML Holding NV (Registered), NYRS (Netherlands) | 348 | 240,681 | ||||||
Lam Research Corp. | 188 | 122,303 | ||||||
NXP Semiconductors NV (China) | 1,412 | 290,539 | ||||||
|
| |||||||
1,503,035 | ||||||||
|
| |||||||
Software — 7.5% |
| |||||||
Ceridian HCM Holding, Inc. * (a) | 1,094 | 104,906 | ||||||
Microsoft Corp. | 5,184 | 1,404,408 | ||||||
|
| |||||||
1,509,314 | ||||||||
|
| |||||||
Specialty Retail — 3.5% |
| |||||||
Lowe’s Cos., Inc. | 1,814 | 351,852 | ||||||
O’Reilly Automotive, Inc. * | 310 | 175,690 | ||||||
Ross Stores, Inc. | 1,339 | 166,054 | ||||||
|
| |||||||
693,596 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 5.6% |
| |||||||
Apple, Inc. | 8,098 | 1,109,071 | ||||||
|
| |||||||
Total Common Stocks | 19,646,204 | |||||||
|
| |||||||
Short-Term Investments — 1.3% |
| |||||||
Investment Companies — 1.1% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 228,732 | 228,846 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment of Cash Collateral from Securities Loaned — 0.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 26,995 | 26,995 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 3,506 | 3,506 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 30,501 | |||||||
|
| |||||||
Total Short-Term Investments | 259,347 | |||||||
|
| |||||||
Total Investments — 100.3% | 19,905,551 | |||||||
Liabilities in Excess of | (61,900 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 19,843,651 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
NYRS | New York Registry Shares | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $30,132. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 538 | 09/2021 | USD | 115,361 | 1,940 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 65 |
Table of Contents
JPMorgan U.S. GARP Equity Fund
(formerly known as JPMorgan Intrepid Growth Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.6% |
| |||||||
Air Freight & Logistics — 0.3% |
| |||||||
United Parcel Service, Inc., Class B | 21 | 4,347 | ||||||
|
| |||||||
Automobiles — 2.3% |
| |||||||
Tesla, Inc. * | 44 | 29,975 | ||||||
|
| |||||||
Beverages — 0.2% |
| |||||||
Coca-Cola Co. (The) | 58 | 3,128 | ||||||
|
| |||||||
Biotechnology — 3.6% |
| |||||||
AbbVie, Inc. | 236 | 26,635 | ||||||
Biogen, Inc. * | 14 | 4,882 | ||||||
Exelixis, Inc. * | 209 | 3,810 | ||||||
Seagen, Inc. * | 38 | 5,952 | ||||||
Vertex Pharmaceuticals, Inc. * | 30 | 5,988 | ||||||
|
| |||||||
47,267 | ||||||||
|
| |||||||
Building Products — 1.6% |
| |||||||
Allegion plc | 41 | 5,656 | ||||||
Fortune Brands Home & Security, Inc. | 39 | 3,845 | ||||||
Trane Technologies plc | 63 | 11,545 | ||||||
|
| |||||||
21,046 | ||||||||
|
| |||||||
Capital Markets — 0.4% |
| |||||||
S&P Global, Inc. | 13 | 5,459 | ||||||
|
| |||||||
Commercial Services & Supplies — 0.5% |
| |||||||
Waste Management, Inc. | 43 | 6,081 | ||||||
|
| |||||||
Construction & Engineering — 0.6% |
| |||||||
Quanta Services, Inc. | 82 | 7,418 | ||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
Capital One Financial Corp. | 40 | 6,188 | ||||||
|
| |||||||
Containers & Packaging — 0.4% |
| |||||||
Berry Global Group, Inc. * | 75 | 4,878 | ||||||
|
| |||||||
Entertainment — 1.0% |
| |||||||
Electronic Arts, Inc. | 28 | 4,013 | ||||||
Netflix, Inc. * | 17 | 9,138 | ||||||
|
| |||||||
13,151 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.5% |
| |||||||
American Tower Corp. | 38 | 10,184 | ||||||
Equinix, Inc. | 11 | 8,989 | ||||||
|
| |||||||
19,173 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.1% |
| |||||||
Costco Wholesale Corp. | 13 | 5,302 | ||||||
Sysco Corp. | 122 | 9,470 | ||||||
|
| |||||||
14,772 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food Products — 1.7% |
| |||||||
Bunge Ltd. | 65 | 5,095 | ||||||
Hershey Co. (The) | 59 | 10,242 | ||||||
Mondelez International, Inc., Class A | 108 | 6,731 | ||||||
|
| |||||||
22,068 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 1.8% |
| |||||||
Medtronic plc | 105 | 13,008 | ||||||
Stryker Corp. | 38 | 9,974 | ||||||
|
| |||||||
22,982 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.2% |
| |||||||
Anthem, Inc. | 13 | 5,116 | ||||||
HCA Healthcare, Inc. | 39 | 7,980 | ||||||
Humana, Inc. | 17 | 7,659 | ||||||
UnitedHealth Group, Inc. | 19 | 7,408 | ||||||
|
| |||||||
28,163 | ||||||||
|
| |||||||
Health Care Technology — 0.7% |
| |||||||
Cerner Corp. | 123 | 9,629 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.4% |
| |||||||
Airbnb, Inc., Class A * | 18 | 2,784 | ||||||
Booking Holdings, Inc. * | 4 | 7,877 | ||||||
Darden Restaurants, Inc. | 38 | 5,489 | ||||||
Expedia Group, Inc. * | 57 | 9,365 | ||||||
Las Vegas Sands Corp. * | 111 | 5,854 | ||||||
|
| |||||||
31,369 | ||||||||
|
| |||||||
Household Durables — 1.0% |
| |||||||
PulteGroup, Inc. | 114 | 6,210 | ||||||
Toll Brothers, Inc. | 111 | 6,417 | ||||||
|
| |||||||
12,627 | ||||||||
|
| |||||||
Household Products — 1.2% |
| |||||||
Procter & Gamble Co. (The) | 112 | 15,153 | ||||||
|
| |||||||
Insurance — 0.5% |
| |||||||
Arch Capital Group Ltd. * | 98 | 3,808 | ||||||
Progressive Corp. (The) | 26 | 2,593 | ||||||
|
| |||||||
6,401 | ||||||||
|
| |||||||
Interactive Media & Services — 10.8% |
| |||||||
Alphabet, Inc., Class A * | 14 | 34,429 | ||||||
Alphabet, Inc., Class C * | 14 | 34,587 | ||||||
Facebook, Inc., Class A * | 187 | 65,021 | ||||||
Zillow Group, Inc., Class C * | 63 | 7,749 | ||||||
|
| |||||||
141,786 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
66 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Internet & Direct Marketing Retail — 7.5% |
| |||||||
Amazon.com, Inc. * | 24 | 81,876 | ||||||
eBay, Inc. | 231 | 16,204 | ||||||
|
| |||||||
98,080 | ||||||||
|
| |||||||
IT Services — 6.0% |
| |||||||
Mastercard, Inc., Class A | 114 | 41,766 | ||||||
PayPal Holdings, Inc. * | 84 | 24,339 | ||||||
Visa, Inc., Class A | 52 | 12,112 | ||||||
|
| |||||||
78,217 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
Agilent Technologies, Inc. | 82 | 12,165 | ||||||
Thermo Fisher Scientific, Inc. | 16 | 8,122 | ||||||
|
| |||||||
20,287 | ||||||||
|
| |||||||
Machinery — 1.3% |
| |||||||
Deere & Co. | 14 | 5,079 | ||||||
Parker-Hannifin Corp. | 18 | 5,405 | ||||||
Toro Co. (The) | 60 | 6,637 | ||||||
|
| |||||||
17,121 | ||||||||
|
| |||||||
Media — 0.7% |
| |||||||
Altice USA, Inc., Class A * | 274 | 9,365 | ||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
Target Corp. | 53 | 12,764 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 0.6% |
| |||||||
Cheniere Energy, Inc. * | 96 | 8,344 | ||||||
|
| |||||||
Pharmaceuticals — 0.7% |
| |||||||
Bristol-Myers Squibb Co. | 145 | 9,709 | ||||||
|
| |||||||
Road & Rail — 2.2% |
| |||||||
CSX Corp. | 374 | 11,991 | ||||||
Lyft, Inc., Class A * | 177 | 10,723 | ||||||
Old Dominion Freight Line, Inc. | 26 | 6,650 | ||||||
|
| |||||||
29,364 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.2% |
| |||||||
Applied Materials, Inc. | 135 | 19,196 | ||||||
Lam Research Corp. | 39 | 25,312 | ||||||
NVIDIA Corp. | 21 | 16,962 | ||||||
NXP Semiconductors NV (China) | 72 | 14,730 | ||||||
Qorvo, Inc. * | 25 | 4,793 | ||||||
Texas Instruments, Inc. | 67 | 12,942 | ||||||
|
| |||||||
93,935 | ||||||||
|
| |||||||
Software — 20.1% |
| |||||||
Adobe, Inc. * | 62 | 36,251 | ||||||
Cadence Design Systems, Inc. * | 84 | 11,424 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Software — continued |
| |||||||
Dropbox, Inc., Class A * | 357 | 10,833 | ||||||
Fortinet, Inc. * | 52 | 12,457 | ||||||
HubSpot, Inc. * | 8 | 4,603 | ||||||
Intuit, Inc. | 60 | 29,263 | ||||||
Microsoft Corp. | 462 | 125,225 | ||||||
Palo Alto Networks, Inc. * | 28 | 10,278 | ||||||
PTC, Inc. * | 57 | 7,995 | ||||||
VMware, Inc., Class A * (a) | 22 | 3,487 | ||||||
Workday, Inc., Class A * | 49 | 11,746 | ||||||
|
| |||||||
263,562 | ||||||||
|
| |||||||
Specialty Retail — 2.8% |
| |||||||
AutoZone, Inc. * | 4 | 6,417 | ||||||
L Brands, Inc. | 106 | 7,617 | ||||||
Lowe’s Cos., Inc. | 117 | 22,713 | ||||||
|
| |||||||
36,747 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 9.6% |
| |||||||
Apple, Inc. | 833 | 114,020 | ||||||
Dell Technologies, Inc., Class C * | 57 | 5,641 | ||||||
Hewlett Packard Enterprise Co. | 375 | 5,463 | ||||||
|
| |||||||
125,124 | ||||||||
|
| |||||||
Total Common Stocks | 1,275,680 | |||||||
|
| |||||||
Short-Term Investments — 2.6% |
| |||||||
Investment Companies — 2.4% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (b) (c) | 31,095 | 31,110 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.2% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b) (c) | 1,994 | 1,994 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | 915 | 915 | ||||||
|
| |||||||
Total Investment of Cash Collateral from Securities Loaned | 2,909 | |||||||
|
| |||||||
Total Short-Term Investments | 34,019 | |||||||
|
| |||||||
Total Investments — 100.2% | 1,309,699 | |||||||
Liabilities in Excess of | (2,111 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 1,307,588 | |||||||
|
|
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 67 |
Table of Contents
JPMorgan U.S. GARP Equity Fund
(formerly known as JPMorgan Intrepid Growth Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $2,790. | |
(b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(c) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 148 | 09/2021 | USD | 31,735 | 512 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
68 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — 125.0% |
| |||||||
Common Stocks — 124.6% |
| |||||||
Aerospace & Defense — 2.0% |
| |||||||
Howmet Aerospace, Inc. * | 134 | 4,629 | ||||||
Northrop Grumman Corp. (a) | �� | 40 | 14,465 | |||||
Raytheon Technologies Corp. | 341 | 29,113 | ||||||
TransDigm Group, Inc. * | 6 | 4,189 | ||||||
|
| |||||||
52,396 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.6% |
| |||||||
FedEx Corp. | 18 | 5,275 | ||||||
United Parcel Service, Inc., Class B | 52 | 10,891 | ||||||
|
| |||||||
16,166 | ||||||||
|
| |||||||
Airlines — 0.2% |
| |||||||
Southwest Airlines Co. * | 93 | 4,927 | ||||||
|
| |||||||
Auto Components — 0.7% |
| |||||||
Aptiv plc * | 9 | 1,357 | ||||||
Magna International, Inc. (Canada) (a) | 179 | 16,543 | ||||||
|
| |||||||
17,900 | ||||||||
|
| |||||||
Banks — 4.6% |
| |||||||
Bank of America Corp. (a) | 646 | 26,630 | ||||||
SVB Financial Group * | 49 | 27,362 | ||||||
Truist Financial Corp. | 401 | 22,244 | ||||||
Wells Fargo & Co. | 990 | 44,829 | ||||||
|
| |||||||
121,065 | ||||||||
|
| |||||||
Beverages — 1.8% |
| |||||||
Coca-Cola Co. (The) (a) | 487 | 26,341 | ||||||
PepsiCo, Inc. (a) | 140 | 20,730 | ||||||
|
| |||||||
47,071 | ||||||||
|
| |||||||
Biotechnology — 3.6% |
| |||||||
AbbVie, Inc. (a) | 339 | 38,213 | ||||||
Biogen, Inc. * (a) | 51 | 17,582 | ||||||
BioMarin Pharmaceutical, Inc. * | 96 | 8,001 | ||||||
Regeneron Pharmaceuticals, Inc. * | 29 | 16,047 | ||||||
Vertex Pharmaceuticals, Inc. * | 78 | 15,631 | ||||||
|
| |||||||
95,474 | ||||||||
|
| |||||||
Building Products — 1.5% |
| |||||||
Fortune Brands Home & Security, Inc. | 21 | 2,075 | ||||||
Johnson Controls International plc | 59 | 4,048 | ||||||
Trane Technologies plc | 184 | 33,879 | ||||||
|
| |||||||
40,002 | ||||||||
|
| |||||||
Capital Markets — 2.7% |
| |||||||
Ameriprise Financial, Inc. | 10 | 2,522 | ||||||
Charles Schwab Corp. (The) | 318 | 23,125 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — continued |
| |||||||
CME Group, Inc. | 55 | 11,665 | ||||||
Morgan Stanley (a) | 347 | 31,796 | ||||||
State Street Corp. | 46 | 3,785 | ||||||
|
| |||||||
72,893 | ||||||||
|
| |||||||
Chemicals — 4.4% |
| |||||||
Air Products and Chemicals, Inc. | 57 | 16,514 | ||||||
Celanese Corp. | 132 | 19,984 | ||||||
DuPont de Nemours, Inc. | 277 | 21,441 | ||||||
Eastman Chemical Co. | 135 | 15,805 | ||||||
Linde plc (United Kingdom) | 106 | 30,695 | ||||||
PPG Industries, Inc. | 77 | 13,003 | ||||||
|
| |||||||
117,442 | ||||||||
|
| |||||||
Consumer Finance — 2.0% |
| |||||||
American Express Co. | 134 | 22,199 | ||||||
Capital One Financial Corp. | 194 | 29,946 | ||||||
|
| |||||||
52,145 | ||||||||
|
| |||||||
Diversified Financial Services — 0.2% |
| |||||||
Voya Financial, Inc. | 78 | 4,776 | ||||||
|
| |||||||
Electric Utilities — 2.3% |
| |||||||
Duke Energy Corp. | 37 | 3,695 | ||||||
Evergy, Inc. | 63 | 3,824 | ||||||
FirstEnergy Corp. | 233 | 8,682 | ||||||
NextEra Energy, Inc. | 370 | 27,096 | ||||||
Xcel Energy, Inc. | 255 | 16,791 | ||||||
|
| |||||||
60,088 | ||||||||
|
| |||||||
Electrical Equipment — 1.0% |
| |||||||
Eaton Corp. plc | 175 | 25,997 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.0% (b) |
| |||||||
Corning, Inc. | 20 | 816 | ||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
Baker Hughes Co. (a) | 238 | 5,438 | ||||||
|
| |||||||
Entertainment — 1.1% |
| |||||||
Electronic Arts, Inc. (a) | 55 | 7,965 | ||||||
Endeavor Group Holdings, Inc., Class A * | 225 | 6,234 | ||||||
Netflix, Inc. * (a) | 30 | 15,613 | ||||||
|
| |||||||
29,812 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 3.4% |
| |||||||
American Homes 4 Rent, Class A | 137 | 5,312 | ||||||
Brixmor Property Group, Inc. | 324 | 7,413 | ||||||
Camden Property Trust | 21 | 2,740 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 69 |
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Cousins Properties, Inc. | 137 | 5,041 | ||||||
Host Hotels & Resorts, Inc. * | 325 | 5,551 | ||||||
Invitation Homes, Inc. | 186 | 6,932 | ||||||
Kimco Realty Corp. | 167 | 3,483 | ||||||
Prologis, Inc. | 156 | 18,701 | ||||||
SBA Communications Corp. | 27 | 8,686 | ||||||
Sun Communities, Inc. | 82 | 14,127 | ||||||
UDR, Inc. | 148 | 7,228 | ||||||
Ventas, Inc. | 75 | 4,271 | ||||||
|
| |||||||
89,485 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.2% |
| |||||||
Costco Wholesale Corp. | 10 | 3,978 | ||||||
|
| |||||||
Food Products — 1.0% |
| |||||||
Hershey Co. (The) | 39 | 6,770 | ||||||
Mondelez International, Inc., Class A (a) | 302 | 18,830 | ||||||
|
| |||||||
25,600 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 3.7% |
| |||||||
Abbott Laboratories | 35 | 4,089 | ||||||
Boston Scientific Corp. * (a) | 522 | 22,307 | ||||||
Danaher Corp. | 20 | 5,375 | ||||||
Intuitive Surgical, Inc. * (a) | 6 | 5,337 | ||||||
Medtronic plc | 260 | 32,307 | ||||||
Teleflex, Inc. | 6 | 2,432 | ||||||
Zimmer Biomet Holdings, Inc. (a) | 156 | 25,008 | ||||||
|
| |||||||
96,855 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.4% |
| |||||||
Centene Corp. * | 226 | 16,479 | ||||||
Cigna Corp. (a) | 108 | 25,566 | ||||||
CVS Health Corp. (a) | 65 | 5,423 | ||||||
UnitedHealth Group, Inc. (a) | 107 | 43,015 | ||||||
|
| |||||||
90,483 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 3.3% |
| |||||||
Booking Holdings, Inc. * | 12 | 25,481 | ||||||
Darden Restaurants, Inc. | 47 | 6,845 | ||||||
Hilton Worldwide Holdings, Inc. * | 51 | 6,107 | ||||||
Las Vegas Sands Corp. * | 108 | 5,678 | ||||||
McDonald’s Corp. | 77 | 17,713 | ||||||
Royal Caribbean Cruises Ltd. * | 31 | 2,640 | ||||||
Yum! Brands, Inc. | 198 | 22,785 | ||||||
|
| |||||||
87,249 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Household Durables — 0.4% |
| |||||||
KB Home | 102 | 4,167 | ||||||
Toll Brothers, Inc. | 117 | 6,739 | ||||||
|
| |||||||
10,906 | ||||||||
|
| |||||||
Household Products — 1.2% |
| |||||||
Procter & Gamble Co. (The) | 245 | 33,012 | ||||||
|
| |||||||
Insurance — 1.5% |
| |||||||
Arthur J Gallagher & Co. | 18 | 2,492 | ||||||
Chubb Ltd. | 79 | 12,588 | ||||||
Hartford Financial Services Group, Inc. (The) (a) | 137 | 8,517 | ||||||
Marsh & McLennan Cos., Inc. | 25 | 3,507 | ||||||
Prudential Financial, Inc. | 118 | 12,047 | ||||||
|
| |||||||
39,151 | ||||||||
|
| |||||||
Interactive Media & Services — 9.2% |
| |||||||
Alphabet, Inc., Class A * (a) | 43 | 105,065 | ||||||
Alphabet, Inc., Class C * (a) | 15 | 37,657 | ||||||
Facebook, Inc., Class A * (a) | 252 | 87,531 | ||||||
Pinterest, Inc., Class A * | 33 | 2,624 | ||||||
ZoomInfo Technologies, Inc., Class A * (a) | 242 | 12,613 | ||||||
|
| |||||||
245,490 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 5.5% |
| |||||||
Amazon.com, Inc. * (a) | 42 | 144,759 | ||||||
DoorDash, Inc., Class A * | 8 | 1,338 | ||||||
|
| |||||||
146,097 | ||||||||
|
| |||||||
IT Services — 6.5% |
| |||||||
Fidelity National Information Services, Inc. | 62 | 8,801 | ||||||
Fiserv, Inc. * (a) | 82 | 8,792 | ||||||
FleetCor Technologies, Inc. * | 29 | 7,459 | ||||||
Mastercard, Inc., Class A (a) | 215 | 78,466 | ||||||
PayPal Holdings, Inc. * (a) | 149 | 43,453 | ||||||
Shopify, Inc., Class A (Canada) * | 2 | 2,769 | ||||||
WEX, Inc. * | 121 | 23,379 | ||||||
|
| |||||||
173,119 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.6% |
| |||||||
Thermo Fisher Scientific, Inc. (a) | 84 | 42,428 | ||||||
|
| |||||||
Machinery — 4.7% |
| |||||||
Deere & Co. | 72 | 25,276 | ||||||
Dover Corp. | 18 | 2,678 | ||||||
Ingersoll Rand, Inc. * | 779 | 38,033 | ||||||
Parker-Hannifin Corp. | 67 | 20,578 | ||||||
Stanley Black & Decker, Inc. | 180 | 36,967 | ||||||
|
| |||||||
123,532 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
70 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Long Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Media — 2.7% |
| |||||||
Charter Communications, Inc., Class A * (a) | 32 | 22,727 | ||||||
Comcast Corp., Class A (a) | 635 | 36,211 | ||||||
Discovery, Inc., Class C * | 365 | 10,566 | ||||||
Fox Corp., Class A | 63 | 2,322 | ||||||
|
| |||||||
71,826 | ||||||||
|
| |||||||
Metals & Mining — 0.4% |
| |||||||
Freeport-McMoRan, Inc. | 284 | 10,524 | ||||||
|
| |||||||
Multi-Utilities — 1.0% |
| |||||||
CenterPoint Energy, Inc. | 597 | 14,633 | ||||||
Sempra Energy (a) | 93 | 12,324 | ||||||
|
| |||||||
26,957 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.0% |
| |||||||
Cheniere Energy, Inc. * | 55 | 4,809 | ||||||
Chevron Corp. | 126 | 13,239 | ||||||
Cimarex Energy Co. | 98 | 7,106 | ||||||
ConocoPhillips (a) | 616 | 37,511 | ||||||
Diamondback Energy, Inc. | 416 | 39,077 | ||||||
Phillips 66 | 46 | 3,922 | ||||||
Pioneer Natural Resources Co. (a) | 121 | 19,617 | ||||||
TC Energy Corp. (Canada) | 169 | 8,352 | ||||||
|
| |||||||
133,633 | ||||||||
|
| |||||||
Personal Products — 0.9% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 76 | 24,056 | ||||||
|
| |||||||
Pharmaceuticals — 2.8% |
| |||||||
Bristol-Myers Squibb Co. (a) | 433 | 28,909 | ||||||
Elanco Animal Health, Inc. * | 81 | 2,819 | ||||||
Eli Lilly & Co. | 173 | 39,670 | ||||||
Organon & Co. * | 91 | 2,754 | ||||||
|
| |||||||
74,152 | ||||||||
|
| |||||||
Professional Services — 1.2% |
| |||||||
Booz Allen Hamilton Holding Corp. | 93 | 7,943 | ||||||
IHS Markit Ltd. | 12 | 1,373 | ||||||
Leidos Holdings, Inc. | 213 | 21,529 | ||||||
|
| |||||||
30,845 | ||||||||
|
| |||||||
Road & Rail — 4.5% |
| |||||||
Canadian Pacific Railway Ltd. (Canada) | 53 | 4,107 | ||||||
CSX Corp. | 378 | 12,121 | ||||||
Lyft, Inc., Class A * | 532 | 32,190 | ||||||
Norfolk Southern Corp. (a) | 182 | 48,377 | ||||||
Old Dominion Freight Line, Inc. | 16 | 4,021 | ||||||
Union Pacific Corp. (a) | 88 | 19,341 | ||||||
|
| |||||||
120,157 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — 8.9% |
| |||||||
Advanced Micro Devices, Inc. * | 346 | 32,537 | ||||||
Analog Devices, Inc. (a) | 339 | 58,355 | ||||||
KLA Corp. | 2 | 750 | ||||||
Lam Research Corp. | 46 | 30,029 | ||||||
Microchip Technology, Inc. (a) | 2 | 271 | ||||||
Micron Technology, Inc. * (a) | 83 | 7,087 | ||||||
NVIDIA Corp. (a) | 42 | 33,216 | ||||||
NXP Semiconductors NV (China) | 324 | 66,673 | ||||||
ON Semiconductor Corp. * | 59 | 2,268 | ||||||
Texas Instruments, Inc. (a) | 23 | 4,396 | ||||||
|
| |||||||
235,582 | ||||||||
|
| |||||||
Software — 10.3% |
| |||||||
Ceridian HCM Holding, Inc. * | 236 | 22,640 | ||||||
Coupa Software, Inc. * | 11 | 2,990 | ||||||
Intuit, Inc. | 78 | 38,240 | ||||||
Microsoft Corp. (a) | 686 | 185,840 | ||||||
Oracle Corp. | 35 | 2,689 | ||||||
salesforce.com, Inc. * (a) | 34 | 8,209 | ||||||
Workday, Inc., Class A * | 61 | 14,577 | ||||||
|
| |||||||
275,185 | ||||||||
|
| |||||||
Specialty Retail — 4.5% |
| |||||||
AutoZone, Inc. * (a) | 9 | 13,027 | ||||||
Burlington Stores, Inc. * | 12 | 4,009 | ||||||
Home Depot, Inc. (The) (a) | 42 | 13,489 | ||||||
Lowe’s Cos., Inc. | 202 | 39,231 | ||||||
O’Reilly Automotive, Inc. * | 68 | 38,542 | ||||||
TJX Cos., Inc. (The) | 166 | 11,195 | ||||||
|
| |||||||
119,493 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.0% |
| |||||||
Apple, Inc. (a) | 888 | 121,590 | ||||||
Hewlett Packard Enterprise Co. | 501 | 7,312 | ||||||
Seagate Technology Holdings plc (Ireland) | 332 | 29,192 | ||||||
|
| |||||||
158,094 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.1% |
| |||||||
NIKE, Inc., Class B | 191 | 29,441 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.8% |
| |||||||
T-Mobile US, Inc. * | 152 | 22,011 | ||||||
|
| |||||||
Total Common Stocks | 3,303,749 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 71 |
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.4% |
| |||||||
Investment Companies — 0.4% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (c) (d) | 11,574 | 11,580 | ||||||
|
| |||||||
Total Long Positions | 3,315,329 | |||||||
|
| |||||||
Short Positions — (25.1)% |
| |||||||
Common Stocks — (25.1)% |
| |||||||
Aerospace & Defense — (0.8)% | ||||||||
Boeing Co. (The) * | (13 | ) | (3,229 | ) | ||||
Hexcel Corp. * | (106 | ) | (6,609 | ) | ||||
Huntington Ingalls Industries, Inc. | (26 | ) | (5,444 | ) | ||||
L3Harris Technologies, Inc. | (6 | ) | (1,261 | ) | ||||
Lockheed Martin Corp. | (3 | ) | (1,306 | ) | ||||
Textron, Inc. | (49 | ) | (3,398 | ) | ||||
|
| |||||||
(21,247 | ) | |||||||
|
| |||||||
Air Freight & Logistics — (0.4)% |
| |||||||
CH Robinson Worldwide, Inc. | (80 | ) | (7,482 | ) | ||||
Expeditors International of Washington, Inc. | (27 | ) | (3,453 | ) | ||||
|
| |||||||
(10,935 | ) | |||||||
|
| |||||||
Auto Components — (0.2)% |
| |||||||
Autoliv, Inc. (Sweden) | (44 | ) | (4,278 | ) | ||||
|
| |||||||
Banks — (0.6)% |
| |||||||
Citizens Financial Group, Inc. | (96 | ) | (4,402 | ) | ||||
Huntington Bancshares, Inc. | (351 | ) | (5,012 | ) | ||||
KeyCorp | (137 | ) | (2,819 | ) | ||||
Regions Financial Corp. | (129 | ) | (2,608 | ) | ||||
|
| |||||||
(14,841 | ) | |||||||
|
| |||||||
Beverages — 0.0% (b) |
| |||||||
Brown-Forman Corp., Class B | (14 | ) | (1,052 | ) | ||||
|
| |||||||
Biotechnology — (0.5)% |
| |||||||
Amgen, Inc. | (36 | ) | (8,809 | ) | ||||
Gilead Sciences, Inc. | (55 | ) | (3,788 | ) | ||||
Moderna, Inc. * | (5 | ) | (1,111 | ) | ||||
|
| |||||||
(13,708 | ) | |||||||
|
| |||||||
Building Products — (0.3)% |
| |||||||
Allegion plc | (38 | ) | (5,294 | ) | ||||
Lennox International, Inc. | (8 | ) | (2,754 | ) | ||||
|
| |||||||
(8,048 | ) | |||||||
|
| |||||||
Capital Markets — (0.8)% |
| |||||||
Goldman Sachs Group, Inc. (The) | (14 | ) | (5,431 | ) | ||||
Moody’s Corp. | (21 | ) | (7,497 | ) | ||||
MSCI, Inc. | (11 | ) | (6,128 | ) |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Capital Markets — continued |
| |||||||
Northern Trust Corp. | (11 | ) | (1,312 | ) | ||||
|
| |||||||
(20,368 | ) | |||||||
|
| |||||||
Chemicals — (0.2)% |
| |||||||
Dow, Inc. | (38 | ) | (2,403 | ) | ||||
LyondellBasell Industries NV, Class A | (12 | ) | (1,194 | ) | ||||
RPM International, Inc. | (30 | ) | (2,627 | ) | ||||
|
| |||||||
(6,224 | ) | |||||||
|
| |||||||
Commercial Services & Supplies — (0.3)% |
| |||||||
Republic Services, Inc. | (65 | ) | (7,203 | ) | ||||
|
| |||||||
Communications Equipment — (0.1)% |
| |||||||
Cisco Systems, Inc. | (50 | ) | (2,644 | ) | ||||
|
| |||||||
Consumer Finance — (0.2)% |
| |||||||
Discover Financial Services | (45 | ) | (5,356 | ) | ||||
|
| |||||||
Containers & Packaging — (1.0)% |
| |||||||
Ball Corp. | (48 | ) | (3,906 | ) | ||||
International Paper Co. | (87 | ) | (5,332 | ) | ||||
Packaging Corp. of America | (11 | ) | (1,522 | ) | ||||
Sealed Air Corp. | (22 | ) | (1,318 | ) | ||||
Silgan Holdings, Inc. | (64 | ) | (2,671 | ) | ||||
Sonoco Products Co. | (91 | ) | (6,063 | ) | ||||
Westrock Co. | (84 | ) | (4,480 | ) | ||||
|
| |||||||
(25,292 | ) | |||||||
|
| |||||||
Diversified Telecommunication Services — (1.0)% |
| |||||||
AT&T, Inc. | (378 | ) | (10,867 | ) | ||||
Lumen Technologies, Inc. | (534 | ) | (7,257 | ) | ||||
Verizon Communications, Inc. | (132 | ) | (7,415 | ) | ||||
|
| |||||||
(25,539 | ) | |||||||
|
| |||||||
Electric Utilities — (0.7)% |
| |||||||
American Electric Power Co., Inc. | (59 | ) | (4,976 | ) | ||||
Pinnacle West Capital Corp. | (45 | ) | (3,674 | ) | ||||
Southern Co. (The) | (159 | ) | (9,643 | ) | ||||
|
| |||||||
(18,293 | ) | |||||||
|
| |||||||
Electrical Equipment — (0.4)% |
| |||||||
Acuity Brands, Inc. | (41 | ) | (7,688 | ) | ||||
Hubbell, Inc. | (14 | ) | (2,693 | ) | ||||
Rockwell Automation, Inc. | (5 | ) | (1,420 | ) | ||||
|
| |||||||
(11,801 | ) | |||||||
|
| |||||||
Electronic Equipment, Instruments & Components — (0.2)% |
| |||||||
Cognex Corp. | (64 | ) | (5,402 | ) | ||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
72 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Energy Equipment & Services — (0.4)% |
| |||||||
Halliburton Co. | (343 | ) | (7,936 | ) | ||||
Schlumberger NV | (119 | ) | (3,799 | ) | ||||
|
| |||||||
(11,735 | ) | |||||||
|
| |||||||
Entertainment — (1.4)% |
| |||||||
AMC Entertainment Holdings, Inc., Class A * | (178 | ) | (10,107 | ) | ||||
Spotify Technology SA * | (32 | ) | (8,736 | ) | ||||
Take-Two Interactive Software, Inc. * | (98 | ) | (17,285 | ) | ||||
|
| |||||||
(36,128 | ) | |||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — (1.6)% |
| |||||||
AvalonBay Communities, Inc. | (14 | ) | (2,830 | ) | ||||
Crown Castle International Corp. | (8 | ) | (1,575 | ) | ||||
Duke Realty Corp. | (111 | ) | (5,235 | ) | ||||
Equity Residential | (55 | ) | (4,221 | ) | ||||
Iron Mountain, Inc. | (270 | ) | (11,417 | ) | ||||
National Retail Properties, Inc. | (88 | ) | (4,133 | ) | ||||
Realty Income Corp. | (58 | ) | (3,877 | ) | ||||
Simon Property Group, Inc. | (60 | ) | (7,858 | ) | ||||
SL Green Realty Corp. | (20 | ) | (1,583 | ) | ||||
Vornado Realty Trust | (28 | ) | (1,291 | ) | ||||
|
| |||||||
(44,020 | ) | |||||||
|
| |||||||
Food & Staples Retailing — (1.2)% |
| |||||||
Albertsons Cos., Inc., Class A | (197 | ) | (3,875 | ) | ||||
Kroger Co. (The) | (384 | ) | (14,693 | ) | ||||
Walgreens Boots Alliance, Inc. | (110 | ) | (5,772 | ) | ||||
Walmart, Inc. | (54 | ) | (7,653 | ) | ||||
|
| |||||||
(31,993 | ) | |||||||
|
| |||||||
Food Products — (0.8)% |
| |||||||
Campbell Soup Co. | (149 | ) | (6,796 | ) | ||||
Conagra Brands, Inc. | (117 | ) | (4,248 | ) | ||||
General Mills, Inc. | (21 | ) | (1,281 | ) | ||||
Kellogg Co. | (120 | ) | (7,745 | ) | ||||
|
| |||||||
(20,070 | ) | |||||||
|
| |||||||
Gas Utilities — (0.1)% |
| |||||||
National Fuel Gas Co. | (52 | ) | (2,722 | ) | ||||
|
| |||||||
Health Care Equipment & Supplies — (0.5)% |
| |||||||
Baxter International, Inc. | (85 | ) | (6,882 | ) | ||||
Stryker Corp. | (29 | ) | (7,476 | ) | ||||
|
| |||||||
(14,358 | ) | |||||||
|
| |||||||
Health Care Providers & Services — (0.1)% |
| |||||||
Henry Schein, Inc. * | (34 | ) | (2,540 | ) | ||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Technology — (0.3)% |
| |||||||
Cerner Corp. | (92 | ) | (7,175 | ) | ||||
|
| |||||||
Hotels, Restaurants & Leisure — (0.1)% |
| |||||||
Starbucks Corp. | (34 | ) | (3,811 | ) | ||||
|
| |||||||
Household Durables — (0.1)% |
| |||||||
NVR, Inc. * | — | (e) | (1,268 | ) | ||||
PulteGroup, Inc. | (25 | ) | (1,364 | ) | ||||
|
| |||||||
(2,632 | ) | |||||||
|
| |||||||
Household Products — (0.7)% |
| |||||||
Clorox Co. (The) | (82 | ) | (14,763 | ) | ||||
Colgate-Palmolive Co. | (54 | ) | (4,426 | ) | ||||
|
| |||||||
(19,189 | ) | |||||||
|
| |||||||
Industrial Conglomerates — (0.9)% |
| |||||||
3M Co. | (75 | ) | (14,915 | ) | ||||
General Electric Co. | (673 | ) | (9,054 | ) | ||||
|
| |||||||
(23,969 | ) | |||||||
|
| |||||||
Insurance — (0.4)% |
| |||||||
Allstate Corp. (The) | (76 | ) | (9,867 | ) | ||||
Axis Capital Holdings Ltd. | (25 | ) | (1,223 | ) | ||||
|
| |||||||
(11,090 | ) | |||||||
|
| |||||||
IT Services — (1.1)% |
| |||||||
Automatic Data Processing, Inc. | (23 | ) | (4,514 | ) | ||||
Cognizant Technology Solutions Corp., Class A | (35 | ) | (2,409 | ) | ||||
Infosys Ltd., ADR (India) | (181 | ) | (3,842 | ) | ||||
International Business Machines Corp. | (12 | ) | (1,707 | ) | ||||
Paychex, Inc. | (40 | ) | (4,289 | ) | ||||
Snowflake, Inc., Class A * | (25 | ) | (5,988 | ) | ||||
Western Union Co. (The) | (250 | ) | (5,746 | ) | ||||
|
| |||||||
(28,495 | ) | |||||||
|
| |||||||
Life Sciences Tools & Services — (0.2)% |
| |||||||
Waters Corp. * | (12 | ) | (4,011 | ) | ||||
|
| |||||||
Machinery — (0.4)% |
| |||||||
Caterpillar, Inc. | (35 | ) | (7,593 | ) | ||||
Illinois Tool Works, Inc. | (7 | ) | (1,587 | ) | ||||
PACCAR, Inc. | (29 | ) | (2,555 | ) | ||||
|
| |||||||
(11,735 | ) | |||||||
|
| |||||||
Media — (1.5)% |
| |||||||
Discovery, Inc., Class A * | (316 | ) | (9,709 | ) | ||||
Interpublic Group of Cos., Inc. (The) | (282 | ) | (9,172 | ) | ||||
Omnicom Group, Inc. | (151 | ) | (12,100 | ) | ||||
ViacomCBS, Inc. | (169 | ) | (7,659 | ) | ||||
|
| |||||||
(38,640 | ) | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 73 |
Table of Contents
JPMorgan U.S. Large Cap Core Plus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short Positions — continued |
| |||||||
Common Stocks — continued |
| |||||||
Multiline Retail — (0.2)% |
| |||||||
Macy’s, Inc. * | (329 | ) | (6,232 | ) | ||||
|
| |||||||
Multi-Utilities — (0.6)% |
| |||||||
Consolidated Edison, Inc. | (154 | ) | (11,064 | ) | ||||
Dominion Energy, Inc. | (66 | ) | (4,888 | ) | ||||
|
| |||||||
(15,952 | ) | |||||||
|
| |||||||
Oil, Gas & Consumable Fuels — (1.6)% |
| |||||||
APA Corp. | (261 | ) | (5,655 | ) | ||||
Devon Energy Corp. | (142 | ) | (4,141 | ) | ||||
Enbridge, Inc. (Canada) | (243 | ) | (9,722 | ) | ||||
Exxon Mobil Corp. | (205 | ) | (12,913 | ) | ||||
Hess Corp. | (47 | ) | (4,127 | ) | ||||
HollyFrontier Corp. | (114 | ) | (3,753 | ) | ||||
Marathon Oil Corp. | (225 | ) | (3,065 | ) | ||||
|
| |||||||
(43,376 | ) | |||||||
|
| |||||||
Pharmaceuticals — (0.3)% |
| |||||||
Pfizer, Inc. | (180 | ) | (7,039 | ) | ||||
|
| |||||||
Road & Rail — (0.4)% |
| |||||||
Canadian National Railway Co. (Canada) | (41 | ) | (4,319 | ) | ||||
JB Hunt Transport Services, Inc. | (16 | ) | (2,549 | ) | ||||
Werner Enterprises, Inc. | (85 | ) | (3,769 | ) | ||||
|
| |||||||
(10,637 | ) | |||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — (1.2)% |
| |||||||
Broadcom, Inc. | (9 | ) | (4,237 | ) | ||||
Intel Corp. | (227 | ) | (12,741 | ) | ||||
QUALCOMM, Inc. | (99 | ) | (14,136 | ) | ||||
|
| |||||||
(31,114 | ) | |||||||
|
| |||||||
Software — (0.4)% |
| |||||||
Citrix Systems, Inc. | (28 | ) | (3,281 | ) | ||||
Palantir Technologies, Inc., Class A * | (225 | ) | (5,918 | ) | ||||
VMware, Inc., Class A * | (8 | ) | (1,283 | ) | ||||
|
| |||||||
(10,482 | ) | |||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — (0.6)% |
| |||||||
HP, Inc. | (258 | ) | (7,790 | ) | ||||
NetApp, Inc. | (10 | ) | (799 | ) | ||||
Western Digital Corp. * | (66 | ) | (4,693 | ) | ||||
Xerox Holdings Corp. | (95 | ) | (2,240 | ) | ||||
|
| |||||||
(15,522 | ) | |||||||
|
| |||||||
Trading Companies & Distributors — (0.2)% |
| |||||||
Fastenal Co. | (103 | ) | (5,355 | ) | ||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Water Utilities — (0.1)% |
| |||||||
Essential Utilities, Inc. | (52 | ) | (2,380 | ) | ||||
|
| |||||||
Total Common Stocks | (664,633 | ) | ||||||
|
| |||||||
Total Short Positions | (664,633 | ) | ||||||
|
| |||||||
Total Investments — 99.9% | 2,650,696 | |||||||
Other Assets Less Liabilities — 0.1% | 550 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 2,651,246 | |||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
(a) | All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is $896,235. | |
(b) | Amount rounds to less than 0.1% of net assets. | |
(c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(d) | The rate shown is the current yield as of June 30, 2021. | |
(e) | Amount rounds to less than one thousand. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
74 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.0% |
| |||||||
Aerospace & Defense — 1.0% |
| |||||||
General Dynamics Corp. | 46 | 8,579 | ||||||
Northrop Grumman Corp. | 49 | 17,847 | ||||||
Raytheon Technologies Corp. | 307 | 26,207 | ||||||
|
| |||||||
52,633 | ||||||||
|
| |||||||
Air Freight & Logistics — 1.3% |
| |||||||
FedEx Corp. | 109 | 32,501 | ||||||
United Parcel Service, Inc., Class B | 168 | 34,995 | ||||||
|
| |||||||
67,496 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Delta Air Lines, Inc. * | 131 | 5,648 | ||||||
Southwest Airlines Co. * | 169 | 8,982 | ||||||
|
| |||||||
14,630 | ||||||||
|
| |||||||
Auto Components — 0.3% |
| |||||||
Aptiv plc * | 35 | 5,451 | ||||||
Magna International, Inc. (Canada) | 124 | 11,484 | ||||||
|
| |||||||
16,935 | ||||||||
|
| |||||||
Automobiles — 1.6% |
| |||||||
General Motors Co. * | 191 | 11,326 | ||||||
Tesla, Inc. * | 106 | 71,948 | ||||||
|
| |||||||
83,274 | ||||||||
|
| |||||||
Banks — 3.6% |
| |||||||
Bank of America Corp. | 660 | 27,194 | ||||||
Citigroup, Inc. | 525 | 37,131 | ||||||
KeyCorp | 112 | 2,314 | ||||||
Regions Financial Corp. | 743 | 14,984 | ||||||
SVB Financial Group * | 16 | 9,122 | ||||||
Truist Financial Corp. | 298 | 16,556 | ||||||
US Bancorp | 394 | 22,444 | ||||||
Wells Fargo & Co. | 1,109 | 50,230 | ||||||
|
| |||||||
179,975 | ||||||||
|
| |||||||
Beverages — 1.0% |
| |||||||
Coca-Cola Co. (The) | 679 | 36,751 | ||||||
Constellation Brands, Inc., Class A | 68 | 15,933 | ||||||
|
| |||||||
52,684 | ||||||||
|
| |||||||
Biotechnology — 2.1% |
| |||||||
AbbVie, Inc. | 468 | 52,741 | ||||||
Alexion Pharmaceuticals, Inc. * | 29 | 5,372 | ||||||
Biogen, Inc. * | 44 | 15,170 | ||||||
Regeneron Pharmaceuticals, Inc. * | 25 | 13,975 | ||||||
Vertex Pharmaceuticals, Inc. * | 100 | 20,177 | ||||||
|
| |||||||
107,435 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Building Products — 1.1% |
| |||||||
Johnson Controls International plc | 103 | 7,041 | ||||||
Masco Corp. | 263 | 15,490 | ||||||
Trane Technologies plc | 192 | 35,396 | ||||||
|
| |||||||
57,927 | ||||||||
|
| |||||||
Capital Markets — 4.1% |
| |||||||
Ameriprise Financial, Inc. | 16 | 3,974 | ||||||
Charles Schwab Corp. (The) | 68 | 4,965 | ||||||
Goldman Sachs Group, Inc. (The) | 116 | 44,096 | ||||||
Intercontinental Exchange, Inc. | 203 | 24,106 | ||||||
Morgan Stanley | 402 | 36,887 | ||||||
S&P Global, Inc. | 109 | 44,683 | ||||||
State Street Corp. | 254 | 20,900 | ||||||
T. Rowe Price Group, Inc. | 132 | 26,179 | ||||||
|
| |||||||
205,790 | ||||||||
|
| |||||||
Chemicals — 2.0% |
| |||||||
Air Products and Chemicals, Inc. | 22 | 6,244 | ||||||
Celanese Corp. | 48 | 7,282 | ||||||
DuPont de Nemours, Inc. | 212 | 16,405 | ||||||
Eastman Chemical Co. | 202 | 23,637 | ||||||
Linde plc (United Kingdom) | 52 | 14,982 | ||||||
LyondellBasell Industries NV, Class A | 36 | 3,713 | ||||||
PPG Industries, Inc. | 170 | 28,810 | ||||||
|
| |||||||
101,073 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.1% |
| |||||||
Cintas Corp. | 14 | 5,505 | ||||||
|
| |||||||
Communications Equipment — 0.4% |
| |||||||
Cisco Systems, Inc. | 304 | 16,121 | ||||||
Motorola Solutions, Inc. | 13 | 2,912 | ||||||
|
| |||||||
19,033 | ||||||||
|
| |||||||
Consumer Finance — 0.5% |
| |||||||
Capital One Financial Corp. | 171 | 26,473 | ||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Crown Holdings, Inc. | 54 | 5,546 | ||||||
Westrock Co. | 146 | 7,770 | ||||||
|
| |||||||
13,316 | ||||||||
|
| |||||||
Diversified Financial Services — 1.7% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 295 | 81,964 | ||||||
Voya Financial, Inc. | 51 | 3,119 | ||||||
|
| |||||||
85,083 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.6% |
| |||||||
Verizon Communications, Inc. | 568 | 31,844 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 75 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Electric Utilities — 1.8% |
| |||||||
Duke Energy Corp. | 277 | 27,386 | ||||||
Evergy, Inc. | 217 | 13,125 | ||||||
NextEra Energy, Inc. | 503 | 36,876 | ||||||
Xcel Energy, Inc. | 229 | 15,074 | ||||||
|
| |||||||
92,461 | ||||||||
|
| |||||||
Electrical Equipment — 0.7% |
| |||||||
Eaton Corp. plc | 230 | 34,125 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.1% |
| |||||||
Amphenol Corp., Class A | 80 | 5,445 | ||||||
|
| |||||||
Entertainment — 1.2% |
| |||||||
Netflix, Inc. * | 77 | 40,812 | ||||||
Walt Disney Co. (The) * | 99 | 17,357 | ||||||
|
| |||||||
58,169 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.8% |
| |||||||
Camden Property Trust | 97 | 12,935 | ||||||
Equinix, Inc. | 27 | 21,914 | ||||||
Equity LifeStyle Properties, Inc. | 57 | 4,206 | ||||||
Mid-America Apartment Communities, Inc. | 61 | 10,240 | ||||||
Prologis, Inc. | 204 | 24,411 | ||||||
Public Storage | 13 | 3,932 | ||||||
Sun Communities, Inc. | 28 | 4,778 | ||||||
UDR, Inc. | 40 | 1,974 | ||||||
Ventas, Inc. | 143 | 8,175 | ||||||
|
| |||||||
92,565 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.4% |
| |||||||
Costco Wholesale Corp. | 43 | 16,949 | ||||||
Kroger Co. (The) | 39 | 1,506 | ||||||
|
| |||||||
18,455 | ||||||||
|
| |||||||
Food Products — 0.6% |
| |||||||
Mondelez International, Inc., Class A | 469 | 29,271 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 3.1% |
| |||||||
Abbott Laboratories | 275 | 31,897 | ||||||
ABIOMED, Inc. * | 6 | 1,925 | ||||||
Becton Dickinson and Co. | 60 | 14,492 | ||||||
Boston Scientific Corp. * | 482 | 20,621 | ||||||
Danaher Corp. | 26 | 6,977 | ||||||
Dexcom, Inc. * | 13 | 5,500 | ||||||
Intuitive Surgical, Inc. * | 9 | 8,446 | ||||||
Medtronic plc | 346 | 42,944 | ||||||
Zimmer Biomet Holdings, Inc. | 151 | 24,223 | ||||||
|
| |||||||
157,025 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — 2.7% |
| |||||||
AmerisourceBergen Corp. | 45 | 5,169 | ||||||
Anthem, Inc. | 68 | 25,946 | ||||||
Centene Corp. * | 121 | 8,816 | ||||||
Cigna Corp. | 128 | 30,384 | ||||||
UnitedHealth Group, Inc. | 165 | 66,197 | ||||||
|
| |||||||
136,512 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.0% |
| |||||||
Booking Holdings, Inc. * | 9 | 20,603 | ||||||
Hilton Worldwide Holdings, Inc. * | 104 | 12,575 | ||||||
Royal Caribbean Cruises Ltd. * | 30 | 2,562 | ||||||
Yum! Brands, Inc. | 139 | 15,983 | ||||||
|
| |||||||
51,723 | ||||||||
|
| |||||||
Household Durables — 0.5% |
| |||||||
DR Horton, Inc. | 19 | 1,734 | ||||||
Lennar Corp., Class A | 226 | 22,435 | ||||||
|
| |||||||
24,169 | ||||||||
|
| |||||||
Household Products — 1.5% |
| |||||||
Kimberly-Clark Corp. | 142 | 19,020 | ||||||
Procter & Gamble Co. (The) | 432 | 58,339 | ||||||
|
| |||||||
77,359 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.4% |
| |||||||
Honeywell International, Inc. | 101 | 22,140 | ||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
Allstate Corp. (The) | 54 | 6,980 | ||||||
American International Group, Inc. | 171 | 8,127 | ||||||
Chubb Ltd. | 98 | 15,499 | ||||||
Hartford Financial Services Group, Inc. (The) | 215 | 13,316 | ||||||
Marsh & McLennan Cos., Inc. | 48 | 6,784 | ||||||
Progressive Corp. (The) | 268 | 26,287 | ||||||
Prudential Financial, Inc. | 80 | 8,216 | ||||||
Travelers Cos., Inc. (The) | 34 | 5,127 | ||||||
|
| |||||||
90,336 | ||||||||
|
| |||||||
Interactive Media & Services — 7.0% |
| |||||||
Alphabet, Inc., Class A * | 53 | 129,603 | ||||||
Alphabet, Inc., Class C * | 42 | 104,950 | ||||||
Facebook, Inc., Class A * | 331 | 115,169 | ||||||
|
| |||||||
349,722 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.5% |
| |||||||
Amazon.com, Inc. * | 66 | 227,580 | ||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
76 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
IT Services — 4.8% |
| |||||||
Accenture plc, Class A | 195 | 57,579 | ||||||
Fiserv, Inc. * | 21 | 2,215 | ||||||
FleetCor Technologies, Inc. * | 12 | 3,015 | ||||||
Mastercard, Inc., Class A | 196 | 71,521 | ||||||
PayPal Holdings, Inc. * | 149 | 43,339 | ||||||
Visa, Inc., Class A | 277 | 64,792 | ||||||
|
| |||||||
242,461 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.4% |
| |||||||
Illumina, Inc. * | 29 | 13,892 | ||||||
Thermo Fisher Scientific, Inc. | 106 | 53,413 | ||||||
Waters Corp. * | 9 | 3,264 | ||||||
|
| |||||||
70,569 | ||||||||
|
| |||||||
Machinery — 2.2% |
| |||||||
Deere & Co. | 124 | 43,836 | ||||||
Ingersoll Rand, Inc. * | 154 | 7,539 | ||||||
Otis Worldwide Corp. | 132 | 10,760 | ||||||
Parker-Hannifin Corp. | 70 | 21,429 | ||||||
Stanley Black & Decker, Inc. | 138 | 28,218 | ||||||
|
| |||||||
111,782 | ||||||||
|
| |||||||
Media — 1.7% |
| |||||||
Altice USA, Inc., Class A * | 144 | 4,900 | ||||||
Charter Communications, Inc., Class A * | 45 | 32,563 | ||||||
Comcast Corp., Class A | 828 | 47,226 | ||||||
Fox Corp., Class A | 32 | 1,195 | ||||||
|
| |||||||
85,884 | ||||||||
|
| |||||||
Metals & Mining — 0.1% |
| |||||||
Freeport-McMoRan, Inc. | 170 | 6,314 | ||||||
|
| |||||||
Multiline Retail — 0.7% |
| |||||||
Dollar General Corp. | 21 | 4,505 | ||||||
Dollar Tree, Inc. * | 96 | 9,548 | ||||||
Target Corp. | 85 | 20,482 | ||||||
|
| |||||||
34,535 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
CenterPoint Energy, Inc. | 162 | 3,975 | ||||||
Public Service Enterprise Group, Inc. | 82 | 4,918 | ||||||
Sempra Energy | 155 | 20,528 | ||||||
|
| |||||||
29,421 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.8% |
| |||||||
Cabot Oil & Gas Corp. | 65 | 1,139 | ||||||
Cheniere Energy, Inc. * | 83 | 7,226 | ||||||
Chevron Corp. | 265 | 27,734 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
ConocoPhillips | 315 | 19,157 | ||||||
Diamondback Energy, Inc. | 146 | 13,749 | ||||||
EOG Resources, Inc. | 162 | 13,480 | ||||||
Kinder Morgan, Inc. | 300 | 5,470 | ||||||
Phillips 66 | 149 | 12,804 | ||||||
Pioneer Natural Resources Co. | 142 | 23,033 | ||||||
Williams Cos., Inc. (The) | 743 | 19,735 | ||||||
|
| |||||||
143,527 | ||||||||
|
| |||||||
Personal Products — 0.3% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 54 | 17,207 | ||||||
|
| |||||||
Pharmaceuticals — 3.5% |
| |||||||
Bristol-Myers Squibb Co. | 672 | 44,920 | ||||||
Eli Lilly & Co. | 196 | 45,046 | ||||||
Johnson & Johnson | 307 | 50,625 | ||||||
Merck & Co., Inc. | 344 | 26,782 | ||||||
Organon & Co. * | 42 | 1,260 | ||||||
Pfizer, Inc. | 245 | 9,577 | ||||||
|
| |||||||
178,210 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
Booz Allen Hamilton Holding Corp. | 76 | 6,470 | ||||||
Leidos Holdings, Inc. | 160 | 16,166 | ||||||
|
| |||||||
22,636 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
Lyft, Inc., Class A * | 115 | 6,962 | ||||||
Norfolk Southern Corp. | 104 | 27,721 | ||||||
Union Pacific Corp. | 81 | 17,883 | ||||||
|
| |||||||
52,566 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 6.7% |
| |||||||
Advanced Micro Devices, Inc. * | 324 | 30,472 | ||||||
Analog Devices, Inc. | 210 | 36,111 | ||||||
Applied Materials, Inc. | 290 | 41,347 | ||||||
Intel Corp. | 285 | 16,020 | ||||||
Lam Research Corp. | 67 | 43,644 | ||||||
Microchip Technology, Inc. | 66 | 9,827 | ||||||
Micron Technology, Inc. * | 61 | 5,206 | ||||||
NVIDIA Corp. | 85 | 68,085 | ||||||
NXP Semiconductors NV (China) | 124 | 25,543 | ||||||
QUALCOMM, Inc. | 49 | 7,025 | ||||||
Texas Instruments, Inc. | 271 | 52,186 | ||||||
|
| |||||||
335,466 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 77 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — 8.8% |
| |||||||
Fortinet, Inc. * | 20 | 4,662 | ||||||
Intuit, Inc. | 91 | 44,435 | ||||||
Microsoft Corp. | 1,232 | 333,834 | ||||||
Oracle Corp. | 252 | 19,606 | ||||||
salesforce.com, Inc. * | 118 | 28,833 | ||||||
Workday, Inc., Class A * | 42 | 9,972 | ||||||
|
| |||||||
441,342 | ||||||||
|
| |||||||
Specialty Retail — 3.3% |
| |||||||
AutoZone, Inc. * | 3 | 4,703 | ||||||
Best Buy Co., Inc. | 173 | 19,918 | ||||||
Home Depot, Inc. (The) | 147 | 46,993 | ||||||
Lowe’s Cos., Inc. | 256 | 49,719 | ||||||
O’Reilly Automotive, Inc. * | 45 | 25,412 | ||||||
TJX Cos., Inc. (The) | 293 | 19,742 | ||||||
|
| |||||||
166,487 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.5% |
| |||||||
Apple, Inc. | 2,198 | 301,043 | ||||||
Seagate Technology Holdings plc (Ireland) | 240 | 21,140 | ||||||
|
| |||||||
322,183 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.0% |
| |||||||
Carter’s, Inc. | 103 | 10,582 | ||||||
NIKE, Inc., Class B | 245 | 37,827 | ||||||
|
| |||||||
48,409 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Tobacco — 1.2% |
| |||||||
Altria Group, Inc. | 503 | 24,004 | ||||||
Philip Morris International, Inc. | 361 | 35,758 | ||||||
|
| |||||||
59,762 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.9% |
| |||||||
T-Mobile US, Inc. * | 301 | 43,631 | ||||||
|
| |||||||
Total Common Stocks | 5,000,555 | |||||||
|
| |||||||
Short-Term Investments — 1.3% |
| |||||||
Investment Companies — 1.3% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 66,881 | 66,914 | ||||||
|
| |||||||
Total Investments — 100.3% | 5,067,469 | |||||||
Liabilities in Excess of | (15,427 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 5,052,042 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
S&P 500 E-Mini Index | 213 | 09/2021 | USD | 45,673 | 965 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
78 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Sustainable Leaders Fund
(formerly known as JPMorgan Intrepid Sustainable Equity Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 96.0% |
| |||||||
Auto Components — 2.1% |
| |||||||
Aptiv plc * | 15 | 2,429 | ||||||
|
| |||||||
Banks — 6.1% |
| |||||||
Bank of America Corp. | 82 | 3,385 | ||||||
Citigroup, Inc. | 40 | 2,802 | ||||||
SVB Financial Group * | 1 | 818 | ||||||
|
| |||||||
7,005 | ||||||||
|
| |||||||
Biotechnology — 1.8% |
| |||||||
Amgen, Inc. | 6 | 1,430 | ||||||
Biogen, Inc. * | 2 | 606 | ||||||
|
| |||||||
2,036 | ||||||||
|
| |||||||
Building Products — 3.3% |
| |||||||
Trane Technologies plc | 15 | 2,826 | ||||||
Trex Co., Inc. * | 10 | 996 | ||||||
|
| |||||||
3,822 | ||||||||
|
| |||||||
Capital Markets — 3.4% |
| |||||||
Morgan Stanley | 16 | 1,440 | ||||||
S&P Global, Inc. | 3 | 1,190 | ||||||
State Street Corp. | 16 | 1,344 | ||||||
|
| |||||||
3,974 | ||||||||
|
| |||||||
Containers & Packaging — 1.3% |
| |||||||
Ball Corp. | 18 | 1,484 | ||||||
|
| |||||||
Diversified Financial Services — 1.5% |
| |||||||
Voya Financial, Inc. | 27 | 1,691 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.8% |
| |||||||
Verizon Communications, Inc. | 38 | 2,109 | ||||||
|
| |||||||
Electric Utilities — 1.6% |
| |||||||
NextEra Energy, Inc. | 25 | 1,824 | ||||||
|
| |||||||
Electrical Equipment — 2.4% |
| |||||||
Eaton Corp. plc | 19 | 2,812 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.8% |
| |||||||
Itron, Inc. * | 9 | 928 | ||||||
|
| |||||||
Entertainment — 4.7% |
| |||||||
Netflix, Inc. * | 3 | 1,347 | ||||||
Walt Disney Co. (The) * | 23 | 4,085 | ||||||
|
| |||||||
5,432 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 5.0% |
| |||||||
American Tower Corp. | 5 | 1,216 | ||||||
Boston Properties, Inc. | 17 | 1,897 | ||||||
Equinix, Inc. | 2 | 1,493 | ||||||
Prologis, Inc. | 9 | 1,118 | ||||||
|
| |||||||
5,724 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Food & Staples Retailing — 2.2% |
| |||||||
Costco Wholesale Corp. | 6 | 2,516 | ||||||
|
| |||||||
Food Products — 1.4% |
| |||||||
General Mills, Inc. | 26 | 1,578 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 0.7% |
| |||||||
Hologic, Inc. * | 12 | 819 | ||||||
|
| |||||||
Health Care Providers & Services — 2.3% |
| |||||||
Cigna Corp. | 11 | 2,669 | ||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
MetLife, Inc. | 14 | 859 | ||||||
Progressive Corp. (The) | 13 | 1,228 | ||||||
|
| |||||||
2,087 | ||||||||
|
| |||||||
IT Services — 4.5% |
| |||||||
Accenture plc, Class A | 4 | 1,229 | ||||||
Mastercard, Inc., Class A | 11 | 3,947 | ||||||
|
| |||||||
5,176 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 5.7% |
| |||||||
Agilent Technologies, Inc. | 10 | 1,531 | ||||||
Illumina, Inc. * | 2 | 781 | ||||||
IQVIA Holdings, Inc. * | 9 | 2,156 | ||||||
Thermo Fisher Scientific, Inc. | 4 | 2,104 | ||||||
|
| |||||||
6,572 | ||||||||
|
| |||||||
Machinery — 4.2% |
| |||||||
Deere & Co. | 6 | 2,015 | ||||||
Parker-Hannifin Corp. | 4 | 1,099 | ||||||
Xylem, Inc. | 15 | 1,786 | ||||||
|
| |||||||
4,900 | ||||||||
|
| |||||||
Multiline Retail — 2.0% |
| |||||||
Target Corp. | 9 | 2,290 | ||||||
|
| |||||||
Pharmaceuticals — 3.8% |
| |||||||
Bristol-Myers Squibb Co. | 34 | 2,301 | ||||||
Merck & Co., Inc. | 27 | 2,083 | ||||||
|
| |||||||
4,384 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 7.2% |
| |||||||
Lam Research Corp. | 3 | 2,066 | ||||||
NVIDIA Corp. | 2 | 1,688 | ||||||
NXP Semiconductors NV (China) | 8 | 1,695 | ||||||
SolarEdge Technologies, Inc. * | 3 | 915 | ||||||
Texas Instruments, Inc. | 10 | 1,908 | ||||||
|
| |||||||
8,272 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 79 |
Table of Contents
JPMorgan U.S. Sustainable Leaders Fund
(formerly known as JPMorgan Intrepid Sustainable Equity Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — 14.9% |
| |||||||
Adobe, Inc. * | 2 | 937 | ||||||
Autodesk, Inc. * | 3 | 890 | ||||||
Cadence Design Systems, Inc. * | 14 | 1,924 | ||||||
Intuit, Inc. | 6 | 3,166 | ||||||
Microsoft Corp. | 34 | 9,263 | ||||||
salesforce.com, Inc. * | 5 | 1,136 | ||||||
|
| |||||||
17,316 | ||||||||
|
| |||||||
Specialty Retail — 4.0% |
| |||||||
Best Buy Co., Inc. | 12 | 1,377 | ||||||
Home Depot, Inc. (The) | 10 | 3,279 | ||||||
|
| |||||||
4,656 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 4.3% |
| |||||||
Apple, Inc. | 37 | 5,009 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
VF Corp. | 17 | 1,414 | ||||||
|
| |||||||
Total Common Stocks | 110,928 | |||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 4.0% |
| |||||||
Investment Companies — 4.0% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 4,577 | 4,580 | ||||||
|
| |||||||
Total Investments — 100.0% | 115,508 | |||||||
Other Assets Less Liabilities — 0.0% (c) | 42 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 115,550 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||||
Long Contracts | ||||||||||||||||||||
E-Mini S&P 500 ESG Index | 25 | 09/2021 | USD | 4,583 | 63 | |||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
80 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Value Fund
(formerly known as JPMorgan Growth and Income Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.7% |
| |||||||
Aerospace & Defense — 3.8% |
| |||||||
General Dynamics Corp. | 101 | 18,947 | ||||||
Northrop Grumman Corp. | 51 | 18,397 | ||||||
Raytheon Technologies Corp. | 313 | 26,704 | ||||||
|
| |||||||
64,048 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.8% |
| |||||||
United Parcel Service, Inc., Class B | 66 | 13,643 | ||||||
|
| |||||||
Airlines — 0.8% |
| |||||||
Southwest Airlines Co. * | 256 | 13,579 | ||||||
|
| |||||||
Banks — 11.5% |
| |||||||
Bank of America Corp. | 870 | 35,878 | ||||||
Citigroup, Inc. | 514 | 36,330 | ||||||
Citizens Financial Group, Inc. | 172 | 7,898 | ||||||
M&T Bank Corp. | 68 | 9,840 | ||||||
PNC Financial Services Group, Inc. (The) | 122 | 23,311 | ||||||
Truist Financial Corp. | 464 | 25,776 | ||||||
US Bancorp | 225 | 12,797 | ||||||
Wells Fargo & Co. | 935 | 42,330 | ||||||
|
| |||||||
194,160 | ||||||||
|
| |||||||
Beverages — 0.5% |
| |||||||
PepsiCo, Inc. | 56 | 8,306 | ||||||
|
| |||||||
Biotechnology — 2.2% |
| |||||||
AbbVie, Inc. | 137 | 15,447 | ||||||
Amgen, Inc. | 39 | 9,607 | ||||||
Biogen, Inc. * | 11 | 3,708 | ||||||
Vertex Pharmaceuticals, Inc. * | 46 | 9,295 | ||||||
|
| |||||||
38,057 | ||||||||
|
| |||||||
Building Products — 0.8% |
| |||||||
Trane Technologies plc | 78 | 14,415 | ||||||
|
| |||||||
Capital Markets — 9.0% |
| |||||||
BlackRock, Inc. | 49 | 42,456 | ||||||
Charles Schwab Corp. (The) | 265 | 19,311 | ||||||
Goldman Sachs Group, Inc. (The) | 59 | 22,462 | ||||||
Morgan Stanley | 352 | 32,308 | ||||||
S&P Global, Inc. | 29 | 11,698 | ||||||
T. Rowe Price Group, Inc. | 117 | 23,096 | ||||||
|
| |||||||
151,331 | ||||||||
|
| |||||||
Chemicals — 3.5% |
| |||||||
Air Products and Chemicals, Inc. | 72 | 20,818 | ||||||
Axalta Coating Systems Ltd. * | 831 | 25,322 | ||||||
DuPont de Nemours, Inc. | 172 | 13,322 | ||||||
|
| |||||||
59,462 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Commercial Services & Supplies — 0.7% |
| |||||||
Republic Services, Inc. | 115 | 12,641 | ||||||
|
| |||||||
Construction Materials — 0.8% |
| |||||||
Vulcan Materials Co. | 78 | 13,540 | ||||||
|
| |||||||
Consumer Finance — 2.3% |
| |||||||
American Express Co. | 117 | 19,362 | ||||||
Capital One Financial Corp. | 131 | 20,193 | ||||||
|
| |||||||
39,555 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Ball Corp. | 64 | 5,218 | ||||||
|
| |||||||
Diversified Financial Services — 1.9% |
| |||||||
Berkshire Hathaway, Inc., Class B * | 114 | 31,599 | ||||||
|
| |||||||
Diversified Telecommunication Services — 0.7% |
| |||||||
Verizon Communications, Inc. | 225 | 12,631 | ||||||
|
| |||||||
Electric Utilities — 1.6% |
| |||||||
Entergy Corp. | 56 | 5,628 | ||||||
NextEra Energy, Inc. | 183 | 13,376 | ||||||
Xcel Energy, Inc. | 136 | 8,928 | ||||||
|
| |||||||
27,932 | ||||||||
|
| |||||||
Electrical Equipment — 1.2% |
| |||||||
Eaton Corp. plc | 135 | 19,949 | ||||||
|
| |||||||
Entertainment — 0.7% |
| |||||||
Walt Disney Co. (The) * | 69 | 12,147 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 1.1% |
| |||||||
AvalonBay Communities, Inc. | 28 | 5,938 | ||||||
Ventas, Inc. | 149 | 8,520 | ||||||
Vornado Realty Trust | 104 | 4,874 | ||||||
|
| |||||||
19,332 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.9% |
| |||||||
Walmart, Inc. | 106 | 14,969 | ||||||
|
| |||||||
Food Products — 0.8% |
| |||||||
Mondelez International, Inc., Class A | 225 | 14,052 | ||||||
|
| |||||||
Health Care Equipment & Supplies — 2.8% |
| |||||||
Becton Dickinson and Co. | 72 | 17,506 | ||||||
Medtronic plc | 247 | 30,678 | ||||||
|
| |||||||
48,184 | ||||||||
|
| |||||||
Health Care Providers & Services — 3.9% |
| |||||||
Anthem, Inc. | 21 | 8,071 | ||||||
Cigna Corp. | 86 | 20,423 | ||||||
Humana, Inc. | 13 | 5,874 | ||||||
UnitedHealth Group, Inc. | 80 | 32,031 | ||||||
|
| |||||||
66,399 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 81 |
Table of Contents
JPMorgan U.S. Value Fund
(formerly known as JPMorgan Growth and Income Fund)
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Hotels, Restaurants & Leisure — 2.3% |
| |||||||
Booking Holdings, Inc. * | 6 | 12,120 | ||||||
Las Vegas Sands Corp. * | 232 | 12,214 | ||||||
McDonald’s Corp. | 65 | 14,949 | ||||||
|
| |||||||
39,283 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
Newell Brands, Inc. | 266 | 7,313 | ||||||
|
| |||||||
Household Products — 0.9% |
| |||||||
Colgate-Palmolive Co. | 193 | 15,696 | ||||||
|
| |||||||
Industrial Conglomerates — 0.3% |
| |||||||
Honeywell International, Inc. | 20 | 4,328 | ||||||
|
| |||||||
Insurance — 3.6% |
| |||||||
Chubb Ltd. | 91 | 14,538 | ||||||
Hartford Financial Services Group, Inc. (The) | 242 | 14,969 | ||||||
Loews Corp. | 130 | 7,083 | ||||||
Marsh & McLennan Cos., Inc. | 49 | 6,928 | ||||||
MetLife, Inc. | 209 | 12,496 | ||||||
Prudential Financial, Inc. | 59 | 6,013 | ||||||
|
| |||||||
62,027 | ||||||||
|
| |||||||
Interactive Media & Services — 1.7% |
| |||||||
Alphabet, Inc., Class C * | 12 | 28,890 | ||||||
|
| |||||||
IT Services — 1.4% |
| |||||||
Fidelity National Information Services, Inc. | 83 | 11,783 | ||||||
International Business Machines Corp. | 80 | 11,672 | ||||||
|
| |||||||
23,455 | ||||||||
|
| |||||||
Machinery — 3.8% |
| |||||||
Dover Corp. | 168 | 25,308 | ||||||
Parker-Hannifin Corp. | 90 | 27,635 | ||||||
Stanley Black & Decker, Inc. | 61 | 12,555 | ||||||
|
| |||||||
65,498 | ||||||||
|
| |||||||
Media — 1.9% |
| |||||||
Comcast Corp., Class A | 580 | 33,045 | ||||||
|
| |||||||
Multiline Retail — 0.8% |
| |||||||
Dollar General Corp. | 60 | 12,983 | ||||||
|
| |||||||
Multi-Utilities — 1.3% |
| |||||||
CMS Energy Corp. | 296 | 17,500 | ||||||
Public Service Enterprise Group, Inc. | 91 | 5,465 | ||||||
|
| |||||||
22,965 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 5.3% |
| |||||||
Chevron Corp. | 221 | 23,170 | ||||||
ConocoPhillips | 576 | 35,070 | ||||||
EOG Resources, Inc. | 304 | 25,367 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Oil, Gas & Consumable Fuels — continued |
| |||||||
Valero Energy Corp. | 96 | 7,513 | ||||||
|
| |||||||
91,120 | ||||||||
|
| |||||||
Pharmaceuticals — 5.4% |
| |||||||
Bristol-Myers Squibb Co. | 506 | 33,799 | ||||||
Eli Lilly & Co. | 86 | 19,728 | ||||||
Johnson & Johnson | 144 | 23,646 | ||||||
Merck & Co., Inc. | 80 | 6,230 | ||||||
Organon & Co. * | 9 | 261 | ||||||
Pfizer, Inc. | 219 | 8,577 | ||||||
|
| |||||||
92,241 | ||||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
CSX Corp. | 545 | 17,484 | ||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.1% |
| |||||||
Analog Devices, Inc. | 177 | 30,505 | ||||||
Lam Research Corp. | 11 | 7,106 | ||||||
NXP Semiconductors NV (China) | 91 | 18,805 | ||||||
Texas Instruments, Inc. | 163 | 31,262 | ||||||
|
| |||||||
87,678 | ||||||||
|
| |||||||
Software — 1.7% |
| |||||||
Microsoft Corp. | 110 | 29,833 | ||||||
|
| |||||||
Specialty Retail — 5.1% |
| |||||||
AutoZone, Inc. * | 11 | 15,964 | ||||||
Gap, Inc. (The) | 255 | 8,571 | ||||||
Home Depot, Inc. (The) | 63 | 20,046 | ||||||
Lowe’s Cos., Inc. | 82 | 15,981 | ||||||
O’Reilly Automotive, Inc. * | 13 | 7,417 | ||||||
TJX Cos., Inc. (The) | 280 | 18,909 | ||||||
|
| |||||||
86,888 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.5% |
| |||||||
Apple, Inc. | 60 | 8,205 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.2% |
| |||||||
NIKE, Inc., Class B | 130 | 20,043 | ||||||
|
| |||||||
Tobacco — 1.4% |
| |||||||
Philip Morris International, Inc. | 239 | 23,682 | ||||||
|
| |||||||
Total Common Stocks | 1,667,806 | |||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
82 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 2.2% |
| |||||||
Investment Companies — 2.2% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | 38,009 | 38,028 | ||||||
|
| |||||||
Total Investments — 99.9% | 1,705,834 | |||||||
Other Assets Less Liabilities — 0.1% | �� | 1,151 | ||||||
|
| |||||||
NET ASSETS — 100.0% | 1,706,985 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 83 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021
(Amounts in thousands, except per share amounts)
JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | JPMorgan Equity Premium Income Fund | JPMorgan Hedged Equity Fund | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments in non-affiliates, at value | $ | 128,507 | $ | 45,247,303 | $ | 883,537 | $ | 17,911,813 | ||||||||
Investments in affiliates, at value | 3,582 | 1,108,433 | 43,928 | 312,969 | ||||||||||||
Options purchased, at value | — | — | — | 289,993 | ||||||||||||
Cash | — | (a) | 58 | — | — | |||||||||||
Deposits at broker for futures contracts | — | — | — | 58,970 | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | — | — | 34,538 | 1,613,327 | ||||||||||||
Fund shares sold | 6 | 53,029 | 6,129 | 68,592 | ||||||||||||
Interest from non-affiliates | — | — | 2,906 | — | ||||||||||||
Dividends from non-affiliates | 57 | 59,512 | 803 | 16,039 | ||||||||||||
Dividends from affiliates | — | (a) | 2 | — | (a) | 1 | ||||||||||
Variation margin on futures contracts | — | — | 3 | 1,604 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 132,152 | 46,468,337 | 971,844 | 20,273,308 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: |
| |||||||||||||||
Payables: | ||||||||||||||||
Due to custodian | — | — | 36 | — | (a) | |||||||||||
Distributions | — | — | (a) | 365 | — | |||||||||||
Investment securities purchased | — | — | 67,674 | 1,620,132 | ||||||||||||
Fund shares redeemed | 80 | 37,878 | 2,445 | 82,569 | ||||||||||||
Outstanding options written, at fair value | — | — | — | 266,751 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 51 | 15,124 | 144 | 3,709 | ||||||||||||
Administration fees | 7 | 1,315 | 36 | 952 | ||||||||||||
Distribution fees | 5 | 1,982 | 112 | 668 | ||||||||||||
Service fees | 19 | 5,217 | 152 | 3,389 | ||||||||||||
Custodian and accounting fees | 6 | 280 | 9 | 122 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | — | (a) | — | |||||||||
Other | 90 | 884 | 67 | 93 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 258 | 62,680 | 71,040 | 1,978,385 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 131,894 | $ | 46,405,657 | $ | 900,804 | $ | 18,294,923 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
84 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | JPMorgan Equity Premium Income Fund | JPMorgan Hedged Equity Fund | |||||||||||||
NET ASSETS: |
| |||||||||||||||
Paid-in-Capital | $ | 73,362 | $ | 31,739,270 | $ | 867,911 | $ | 15,114,921 | ||||||||
Total distributable earnings (loss) | 58,532 | 14,666,387 | 32,893 | 3,180,002 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 131,894 | $ | 46,405,657 | $ | 900,804 | $ | 18,294,923 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Class A | $ | 9,949 | $ | 4,715,916 | $ | 174,085 | $ | 1,778,457 | ||||||||
Class C | 4,293 | 1,493,408 | 158,340 | 502,120 | ||||||||||||
Class I | 83,598 | 17,980,353 | 519,976 | 14,416,679 | ||||||||||||
Class R2 | — | 77,859 | — | — | ||||||||||||
Class R3 | — | 280,991 | — | — | ||||||||||||
Class R4 | — | 249,525 | — | — | ||||||||||||
Class R5 | — | 1,655,531 | 88 | 6,024 | ||||||||||||
Class R6 | 34,054 | 19,952,074 | 48,315 | 1,591,643 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 131,894 | $ | 46,405,657 | $ | 900,804 | $ | 18,294,923 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 284 | 211,061 | 11,431 | 68,678 | ||||||||||||
Class C | 130 | 68,300 | 10,396 | 19,523 | ||||||||||||
Class I | 2,335 | 789,911 | 34,134 | 555,008 | ||||||||||||
Class R2 | — | 3,502 | — | — | ||||||||||||
Class R3 | — | 12,587 | — | — | ||||||||||||
Class R4 | — | 10,970 | — | — | ||||||||||||
Class R5 | — | 72,672 | 6 | 232 | ||||||||||||
Class R6 | 956 | 876,564 | 3,172 | 61,133 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 35.03 | $ | 22.34 | $ | 15.23 | $ | 25.90 | ||||||||
Class C — Offering price per share (b) | 33.15 | 21.87 | 15.23 | 25.72 | ||||||||||||
Class I — Offering and redemption price per share | 35.80 | 22.76 | 15.23 | 25.98 | ||||||||||||
Class R2 — Offering and redemption price per share | — | 22.23 | — | — | ||||||||||||
Class R3 — Offering and redemption price per share | — | 22.32 | — | — | ||||||||||||
Class R4 — Offering and redemption price per share | — | 22.75 | — | — | ||||||||||||
Class R5 — Offering and redemption price per share | — | 22.78 | 15.23 | 26.02 | ||||||||||||
Class R6 — Offering and redemption price per share | 35.62 | 22.76 | 15.23 | 26.04 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 36.97 | $ | 23.58 | $ | 16.07 | $ | 27.34 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 82,263 | $ | 30,618,832 | $ | 814,023 | $ | 12,048,060 | ||||||||
Cost of investments in affiliates | 3,582 | 1,108,296 | 43,928 | 312,969 | ||||||||||||
Cost of options purchased | — | — | — | 284,491 | ||||||||||||
Premiums received from options written | — | — | — | 274,598 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 85 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (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 | |||||||||||||
ASSETS: | ||||||||||||||||
Investments in non-affiliates, at value | $ | 1,362,348 | $ | 563,694 | $ | 35,896,004 | $ | 4,274,645 | ||||||||
Investments in affiliates, at value | 82,933 | 17,690 | 1,501,233 | 57,325 | ||||||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | — | — | 427,794 | 31,359 | ||||||||||||
Options purchased, at value | 3,573 | 4,395 | — | — | ||||||||||||
Cash | 236 | 93 | 59 | 7 | ||||||||||||
Deposits at broker for futures contracts | 541 | 505 | — | — | ||||||||||||
Deferred offering costs (See Note 2.J.) | 70 | 70 | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 991 | 612 | 35,152 | 26,549 | ||||||||||||
Fund shares sold | 14,218 | 4,870 | 38,497 | 4,552 | ||||||||||||
Dividends from non-affiliates | 1,039 | 408 | 7,651 | 2,899 | ||||||||||||
Dividends from affiliates | — | (a) | — | (a) | 3 | — | (a) | |||||||||
Securities lending income (See Note 2.C.) | — | — | 111 | 2 | ||||||||||||
Variation margin on futures contracts | 52 | 18 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 1,466,001 | 592,355 | 37,906,504 | 4,397,338 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Investment securities purchased | 57,216 | 16,059 | — | 19,667 | ||||||||||||
Collateral received on securities loaned (See Note 2.C.) | — | — | 427,794 | 31,359 | ||||||||||||
Fund shares redeemed | 3,558 | 933 | 44,452 | 2,882 | ||||||||||||
Outstanding options written, at fair value | 12,780 | 8,560 | — | — | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 201 | 53 | 11,923 | 1,263 | ||||||||||||
Administration fees | 49 | 18 | 316 | 162 | ||||||||||||
Distribution fees | 39 | 12 | 1,571 | 89 | ||||||||||||
Service fees | 203 | 97 | 3,513 | 280 | ||||||||||||
Custodian and accounting fees | 24 | 22 | 256 | 17 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | — | 2 | |||||||||||
Other | 63 | 35 | 299 | 147 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 74,133 | 25,789 | 490,124 | 55,868 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 1,391,868 | $ | 566,566 | $ | 37,416,380 | $ | 4,341,470 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
86 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
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 | $ | 1,359,351 | $ | 553,523 | $ | 18,245,625 | $ | 3,660,840 | ||||||||
Total distributable earnings (loss) | 32,517 | 13,043 | 19,170,755 | 680,630 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 1,391,868 | $ | 566,566 | $ | 37,416,380 | $ | 4,341,470 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 52,880 | $ | 21,446 | $ | 4,970,767 | $ | 218,302 | ||||||||
Class C | 57,423 | 19,229 | 780,132 | 62,488 | ||||||||||||
Class I | 1,018,781 | 524,074 | 10,983,173 | 1,418,653 | ||||||||||||
Class R2 | — | — | 129,541 | 11,175 | ||||||||||||
Class R3 | — | — | 264,318 | 16 | ||||||||||||
Class R4 | — | — | 204,814 | 135 | ||||||||||||
Class R5 | 536 | 21 | 956,386 | 24,668 | ||||||||||||
Class R6 | 262,248 | 1,796 | 19,127,249 | 2,606,033 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 1,391,868 | $ | 566,566 | $ | 37,416,380 | $ | 4,341,470 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 3,312 | 1,344 | 77,398 | 10,658 | ||||||||||||
Class C | 3,600 | 1,206 | 16,882 | 3,195 | ||||||||||||
Class I | 63,758 | 32,802 | 167,461 | 70,590 | ||||||||||||
Class R2 | — | — | 2,122 | 551 | ||||||||||||
Class R3 | — | — | 4,089 | 1 | ||||||||||||
Class R4 | — | — | 3,128 | 7 | ||||||||||||
Class R5 | 33 | 1 | 14,170 | 1,214 | ||||||||||||
Class R6 | 16,404 | 112 | 280,539 | 129,147 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 15.97 | $ | 15.96 | $ | 64.22 | $ | 20.48 | ||||||||
Class C — Offering price per share (b) | 15.95 | 15.95 | 46.21 | 19.55 | ||||||||||||
Class I — Offering and redemption price per share | 15.98 | 15.98 | 65.59 | 20.10 | ||||||||||||
Class R2 — Offering and redemption price per share | — | — | 61.05 | 20.30 | ||||||||||||
Class R3 — Offering and redemption price per share | — | — | 64.64 | 20.09 | ||||||||||||
Class R4 — Offering and redemption price per share | — | — | 65.47 | 20.50 | ||||||||||||
Class R5 — Offering and redemption price per share | 15.98 | 15.98 | 67.49 | 20.32 | ||||||||||||
Class R6 — Offering and redemption price per share | 15.99 | 15.98 | 68.18 | 20.18 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 16.85 | $ | 16.84 | $ | 67.78 | $ | 21.61 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 1,309,941 | $ | 538,816 | $ | 21,404,067 | $ | 3,745,029 | ||||||||
Cost of investments in affiliates | 82,933 | 17,690 | 1,501,034 | 57,325 | ||||||||||||
Cost of options purchased | 22,284 | 8,907 | — | — | ||||||||||||
Investment securities on loan, at value (See Note 2.C.) | — | — | 422,906 | 30,637 | ||||||||||||
Cost of investment of cash collateral (See Note 2.C.) | — | — | 427,811 | 31,359 | ||||||||||||
Premiums received from options written | 20,801 | 8,880 | — | — |
(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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 87 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | JPMorgan U.S. Large Cap Core Plus Fund | |||||||||||||
ASSETS: |
| |||||||||||||||
Investments in non-affiliates, at value | $ | 267,873 | $ | 19,646,204 | $ | 1,275,680 | $ | 3,303,749 | ||||||||
Investments in affiliates, at value | 9,182 | 228,846 | 31,110 | 11,580 | ||||||||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.C.) | — | 30,501 | 2,909 | — | ||||||||||||
Cash | 1 | 8 | 2 | — | ||||||||||||
Foreign currency, at value | — | — | — | 20 | ||||||||||||
Deposits at broker for futures contracts | 673 | 5,928 | 1,828 | — | ||||||||||||
Receivables: | ||||||||||||||||
Investment securities sold | 6,971 | — | — | 14,136 | ||||||||||||
Fund shares sold | 30 | 18,421 | 568 | 916 | ||||||||||||
Dividends from non-affiliates | 259 | 12,041 | 391 | 1,897 | ||||||||||||
Dividends from affiliates | — | (a) | — | (a) | — | (a) | — | (a) | ||||||||
Securities lending income (See Note 2.C.) | — | 22 | 4 | — | ||||||||||||
Variation margin on futures contracts | 14 | 175 | 48 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 285,003 | 19,942,146 | 1,312,540 | 3,332,298 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: |
| |||||||||||||||
Payables: | ||||||||||||||||
Due to custodian | — | — | — | 21 | ||||||||||||
Due to broker for securities sold short | — | — | — | 20 | ||||||||||||
Securities sold short, at value | — | — | — | 664,633 | ||||||||||||
Dividend expense to non-affiliates on securities sold short | — | — | — | 774 | ||||||||||||
Investment securities purchased | — | 1,520 | — | 8,763 | ||||||||||||
Interest expense to non-affiliates on securities sold short | — | — | — | 356 | ||||||||||||
Collateral received on securities loaned (See Note 2.C.) | — | 30,501 | 2,909 | — | ||||||||||||
Fund shares redeemed | 8,404 | 57,302 | 1,502 | 4,347 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 59 | 6,087 | 278 | 1,363 | ||||||||||||
Administration fees | 10 | 785 | 54 | 138 | ||||||||||||
Distribution fees | 21 | 703 | 61 | 93 | ||||||||||||
Service fees | 41 | 1,078 | 82 | 246 | ||||||||||||
Custodian and accounting fees | 9 | 146 | 11 | 38 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | — | — | (a) | |||||||||
Other | 180 | 373 | 55 | 260 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 8,724 | 98,495 | 4,952 | 681,052 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 276,279 | $ | 19,843,651 | $ | 1,307,588 | $ | 2,651,246 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
88 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | JPMorgan U.S. Large Cap Core Plus Fund | |||||||||||||
NET ASSETS: |
| |||||||||||||||
Paid-in-Capital | $ | 182,349 | $ | 10,227,946 | $ | 594,947 | $ | 703,849 | ||||||||
Total distributable earnings (loss) | 93,930 | 9,615,705 | 712,641 | 1,947,397 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 276,279 | $ | 19,843,651 | $ | 1,307,588 | $ | 2,651,246 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: |
| |||||||||||||||
Class A | $ | 61,187 | $ | 1,642,046 | $ | 119,893 | $ | 335,206 | ||||||||
Class C | 11,211 | 367,940 | 30,159 | 36,784 | ||||||||||||
Class I | 127,530 | 1,731,572 | 164,959 | 1,702,566 | ||||||||||||
Class L | — | 1,907,620 | — | — | ||||||||||||
Class R2 | 3,000 | 269,266 | 45,629 | 5,838 | ||||||||||||
Class R3 | — | 174,770 | — | — | ||||||||||||
Class R4 | — | 45,443 | — | — | ||||||||||||
Class R5 | 4,053 | 1,089,931 | 166,478 | 34,191 | ||||||||||||
Class R6 | 69,298 | 12,615,063 | 780,470 | 536,661 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 276,279 | $ | 19,843,651 | $ | 1,307,588 | $ | 2,651,246 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 1,682 | 76,339 | 1,633 | 12,489 | ||||||||||||
Class C | 314 | 17,849 | 421 | 1,532 | ||||||||||||
Class I | 3,474 | 80,204 | 2,197 | 61,838 | ||||||||||||
Class L | — | 88,183 | — | — | ||||||||||||
Class R2 | 83 | 12,667 | 641 | 231 | ||||||||||||
Class R3 | — | 8,161 | — | — | ||||||||||||
Class R4 | — | 2,108 | — | — | ||||||||||||
Class R5 | 110 | 50,365 | 2,256 | 1,231 | ||||||||||||
Class R6 | 1,884 | 581,577 | 10,574 | 19,339 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 36.38 | $ | 21.51 | $ | 73.40 | $ | 26.84 | ||||||||
Class C — Offering price per share (b) | 35.72 | 20.61 | 71.55 | 24.01 | ||||||||||||
Class I — Offering and redemption price per share | 36.72 | 21.59 | 75.08 | 27.53 | ||||||||||||
Class L — Offering and redemption price per share | — | 21.63 | — | — | ||||||||||||
Class R2 — Offering and redemption price per share | 35.99 | 21.26 | 71.18 | 25.27 | ||||||||||||
Class R3 — Offering and redemption price per share | — | 21.42 | — | — | ||||||||||||
Class R4 — Offering and redemption price per share | — | 21.55 | — | — | ||||||||||||
Class R5 — Offering and redemption price per share | 36.78 | 21.64 | 73.80 | 27.78 | ||||||||||||
Class R6 — Offering and redemption price per share | 36.78 | 21.69 | 73.81 | 27.75 | ||||||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
Class A maximum public offering price per share | $ | 38.40 | $ | 22.70 | $ | 77.47 | $ | 28.33 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in non-affiliates | $ | 195,324 | $ | 11,230,397 | $ | 712,894 | $ | 1,676,033 | ||||||||
Cost of investments in affiliates | 9,182 | 228,846 | 31,107 | 11,580 | ||||||||||||
Cost of foreign currency | — | — | — | 20 | ||||||||||||
Investment securities on loan, at value (See Note 2.C.) | — | 30,132 | 2,790 | — | ||||||||||||
Cost of investment of cash collateral (See Note 2.C.) | — | 30,504 | 2,909 | — | ||||||||||||
Proceeds from securities sold short | — | — | — | 622,852 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 89 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan U.S. Research Enhanced Equity Fund | JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund) | JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) | ||||||||||
ASSETS: |
| |||||||||||
Investments in non-affiliates, at value | $ | 5,000,555 | $ | 110,928 | $ | 1,667,806 | ||||||
Investments in affiliates, at value | 66,914 | 4,580 | 38,028 | |||||||||
Cash | 34 | — | (a) | 2 | ||||||||
Deposits at broker for futures contracts | 3,519 | 270 | — | |||||||||
Receivables: | ||||||||||||
Investment securities sold | 4,598 | 1,130 | — | |||||||||
Fund shares sold | 1,960 | 270 | 1,404 | |||||||||
Dividends from non-affiliates | 4,343 | 66 | 1,574 | |||||||||
Dividends from affiliates | — | (a) | — | (a) | — | (a) | ||||||
Variation margin on futures contracts | 98 | 9 | — | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 5,082,021 | 117,253 | 1,708,814 | |||||||||
|
|
|
|
|
| |||||||
LIABILITIES: |
| |||||||||||
Payables: | ||||||||||||
Investment securities purchased | 4,315 | 1,232 | — | |||||||||
Fund shares redeemed | 24,403 | 412 | 820 | |||||||||
Accrued liabilities: | ||||||||||||
Investment advisory fees | 817 | — | (a) | 488 | ||||||||
Administration fees | 171 | — | 74 | |||||||||
Distribution fees | 37 | 7 | 131 | |||||||||
Service fees | 68 | 3 | 270 | |||||||||
Custodian and accounting fees | 40 | 7 | 14 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | — | (a) | ||||||
Other | 128 | 42 | 32 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 29,979 | 1,703 | 1,829 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 5,052,042 | $ | 115,550 | $ | 1,706,985 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
90 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund | JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund) | JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) | ||||||||||
NET ASSETS: |
| |||||||||||
Paid-in-Capital | $ | 2,114,331 | $ | 84,699 | $ | 1,156,770 | ||||||
Total distributable earnings (loss) | 2,937,711 | 30,851 | 550,215 | |||||||||
|
|
|
|
|
| |||||||
Total Net Assets | $ | 5,052,042 | $ | 115,550 | $ | 1,706,985 | ||||||
|
|
|
|
|
| |||||||
Net Assets: |
| |||||||||||
Class A | $ | 180,296 | $ | 24,169 | $ | 522,230 | ||||||
Class C | — | 3,794 | 37,539 | |||||||||
Class I | 686,545 | 62,431 | 868,339 | |||||||||
Class R2 | — | — | 2,005 | |||||||||
Class R3 | — | — | 1,402 | |||||||||
Class R4 | — | — | 106 | |||||||||
Class R5 | — | — | 178 | |||||||||
Class R6 | 4,185,201 | 25,156 | 275,186 | |||||||||
|
|
|
|
|
| |||||||
Total | $ | 5,052,042 | $ | 115,550 | $ | 1,706,985 | ||||||
|
|
|
|
|
| |||||||
Outstanding units of beneficial interest (shares) |
| |||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||
Class A | 4,944 | 408 | 8,082 | |||||||||
Class C | — | 66 | 655 | |||||||||
Class I | 18,611 | 1,046 | 12,666 | |||||||||
Class R2 | — | — | 31 | |||||||||
Class R3 | — | — | 21 | |||||||||
Class R4 | — | — | 2 | |||||||||
Class R5 | — | — | 3 | |||||||||
Class R6 | 113,614 | 421 | 3,982 | |||||||||
Net Asset Value (a): | ||||||||||||
Class A — Redemption price per share | $ | 36.46 | $ | 59.20 | $ | 64.61 | ||||||
Class C — Offering price per share (b) | — | 57.87 | 57.32 | |||||||||
Class I — Offering and redemption price per share | 36.89 | 59.71 | 68.55 | |||||||||
Class R2 — Offering and redemption price per share | — | — | 64.73 | |||||||||
Class R3 — Offering and redemption price per share | — | — | 68.41 | |||||||||
Class R4 — Offering and redemption price per share | — | — | 68.60 | |||||||||
Class R5 — Offering and redemption price per share | — | — | 69.09 | |||||||||
Class R6 — Offering and redemption price per share | 36.84 | 59.69 | 69.10 | |||||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | 5.25 | % | ||||||
Class A maximum public offering price per share | $ | 38.48 | $ | 62.48 | $ | 68.19 | ||||||
|
|
|
|
|
| |||||||
Cost of investments in non-affiliates | $ | 2,520,239 | $ | 84,032 | $ | 1,149,430 | ||||||
Cost of investments in affiliates | 66,908 | 4,579 | 38,028 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 91 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2021
(Amounts in thousands)
JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | JPMorgan Equity Premium Income Fund | JPMorgan Hedged Equity Fund | |||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||
Interest income from non-affiliates | $ | — | $ | — | $ | 31,801 | $ | — | ||||||||
Interest income from affiliates | — | — | 17 | — | ||||||||||||
Dividend income from non-affiliates | 1,230 | 905,831 | 5,516 | 211,098 | ||||||||||||
Dividend income from affiliates | 4 | 1,170 | 10 | 61 | ||||||||||||
Income from securities lending (net) (See Note 2.C.) | — | (a) | 1 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 1,234 | 907,002 | 37,344 | 211,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: |
| |||||||||||||||
Investment advisory fees | 539 | 148,636 | 927 | 35,936 | ||||||||||||
Administration fees | 81 | 15,453 | 278 | 9,826 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 19 | 9,838 | 101 | 2,662 | ||||||||||||
Class C | 27 | 10,342 | 222 | 2,891 | ||||||||||||
Class R2 | — | 370 | — | — | ||||||||||||
Class R3 | — | 570 | — | — | ||||||||||||
Service fees: | ||||||||||||||||
Class A | 19 | 9,838 | 101 | 2,662 | ||||||||||||
Class C | 9 | 3,447 | 74 | 964 | ||||||||||||
Class I | 168 | 35,451 | 667 | 29,158 | ||||||||||||
Class R2 | — | 185 | — | — | ||||||||||||
Class R3 | — | 570 | — | — | ||||||||||||
Class R4 | — | 440 | — | — | ||||||||||||
Class R5 | — | 1,440 | — | (a) | 4 | |||||||||||
Custodian and accounting fees | 24 | 1,213 | 43 | 411 | ||||||||||||
Interest expense to affiliates | — | — | 6 | — | (a) | |||||||||||
Professional fees | 51 | 341 | 115 | 189 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 25 | 122 | 26 | 61 | ||||||||||||
Printing and mailing costs | 4 | 1,540 | 18 | 601 | ||||||||||||
Registration and filing fees | 56 | 1,229 | 173 | 775 | ||||||||||||
Transfer agency fees (See Note 2.L.) | 4 | 1,177 | 10 | 214 | ||||||||||||
Other | 9 | 488 | 14 | 233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,035 | 242,690 | 2,775 | 86,587 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (149 | ) | (1,060 | ) | (320 | ) | (365 | ) | ||||||||
Less expense reimbursements | — | — | (1 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 886 | 241,630 | 2,454 | 86,222 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 348 | 665,372 | 34,890 | 124,937 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: |
| |||||||||||||||
Investments in non-affiliates | 17,318 | 932,771 | (4,391 | ) | 453,705 | |||||||||||
Investments in affiliates | (1 | ) | 238 | (5 | ) | — | ||||||||||
Options purchased | — | — | — | (1,592,275 | ) | |||||||||||
Futures contracts | — | — | 348 | 114,907 | ||||||||||||
Options written | — | — | — | (942,730 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 17,317 | 933,009 | (4,048 | ) | (1,966,393 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||||||
Investments in non-affiliates | 22,947 | 10,723,424 | 61,771 | 4,363,784 | ||||||||||||
Investments in affiliates | (1 | ) | (532 | ) | — | (a) | — | |||||||||
Options purchased | — | — | — | 16,465 | ||||||||||||
Futures contracts | — | — | 3 | 3,631 | ||||||||||||
Options written | — | — | — | 12,420 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 22,946 | 10,722,892 | 61,774 | 4,396,300 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 40,263 | 11,655,901 | 57,726 | 2,429,907 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 40,611 | $ | 12,321,273 | $ | 92,616 | $ | 2,554,844 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
92 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Hedged Equity 2 Fund (a) | JPMorgan Hedged Equity 3 Fund (a) | JPMorgan Large Cap Growth Fund | JPMorgan Large Cap Value Fund | |||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||
Dividend income from non-affiliates | $ | 2,826 | $ | 1,144 | $ | 146,953 | $ | 31,484 | ||||||||
Dividend income from affiliates | 3 | 1 | 1,768 | 54 | ||||||||||||
Income from securities lending (net) (See Note 2.C.) | — | — | 1,734 | 54 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 2,829 | 1,145 | 150,455 | 31,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: |
| |||||||||||||||
Investment advisory fees | 505 | 204 | 141,291 | 8,220 | ||||||||||||
Administration fees | 152 | 61 | 14,908 | 1,541 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 17 | 4 | 10,921 | 383 | ||||||||||||
Class C | 60 | 13 | 5,437 | 315 | ||||||||||||
Class R2 | — | — | 657 | 77 | ||||||||||||
Class R3 | — | — | 442 | — | (b) | |||||||||||
Service fees: | ||||||||||||||||
Class A | 17 | 4 | 10,921 | 383 | ||||||||||||
Class C | 20 | 4 | 1,812 | 105 | ||||||||||||
Class I | 389 | 194 | 23,377 | 1,576 | ||||||||||||
Class R2 | — | — | 329 | 39 | ||||||||||||
Class R3 | — | — | 442 | — | (b) | |||||||||||
Class R4 | — | — | 350 | 3 | ||||||||||||
Class R5 | — | (b) | — | (b) | 936 | 22 | ||||||||||
Custodian and accounting fees | 32 | 29 | 1,073 | 58 | ||||||||||||
Interest expense to affiliates | — | — | 4 | — | ||||||||||||
Professional fees | 84 | 84 | 306 | 64 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 6 | 6 | 107 | 31 | ||||||||||||
Printing and mailing costs | 10 | 10 | 843 | 48 | ||||||||||||
Registration and filing fees | 85 | 33 | 1,106 | 227 | ||||||||||||
Transfer agency fees (See Note 2.L.) | 1 | 2 | 740 | 179 | ||||||||||||
Offering costs (See Note 2.J.) | 34 | 34 | — | — | ||||||||||||
Other | 8 | 8 | 393 | 35 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,420 | 690 | 216,395 | 13,306 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (166 | ) | (134 | ) | (23,981 | ) | (1,406 | ) | ||||||||
Less expense reimbursements | (48 | ) | (52 | ) | (9 | ) | (16 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 1,206 | 504 | 192,405 | 11,884 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 1,623 | 641 | (41,950 | ) | 19,708 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: |
| |||||||||||||||
Investments in non-affiliates | (343 | ) | 46 | 5,959,033 | 227,286 | |||||||||||
Investments in affiliates | — | — | (26 | ) | (14 | ) | ||||||||||
Options purchased | (2,158 | ) | (2,865 | ) | — | — | ||||||||||
Futures contracts | 1,649 | 535 | — | — | ||||||||||||
Options written | (8,937 | ) | (5,600 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (9,789 | ) | (7,884 | ) | 5,959,007 | 227,272 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||||||
Investments in non-affiliates | 52,407 | 24,878 | 4,245,569 | 529,854 | ||||||||||||
Investments in affiliates | — | — | (454 | ) | 1 | |||||||||||
Options purchased | (18,711 | ) | (4,512 | ) | — | — | ||||||||||
Futures contracts | 45 | 32 | — | — | ||||||||||||
Options written | 8,021 | 320 | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 41,762 | 20,718 | 4,245,115 | 529,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 31,973 | 12,834 | 10,204,122 | 757,127 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 33,596 | $ | 13,475 | $ | 10,162,172 | $ | 776,835 | ||||||||
|
|
|
|
|
|
|
|
(a) | Commencement of operations was February 26, 2021. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 93 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2021 (continued)
(Amounts in thousands)
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | JPMorgan U.S. Equity Fund | JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | JPMorgan U.S. Large Cap Core Plus Fund | |||||||||||||
INVESTMENT INCOME: |
| |||||||||||||||
Interest income from non-affiliates | $ | 25 | $ | 55 | $ | 21 | $ | — | ||||||||
Dividend income from non-affiliates | 5,589 | 250,561 | 10,333 | 45,565 | ||||||||||||
Dividend income from affiliates | 8 | 291 | 38 | 29 | ||||||||||||
Income from securities lending (net) (See Note 2.C.) | 4 | 78 | 49 | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 5,626 | 250,985 | 10,441 | 45,594 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: |
| |||||||||||||||
Investment advisory fees | 767 | 72,409 | 3,757 | 18,932 | ||||||||||||
Administration fees | 192 | 11,618 | 939 | 2,184 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 135 | 3,741 | 272 | 790 | ||||||||||||
Class C | 78 | 2,336 | 217 | 316 | ||||||||||||
Class R2 | 14 | 1,250 | 224 | 26 | ||||||||||||
Class R3 | — | 373 | — | — | ||||||||||||
Service fees: | ||||||||||||||||
Class A | 135 | 3,741 | 272 | 790 | ||||||||||||
Class C | 26 | 779 | 72 | 105 | ||||||||||||
Class I | 296 | 3,480 | 385 | 4,892 | ||||||||||||
Class L | — | 2,162 | — | — | ||||||||||||
Class R2 | 7 | 625 | 112 | 13 | ||||||||||||
Class R3 | — | 373 | — | — | ||||||||||||
Class R4 | — | 77 | — | — | ||||||||||||
Class R5 | 4 | 952 | 203 | 39 | ||||||||||||
Custodian and accounting fees | 31 | 600 | 43 | 69 | ||||||||||||
Interest expense to affiliates | — | (a) | — | (a) | — | (a) | 2 | |||||||||
Professional fees | 56 | 200 | 65 | 75 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 25 | 73 | 28 | 33 | ||||||||||||
Printing and mailing costs | 57 | 146 | 43 | 54 | ||||||||||||
Registration and filing fees | 102 | 377 | 81 | 89 | ||||||||||||
Transfer agency fees (See Note 2.L.) | 11 | 345 | 53 | 95 | ||||||||||||
Dividend expense to non-affiliates on securities sold short | — | — | — | 19,932 | ||||||||||||
Interest expense to non-affiliates on securities sold short | — | — | — | 4,692 | ||||||||||||
Other | 15 | 291 | 28 | 54 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 1,951 | 105,948 | 6,794 | 53,182 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (396 | ) | (6,452 | ) | (808 | ) | (3,540 | ) | ||||||||
Less expense reimbursements | (1 | ) | (89 | ) | — | (4 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 1,554 | 99,407 | 5,986 | 49,638 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 4,072 | 151,578 | 4,455 | (4,044 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on transactions from: |
| |||||||||||||||
Investments in non-affiliates | 29,395 | 1,978,324 | 191,228 | 1,191,197 | ||||||||||||
Investments in affiliates | (1 | ) | (81 | ) | (6 | ) | (5 | ) | ||||||||
Futures contracts | 1,219 | 38,608 | 5,731 | 583 | ||||||||||||
Securities sold short | — | — | — | (183,382 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 30,613 | 2,016,851 | 196,953 | 1,008,393 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||||||
Investments in non-affiliates | 61,620 | 4,024,268 | 220,149 | 164,103 | ||||||||||||
Investments in affiliates | (2 | ) | (3 | ) | (7 | ) | (4 | ) | ||||||||
Futures contracts | 107 | 1,940 | 512 | 24 | ||||||||||||
Securities sold short | — | — | — | (109,989 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net unrealized appreciation/depreciation | 61,725 | 4,026,205 | 220,654 | 54,134 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 92,338 | 6,043,056 | 417,607 | 1,062,527 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 96,410 | $ | 6,194,634 | $ | 422,062 | $ | 1,058,483 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
94 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund | JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund) | JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) | ||||||||||
INVESTMENT INCOME: |
| |||||||||||
Dividend income from non-affiliates | $ | 71,665 | $ | 1,061 | $ | 23,732 | ||||||
Dividend income from affiliates | 66 | 3 | 39 | |||||||||
Income from securities lending (net) (See Note 2.C.) | — | — | (a) | — | ||||||||
|
|
|
|
|
| |||||||
Total investment income | 71,731 | 1,064 | 23,771 | |||||||||
|
|
|
|
|
| |||||||
EXPENSES: |
| |||||||||||
Investment advisory fees | 12,413 | 223 | 4,542 | |||||||||
Administration fees | 3,724 | 56 | 852 | |||||||||
Distribution fees: | ||||||||||||
Class A | 480 | 41 | 1,195 | |||||||||
Class C | — | 22 | 224 | |||||||||
Class R2 | — | — | 8 | |||||||||
Class R3 | — | — | 2 | |||||||||
Service fees: | ||||||||||||
Class A | 480 | 41 | 1,195 | |||||||||
Class C | — | 7 | 75 | |||||||||
Class I | 1,594 | 110 | 1,148 | |||||||||
Class L (b) | 2 | — | — | |||||||||
Class R2 | — | — | 4 | |||||||||
Class R3 | — | — | 2 | |||||||||
Class R4 | — | — | 2 | |||||||||
Class R5 | — | — | — | (a) | ||||||||
Custodian and accounting fees | 174 | 24 | 36 | |||||||||
Interest expense to affiliates | — | (a) | — | — | ||||||||
Professional fees | 87 | 84 | 61 | |||||||||
Trustees’ and Chief Compliance Officer’s fees | 38 | 25 | 28 | |||||||||
Printing and mailing costs | 10 | 29 | 61 | |||||||||
Registration and filing fees | 45 | 77 | 88 | |||||||||
Transfer agency fees (See Note 2.L.) | 64 | 5 | 166 | |||||||||
Other | 75 | 9 | 23 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 19,186 | 753 | 9,712 | |||||||||
|
|
|
|
|
| |||||||
Less fees waived | (5,523 | ) | (404 | ) | (891 | ) | ||||||
Less expense reimbursements | — | (a) | (4 | ) | (2 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 13,663 | 345 | 8,819 | |||||||||
|
|
|
|
|
| |||||||
Net investment income (loss) | 58,068 | 719 | 14,952 | |||||||||
|
|
|
|
|
| |||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||
Net realized gain (loss) on transactions from: |
| |||||||||||
Investments in non-affiliates | 547,292 | 3,798 | 44,109 | |||||||||
Investments in affiliates | (14 | ) | (1 | ) | 7 | |||||||
Futures contracts | 15,603 | 429 | — | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 562,881 | 4,226 | 44,116 | |||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation on: |
| |||||||||||
Investments in non-affiliates | 1,148,215 | 19,528 | 352,008 | |||||||||
Investments in affiliates | (1 | ) | 1 | (18 | ) | |||||||
Futures contracts | (27 | ) | 63 | — | ||||||||
|
|
|
|
|
| |||||||
Change in net unrealized appreciation/depreciation | 1,148,187 | 19,592 | 351,990 | |||||||||
|
|
|
|
|
| |||||||
Net realized/unrealized gains (losses) | 1,711,068 | 23,818 | 396,106 | |||||||||
|
|
|
|
|
| |||||||
Change in net assets resulting from operations | $ | 1,769,136 | $ | 24,537 | $ | 411,058 | ||||||
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
(b) | On July 2, 2020, Class L Shares for JPMorgan U.S. Research Enhanced Equity Fund were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 95 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 348 | $ | 790 | $ | 665,372 | $ | 603,430 | ||||||||
Net realized gain (loss) | 17,317 | 11,963 | 933,009 | (525,251 | ) | |||||||||||
Change in net unrealized appreciation/depreciation | 22,946 | (8,470 | ) | 10,722,892 | (2,030,903 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 40,611 | 4,283 | 12,321,273 | (1,952,724 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (862 | ) | (962 | ) | (59,104 | ) | (100,496 | ) | ||||||||
Class C | (403 | ) | (540 | ) | (14,553 | ) | (36,790 | ) | ||||||||
Class I | (7,180 | ) | (10,258 | ) | (245,584 | ) | (324,790 | ) | ||||||||
Class R2 | — | — | (921 | ) | (2,344 | ) | ||||||||||
Class R3 | — | — | (3,447 | ) | (4,859 | ) | ||||||||||
Class R4 | — | — | (3,022 | ) | (2,895 | ) | ||||||||||
Class R5 | — | — | (26,918 | ) | (46,903 | ) | ||||||||||
Class R6 | (3,356 | ) | (4,735 | ) | (310,281 | ) | (394,174 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (11,801 | ) | (16,495 | ) | (663,830 | ) | (913,251 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | 18,030 | (9,562 | ) | 5,193,277 | 8,758,465 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 46,840 | (21,774 | ) | 16,850,720 | 5,892,490 | |||||||||||
Beginning of period | 85,054 | 106,828 | 29,554,937 | 23,662,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 131,894 | $ | 85,054 | $ | 46,405,657 | $ | 29,554,937 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
96 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Premium Income Fund | JPMorgan Hedged Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 34,890 | $ | 13,512 | $ | 124,937 | $ | 103,479 | ||||||||
Net realized gain (loss) | (4,048 | ) | (29,238 | ) | (1,966,393 | ) | (469,890 | ) | ||||||||
Change in net unrealized appreciation/depreciation | 61,774 | 4,460 | 4,396,300 | 902,244 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 92,616 | (11,266 | ) | 2,554,844 | 535,833 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (3,484 | ) | (857 | ) | (7,417 | ) | (3,986 | ) | ||||||||
Class C | (2,300 | ) | (258 | ) | (1,096 | ) | (836 | ) | ||||||||
Class I | (25,702 | ) | (12,367 | ) | (115,685 | ) | (62,588 | ) | ||||||||
Class R5 | (5 | ) | (2 | ) | (47 | ) | (32 | ) | ||||||||
Class R6 | (3,425 | ) | (39 | ) | (15,731 | ) | (8,633 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (34,916 | ) | (13,523 | ) | (139,976 | ) | (76,075 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | 651,374 | 162,286 | 7,138,463 | 3,226,028 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 709,074 | 137,497 | 9,553,331 | 3,685,786 | ||||||||||||
Beginning of period | 191,730 | 54,233 | 8,741,592 | 5,055,806 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 900,804 | $ | 191,730 | $ | 18,294,923 | $ | 8,741,592 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 97 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Hedged Equity 2 Fund | JPMorgan Hedged Equity 3 Fund | |||||||
Period Ended June 30, 2021 (a) | Period Ended June 30, 2021 (a) | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 1,623 | $ | 641 | ||||
Net realized gain (loss) | (9,789 | ) | (7,884 | ) | ||||
Change in net unrealized appreciation/depreciation | 41,762 | 20,718 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | 33,596 | 13,475 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (25 | ) | (15 | ) | ||||
Class C | (1 | ) | (3 | ) | ||||
Class I | (785 | ) | (417 | ) | ||||
Class R5 | (1 | ) | — | (b) | ||||
Class R6 | (305 | ) | (2 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (1,117 | ) | (437 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | 1,359,389 | 553,528 | ||||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 1,391,868 | 566,566 | ||||||
Beginning of period | — | — | ||||||
|
|
|
| |||||
End of period | $ | 1,391,868 | $ | 566,566 | ||||
|
|
|
|
(a) | Commencement of operations was February 26, 2021. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
98 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Large Cap Growth Fund | JPMorgan Large Cap Value Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | (41,950 | ) | $ | 50,317 | $ | 19,708 | $ | 24,035 | |||||||
Net realized gain (loss) | 5,959,007 | 1,883,835 | 227,272 | (22,822 | ) | |||||||||||
Change in net unrealized appreciation/depreciation | 4,245,115 | 3,286,948 | 529,855 | (109,305 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 10,162,172 | 5,221,100 | 776,835 | (108,092 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (229,243 | ) | (307,305 | ) | (755 | ) | (2,660 | ) | ||||||||
Class C | (49,805 | ) | (82,111 | ) | (69 | ) | (354 | ) | ||||||||
Class I | (484,046 | ) | (568,389 | ) | (4,846 | ) | (4,022 | ) | ||||||||
Class R2 | (7,546 | ) | (16,104 | ) | (42 | ) | (207 | ) | ||||||||
Class R3 | (8,542 | ) | (7,619 | ) | — | (a) | — | (a) | ||||||||
Class R4 | (6,602 | ) | (2,550 | ) | — | (a) | (193 | ) | ||||||||
Class R5 | (48,291 | ) | (83,447 | ) | (193 | ) | (425 | ) | ||||||||
Class R6 | (774,029 | ) | (964,234 | ) | (12,971 | ) | (15,475 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,608,104 | ) | (2,031,759 | ) | (18,876 | ) | (23,336 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | 5,597,146 | 4,163,215 | 2,323,514 | (19,703 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 14,151,214 | 7,352,556 | 3,081,473 | (151,131 | ) | |||||||||||
Beginning of period | 23,265,166 | 15,912,610 | 1,259,997 | 1,411,128 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 37,416,380 | $ | 23,265,166 | $ | 4,341,470 | $ | 1,259,997 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 99 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | JPMorgan U.S. Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 4,072 | $ | 15,342 | $ | 151,578 | $ | 156,956 | ||||||||
Net realized gain (loss) | 30,613 | 46,835 | 2,016,851 | 1,074,096 | ||||||||||||
Change in net unrealized appreciation/depreciation | 61,725 | (120,484 | ) | 4,026,205 | 588,905 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 96,410 | (58,307 | ) | 6,194,634 | 1,819,957 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (1,695 | ) | (5,592 | ) | (83,977 | ) | (161,648 | ) | ||||||||
Class C | (287 | ) | (1,365 | ) | (17,652 | ) | (26,242 | ) | ||||||||
Class I | (4,082 | ) | (54,344 | ) | (87,780 | ) | (97,817 | ) | ||||||||
Class L | — | — | (164,969 | ) | (142,043 | ) | ||||||||||
Class R2 | (85 | ) | (314 | ) | (14,883 | ) | (21,799 | ) | ||||||||
Class R3 | — | — | (8,862 | ) | (11,145 | ) | ||||||||||
Class R4 | — | — | (1,911 | ) | (2,149 | ) | ||||||||||
Class R5 | (141 | ) | (3,383 | ) | (60,489 | ) | (80,738 | ) | ||||||||
Class R6 | (2,355 | ) | (11,681 | ) | (727,732 | ) | (925,117 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (8,645 | ) | (76,679 | ) | (1,168,255 | ) | (1,468,698 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | (67,252 | ) | (586,626 | ) | (121,490 | ) | 286,006 | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 20,513 | (721,612 | ) | 4,904,889 | 637,265 | |||||||||||
Beginning of period | 255,766 | 977,378 | 14,938,762 | 14,301,497 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 276,279 | $ | 255,766 | $ | 19,843,651 | $ | 14,938,762 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
100 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | JPMorgan U.S. Large Cap Core Plus Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 4,455 | $ | 16,629 | $ | (4,044 | ) | $ | 16,065 | |||||||
Net realized gain (loss) | 196,953 | 88,286 | 1,008,393 | 1,461,601 | ||||||||||||
Change in net unrealized appreciation/depreciation | 220,654 | 54,387 | 54,134 | (1,045,105 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 422,062 | 159,302 | 1,058,483 | 432,561 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (9,875 | ) | (12,262 | ) | (77,084 | ) | (110,686 | ) | ||||||||
Class C | (2,514 | ) | (4,180 | ) | (9,299 | ) | (22,436 | ) | ||||||||
Class I | (13,950 | ) | (18,221 | ) | (515,371 | ) | (858,499 | ) | ||||||||
Class R2 | (4,145 | ) | (5,271 | ) | (1,244 | ) | (1,126 | ) | ||||||||
Class R5 | (20,231 | ) | (23,132 | ) | (9,627 | ) | (20,316 | ) | ||||||||
Class R6 | (67,081 | ) | (73,479 | ) | (147,178 | ) | (161,893 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (117,796 | ) | (136,545 | ) | (759,803 | ) | (1,174,956 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | (111,060 | ) | (56,713 | ) | (697,740 | ) | (2,626,307 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 193,206 | (33,956 | ) | (399,060 | ) | (3,368,702 | ) | |||||||||
Beginning of period | 1,114,382 | 1,148,338 | 3,050,306 | 6,419,008 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 1,307,588 | $ | 1,114,382 | $ | 2,651,246 | $ | 3,050,306 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 101 |
Table of Contents
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 (formerly known as JPMorgan Intrepid Sustainable Equity Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 58,068 | $ | 79,253 | $ | 719 | $ | 428 | ||||||||
Net realized gain (loss) | 562,881 | 809,145 | 4,226 | 253 | ||||||||||||
Change in net unrealized appreciation/depreciation | 1,148,187 | (499,565 | ) | 19,592 | 2,768 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,769,136 | 388,833 | 24,537 | 3,449 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (7,423 | ) | (21,842 | ) | (235 | ) | (858 | ) | ||||||||
Class C | — | — | (30 | ) | (204 | ) | ||||||||||
Class I | (25,017 | ) | (23,849 | ) | (711 | ) | (1,447 | ) | ||||||||
Class L (a) | — | (45,099 | ) | — | — | |||||||||||
Class R6 (b) | (159,941 | ) | (463,809 | ) | (247 | ) | — | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (192,381 | ) | (554,599 | ) | (1,223 | ) | (2,509 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: |
| |||||||||||||||
Change in net assets resulting from capital transactions | (889,477 | ) | (1,284,816 | ) | 51,536 | 9,075 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: |
| |||||||||||||||
Change in net assets | 687,278 | (1,450,582 | ) | 74,850 | 10,015 | |||||||||||
Beginning of period | 4,364,764 | 5,815,346 | 40,700 | 30,685 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,052,042 | $ | 4,364,764 | $ | 115,550 | $ | 40,700 | ||||||||
|
|
|
|
|
|
|
|
(a) | On July 2, 2020, Class L Shares for JPMorgan U.S. Research Enhanced Equity Fund were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered. |
(b) | Commencement of offering of class of shares effective September 30, 2020 for JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund). |
SEE NOTES TO FINANCIAL STATEMENTS.
102 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 14,952 | $ | 11,575 | ||||
Net realized gain (loss) | 44,116 | 1,992 | ||||||
Change in net unrealized appreciation/depreciation | 351,990 | (46,631 | ) | |||||
|
|
|
| |||||
Change in net assets resulting from operations | 411,058 | (33,064 | ) | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||
Class A | (10,335 | ) | (19,342 | ) | ||||
Class C | (611 | ) | (1,019 | ) | ||||
Class I | (11,089 | ) | (3,705 | ) | ||||
Class R2 | (33 | ) | (16 | ) | ||||
Class R3 | (16 | ) | (2 | ) | ||||
Class R4 | (24 | ) | (12 | ) | ||||
Class R5 | (3 | ) | (3 | ) | ||||
Class R6 | (4,026 | ) | (2,189 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (26,137 | ) | (26,288 | ) | ||||
|
|
|
| |||||
CAPITAL TRANSACTIONS: |
| |||||||
Change in net assets resulting from capital transactions | 595,210 | 133,703 | ||||||
|
|
|
| |||||
NET ASSETS: |
| |||||||
Change in net assets | 980,131 | 74,351 | ||||||
Beginning of period | 726,854 | 652,503 | ||||||
|
|
|
| |||||
End of period | $ | 1,706,985 | $ | 726,854 | ||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 103 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 3,527 | $ | 2,181 | $ | 1,280,565 | $ | 1,164,544 | ||||||||
Distributions reinvested | 862 | 962 | 55,042 | 95,360 | ||||||||||||
Cost of shares redeemed | (2,169 | ) | (2,204 | ) | (1,092,878 | ) | (977,172 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 2,220 | 939 | 242,729 | 282,732 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 419 | 409 | 243,967 | 366,152 | ||||||||||||
Distributions reinvested | 403 | 540 | 13,343 | 32,079 | ||||||||||||
Cost of shares redeemed | (612 | ) | (490 | ) | (552,490 | ) | (334,932 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | 210 | 459 | (295,180 | ) | 63,299 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 9,125 | 4,205 | 5,967,956 | 5,501,467 | ||||||||||||
Distributions reinvested | 7,180 | 10,183 | 221,627 | 291,290 | ||||||||||||
Cost of shares redeemed | (3,056 | ) | (30,218 | ) | (3,358,152 | ) | (3,044,873 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 13,249 | (15,830 | ) | 2,831,431 | 2,747,884 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | — | — | 18,279 | 23,230 | ||||||||||||
Distributions reinvested | — | — | 901 | 2,243 | ||||||||||||
Cost of shares redeemed | — | — | (37,123 | ) | (40,287 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | — | — | (17,943 | ) | (14,814 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | — | — | 94,161 | 92,006 | ||||||||||||
Distributions reinvested | — | — | 2,770 | 4,162 | ||||||||||||
Cost of shares redeemed | — | — | (57,502 | ) | (46,297 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | — | — | 39,429 | 49,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | — | — | 153,736 | 71,534 | ||||||||||||
Distributions reinvested | — | — | 3,022 | 2,895 | ||||||||||||
Cost of shares redeemed | — | — | (68,895 | ) | (23,816 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | — | — | 87,863 | 50,613 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | — | — | 365,652 | 478,990 | ||||||||||||
Distributions reinvested | — | — | 25,988 | 44,948 | ||||||||||||
Cost of shares redeemed | — | — | (420,221 | ) | (593,726 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | — | — | (28,581 | ) | (69,788 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 2,422 | 7,519 | 6,385,588 | 7,465,340 | ||||||||||||
Subscriptions in-kind (See Note 9) | — | — | — | 48,418 | ||||||||||||
Distributions reinvested | 3,353 | 4,735 | 296,277 | 377,452 | ||||||||||||
Cost of shares redeemed | (3,424 | ) | (7,384 | ) | (4,348,336 | ) | (2,242,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 2,351 | 4,870 | 2,333,529 | 5,648,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 18,030 | $ | (9,562 | ) | $ | 5,193,277 | $ | 8,758,465 | |||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
104 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Focus Fund | JPMorgan Equity Income Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A |
| |||||||||||||||
Issued | 112 | 79 | 66,002 | 67,608 | ||||||||||||
Reinvested | 29 | 35 | 2,827 | 5,373 | ||||||||||||
Redeemed | (70 | ) | (84 | ) | (57,193 | ) | (57,395 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 71 | 30 | 11,636 | 15,586 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 13 | 17 | 12,513 | 21,351 | ||||||||||||
Reinvested | 15 | 21 | 703 | 1,838 | ||||||||||||
Redeemed | (21 | ) | (21 | ) | (29,946 | ) | (20,307 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 7 | 17 | (16,730 | ) | 2,882 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 283 | 143 | 299,334 | 317,929 | ||||||||||||
Reinvested | 239 | 366 | 11,118 | 16,183 | ||||||||||||
Redeemed | (97 | ) | (1,079 | ) | (169,937 | ) | (181,493 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 425 | (570 | ) | 140,515 | 152,619 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | — | — | 934 | 1,382 | ||||||||||||
Reinvested | — | — | 47 | 126 | ||||||||||||
Redeemed | — | — | (1,951 | ) | (2,304 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (970 | ) | (796 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Issued | — | — | 4,910 | 5,236 | ||||||||||||
Reinvested | — | — | 142 | 235 | ||||||||||||
Redeemed | — | — | (2,969 | ) | (2,666 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | 2,083 | 2,805 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | — | — | 7,771 | 3,947 | ||||||||||||
Reinvested | — | — | 150 | 162 | ||||||||||||
Redeemed | — | — | (3,389 | ) | (1,344 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 4,532 | 2,765 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | — | — | 18,235 | 26,787 | ||||||||||||
Reinvested | — | — | 1,312 | 2,489 | ||||||||||||
Redeemed | — | — | (21,287 | ) | (33,212 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | — | — | (1,740 | ) | (3,936 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 76 | 264 | 319,793 | 418,476 | ||||||||||||
Subscriptions in-kind (See Note 9) | — | — | — | 2,637 | ||||||||||||
Reinvested | 112 | 170 | 14,863 | 21,032 | ||||||||||||
Redeemed | (109 | ) | (290 | ) | (224,750 | ) | (128,412 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 79 | 144 | 109,906 | 313,733 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 105 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Equity Premium Income Fund | JPMorgan Hedged Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 177,480 | $ | 25,022 | $ | 1,460,355 | $ | 495,566 | ||||||||
Distributions reinvested | 3,413 | 852 | 7,380 | 3,972 | ||||||||||||
Cost of shares redeemed | (25,791 | ) | (11,252 | ) | (340,811 | ) | (348,671 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 155,102 | 14,622 | 1,126,924 | 150,867 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 155,434 | 5,247 | 242,865 | 128,940 | ||||||||||||
Distributions reinvested | 2,275 | 254 | 1,095 | 835 | ||||||||||||
Cost of shares redeemed | (8,379 | ) | (238 | ) | (53,065 | ) | (56,070 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | 149,330 | 5,263 | 190,895 | 73,705 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 413,338 | 165,512 | 8,854,409 | 5,474,198 | ||||||||||||
Distributions reinvested | 25,319 | 12,358 | 111,688 | 59,927 | ||||||||||||
Cost of shares redeemed | (135,112 | ) | (36,261 | ) | (3,681,719 | ) | (2,956,713 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 303,545 | 141,609 | 5,284,378 | 2,577,412 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 54 | — | 3,519 | 1,405 | ||||||||||||
Distributions reinvested | 5 | 2 | 47 | 32 | ||||||||||||
Cost of shares redeemed | — | (a) | — | (1,189 | ) | (550 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | 59 | 2 | 2,377 | 887 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 47,093 | 939 | 1,000,413 | 755,421 | ||||||||||||
Distributions reinvested | 126 | 25 | 7,536 | 3,351 | ||||||||||||
Cost of shares redeemed | (3,881 | ) | (174 | ) | (474,060 | ) | (335,615 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 43,338 | 790 | 533,889 | 423,157 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 651,374 | $ | 162,286 | $ | 7,138,463 | $ | 3,226,028 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
106 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Premium Income Fund | JPMorgan Hedged Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 11,996 | 1,779 | 60,745 | 23,862 | ||||||||||||
Reinvested | 234 | 66 | 303 | 190 | ||||||||||||
Redeemed | (1,795 | ) | (857 | ) | (14,054 | ) | (17,011 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 10,435 | 988 | 46,994 | 7,041 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 10,447 | 362 | 10,337 | 6,200 | ||||||||||||
Reinvested | 154 | 19 | 48 | 40 | ||||||||||||
Redeemed | (568 | ) | (19 | ) | (2,234 | ) | (2,757 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | 10,033 | 362 | 8,151 | 3,483 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 28,524 | 11,688 | 374,344 | 261,714 | ||||||||||||
Reinvested | 1,777 | 917 | 4,623 | 2,858 | ||||||||||||
Redeemed | (9,545 | ) | (2,849 | ) | (151,283 | ) | (145,069 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 20,756 | 9,756 | 227,684 | 119,503 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 4 | — | 144 | 66 | ||||||||||||
Reinvested | — | (a) | 1 | 2 | 2 | |||||||||||
Redeemed | — | (a) | — | (49 | ) | (26 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | 4 | 1 | 97 | 42 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 3,379 | 64 | 41,538 | 36,462 | ||||||||||||
Reinvested | 9 | 2 | 308 | 159 | ||||||||||||
Redeemed | (269 | ) | (14 | ) | (19,494 | ) | (16,768 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 3,119 | 52 | 22,352 | 19,853 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 107 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Hedged Equity 2 Fund | JPMorgan Hedged Equity 3 Fund | |||||||
Period Ended June 30, 2021 (a) | Period Ended June 30, 2021 (a) | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 54,055 | $ | 22,160 | ||||
Distributions reinvested | 25 | 15 | ||||||
Cost of shares redeemed | (2,233 | ) | (998 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | 51,847 | 21,177 | ||||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | 57,384 | 19,425 | ||||||
Distributions reinvested | 1 | 3 | ||||||
Cost of shares redeemed | (1,122 | ) | (464 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | 56,263 | 18,964 | ||||||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | 1,069,346 | 575,746 | ||||||
Distributions reinvested | 783 | 415 | ||||||
Cost of shares redeemed | (75,413 | ) | (64,565 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | 994,716 | 511,596 | ||||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | 545 | 20 | ||||||
Distributions reinvested | 1 | — | (b) | |||||
Cost of shares redeemed | (21 | ) | — | |||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | 525 | 20 | ||||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | 261,104 | 1,769 | ||||||
Distributions reinvested | 300 | 2 | ||||||
Cost of shares redeemed | (5,366 | ) | — | (b) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | 256,038 | 1,771 | ||||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 1,359,389 | $ | 553,528 | ||||
|
|
|
|
(a) | Commencement of operations was February 26, 2021. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
108 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Hedged Equity 2 Fund | JPMorgan Hedged Equity 3 Fund | |||||||
Period Ended June 30, 2021 (a) | Period Ended June 30, 2021 (a) | |||||||
SHARE TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Issued | 3,452 | 1,406 | ||||||
Reinvested | 2 | 1 | ||||||
Redeemed | (142 | ) | (63 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | 3,312 | 1,344 | ||||||
|
|
|
| |||||
Class C |
| |||||||
Issued | 3,672 | 1,235 | ||||||
Reinvested | — | (b) | — | (b) | ||||
Redeemed | (72 | ) | (29 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 3,600 | 1,206 | ||||||
|
|
|
| |||||
Class I |
| |||||||
Issued | 68,491 | 36,861 | ||||||
Reinvested | 49 | 26 | ||||||
Redeemed | (4,782 | ) | (4,085 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | 63,758 | 32,802 | ||||||
|
|
|
| |||||
Class R5 |
| |||||||
Issued | 34 | 1 | ||||||
Reinvested | — | (b) | — | (b) | ||||
Redeemed | (1 | ) | — | |||||
|
|
|
| |||||
Change in Class R5 Shares | 33 | 1 | ||||||
|
|
|
| |||||
Class R6 |
| |||||||
Issued | 16,725 | 112 | ||||||
Reinvested | 19 | — | (b) | |||||
Redeemed | (340 | ) | — | (b) | ||||
|
|
|
| |||||
Change in Class R6 Shares | 16,404 | 112 | ||||||
|
|
|
|
(a) | Commencement of operations was February 26, 2021. |
(b) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 109 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Large Cap Growth Fund | JPMorgan Large Cap Value Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,542,784 | $ | 1,093,424 | $ | 81,668 | $ | 138,275 | ||||||||
Distributions reinvested | 209,959 | 290,772 | 737 | 2,618 | ||||||||||||
Cost of shares redeemed | (1,237,783 | ) | (1,019,134 | ) | (49,625 | ) | (156,095 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 514,960 | 365,062 | 32,780 | (15,202 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 263,027 | 194,307 | 24,043 | 3,402 | ||||||||||||
Distributions reinvested | 45,342 | 64,738 | 68 | 344 | ||||||||||||
Cost of shares redeemed | (425,827 | ) | (147,910 | ) | (13,265 | ) | (20,436 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (117,458 | ) | 111,135 | 10,846 | (16,690 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 3,946,027 | 2,721,471 | 1,171,550 | 187,035 | ||||||||||||
Distributions reinvested | 446,730 | 522,530 | 4,779 | 4,008 | ||||||||||||
Cost of shares redeemed | (3,034,183 | ) | (1,843,411 | ) | (229,227 | ) | (206,607 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 1,358,574 | 1,400,590 | 947,102 | (15,564 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 43,616 | 36,135 | 3,822 | 4,111 | ||||||||||||
Distributions reinvested | 7,039 | 13,984 | 42 | 196 | ||||||||||||
Cost of shares redeemed | (76,963 | ) | (83,183 | ) | (18,227 | ) | (6,217 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | (26,308 | ) | (33,064 | ) | (14,363 | ) | (1,910 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | 184,953 | 51,615 | 1 | — | (a) | |||||||||||
Distributions reinvested | 5,581 | 4,020 | — | (a) | — | (a) | ||||||||||
Cost of shares redeemed | (59,342 | ) | (23,556 | ) | (9 | ) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | 131,192 | 32,079 | (8 | ) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | 134,173 | 49,115 | 291 | 1,815 | ||||||||||||
Distributions reinvested | 6,602 | 2,550 | — | (a) | 192 | |||||||||||
Cost of shares redeemed | (35,061 | ) | (6,458 | ) | (12,452 | ) | (3,474 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | 105,714 | 45,207 | (12,161 | ) | (1,467 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 241,401 | 172,183 | 9,493 | 7,109 | ||||||||||||
Distributions reinvested | 46,287 | 78,312 | 191 | 420 | ||||||||||||
Cost of shares redeemed | (375,742 | ) | (278,117 | ) | (13,602 | ) | (17,058 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | (88,054 | ) | (27,622 | ) | (3,918 | ) | (9,529 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 6,503,315 | 3,367,122 | 1,547,366 | 166,602 | ||||||||||||
Distributions reinvested | 744,666 | 931,375 | 12,895 | 15,432 | ||||||||||||
Cost of shares redeemed | (3,529,455 | ) | (2,028,669 | ) | (197,025 | ) | (141,375 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 3,718,526 | 2,269,828 | 1,363,236 | 40,659 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 5,597,146 | $ | 4,163,215 | $ | 2,323,514 | $ | (19,703 | ) | |||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
110 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Large Cap Growth Fund | JPMorgan Large Cap Value Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 26,713 | 26,425 | 4,245 | 10,104 | ||||||||||||
Reinvested | 3,666 | 7,477 | 46 | 196 | ||||||||||||
Redeemed | (21,267 | ) | (24,532 | ) | (3,017 | ) | (11,819 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 9,112 | 9,370 | 1,274 | (1,519 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 6,214 | 6,347 | 1,298 | 262 | ||||||||||||
Reinvested | 1,097 | 2,250 | 5 | 26 | ||||||||||||
Redeemed | (10,236 | ) | (4,817 | ) | (883 | ) | (1,590 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (2,925 | ) | 3,780 | 420 | (1,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 66,612 | 64,836 | 62,079 | 14,482 | ||||||||||||
Reinvested | 7,640 | 13,208 | 273 | 306 | ||||||||||||
Redeemed | (51,094 | ) | (44,234 | ) | (12,774 | ) | (15,555 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 23,158 | 33,810 | 49,578 | (767 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | 788 | 906 | 222 | 326 | ||||||||||||
Reinvested | 129 | 376 | 3 | 15 | ||||||||||||
Redeemed | (1,379 | ) | (2,121 | ) | (1,084 | ) | (468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (462 | ) | (839 | ) | (859 | ) | (127 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Issued | 3,136 | 1,251 | 1 | — | (a) | |||||||||||
Reinvested | 97 | 103 | — | (a) | — | (a) | ||||||||||
Redeemed | (1,008 | ) | (568 | ) | (1 | ) | — | (a) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | 2,225 | 786 | — | (a) | — | (a) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | 2,275 | 1,166 | 20 | 134 | ||||||||||||
Reinvested | 113 | 64 | — | (a) | 14 | |||||||||||
Redeemed | (586 | ) | (157 | ) | (942 | ) | (250 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | 1,802 | 1,073 | (922 | ) | (102 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 3,948 | 3,989 | 517 | 542 | ||||||||||||
Reinvested | 769 | 1,927 | 12 | 32 | ||||||||||||
Redeemed | (6,111 | ) | (6,525 | ) | (784 | ) | (1,286 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (1,394 | ) | (609 | ) | (255 | ) | (712 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 104,867 | 77,205 | 76,592 | 12,775 | ||||||||||||
Reinvested | 12,253 | 22,702 | 760 | 1,189 | ||||||||||||
Redeemed | (57,075 | ) | (47,053 | ) | (11,736 | ) | (10,425 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 60,045 | 52,854 | 65,616 | 3,539 | ||||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 111 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | JPMorgan U.S. Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 7,017 | $ | 6,903 | $ | 448,946 | $ | 715,588 | ||||||||
Distributions reinvested | 1,624 | 5,106 | 78,212 | 154,154 | ||||||||||||
Cost of shares redeemed | (15,672 | ) | (23,459 | ) | (1,212,979 | ) | (605,447 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | (7,031 | ) | (11,450 | ) | (685,821 | ) | 264,295 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 1,778 | 567 | 101,446 | 40,488 | ||||||||||||
Distributions reinvested | 283 | 1,288 | 17,249 | 24,891 | ||||||||||||
Cost of shares redeemed | (5,408 | ) | (7,152 | ) | (111,778 | ) | (84,646 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (3,347 | ) | (5,297 | ) | 6,917 | (19,267 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 12,129 | 134,333 | 676,639 | 295,219 | ||||||||||||
Distributions reinvested | 4,054 | 54,229 | 83,781 | 94,363 | ||||||||||||
Cost of shares redeemed | (43,512 | ) | (689,651 | ) | (445,901 | ) | (492,924 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | (27,329 | ) | (501,089 | ) | 314,519 | (103,342 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class L | ||||||||||||||||
Proceeds from shares issued | — | — | 1,503,646 | 269,061 | ||||||||||||
Distributions reinvested | — | — | 156,873 | 124,874 | ||||||||||||
Cost of shares redeemed | — | — | (1,609,341 | ) | (663,087 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | — | — | 51,178 | (269,152 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 546 | 765 | 43,197 | 28,578 | ||||||||||||
Distributions reinvested | 78 | 218 | 14,784 | 21,162 | ||||||||||||
Cost of shares redeemed | (1,206 | ) | (2,045 | ) | (74,678 | ) | (82,008 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | (582 | ) | (1,062 | ) | (16,697 | ) | (32,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 | ||||||||||||||||
Proceeds from shares issued | — | — | 40,112 | 27,510 | ||||||||||||
Distributions reinvested | — | — | 7,878 | 10,063 | ||||||||||||
Cost of shares redeemed | — | — | (32,479 | ) | (33,612 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R3 capital transactions | — | — | 15,511 | 3,961 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 | ||||||||||||||||
Proceeds from shares issued | — | — | 19,615 | 4,496 | ||||||||||||
Distributions reinvested | — | — | 1,911 | 2,149 | ||||||||||||
Cost of shares redeemed | — | — | (6,093 | ) | (8,139 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R4 capital transactions | — | — | 15,433 | (1,494 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 722 | 2,988 | 152,803 | 78,859 | ||||||||||||
Distributions reinvested | 141 | 3,383 | 56,125 | 73,591 | ||||||||||||
Cost of shares redeemed | (2,434 | ) | (48,472 | ) | (201,053 | ) | (194,808 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | (1,571 | ) | (42,101 | ) | 7,875 | (42,358 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 14,127 | 55,961 | 3,065,302 | 1,785,782 | ||||||||||||
Subscriptions in-kind (See Note 9) | — | — | — | 45,414 | ||||||||||||
Distributions reinvested | 2,353 | 11,672 | 720,789 | 919,240 | ||||||||||||
Cost of shares redeemed | (43,872 | ) | (93,260 | ) | (3,616,496 | ) | (2,264,805 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | (27,392 | ) | (25,627 | ) | 169,595 | 485,631 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (67,252 | ) | $ | (586,626 | ) | $ | (121,490 | ) | $ | 286,006 | |||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
112 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) | JPMorgan U.S. Equity Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 230 | 238 | 23,673 | 46,733 | ||||||||||||
Reinvested | 56 | 173 | 4,247 | 9,829 | ||||||||||||
Redeemed | (535 | ) | (800 | ) | (66,851 | ) | (39,445 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (249 | ) | (389 | ) | (38,931 | ) | 17,117 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | 57 | 22 | 5,407 | 2,740 | ||||||||||||
Reinvested | 10 | 44 | 981 | 1,647 | ||||||||||||
Redeemed | (188 | ) | (250 | ) | (6,150 | ) | (5,697 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (121 | ) | (184 | ) | 238 | (1,310 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 378 | 4,400 | 34,804 | 18,972 | ||||||||||||
Reinvested | 139 | 1,759 | 4,522 | 5,999 | ||||||||||||
Redeemed | (1,437 | ) | (23,872 | ) | (22,963 | ) | (31,630 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (920 | ) | (17,713 | ) | 16,363 | (6,659 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class L |
| |||||||||||||||
Issued | — | — | 82,220 | 17,663 | ||||||||||||
Reinvested | — | — | 8,466 | 7,922 | ||||||||||||
Redeemed | — | — | (82,827 | ) | (42,694 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | — | — | 7,859 | (17,109 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 |
| |||||||||||||||
Issued | 17 | 25 | 2,286 | 1,874 | ||||||||||||
Reinvested | 3 | 8 | 815 | 1,363 | ||||||||||||
Redeemed | (41 | ) | (72 | ) | (3,942 | ) | (5,292 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (21 | ) | (39 | ) | (841 | ) | (2,055 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R3 |
| |||||||||||||||
Issued | — | — | 2,150 | 1,723 | ||||||||||||
Reinvested | — | — | 430 | 644 | ||||||||||||
Redeemed | — | — | (1,724 | ) | (2,144 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R3 Shares | — | — | 856 | 223 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R4 |
| |||||||||||||||
Issued | — | — | 984 | 290 | ||||||||||||
Reinvested | — | — | 103 | 137 | ||||||||||||
Redeemed | — | — | (311 | ) | (534 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R4 Shares | — | — | 776 | (107 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 |
| |||||||||||||||
Issued | 22 | 101 | 7,725 | 5,056 | ||||||||||||
Reinvested | 5 | 110 | 3,019 | 4,669 | ||||||||||||
Redeemed | (84 | ) | (1,585 | ) | (10,515 | ) | (12,468 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (57 | ) | (1,374 | ) | 229 | (2,743 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 |
| |||||||||||||||
Issued | 434 | 1,871 | 159,157 | 113,479 | ||||||||||||
Subscriptions in-kind (See Note 9) | — | — | — | 2,771 | ||||||||||||
Reinvested | 80 | 394 | 38,637 | 58,213 | ||||||||||||
Redeemed | (1,493 | ) | (3,593 | ) | (183,543 | ) | (143,075 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (979 | ) | (1,328 | ) | 14,251 | 31,388 | ||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 113 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | JPMorgan U.S. Large Cap Core Plus Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 20,023 | $ | 18,251 | $ | 67,074 | $ | 82,531 | ||||||||
Distributions reinvested | 7,327 | 8,614 | 71,308 | 107,818 | ||||||||||||
Cost of shares redeemed | (28,020 | ) | (40,642 | ) | (103,562 | ) | (536,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | (670 | ) | (13,777 | ) | 34,820 | (345,961 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 1,789 | 2,490 | 5,606 | 7,465 | ||||||||||||
Distributions reinvested | 2,298 | 3,299 | 9,039 | 19,111 | ||||||||||||
Cost of shares redeemed | (12,341 | ) | (10,656 | ) | (43,234 | ) | �� | (60,945 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (8,254 | ) | (4,867 | ) | (28,589 | ) | (34,369 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 13,566 | 21,569 | 241,025 | 542,564 | ||||||||||||
Distributions reinvested | 12,855 | 16,565 | 497,011 | 811,087 | ||||||||||||
Cost of shares redeemed | (41,096 | ) | (61,865 | ) | (946,028 | ) | (3,344,154 | ) | ||||||||
Redemptions in-kind (See Note 8) | — | — | (487,288 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | (14,675 | ) | (23,731 | ) | (695,280 | ) | (1,990,503 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | 11,220 | 10,855 | 614 | 1,116 | ||||||||||||
Distributions reinvested | 4,130 | 5,051 | 1,205 | 808 | ||||||||||||
Cost of shares redeemed | (20,777 | ) | (21,173 | ) | (1,100 | ) | (1,967 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | (5,427 | ) | (5,267 | ) | 719 | (43 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Proceeds from shares issued | 28,851 | 22,564 | 5,546 | 15,058 | ||||||||||||
Distributions reinvested | 20,215 | 23,131 | 9,489 | 20,259 | ||||||||||||
Cost of shares redeemed | (119,468 | ) | (53,596 | ) | (23,795 | ) | (84,259 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R5 capital transactions | (70,402 | ) | (7,901 | ) | (8,760 | ) | (48,942 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 45,323 | 41,741 | 127,531 | 91,207 | ||||||||||||
Distributions reinvested | 61,717 | 68,077 | 112,990 | 113,531 | ||||||||||||
Cost of shares redeemed | (118,672 | ) | (110,988 | ) | (241,171 | ) | (411,227 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | (11,632 | ) | (1,170 | ) | (650 | ) | (206,489 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (111,060 | ) | $ | (56,713 | ) | $ | (697,740 | ) | $ | (2,626,307 | ) | ||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
114 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | JPMorgan U.S. Large Cap Core Plus Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A | ||||||||||||||||
Issued | 314 | 335 | 2,537 | 3,532 | ||||||||||||
Reinvested | 119 | 160 | 3,151 | 4,576 | ||||||||||||
Redeemed | (431 | ) | (754 | ) | (4,090 | ) | (21,865 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 2 | (259 | ) | 1,598 | (13,757 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 28 | 47 | 242 | 340 | ||||||||||||
Reinvested | 38 | 63 | 446 | 873 | ||||||||||||
Redeemed | (200 | ) | (203 | ) | (1,763 | ) | (2,792 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (134 | ) | (93 | ) | (1,075 | ) | (1,579 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 202 | 377 | 9,169 | 22,659 | ||||||||||||
Reinvested | 204 | 300 | 21,400 | 33,851 | ||||||||||||
Redeemed | (615 | ) | (1,107 | ) | (36,191 | ) | (138,788 | ) | ||||||||
Redemptions in-kind (See Note 8) | — | — | (19,946 | ) | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (209 | ) | (430 | ) | (25,568 | ) | (82,278 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | 177 | 204 | 26 | 49 | ||||||||||||
Reinvested | 69 | 96 | 56 | 36 | ||||||||||||
Redeemed | (324 | ) | (397 | ) | (45 | ) | (90 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | (78 | ) | (97 | ) | 37 | (5 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R5 | ||||||||||||||||
Issued | 442 | 412 | 211 | 639 | ||||||||||||
Reinvested | 326 | 425 | 405 | 840 | ||||||||||||
Redeemed | (1,790 | ) | (983 | ) | (911 | ) | (3,482 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R5 Shares | (1,022 | ) | (146 | ) | (295 | ) | (2,003 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 690 | 784 | 4,669 | 3,578 | ||||||||||||
Reinvested | 993 | 1,251 | 4,828 | 4,714 | ||||||||||||
Redeemed | (1,768 | ) | (1,980 | ) | (9,673 | ) | (16,836 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (85 | ) | 55 | (176 | ) | (8,544 | ) | |||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 115 |
Table of Contents
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 (formerly known as JPMorgan Intrepid Sustainable Equity Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 52,721 | $ | 56,324 | $ | 9,507 | $ | 3,668 | ||||||||
Distributions reinvested | 7,384 | 21,732 | 226 | 837 | ||||||||||||
Cost of shares redeemed | (123,854 | ) | (97,073 | ) | (1,965 | ) | (4,213 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | (63,749 | ) | (19,017 | ) | 7,768 | 292 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | — | — | 1,229 | 266 | ||||||||||||
Distributions reinvested | — | — | 30 | 187 | ||||||||||||
Cost of shares redeemed | — | — | (1,166 | ) | (725 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | — | — | 93 | (272 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 127,129 | 49,261 | 51,880 | 12,036 | ||||||||||||
Distributions reinvested | 17,371 | 23,349 | 688 | 1,446 | ||||||||||||
Cost of shares redeemed | (230,638 | ) | (94,822 | ) | (30,906 | ) | (4,427 | ) | ||||||||
Conversion from Class L Shares | 368,073 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 281,935 | (22,212 | ) | 21,662 | 9,055 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class L (a) | ||||||||||||||||
Proceeds from shares issued | 534 | 76,268 | — | — | ||||||||||||
Distributions reinvested | — | 26,507 | — | — | ||||||||||||
Cost of shares redeemed | (28,170 | ) | (125,628 | ) | — | — | ||||||||||
Conversion to Class I Shares | (368,073 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class L capital transactions | (395,709 | ) | (22,853 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (b) | ||||||||||||||||
Proceeds from shares issued | 738,779 | 898,953 | 23,682 | — | ||||||||||||
Distributions reinvested | 159,481 | 462,987 | 247 | — | ||||||||||||
Cost of shares redeemed | (1,610,214 | ) | (1,245,965 | ) | (1,916 | ) | — | |||||||||
Redemptions in-kind (See Note 8) | — | (1,336,709 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | (711,954 | ) | (1,220,734 | ) | 22,013 | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (889,477 | ) | $ | (1,284,816 | ) | $ | 51,536 | $ | 9,075 | ||||||
|
|
|
|
|
|
|
|
(a) | On July 2, 2020, Class L Shares for JPMorgan U.S. Research Enhanced Equity Fund were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered. |
(b) | Commencement of offering of class of shares effective September 30, 2020 for JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund). |
SEE NOTES TO FINANCIAL STATEMENTS.
116 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Research Enhanced Equity Fund | JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund) | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: |
| |||||||||||||||
Class A |
| |||||||||||||||
Issued | 1,755 | 2,164 | 180 | 90 | ||||||||||||
Reinvested | 240 | 890 | 4 | 20 | ||||||||||||
Redeemed | (3,944 | ) | (3,751 | ) | (37 | ) | (108 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (1,949 | ) | (697 | ) | 147 | 2 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C |
| |||||||||||||||
Issued | — | — | 23 | 8 | ||||||||||||
Reinvested | — | — | 1 | 4 | ||||||||||||
Redeemed | — | — | (24 | ) | (18 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | — | — | — | (a) | (6 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I |
| |||||||||||||||
Issued | 4,149 | 1,907 | 1,006 | 295 | ||||||||||||
Reinvested | 556 | 945 | 14 | 33 | ||||||||||||
Redeemed | (7,272 | ) | (3,638 | ) | (595 | ) | (108 | ) | ||||||||
Conversion from Class L Shares | 13,572 | — | — | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 11,005 | (786 | ) | 425 | 220 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class L (b) |
| |||||||||||||||
Issued | 20 | 3,031 | — | — | ||||||||||||
Reinvested | — | 1,075 | — | — | ||||||||||||
Redeemed | (1,046 | ) | (4,779 | ) | — | — | ||||||||||
Conversion to Class I Shares | (13,599 | ) | — | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class L Shares | (14,625 | ) | (673 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 (c) |
| |||||||||||||||
Issued | 22,714 | 35,010 | 451 | — | ||||||||||||
Reinvested | 5,100 | 18,774 | 5 | — | ||||||||||||
Redeemed | (47,943 | ) | (46,532 | ) | (35 | ) | — | |||||||||
Redemptions in-kind (See Note 8) | — | (52,834 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | (20,129 | ) | (45,582 | ) | 421 | — | ||||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
(b) | On July 2, 2020, Class L Shares for JPMorgan U.S. Research Enhanced Equity Fund were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered. |
(c) | Commencement of offering of class of shares effective September 30, 2020 for JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund). |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 117 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
CAPITAL TRANSACTIONS: | ||||||||
Class A | ||||||||
Proceeds from shares issued | $ | 43,922 | $ | 103,634 | ||||
Distributions reinvested | 9,932 | 18,821 | ||||||
Cost of shares redeemed | (188,211 | ) | (69,860 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class A capital transactions | (134,357 | ) | 52,595 | |||||
|
|
|
| |||||
Class C | ||||||||
Proceeds from shares issued | 11,138 | 9,193 | ||||||
Distributions reinvested | 525 | 848 | ||||||
Cost of shares redeemed | (10,570 | ) | (6,721 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class C capital transactions | 1,093 | 3,320 | ||||||
|
|
|
| |||||
Class I | ||||||||
Proceeds from shares issued | 663,191 | 75,806 | ||||||
Distributions reinvested | 10,612 | 3,345 | ||||||
Cost of shares redeemed | (99,019 | ) | (33,791 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class I capital transactions | 574,784 | 45,360 | ||||||
|
|
|
| |||||
Class R2 | ||||||||
Proceeds from shares issued | 1,007 | 1,202 | ||||||
Distributions reinvested | 33 | 16 | ||||||
Cost of shares redeemed | (694 | ) | (111 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R2 capital transactions | 346 | 1,107 | ||||||
|
|
|
| |||||
Class R3 | ||||||||
Proceeds from shares issued | 943 | 400 | ||||||
Distributions reinvested | 10 | 2 | ||||||
Cost of shares redeemed | (166 | ) | — | (a) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R3 capital transactions | 787 | 402 | ||||||
|
|
|
| |||||
Class R4 | ||||||||
Proceeds from shares issued | 133 | 1,340 | ||||||
Distributions reinvested | 24 | 12 | ||||||
Cost of shares redeemed | (1,482 | ) | (38 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R4 capital transactions | (1,325 | ) | 1,314 | |||||
|
|
|
| |||||
Class R5 | ||||||||
Proceeds from shares issued | 78 | 71 | ||||||
Distributions reinvested | 3 | 3 | ||||||
Cost of shares redeemed | (23 | ) | (55 | ) | ||||
|
|
|
| |||||
Change in net assets resulting from Class R5 capital transactions | 58 | 19 | ||||||
|
|
|
| |||||
Class R6 | ||||||||
Proceeds from shares issued | 310,989 | 48,377 | ||||||
Distributions reinvested | 3,841 | 2,097 | ||||||
Cost of shares redeemed | (34,999 | ) | (20,888 | ) | ||||
Redemptions in-kind (See Note 8) | (126,007 | ) | — | |||||
|
|
|
| |||||
Change in net assets resulting from Class R6 capital transactions | 153,824 | 29,586 | ||||||
|
|
|
| |||||
Total change in net assets resulting from capital transactions | $ | 595,210 | $ | 133,703 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
118 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) | ||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||
SHARE TRANSACTIONS: |
| |||||||
Class A |
| |||||||
Issued | 799 | 2,118 | ||||||
Reinvested | 184 | 373 | ||||||
Redeemed | (3,804 | ) | (1,432 | ) | ||||
|
|
|
| |||||
Change in Class A Shares | (2,821 | ) | 1,059 | |||||
|
|
|
| |||||
Class C |
| |||||||
Issued | 216 | 209 | ||||||
Reinvested | 11 | 19 | ||||||
Redeemed | (224 | ) | (160 | ) | ||||
|
|
|
| |||||
Change in Class C Shares | 3 | 68 | ||||||
|
|
|
| |||||
Class I |
| |||||||
Issued | 11,291 | 1,616 | ||||||
Reinvested | 179 | 64 | ||||||
Redeemed | (1,602 | ) | (675 | ) | ||||
|
|
|
| |||||
Change in Class I Shares | 9,868 | 1,005 | ||||||
|
|
|
| |||||
Class R2 |
| |||||||
Issued | 19 | 24 | ||||||
Reinvested | 1 | — | (a) | |||||
Redeemed | (13 | ) | (2 | ) | ||||
|
|
|
| |||||
Change in Class R2 Shares | 7 | 22 | ||||||
|
|
|
| |||||
Class R3 |
| |||||||
Issued | 16 | 7 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | (3 | ) | — | (a) | ||||
|
|
|
| |||||
Change in Class R3 Shares | 13 | 7 | ||||||
|
|
|
| |||||
Class R4 |
| |||||||
Issued | 3 | 24 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | (25 | ) | (1 | ) | ||||
|
|
|
| |||||
Change in Class R4 Shares | (22 | ) | 23 | |||||
|
|
|
| |||||
Class R5 |
| |||||||
Issued | 1 | 2 | ||||||
Reinvested | — | (a) | — | (a) | ||||
Redeemed | — | (a) | (1 | ) | ||||
|
|
|
| |||||
Change in Class R5 Shares | 1 | 1 | ||||||
|
|
|
| |||||
Class R6 |
| |||||||
Issued | 5,348 | 915 | ||||||
Reinvested | 65 | 39 | ||||||
Redeemed | (596 | ) | (395 | ) | ||||
Redemptions in-kind (See Note 8) | (2,169 | ) | — | |||||
|
|
|
| |||||
Change in Class R6 Shares | 2,648 | 559 | ||||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 119 |
Table of Contents
STATEMENT OF CASH FLOWS
FOR THE YEAR ENDED JUNE 30, 2021
(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 | $ | 1,058,483 | ||
Adjustments to reconcile net increase/decrease in net assets resulting from | ||||
Purchase of investment securities | (2,108,130 | ) | ||
Proceeds from disposition of investment securities | 4,073,456 | |||
Covers of investment securities sold short | (1,432,966 | ) | ||
Proceeds from investment securities sold short | 900,673 | |||
Purchases of short-term investments — affiliates, net | 24,072 | |||
Change in unrealized (appreciation)/depreciation on investments in non-affiliiates | (164,103 | ) | ||
Change in unrealized (appreciation)/depreciation on investments in affiliates | 4 | |||
Change in unrealized (appreciation)/depreciation on investment securities sold short | 109,989 | |||
Net realized (gain)/loss on investments in non-affiliates | (1,191,197 | ) | ||
Net realized (gain)/loss on investments in affiliates | 5 | |||
Net realized (gain)/loss on securities sold short | 183,382 | |||
Decrease in interest receivable from non-affiliates | 279 | |||
Decrease in dividends receivable from non-affiliates | 1,765 | |||
Decrease in tax reclaims receivable | 6 | |||
Decrease in variation margin receivable | 26 | |||
Decrease in dividend expense to non-affiliates on securities sold short | (297 | ) | ||
Increase in interest expense to non-affiliates on securities sold short | 356 | |||
Increase in due to broker for securities sold short | 20 | |||
Decrease in investment advisory fees payable | (207 | ) | ||
Decrease in administration fees payable | (8 | ) | ||
Decrease in distribution fees payable | (24 | ) | ||
Decrease in service fees payable | (62 | ) | ||
Decrease in custodian and accounting fees payable | (71 | ) | ||
Decrease in audit fees payable | (38 | ) | ||
Decrease in printing and mailing cost payable | (172 | ) | ||
Decrease in registration fees payable | (96 | ) | ||
Increase in other accrued expenses payable | 221 | |||
|
| |||
Net cash provided (used) by operating activities | 1,455,366 | |||
|
| |||
Cash flows provided (used) by financing activities: | ||||
Due to custodian | 21 | |||
Proceeds from shares issued | 447,177 | |||
Payment for shares redeemed | (1,356,886 | ) | ||
Redemptions in-kind | (487,288 | ) | ||
Cash distributions paid to shareholders (net of reinvestments of $701,042) | (58,761 | ) | ||
|
| |||
Net cash provided (used) by financing activities | (1,455,737 | ) | ||
|
| |||
Cash: | ||||
Net increase (decrease) in unrestricted and restricted cash, foreign currency and deposits at broker | (371 | ) | ||
Restricted and unrestricted cash and deposits at broker at beginning of year | 391 | |||
|
| |||
Restricted and unrestricted cash, foreign currency and deposits at broker at end of year | $ | 20 | ||
|
|
Supplemental disclosure of cash flow information:
For the year ended June 30, 2021 the Fund paid $4,338 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.
Reconciliation of restricted and unrestricted cash and foreign currency at the end of year to the Statements of Assets and Liabilities:
June 30, 2020 | June 30, 2021 | |||||||
Cash | $ | 23 | $ | — | ||||
Foreign currency, at value | — | 20 | ||||||
Deposits at broker: | ||||||||
Futures contracts | 368 | — | ||||||
|
|
|
| |||||
$ | 391 | $ | 20 | |||||
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
120 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 121 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Equity Focus Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
Year Ended June 30, 2021 | $ | 26.88 | $ | 0.01 | $ | 11.90 | $ | 11.91 | $ | (0.11 | ) | $ | (3.65 | ) | $ | (3.76 | ) | |||||||||||
Year Ended June 30, 2020 | 30.15 | 0.15 | 1.68 | 1.83 | (0.12 | ) | (4.98 | ) | (5.10 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 31.83 | 0.13 | 2.32 | 2.45 | (0.41 | ) | (3.72 | ) | (4.13 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.09 | 0.08 | 4.23 | 4.31 | (0.01 | ) | (1.56 | ) | (1.57 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.73 | (0.01 | ) | 5.70 | 5.69 | (0.01 | ) | (0.32 | ) | (0.33 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
Year Ended June 30, 2021 | 25.63 | (0.13 | ) | 11.30 | 11.17 | — | (3.65 | ) | (3.65 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 29.01 | 0.01 | 1.60 | 1.61 | (0.01 | ) | (4.98 | ) | (4.99 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 30.75 | (0.03 | ) | 2.25 | 2.22 | (0.24 | ) | (3.72 | ) | (3.96 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 28.28 | (0.08 | ) | 4.11 | 4.03 | — | (1.56 | ) | (1.56 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.18 | (0.14 | ) | 5.56 | 5.42 | — | (0.32 | ) | (0.32 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
Year Ended June 30, 2021 | 27.38 | 0.10 | 12.13 | 12.23 | (0.16 | ) | (3.65 | ) | (3.81 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 30.60 | 0.23 | 1.70 | 1.93 | (0.17 | ) | (4.98 | ) | (5.15 | ) | ||||||||||||||||||
Year Ended June 30, 2019 | 32.13 | 0.18 | 2.38 | 2.56 | (0.37 | ) | (3.72 | ) | (4.09 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.34 | 0.16 | 4.27 | 4.43 | (0.08 | ) | (1.56 | ) | (1.64 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 23.92 | 0.06 | 5.75 | 5.81 | (0.07 | ) | (0.32 | ) | (0.39 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2021 | 27.25 | 0.18 | 12.07 | 12.25 | (0.23 | ) | (3.65 | ) | (3.88 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 30.48 | 0.30 | 1.69 | 1.99 | (0.24 | ) | (4.98 | ) | (5.22 | ) | ||||||||||||||||||
October 1, 2018 (f) through June 30, 2019 | 34.55 | 0.23 | (0.05 | ) | 0.18 | (0.53 | ) | (3.72 | ) | (4.25 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
122 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 35.03 | 47.07 | % | $ | 9,949 | 1.09 | % | 0.05 | % | 1.24 | % | 58 | % | |||||||||||||
26.88 | 5.87 | 5,723 | 1.10 | 0.55 | 1.34 | 44 | ||||||||||||||||||||
30.15 | 9.22 | 5,511 | 1.09 | 0.42 | 1.41 | 45 | ||||||||||||||||||||
31.83 | 15.02 | 4,077 | 1.11 | 0.26 | 1.31 | 34 | ||||||||||||||||||||
29.09 | 24.09 | 3,362 | 1.17 | (0.02 | ) | 1.37 | 84 | |||||||||||||||||||
33.15 | 46.37 | 4,293 | 1.59 | (0.45 | ) | 1.74 | 58 | |||||||||||||||||||
25.63 | 5.30 | 3,147 | 1.60 | 0.05 | 1.84 | 44 | ||||||||||||||||||||
29.01 | 8.67 | 3,084 | 1.59 | (0.09 | ) | 1.89 | 45 | |||||||||||||||||||
30.75 | 14.45 | 3,017 | 1.61 | (0.26 | ) | 1.80 | 34 | |||||||||||||||||||
28.28 | 23.49 | 3,331 | 1.66 | (0.51 | ) | 1.86 | 84 | |||||||||||||||||||
35.80 | 47.46 | 83,598 | 0.85 | 0.30 | 0.98 | 58 | ||||||||||||||||||||
27.38 | 6.12 | 52,303 | 0.85 | 0.79 | 1.08 | 44 | ||||||||||||||||||||
30.60 | 9.50 | 75,887 | 0.84 | 0.57 | 1.08 | 45 | ||||||||||||||||||||
32.13 | 15.31 | 246,276 | 0.86 | 0.52 | 1.03 | 34 | ||||||||||||||||||||
29.34 | 24.43 | 180,151 | 0.92 | 0.23 | 1.10 | 84 | ||||||||||||||||||||
35.62 | 47.82 | 34,054 | 0.60 | 0.55 | 0.73 | 58 | ||||||||||||||||||||
27.25 | 6.39 | 23,881 | 0.60 | 1.06 | 0.83 | 44 | ||||||||||||||||||||
30.48 | 2.03 | 22,346 | 0.59 | 1.08 | 0.95 | 45 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 123 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Equity Income Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.67 | 0.26 | 1.29 | 1.55 | (0.25 | ) | (0.15 | ) | (0.40 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.01 | 0.24 | 1.75 | 1.99 | (0.24 | ) | (0.09 | ) | (0.33 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.41 | 0.17 | 1.26 | 1.43 | (0.19 | ) | (0.15 | ) | (0.34 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.80 | 0.16 | 1.72 | 1.88 | (0.18 | ) | (0.09 | ) | (0.27 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.92 | 0.31 | 1.31 | 1.62 | (0.29 | ) | (0.15 | ) | (0.44 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.23 | 0.28 | 1.77 | 2.05 | (0.27 | ) | (0.09 | ) | (0.36 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.62 | 0.21 | 1.28 | 1.49 | (0.22 | ) | (0.15 | ) | (0.37 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.97 | 0.20 | 1.75 | 1.95 | (0.21 | ) | (0.09 | ) | (0.30 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.66 | 0.27 | 1.27 | 1.54 | (0.25 | ) | (0.15 | ) | (0.40 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 14.06 | 0.19 | 1.71 | 1.90 | (0.21 | ) | (0.09 | ) | (0.30 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.92 | 0.32 | 1.29 | 1.61 | (0.29 | ) | (0.15 | ) | (0.44 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 14.28 | 0.29 | 1.67 | 1.96 | (0.23 | ) | (0.09 | ) | (0.32 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.93 | 0.34 | 1.30 | 1.64 | (0.31 | ) | (0.15 | ) | (0.46 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.23 | 0.31 | 1.78 | 2.09 | (0.30 | ) | (0.09 | ) | (0.39 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.92 | 0.35 | 1.31 | 1.66 | (0.33 | ) | (0.15 | ) | (0.48 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.22 | 0.32 | 1.78 | 2.10 | (0.31 | ) | (0.09 | ) | (0.40 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
124 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 22.34 | 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 | ||||||||||||||||||||
16.82 | 9.94 | 3,022,879 | 1.00 | 1.55 | 1.01 | 20 | ||||||||||||||||||||
15.67 | 14.34 | 3,176,361 | 1.04 | 1.59 | 1.08 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.50 | 9.35 | 1,303,731 | 1.50 | 1.05 | 1.50 | 20 | ||||||||||||||||||||
15.41 | 13.74 | 1,385,115 | 1.54 | 1.09 | 1.55 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
17.10 | 10.22 | 6,320,979 | 0.74 | 1.81 | 0.75 | 20 | ||||||||||||||||||||
15.92 | 14.57 | 6,542,906 | 0.78 | 1.84 | 0.79 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.74 | 9.59 | 80,330 | 1.26 | 1.29 | 1.26 | 20 | ||||||||||||||||||||
15.62 | 14.08 | 87,437 | 1.29 | 1.34 | 1.39 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.80 | 9.90 | 91,267 | 0.99 | 1.61 | 0.99 | 20 | ||||||||||||||||||||
15.66 | 13.62 | 25,209 | 1.03 | 1.55 | 1.05 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
17.09 | 10.18 | 23,451 | 0.74 | 1.90 | 0.75 | 20 | ||||||||||||||||||||
15.92 | 13.85 | 1,340 | 0.78 | 2.28 | 0.83 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
17.11 | 10.38 | 1,097,476 | 0.59 | 1.98 | 0.60 | 20 | ||||||||||||||||||||
15.93 | 14.84 | 912,746 | 0.58 | 2.05 | 0.63 | 14 | ||||||||||||||||||||
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 | ||||||||||||||||||||
17.10 | 10.49 | 5,314,382 | 0.49 | 2.08 | 0.50 | 20 | ||||||||||||||||||||
15.92 | 14.95 | 2,821,798 | 0.50 | 2.13 | 0.50 | 14 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 125 |
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FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan Equity Premium Income Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2021 | $ | 12.96 | $ | 1.26 | $ | 2.40 | $ | 3.66 | $ | (1.39 | ) | |||||||||
Year Ended June 30, 2020 | 14.92 | 1.88 | (2.42 | ) | (0.54 | ) | (1.42 | ) | ||||||||||||
August 31, 2018 (f) through June 30, 2019 | 15.00 | 0.95 | (0.11 | ) | 0.84 | (0.92 | ) | |||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2021 | 12.96 | 1.15 | 2.44 | 3.59 | (1.32 | ) | ||||||||||||||
Year Ended June 30, 2020 | 14.92 | 1.61 | (2.22 | ) | (0.61 | ) | (1.35 | ) | ||||||||||||
August 31, 2018 (f) through June 30, 2019 | 15.00 | 0.85 | (0.07 | ) | 0.78 | (0.86 | ) | |||||||||||||
Class I | ||||||||||||||||||||
Year Ended June 30, 2021 | 12.96 | 1.38 | 2.32 | 3.70 | (1.43 | ) | ||||||||||||||
Year Ended June 30, 2020 | 14.92 | 1.59 | (2.10 | ) | (0.51 | ) | (1.45 | ) | ||||||||||||
August 31, 2018 (f) through June 30, 2019 | 15.00 | 0.94 | (0.07 | ) | 0.87 | (0.95 | ) | |||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2021 | 12.96 | 1.37 | 2.35 | 3.72 | (1.45 | ) | ||||||||||||||
Year Ended June 30, 2020 | 14.92 | 1.48 | (1.96 | ) | (0.48 | ) | (1.48 | ) | ||||||||||||
August 31, 2018 (f) through June 30, 2019 | 15.00 | 0.96 | (0.08 | ) | 0.88 | (0.96 | ) | |||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2021 | 12.96 | 1.43 | 2.30 | 3.73 | (1.46 | ) | ||||||||||||||
Year Ended June 30, 2020 | 14.92 | 1.83 | (2.30 | ) | (0.47 | ) | (1.49 | ) | ||||||||||||
August 31, 2018 (f) through June 30, 2019 | 15.00 | 0.97 | (0.07 | ) | 0.90 | (0.98 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of operations. |
(g) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
126 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 15.23 | 29.67 | % | $ | 174,085 | 0.85 | % | 8.61 | % | 0.91 | % | 217 | % | |||||||||||||
12.96 | (3.78 | ) | 12,904 | 0.85 | 14.21 | 1.11 | 236 | |||||||||||||||||||
14.92 | 5.95 | 125 | 0.85 | (g) | 7.90 | (g) | 1.80 | (g) | 43 | |||||||||||||||||
15.23 | 29.03 | 158,340 | 1.34 | 7.76 | 1.40 | 217 | ||||||||||||||||||||
12.96 | (4.26 | ) | 4,710 | 1.35 | 11.77 | 1.61 | 236 | |||||||||||||||||||
14.92 | 5.50 | 21 | 1.35 | (g) | 7.14 | (g) | 2.26 | (g) | 43 | |||||||||||||||||
15.23 | 29.97 | 519,976 | 0.60 | 9.62 | 0.69 | 217 | ||||||||||||||||||||
12.96 | (3.57 | ) | 173,409 | 0.60 | 11.40 | 0.91 | 236 | |||||||||||||||||||
14.92 | 6.15 | 54,045 | 0.60 | (g) | 7.89 | (g) | 1.13 | (g) | 43 | |||||||||||||||||
15.23 | 30.16 | 88 | 0.45 | 9.54 | 0.56 | 217 | ||||||||||||||||||||
12.96 | (3.43 | ) | 21 | 0.45 | 10.37 | 0.83 | 236 | |||||||||||||||||||
14.92 | 6.28 | 21 | 0.45 | (g) | 8.04 | (g) | 1.36 | (g) | 43 | |||||||||||||||||
15.23 | 30.29 | 48,315 | 0.35 | 9.99 | 0.44 | 217 | ||||||||||||||||||||
12.96 | (3.33 | ) | 686 | 0.35 | 13.60 | 0.59 | 236 | |||||||||||||||||||
14.92 | 6.37 | 21 | 0.35 | (g) | 8.14 | (g) | 1.26 | (g) | 43 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 127 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan Hedged Equity Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
Year Ended June 30, 2021 | $ | 21.83 | $ | 0.15 | $ | 4.11 | $ | 4.26 | $ | (0.19 | ) | |||||||||
Year Ended June 30, 2020 | 20.23 | 0.28 | 1.51 | 1.79 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2019 | 19.43 | 0.20 | 0.79 | 0.99 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.24 | 0.18 | 1.15 | 1.33 | (0.14 | ) | ||||||||||||||
Year Ended June 30, 2017 | 16.23 | 0.19 | 2.01 | 2.20 | (0.19 | ) | ||||||||||||||
Class C | ||||||||||||||||||||
Year Ended June 30, 2021 | 21.70 | 0.03 | 4.07 | 4.10 | (0.08 | ) | ||||||||||||||
Year Ended June 30, 2020 | 20.10 | 0.17 | 1.52 | 1.69 | (0.09 | ) | ||||||||||||||
Year Ended June 30, 2019 | 19.33 | 0.11 | 0.77 | 0.88 | (0.11 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.16 | 0.08 | 1.15 | 1.23 | (0.06 | ) | ||||||||||||||
Year Ended June 30, 2017 | 16.17 | 0.10 | 2.01 | 2.11 | (0.12 | ) | ||||||||||||||
Class I | ||||||||||||||||||||
Year Ended June 30, 2021 | 21.90 | 0.21 | 4.11 | 4.32 | (0.24 | ) | ||||||||||||||
Year Ended June 30, 2020 | 20.28 | 0.33 | 1.53 | 1.86 | (0.24 | ) | ||||||||||||||
Year Ended June 30, 2019 | 19.47 | 0.26 | 0.78 | 1.04 | (0.23 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.27 | 0.23 | 1.16 | 1.39 | (0.19 | ) | ||||||||||||||
Year Ended June 30, 2017 | 16.26 | 0.23 | 2.01 | 2.24 | (0.23 | ) | ||||||||||||||
Class R5 | ||||||||||||||||||||
Year Ended June 30, 2021 | 21.93 | 0.25 | 4.11 | 4.36 | (0.27 | ) | ||||||||||||||
Year Ended June 30, 2020 | 20.32 | 0.36 | 1.52 | 1.88 | (0.27 | ) | ||||||||||||||
Year Ended June 30, 2019 | 19.50 | 0.29 | 0.79 | 1.08 | (0.26 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.30 | 0.26 | 1.16 | 1.42 | (0.22 | ) | ||||||||||||||
Year Ended June 30, 2017 | 16.28 | 0.26 | 2.02 | 2.28 | (0.26 | ) | ||||||||||||||
Class R6 | ||||||||||||||||||||
Year Ended June 30, 2021 | 21.95 | 0.28 | 4.11 | 4.39 | (0.30 | ) | ||||||||||||||
Year Ended June 30, 2020 | 20.32 | 0.39 | 1.53 | 1.92 | (0.29 | ) | ||||||||||||||
Year Ended June 30, 2019 | 19.49 | 0.31 | 0.79 | 1.10 | (0.27 | ) | ||||||||||||||
Year Ended June 30, 2018 | 18.29 | 0.27 | 1.16 | 1.43 | (0.23 | ) | ||||||||||||||
Year Ended June 30, 2017 | 16.28 | 0.25 | 2.03 | 2.28 | (0.27 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
128 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 25.90 | 19.58 | % | $ | 1,778,457 | 0.83 | % | 0.61 | % | 0.84 | % | 39 | % | |||||||||||||
21.83 | 8.89 | 473,314 | 0.85 | 1.35 | 0.86 | 68 | ||||||||||||||||||||
20.23 | 5.12 | 296,242 | 0.85 | 1.02 | 0.87 | 48 | ||||||||||||||||||||
19.43 | 7.33 | 277,898 | 0.84 | 0.92 | 0.87 | 44 | ||||||||||||||||||||
18.24 | 13.60 | 133,789 | 0.84 | 1.06 | 1.05 | 31 | ||||||||||||||||||||
25.72 | 18.93 | 502,120 | 1.33 | 0.14 | 1.33 | 39 | ||||||||||||||||||||
21.70 | 8.40 | 246,741 | 1.35 | 0.84 | 1.36 | 68 | ||||||||||||||||||||
20.10 | 4.60 | 158,602 | 1.35 | 0.55 | 1.37 | 48 | ||||||||||||||||||||
19.33 | 6.79 | 81,030 | 1.34 | 0.42 | 1.38 | 44 | ||||||||||||||||||||
18.16 | 13.07 | 29,168 | 1.34 | 0.55 | 1.45 | 31 | ||||||||||||||||||||
25.98 | 19.83 | 14,416,679 | 0.58 | 0.89 | 0.58 | 39 | ||||||||||||||||||||
21.90 | 9.21 | 7,167,488 | 0.59 | 1.59 | 0.60 | 68 | ||||||||||||||||||||
20.28 | 5.39 | 4,214,453 | 0.60 | 1.30 | 0.61 | 48 | ||||||||||||||||||||
19.47 | 7.63 | 1,947,444 | 0.59 | 1.17 | 0.62 | 44 | ||||||||||||||||||||
18.27 | 13.86 | 597,013 | 0.59 | 1.30 | 0.69 | 31 | ||||||||||||||||||||
26.02 | 20.01 | 6,024 | 0.44 | 1.03 | 0.45 | 39 | ||||||||||||||||||||
21.93 | 9.30 | 2,964 | 0.45 | 1.74 | 0.59 | 68 | ||||||||||||||||||||
20.32 | 5.57 | 1,893 | 0.45 | 1.46 | 0.95 | 48 | ||||||||||||||||||||
19.50 | 7.81 | 123 | 0.39 | 1.37 | 0.67 | 44 | ||||||||||||||||||||
18.30 | 14.10 | 37 | 0.40 | 1.51 | 1.08 | 31 | ||||||||||||||||||||
26.04 | 20.11 | 1,591,643 | 0.33 | 1.14 | 0.34 | 39 | ||||||||||||||||||||
21.95 | 9.50 | 851,085 | 0.35 | 1.87 | 0.35 | 68 | ||||||||||||||||||||
20.32 | 5.69 | 384,616 | 0.35 | 1.56 | 0.37 | 48 | ||||||||||||||||||||
19.49 | 7.87 | 121,897 | 0.34 | 1.42 | 0.42 | 44 | ||||||||||||||||||||
18.29 | 14.09 | 3,289 | 0.34 | 1.41 | 0.42 | 31 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 129 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | ||||||||||||||||
JPMorgan Hedged Equity 2 Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | $ | 15.00 | $ | 0.03 | $ | 0.95 | $ | 0.98 | $ | (0.01 | ) | |||||||||
Class C | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | — | (h) | 0.95 | 0.95 | — | (h) | |||||||||||||
Class I | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | 0.04 | 0.96 | 1.00 | (0.02 | ) | ||||||||||||||
Class R5 | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | 0.05 | 0.95 | 1.00 | (0.02 | ) | ||||||||||||||
Class R6 | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | 0.05 | 0.96 | 1.01 | (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 earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
(g) | Commencement of operations. |
(h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
130 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net investment income (loss) (f) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 15.97 | 6.54 | % | $ | 52,880 | 0.85 | % | 0.57 | % | 0.92 | % | 6 | % | |||||||||||||
15.95 | 6.36 | 57,423 | 1.35 | 0.05 | 1.43 | 6 | ||||||||||||||||||||
15.98 | 6.63 | 1,018,781 | 0.60 | 0.80 | 0.70 | 6 | ||||||||||||||||||||
15.98 | 6.66 | 536 | 0.45 | 0.99 | 0.88 | 6 | ||||||||||||||||||||
15.99 | 6.75 | 262,248 | 0.35 | 1.04 | 0.43 | 6 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 131 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||
�� | Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | |||||||||||||||
JPMorgan Hedged Equity 3 Fund | ||||||||||||||||||||
Class A | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | $ | 15.00 | $ | 0.03 | $ | 0.95 | $ | 0.98 | $ | (0.02 | ) | |||||||||
Class C | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | — | (h) | 0.96 | 0.96 | (0.01 | ) | |||||||||||||
Class I | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | 0.04 | 0.96 | 1.00 | (0.02 | ) | ||||||||||||||
Class R5 | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | 0.05 | 0.95 | 1.00 | (0.02 | ) | ||||||||||||||
Class R6 | ||||||||||||||||||||
February 26, 2021 (g) through June 30, 2021 | 15.00 | 0.06 | 0.94 | 1.00 | (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 earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
(g) | Commencement of operations. |
(h) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
132 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e)(f) | Net investment income (loss) (f) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 15.96 | 6.50 | % | $ | 21,446 | 0.85 | % | 0.60 | % | 1.00 | % | 7 | % | |||||||||||||
15.95 | 6.37 | 19,229 | 1.35 | 0.09 | 1.51 | 7 | ||||||||||||||||||||
15.98 | 6.64 | 524,074 | 0.60 | 0.81 | 0.80 | 7 | ||||||||||||||||||||
15.98 | 6.64 | 21 | 0.45 | 0.96 | 3.22 | 7 | ||||||||||||||||||||
15.98 | 6.68 | 1,796 | 0.35 | 1.10 | 0.64 | 7 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 133 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Large Cap Growth Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.23 | (0.10 | ) | 9.92 | 9.82 | — | (5.61 | ) | (5.61 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 32.93 | (0.07 | ) | 8.51 | 8.44 | — | (3.14 | ) | (3.14 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 31.95 | (0.25 | ) | 8.11 | 7.86 | — | (5.61 | ) | (5.61 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 28.15 | (0.20 | ) | 7.14 | 6.94 | — | (3.14 | ) | (3.14 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 38.47 | (0.01 | ) | 10.01 | 10.00 | — | (5.61 | ) | (5.61 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 33.08 | (0.02 | ) | 8.55 | 8.53 | — | (3.14 | ) | (3.14 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.33 | (0.20 | ) | 9.65 | 9.45 | — | (5.61 | ) | (5.61 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 32.31 | (0.16 | ) | 8.32 | 8.16 | — | (3.14 | ) | (3.14 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.39 | (0.08 | ) | 9.94 | 9.86 | — | (5.61 | ) | (5.61 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 33.97 | (0.06 | ) | 7.62 | 7.56 | — | (3.14 | ) | (3.14 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 38.47 | 0.01 | 9.98 | 9.99 | — | (5.61 | ) | (5.61 | ) | |||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 33.97 | 0.04 | 7.60 | 7.64 | — | (3.14 | ) | (3.14 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||
Year Ended June 30, 2018 | 39.04 | 0.06 | 10.16 | 10.22 | — | (5.61 | ) | (5.61 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 33.46 | 0.05 | 8.67 | 8.72 | — | (3.14 | ) | (3.14 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 39.23 | 0.10 | 10.23 | 10.33 | — | (5.61 | ) | (5.61 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 33.58 | 0.09 | 8.70 | 8.79 | — | (3.14 | ) | (3.14 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
134 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | |||||||||||||||||||
42.44 | 28.45 | 2,481,816 | 0.97 | (0.25 | ) | 1.11 | 24 | |||||||||||||||||||
38.23 | 27.50 | 2,462,957 | 1.05 | (0.19 | ) | 1.25 | 22 | |||||||||||||||||||
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 | |||||||||||||||||||
34.20 | 27.83 | 534,199 | 1.47 | (0.75 | ) | 1.60 | 24 | |||||||||||||||||||
31.95 | 26.79 | 487,702 | 1.55 | (0.69 | ) | 1.67 | 22 | |||||||||||||||||||
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 | ||||||||||||||||||||
42.86 | 28.77 | 4,413,908 | 0.74 | (0.03 | ) | 0.85 | 24 | |||||||||||||||||||
38.47 | 27.65 | 4,771,428 | 0.89 | (0.05 | ) | 0.90 | 22 | |||||||||||||||||||
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 | |||||||||||||||||||
41.17 | 28.11 | 156,775 | 1.24 | (0.52 | ) | 1.35 | 24 | |||||||||||||||||||
37.33 | 27.14 | 147,902 | 1.31 | (0.46 | ) | 1.47 | 22 | |||||||||||||||||||
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 | |||||||||||||||||||
42.64 | 28.43 | 6,865 | 0.96 | (0.21 | ) | 1.10 | 24 | |||||||||||||||||||
38.39 | 24.05 | 992 | 1.12 | (0.20 | ) | 1.20 | 22 | |||||||||||||||||||
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 | ||||||||||||||||||||
42.85 | 28.74 | 5,930 | 0.73 | 0.02 | 0.85 | 24 | ||||||||||||||||||||
38.47 | 24.31 | 440 | 0.89 | 0.12 | 1.07 | 22 | ||||||||||||||||||||
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 | ||||||||||||||||||||
43.65 | 28.93 | 788,766 | 0.59 | 0.14 | 0.70 | 24 | ||||||||||||||||||||
39.04 | 27.92 | 799,190 | 0.70 | 0.15 | 0.72 | 22 | ||||||||||||||||||||
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 | ||||||||||||||||||||
43.95 | 29.08 | 5,962,328 | 0.48 | 0.24 | 0.60 | 24 | ||||||||||||||||||||
39.23 | 28.03 | 3,606,093 | 0.60 | 0.25 | 0.60 | 22 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 135 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Large Cap Value Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.48 | 0.15 | 0.89 | 1.04 | (0.13 | ) | (1.28 | ) | (1.41 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.71 | 0.15 | 3.42 | 3.57 | (0.14 | ) | (0.66 | ) | (0.80 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 14.93 | 0.06 | 0.86 | 0.92 | (0.06 | ) | (1.28 | ) | (1.34 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.30 | 0.07 | 3.30 | 3.37 | (0.08 | ) | (0.66 | ) | (0.74 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.24 | 0.18 | 0.87 | 1.05 | (0.16 | ) | (1.28 | ) | (1.44 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.53 | 0.17 | 3.37 | 3.54 | (0.17 | ) | (0.66 | ) | (0.83 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.39 | 0.11 | 0.86 | 0.97 | (0.09 | ) | (1.28 | ) | (1.37 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.64 | 0.10 | 3.41 | 3.51 | (0.10 | ) | (0.66 | ) | (0.76 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.37 | 0.21 | 0.88 | 1.09 | (0.19 | ) | (1.28 | ) | (1.47 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.63 | 0.20 | 3.39 | 3.59 | (0.19 | ) | (0.66 | ) | (0.85 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||
Year Ended June 30, 2018 | 15.28 | 0.22 | 0.88 | 1.10 | (0.20 | ) | (1.28 | ) | (1.48 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.56 | 0.20 | 3.38 | 3.58 | (0.20 | ) | (0.66 | ) | (0.86 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Amount rounds to less than $0.005. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
136 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 20.48 | 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 | ||||||||||||||||||||
15.11 | 6.52 | 236,470 | 0.93 | 0.92 | 1.04 | 130 | ||||||||||||||||||||
15.48 | 28.47 | 215,017 | 0.92 | 1.01 | 1.08 | 145 | ||||||||||||||||||||
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 | ||||||||||||||||||||
14.51 | 5.94 | 69,445 | 1.44 | 0.42 | 1.52 | 130 | ||||||||||||||||||||
14.93 | 27.72 | 48,028 | 1.44 | 0.50 | 1.57 | 145 | ||||||||||||||||||||
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 | ||||||||||||||||||||
14.85 | 6.74 | 378,058 | 0.70 | 1.19 | 0.77 | 130 | ||||||||||||||||||||
15.24 | 28.61 | 161,494 | 0.79 | 1.15 | 0.80 | 145 | ||||||||||||||||||||
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 | ||||||||||||||||||||
14.99 | 6.14 | 17,046 | 1.21 | 0.68 | 1.30 | 130 | ||||||||||||||||||||
15.39 | 28.11 | 6,775 | 1.23 | 0.71 | 1.43 | 145 | ||||||||||||||||||||
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 | |||||||||||||||||||
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 | |||||||||||||||||||
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 | ||||||||||||||||||||
14.99 | 6.90 | 23,166 | 0.55 | 1.33 | 0.63 | 130 | ||||||||||||||||||||
15.37 | 28.82 | 10,218 | 0.59 | 1.35 | 0.62 | 145 | ||||||||||||||||||||
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 | ||||||||||||||||||||
14.90 | 7.04 | 928,167 | 0.46 | 1.41 | 0.52 | 130 | ||||||||||||||||||||
15.28 | 28.90 | 610,732 | 0.51 | 1.43 | 0.52 | 145 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 137 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund) |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | (d) | (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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.54 | 0.53 | 4.10 | 4.63 | (0.55 | ) | (5.09 | ) | (5.64 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 31.20 | 0.47 | 4.66 | 5.13 | (0.52 | ) | (0.27 | ) | (0.79 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | (d) | (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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.14 | 0.35 | 4.05 | 4.40 | (0.39 | ) | (5.09 | ) | (5.48 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 30.87 | 0.30 | 4.60 | 4.90 | (0.36 | ) | (0.27 | ) | (0.63 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | (d) | (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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.69 | 0.62 | 4.11 | 4.73 | (0.62 | ) | (5.09 | ) | (5.71 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 31.34 | 0.53 | 4.67 | 5.20 | (0.58 | ) | (0.27 | ) | (0.85 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | (d) | (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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.33 | 0.46 | 4.03 | 4.49 | (0.47 | ) | (5.09 | ) | (5.56 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 31.04 | 0.38 | 4.62 | 5.00 | (0.44 | ) | (0.27 | ) | (0.71 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | (d) | (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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.78 | 0.66 | 4.13 | 4.79 | (0.68 | ) | (5.09 | ) | (5.77 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 31.42 | 0.59 | 4.69 | 5.28 | (0.65 | ) | (0.27 | ) | (0.92 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | (d) | (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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 35.78 | 0.69 | 4.13 | 4.82 | (0.71 | ) | (5.09 | ) | (5.80 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 31.42 | 0.61 | 4.69 | 5.30 | (0.67 | ) | (0.27 | ) | (0.94 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | Reflects special dividends paid out during the 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.
138 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 36.38 | 45.65 | % | $ | 61,187 | 0.83 | % | 1.37 | % | 0.99 | % | 72 | % | |||||||||||||
25.83 | (9.96 | ) | 49,876 | 0.83 | 1.88 | (d) | 0.95 | 79 | ||||||||||||||||||
31.42 | 4.08 | 72,888 | 0.82 | 1.49 | 1.01 | 88 | ||||||||||||||||||||
34.53 | 13.39 | 86,400 | 0.83 | 1.48 | 1.02 | 68 | ||||||||||||||||||||
35.54 | 16.55 | 95,891 | 0.83 | 1.41 | 1.16 | 81 | ||||||||||||||||||||
35.72 | 45.02 | 11,211 | 1.33 | 0.91 | 1.50 | 72 | ||||||||||||||||||||
25.36 | (10.46 | ) | 11,038 | 1.33 | 1.37 | (d) | 1.46 | 79 | ||||||||||||||||||
30.90 | 3.57 | 19,139 | 1.32 | 0.99 | 1.52 | 88 | ||||||||||||||||||||
34.06 | 12.84 | 23,686 | 1.33 | 1.00 | 1.53 | 68 | ||||||||||||||||||||
35.14 | 15.97 | 35,999 | 1.32 | 0.89 | 1.59 | 81 | ||||||||||||||||||||
36.72 | 47.54 | 127,530 | 0.59 | 1.62 | 0.74 | 72 | ||||||||||||||||||||
25.79 | (10.69 | ) | 113,316 | 0.59 | 2.01 | (d) | 0.68 | 79 | ||||||||||||||||||
31.62 | 4.33 | 698,989 | 0.58 | 1.74 | 0.76 | 88 | ||||||||||||||||||||
34.71 | 13.65 | 772,556 | 0.62 | 1.71 | 0.76 | 68 | ||||||||||||||||||||
35.69 | 16.72 | 886,602 | 0.68 | 1.56 | 0.90 | 81 | ||||||||||||||||||||
35.99 | 45.36 | 3,000 | 1.09 | 1.08 | 1.34 | 72 | ||||||||||||||||||||
25.55 | (10.24 | ) | 2,664 | 1.09 | 1.62 | (d) | 1.30 | 79 | ||||||||||||||||||
31.12 | 3.81 | 4,438 | 1.08 | 1.22 | 1.62 | 88 | ||||||||||||||||||||
34.26 | 13.04 | 5,781 | 1.12 | 1.28 | 1.52 | 68 | ||||||||||||||||||||
35.33 | 16.24 | 19,693 | 1.10 | 1.12 | 1.59 | 81 | ||||||||||||||||||||
36.78 | 48.74 | 4,053 | 0.44 | 1.91 | 0.59 | 72 | ||||||||||||||||||||
25.66 | (11.16 | ) | 4,269 | 0.44 | 2.16 | (d) | 0.55 | 79 | ||||||||||||||||||
31.73 | 4.50 | 48,910 | 0.43 | 1.89 | 0.61 | 88 | ||||||||||||||||||||
34.80 | 13.80 | 90,714 | 0.45 | 1.82 | 0.62 | 68 | ||||||||||||||||||||
35.78 | 16.97 | 86,134 | 0.48 | 1.73 | 0.61 | 81 | ||||||||||||||||||||
36.78 | 46.60 | 69,298 | 0.34 | 1.82 | 0.49 | 72 | ||||||||||||||||||||
26.06 | (9.68 | ) | 74,603 | 0.34 | 2.37 | (d) | 0.44 | 79 | ||||||||||||||||||
31.74 | 4.63 | 133,014 | 0.33 | 1.99 | 0.51 | 88 | ||||||||||||||||||||
34.80 | 13.90 | 118,726 | 0.37 | 1.90 | 0.52 | 68 | ||||||||||||||||||||
35.78 | 17.03 | 108,525 | 0.43 | 1.79 | 0.52 | 81 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 139 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Equity Fund | ||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.80 | 0.11 | 1.94 | 2.05 | (0.11 | ) | (1.26 | ) | (1.37 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.76 | 0.11 | 2.57 | 2.68 | (0.11 | ) | (0.53 | ) | (0.64 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.37 | 0.03 | 1.89 | 1.92 | (0.04 | ) | (1.26 | ) | (1.30 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.41 | 0.04 | 2.49 | 2.53 | (0.04 | ) | (0.53 | ) | (0.57 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.83 | 0.15 | 1.94 | 2.09 | (0.15 | ) | (1.26 | ) | (1.41 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.79 | 0.14 | 2.57 | 2.71 | (0.14 | ) | (0.53 | ) | (0.67 | ) | ||||||||||||||||||
Class L | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.85 | 0.17 | 1.94 | 2.11 | (0.17 | ) | (1.26 | ) | (1.43 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.80 | 0.16 | 2.58 | 2.74 | (0.16 | ) | (0.53 | ) | (0.69 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.68 | 0.07 | 1.92 | 1.99 | (0.07 | ) | (1.26 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.66 | 0.07 | 2.55 | 2.62 | (0.07 | ) | (0.53 | ) | (0.60 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.76 | 0.11 | 1.93 | 2.04 | (0.11 | ) | (1.26 | ) | (1.37 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 14.11 | 0.08 | 2.24 | 2.32 | (0.14 | ) | (0.53 | ) | (0.67 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.82 | 0.16 | 1.93 | 2.09 | (0.15 | ) | (1.26 | ) | (1.41 | ) | ||||||||||||||||||
September 9, 2016 (f) through June 30, 2017 | 14.15 | 0.13 | 2.22 | 2.35 | (0.15 | ) | (0.53 | ) | (0.68 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.85 | 0.18 | 1.95 | 2.13 | (0.18 | ) | (1.26 | ) | (1.44 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.81 | 0.17 | 2.57 | 2.74 | (0.17 | ) | (0.53 | ) | (0.70 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.87 | 0.19 | 1.95 | 2.14 | (0.19 | ) | (1.26 | ) | (1.45 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 13.82 | 0.18 | 2.58 | 2.76 | (0.18 | ) | (0.53 | ) | (0.71 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
140 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 21.51 | 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 | ||||||||||||||||||||
16.48 | 13.20 | 1,340,858 | 0.94 | 0.69 | 1.01 | 97 | ||||||||||||||||||||
15.80 | 19.86 | 1,371,821 | 0.94 | 0.75 | 1.10 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
15.99 | 12.66 | 302,297 | 1.44 | 0.19 | 1.50 | 97 | ||||||||||||||||||||
15.37 | 19.23 | 318,369 | 1.44 | 0.25 | 1.55 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.51 | 13.44 | 1,521,535 | 0.71 | 0.92 | 0.75 | 97 | ||||||||||||||||||||
15.83 | 20.05 | 1,287,300 | 0.76 | 0.93 | 0.81 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.53 | 13.56 | 1,679,995 | 0.57 | 1.05 | 0.60 | 97 | ||||||||||||||||||||
15.85 | 20.27 | 3,391,256 | 0.61 | 1.07 | 0.67 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.34 | 12.88 | 265,675 | 1.21 | 0.42 | 1.25 | 97 | ||||||||||||||||||||
15.68 | 19.58 | 260,589 | 1.20 | 0.48 | 1.40 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.43 | 13.18 | 61,413 | 0.95 | 0.69 | 1.00 | 97 | ||||||||||||||||||||
15.76 | 16.83 | 25,050 | 1.00 | 0.67 | 1.03 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.50 | 13.48 | 10,531 | 0.70 | 0.94 | 0.75 | 97 | ||||||||||||||||||||
15.82 | 16.99 | 1,030 | 0.75 | 1.03 | 0.81 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.54 | 13.66 | 938,744 | 0.54 | 1.08 | 0.60 | 97 | ||||||||||||||||||||
15.85 | 20.24 | 890,105 | 0.56 | 1.12 | 0.62 | 86 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.56 | 13.75 | 8,937,049 | 0.46 | 1.17 | 0.50 | 97 | ||||||||||||||||||||
15.87 | 20.37 | 6,751,473 | 0.50 | 1.19 | 0.50 | 86 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 141 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | (d) | 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.60 | 0.23 | 10.51 | 10.74 | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.37 | 0.22 | 8.27 | 8.49 | (0.26 | ) | — | (0.26 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | (d) | 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.72 | (0.04 | ) | 10.32 | 10.28 | — | — | — | ||||||||||||||||||||
Year Ended June 30, 2017 | 39.63 | — | (e) | 8.13 | 8.13 | (0.04 | ) | — | (0.04 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | (d) | 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.34 | 0.38 | 10.68 | 11.06 | (0.36 | ) | — | (0.36 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.99 | 0.34 | 8.40 | 8.74 | (0.39 | ) | — | (0.39 | ) | |||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | (d) | 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.66 | 0.09 | 10.31 | 10.40 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 39.66 | 0.11 | 8.12 | 8.23 | (0.23 | ) | — | (0.23 | ) | |||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | (d) | 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.76 | 0.46 | 10.56 | 11.02 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.51 | 0.42 | 8.29 | 8.71 | (0.46 | ) | — | (0.46 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | (d) | 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 48.74 | 0.51 | 10.56 | 11.07 | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||||
Year Ended June 30, 2017 | 40.50 | 0.44 | 8.29 | 8.73 | (0.49 | ) | — | (0.49 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(d) | Reflects special dividends paid out during the 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. |
(e) | Amount rounds to less than $0.005. |
(f) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
142 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 73.40 | 40.08 | % | $ | 119,893 | 0.84 | % | (0.01 | )% | 0.90 | % | 64 | % | |||||||||||||
57.64 | 15.11 | 94,017 | 0.84 | 1.15 | (d) | 0.94 | 96 | |||||||||||||||||||
56.61 | 7.06 | 106,993 | 0.84 | 0.79 | 1.12 | 95 | ||||||||||||||||||||
59.09 | 22.13 | 104,167 | 0.86 | 0.42 | 1.11 | 69 | ||||||||||||||||||||
48.60 | 21.12 | 90,633 | 0.92 | 0.50 | 1.20 | 68 | ||||||||||||||||||||
71.55 | 39.44 | 30,159 | 1.34 | (0.50 | ) | 1.40 | 64 | |||||||||||||||||||
56.26 | 14.50 | 31,216 | 1.34 | 0.65 | (d) | 1.42 | 96 | |||||||||||||||||||
55.45 | 6.51 | 35,931 | 1.34 | 0.29 | 1.61 | 95 | ||||||||||||||||||||
58.00 | 21.54 | 37,416 | 1.36 | (0.08 | ) | 1.61 | 69 | |||||||||||||||||||
47.72 | 20.52 | 42,811 | 1.41 | 0.00 | (f) | 1.67 | 68 | |||||||||||||||||||
75.08 | 40.46 | 164,959 | 0.59 | 0.25 | 0.65 | 64 | ||||||||||||||||||||
58.80 | 15.38 | 141,497 | 0.59 | 1.40 | (d) | 0.67 | 96 | |||||||||||||||||||
57.60 | 7.33 | 163,324 | 0.59 | 1.04 | 0.86 | 95 | ||||||||||||||||||||
60.04 | 22.45 | 196,798 | 0.61 | 0.67 | 0.86 | 69 | ||||||||||||||||||||
49.34 | 21.43 | 183,265 | 0.68 | 0.75 | 0.89 | 68 | ||||||||||||||||||||
71.18 | 39.73 | 45,629 | 1.09 | (0.26 | ) | 1.21 | 64 | |||||||||||||||||||
56.08 | 14.84 | 40,305 | 1.09 | 0.90 | (d) | 1.25 | 96 | |||||||||||||||||||
55.27 | 6.78 | 45,086 | 1.09 | 0.54 | 1.49 | 95 | ||||||||||||||||||||
57.95 | 21.84 | 40,763 | 1.10 | 0.16 | 1.37 | 69 | ||||||||||||||||||||
47.66 | 20.82 | 5,277 | 1.17 | 0.26 | 1.68 | 68 | ||||||||||||||||||||
73.80 | 40.57 | 166,478 | 0.44 | 0.39 | 0.50 | 64 | ||||||||||||||||||||
57.93 | 15.63 | 189,889 | 0.44 | 1.55 | (d) | 0.52 | 96 | |||||||||||||||||||
56.82 | 7.48 | 194,550 | 0.44 | 1.19 | 0.71 | 95 | ||||||||||||||||||||
59.32 | 22.66 | 201,539 | 0.45 | 0.83 | 0.71 | 69 | ||||||||||||||||||||
48.76 | 21.65 | 192,164 | 0.48 | 0.94 | 0.72 | 68 | ||||||||||||||||||||
73.81 | 40.70 | 780,470 | 0.34 | 0.50 | 0.40 | 64 | ||||||||||||||||||||
57.93 | 15.76 | 617,458 | 0.34 | 1.65 | (d) | 0.42 | 96 | |||||||||||||||||||
56.81 | 7.59 | 602,454 | 0.34 | 1.29 | 0.61 | 95 | ||||||||||||||||||||
59.32 | 22.78 | 588,911 | 0.36 | 0.92 | 0.61 | 69 | ||||||||||||||||||||
48.74 | 21.70 | 504,973 | 0.43 | 0.99 | 0.61 | 68 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 143 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 30.35 | — | (h) | 3.87 | 3.87 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.06 | — | (h) | 5.54 | 5.54 | (0.01 | ) | (1.24 | ) | (1.25 | ) | |||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.21 | (0.15 | ) | 3.71 | 3.56 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 25.23 | (0.14 | ) | 5.36 | 5.22 | — | (1.24 | ) | (1.24 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 30.66 | 0.08 | 3.92 | 4.00 | (0.03 | ) | (4.12 | ) | (4.15 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.32 | 0.08 | 5.59 | 5.67 | (0.09 | ) | (1.24 | ) | (1.33 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 29.74 | (0.09 | ) | 3.78 | 3.69 | — | (4.12 | ) | (4.12 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 25.61 | (0.07 | ) | 5.44 | 5.37 | — | (1.24 | ) | (1.24 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 30.81 | 0.11 | 3.93 | 4.04 | (0.08 | ) | (4.12 | ) | (4.20 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 26.44 | 0.13 | 5.62 | 5.75 | (0.14 | ) | (1.24 | ) | (1.38 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
Year Ended June 30, 2021 | 25.18 | — | (h) | 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 | ) | ||||||||||||||||||
November 1, 2017 (j) through June 30, 2018 | 32.99 | 0.09 | 1.79 | 1.88 | (0.12 | ) | (4.12 | ) | (4.24 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class A are 1.10% and 1.25% for the year ended June 30, 2021, 1.10% and 1.26% for the year ended June 30, 2020, 1.09% and 1.34% for the year ended June 30, 2019, 1.15% and 1.40% for the year ended June 30, 2018 and 1.25% and 1.43% for the year ended June 30, 2017, for Class C are 1.59% and 1.74% for the year ended June 30, 2021, 1.60% and 1.76% for the year ended June 30, 2020, 1.60% and 1.85% for the year ended June 30, 2019, 1.65% and 1.90% for the year ended June 30, 2018 and 1.75% and 1.94% for the year ended June 30, 2017, for Class I are 0.85% and 0.99% for the year ended June 30, 2021, 0.85% and 1.01% for the year ended June 30, 2020, 0.85% and 1.09% for the year ended June 30, 2019, 0.90% and 1.15% for the year ended June 30, 2018 and 0.98% and 1.16% for the year ended June 30, 2017, for Class R2 are 1.45% and 1.50% for the year ended June 30, 2021, 1.45% and 1.52% for the year ended June 30, 2020, 1.45% and 1.63% for the year ended June 30, 2019, 1.47% and 1.67% for the year ended June 30, 2018 and 1.50% and 1.76% for the year ended June 30, 2017, for Class R5 are 0.80% and 0.84% for the year ended June 30, 2021, 0.80% and 0.85% for the year ended June 30, 2020, 0.80% and 0.94% for the year ended June 30, 2019, 0.79% and 1.00% for the year ended June 30, 2018 and 0.80% and 0.96% for the year ended June 30, 2017 and for Class R6 are 0.70% and 0.74% for the year ended June 30, 2021, 0.70% and 0.75% for the year ended June 30, 2020, 0.70% and 0.85% for the year ended June 30, 2019 and 0.70% and 0.90% for the period ended June 30, 2018, respectively. |
(g) | Interest expense on securities sold short is 0.16%. |
(h) | Amount rounds to less than $0.005. |
(i) | Amount rounds to less than 0.005%. |
(j) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
144 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (including dividend and interest expense for securities sold short) (e)(f) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits (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) | |||||||||||||||||||||||
$ | 26.84 | 42.30 | % | $ | 335,206 | 1.94 | %(g) | (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 | |||||||||||||||||||||||
30.10 | 13.16 | 772,656 | 2.01 | 0.01 | 2.26 | 110 | 161 | |||||||||||||||||||||||
30.35 | 21.64 | 791,067 | 2.20 | 0.00 | (i) | 2.39 | 94 | 131 | ||||||||||||||||||||||
24.01 | 41.55 | 36,784 | 2.43 | (g) | (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 | ||||||||||||||||||||||
28.65 | 12.58 | 158,677 | 2.50 | (0.50 | ) | 2.75 | 110 | 161 | ||||||||||||||||||||||
29.21 | 21.05 | 201,031 | 2.70 | (0.50 | ) | 2.89 | 94 | 131 | ||||||||||||||||||||||
27.53 | 42.65 | 1,702,566 | 1.69 | (g) | (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 | |||||||||||||||||||||||
30.51 | 13.46 | 6,169,553 | 1.75 | 0.27 | 2.00 | 110 | 161 | |||||||||||||||||||||||
30.66 | 21.95 | 8,075,047 | 1.94 | 0.27 | 2.12 | 94 | 131 | |||||||||||||||||||||||
25.27 | 41.77 | 5,838 | 2.29 | (g) | (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 | ||||||||||||||||||||||
29.31 | 12.81 | 6,528 | 2.31 | (0.30 | ) | 2.52 | 110 | 161 | ||||||||||||||||||||||
29.74 | 21.33 | 6,207 | 2.45 | (0.24 | ) | 2.71 | 94 | 131 | ||||||||||||||||||||||
27.78 | 42.75 | 34,191 | 1.64 | (g) | (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 | |||||||||||||||||||||||
30.65 | 13.57 | 126,084 | 1.65 | 0.37 | 1.85 | 110 | 161 | |||||||||||||||||||||||
30.81 | 22.18 | 168,526 | 1.76 | 0.47 | 1.92 | 94 | 131 | |||||||||||||||||||||||
27.75 | 42.86 | 536,661 | 1.54 | (g) | 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 | |||||||||||||||||||||||
30.63 | 6.10 | 1,795,125 | 1.54 | 0.44 | 1.74 | 110 | 161 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 145 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance |
| |||||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (a) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Return of capital | Total distributions | |||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund | ||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.40 | 0.31 | 2.96 | 3.27 | (0.30 | ) | — | — | (0.30 | ) | ||||||||||||||||||||||
Year Ended June 30, 2017 | 21.74 | 0.28 | 3.72 | 4.00 | (0.32 | ) | — | (0.02 | ) | (0.34 | ) | |||||||||||||||||||||
Class I | ||||||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.62 | 0.39 | 2.98 | 3.37 | (0.38 | ) | — | — | (0.38 | ) | ||||||||||||||||||||||
Year Ended June 30, 2017 | 21.92 | 0.35 | 3.76 | 4.11 | (0.39 | ) | — | (0.02 | ) | (0.41 | ) | |||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||
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 | ) | |||||||||||||||||||||
Year Ended June 30, 2018 | 25.59 | 0.41 | 2.97 | 3.38 | (0.40 | ) | — | — | (0.40 | ) | ||||||||||||||||||||||
Year Ended June 30, 2017 | 21.90 | 0.38 | 3.75 | 4.13 | (0.42 | ) | — | (0.02 | ) | (0.44 | ) |
(a) | Calculated based upon average shares outstanding. |
(b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
SEE NOTES TO FINANCIAL STATEMENTS.
146 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (b) | Net assets, end of period (000’s) | Net expenses (c) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
28.37 | 12.92 | 278,766 | 0.60 | 1.13 | 0.85 | 45 | ||||||||||||||||||||
25.40 | 18.52 | 422,719 | 0.69 | 1.19 | 0.96 | 40 | ||||||||||||||||||||
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 | ||||||||||||||||||||
28.61 | 13.19 | 268,898 | 0.35 | 1.39 | 0.60 | 45 | ||||||||||||||||||||
25.62 | 18.85 | 285,141 | 0.43 | 1.45 | 0.69 | 40 | ||||||||||||||||||||
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 | ||||||||||||||||||||
28.57 | 13.28 | 5,712,617 | 0.25 | 1.50 | 0.34 | 45 | ||||||||||||||||||||
25.59 | 19.00 | 5,863,138 | 0.28 | 1.60 | 0.34 | 40 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 147 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund) |
| |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 39.35 | 0.58 | 4.05 | 4.63 | (0.48 | ) | (2.22 | ) | (2.70 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 33.20 | 0.29 | 6.20 | 6.49 | (0.34 | ) | — | (0.34 | ) | |||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 38.51 | 0.41 | 3.92 | 4.33 | (0.18 | ) | (2.22 | ) | (2.40 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 32.48 | 0.11 | 6.06 | 6.17 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 39.59 | 0.66 | 4.10 | 4.76 | (0.57 | ) | (2.22 | ) | (2.79 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 33.40 | 0.38 | 6.25 | 6.63 | (0.44 | ) | — | (0.44 | ) | |||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
148 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 59.20 | 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 | ||||||||||||||||||||
41.28 | 11.88 | 9,497 | 0.90 | 1.41 | 1.92 | 38 | ||||||||||||||||||||
39.35 | 19.64 | 7,943 | 1.08 | 0.80 | 2.29 | 53 | ||||||||||||||||||||
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 | ||||||||||||||||||||
40.44 | 11.35 | 3,277 | 1.42 | 1.01 | 2.45 | 38 | ||||||||||||||||||||
38.51 | 19.02 | 5,063 | 1.58 | 0.30 | 2.79 | 53 | ||||||||||||||||||||
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 | ||||||||||||||||||||
41.56 | 12.16 | 9,172 | 0.64 | 1.59 | 1.63 | 38 | ||||||||||||||||||||
39.59 | 19.95 | 5,038 | 0.83 | 1.04 | 2.03 | 53 | ||||||||||||||||||||
59.69 | 29.93 | 25,156 | 0.34 | 1.05 | 0.70 | 44 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 149 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 46.85 | 0.64 | 4.98 | 5.62 | (0.62 | ) | (2.08 | ) | (2.70 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 42.75 | 0.57 | 6.31 | 6.88 | (0.57 | ) | (2.21 | ) | (2.78 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 42.54 | 0.35 | 4.51 | 4.86 | (0.41 | ) | (2.08 | ) | (2.49 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 39.07 | 0.31 | 5.76 | 6.07 | (0.39 | ) | (2.21 | ) | (2.60 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.21 | 0.81 | 5.21 | 6.02 | (0.74 | ) | (2.08 | ) | (2.82 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 44.77 | 0.72 | 6.62 | 7.34 | (0.69 | ) | (2.21 | ) | (2.90 | ) | ||||||||||||||||||
Class R2 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 47.06 | 0.53 | 4.99 | 5.52 | (0.52 | ) | (2.08 | ) | (2.60 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 42.94 | 0.46 | 6.33 | 6.79 | (0.46 | ) | (2.21 | ) | (2.67 | ) | ||||||||||||||||||
Class R3 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (f) through June 30, 2018 | 49.99 | 0.68 | 4.46 | 5.14 | (0.64 | ) | (2.08 | ) | (2.72 | ) | ||||||||||||||||||
Class R4 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (f) through June 30, 2018 | 49.99 | 0.79 | 4.46 | 5.25 | (0.75 | ) | (2.08 | ) | (2.83 | ) | ||||||||||||||||||
Class R5 | ||||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.50 | 0.91 | 5.23 | 6.14 | (0.82 | ) | (2.08 | ) | (2.90 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 45.01 | 0.83 | 6.65 | 7.48 | (0.78 | ) | (2.21 | ) | (2.99 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 49.50 | 1.04 | 5.16 | 6.20 | (0.87 | ) | (2.08 | ) | (2.95 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 45.01 | 0.81 | 6.69 | 7.50 | (0.80 | ) | (2.21 | ) | (3.01 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
150 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net investment income (loss) | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
49.77 | 12.04 | 476,090 | 0.97 | 1.29 | 1.08 | 32 | ||||||||||||||||||||
46.85 | 16.34 | 445,078 | 1.03 | 1.26 | 1.10 | 28 | ||||||||||||||||||||
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 | ||||||||||||||||||||
44.91 | 11.45 | 23,034 | 1.47 | 0.77 | 1.55 | 32 | ||||||||||||||||||||
42.54 | 15.76 | 28,290 | 1.53 | 0.76 | 1.59 | 28 | ||||||||||||||||||||
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 | ||||||||||||||||||||
52.41 | 12.29 | 77,737 | 0.72 | 1.55 | 0.79 | 32 | ||||||||||||||||||||
49.21 | 16.64 | 64,148 | 0.78 | 1.50 | 0.83 | 28 | ||||||||||||||||||||
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 | ||||||||||||||||||||
49.98 | 11.76 | 41 | 1.21 | 1.06 | 1.49 | 32 | ||||||||||||||||||||
47.06 | 16.04 | 23 | 1.28 | 1.01 | 2.06 | 28 | ||||||||||||||||||||
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 | ||||||||||||||||||||
52.41 | 10.33 | 22 | 0.94 | 1.42 | 1.12 | 32 | ||||||||||||||||||||
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 | ||||||||||||||||||||
52.41 | 10.56 | 22 | 0.71 | 1.64 | 0.87 | 32 | ||||||||||||||||||||
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 | ||||||||||||||||||||
52.74 | 12.48 | 43 | 0.55 | 1.72 | 0.80 | 32 | ||||||||||||||||||||
49.50 | 16.88 | 37 | 0.59 | 1.72 | 1.23 | 28 | ||||||||||||||||||||
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 | ||||||||||||||||||||
52.75 | 12.59 | 33,774 | 0.44 | 1.95 | 0.52 | 32 | ||||||||||||||||||||
49.50 | 16.94 | 2,129 | 0.53 | 1.66 | 0.55 | 28 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 151 |
Table of Contents
AS OF JUNE 30, 2021
(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 Focus Fund | Class A, Class C, Class I and Class R6 | JPM I | Diversified | |||
JPMorgan Equity Income Fund | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM II | Diversified | |||
JPMorgan 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(1) | Class A, Class C, Class I, Class R5 and Class R6 | JPM IV | Diversified | |||
JPMorgan Hedged Equity 3 Fund(1) | 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(2) | 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(3) | 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(4) and Class R6 | JPM I | Diversified | |||
JPMorgan U.S. Sustainable Leaders Fund(5) | Class A, Class C, Class I and Class R6(6) | JPM I | Diversified | |||
JPMorgan U.S. Value Fund(7) | Class A, Class C, Class I, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified |
(1) | Commenced operations on February 26, 2021. |
(2) | Effective July 1, 2021, JPMorgan Intrepid Value Fund changed its name to JPMorgan U.S. Applied Data Science Value Fund. |
(3) | Effective February 1, 2021, JPMorgan Intrepid Growth Fund changed its name to JPMorgan U.S. GARP Equity Fund. |
(4) | On July 6, 2020, Class L Shares were converted into Class I Shares. Additionally, as of July 6, 2020, Class L Shares are no longer offered. |
(5) | Effective August 15, 2020, JPMorgan Intrepid Sustainable Equity Fund changed its name to JPMorgan U.S. Sustainable Leaders Fund. |
(6) | Commenced operations on September 30, 2020. |
(7) | Effective November 1, 2020, JPMorgan Growth and Income Fund changed its name to JPMorgan U.S. Value Fund. |
The investment objective of JPMorgan Equity Focus Fund (“Equity Focus Fund”) and JPMorgan Large Cap Growth Fund (“Large Cap Growth Fund”) is to seek long-term capital appreciation.
The investment objective of JPMorgan Equity Income Fund (“Equity Income Fund”) is to seek capital appreciation and current income.
The investment objective of JPMorgan Equity Premium Income Fund (“Equity Premium Income Fund”) is to seek current income while maintaining prospects for capital appreciation.
The investment objective of JPMorgan 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 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”) 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. Large Cap Core Plus Fund (“U.S. Large Cap Core Plus Fund”) is to seek to provide a high total return from a portfolio of selected equity securities.
152 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
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.
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.
All share classes of Hedged Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund’s prospectuses.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Boards.
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 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 153 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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 Focus Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 132,089 | $ | — | $ | — | $ | 132,089 | ||||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
Equity Income Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 46,355,736 | $ | — | $ | — | $ | 46,355,736 | ||||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
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 | $ | 741,641 | $ | — | $ | — | $ | 741,641 | ||||||||
Equity-Linked Notes | — | 141,896 | — | 141,896 | ||||||||||||
Short-Term Investments | ||||||||||||||||
Investment Companies | 43,928 | — | — | 43,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments in Securities | $ | 785,569 | $ | 141,896 | $ | — | $ | 927,465 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts | $ | 3 | $ | — | $ | — | $ | 3 | ||||||||
|
|
|
|
|
|
|
|
154 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
Hedged Equity Fund | ||||||||||||||||
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 18,514,775 | $ | — | $ | — | $ | 18,514,775 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 5,311 | $ | — | $ | — | $ | 5,311 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Options Written (a) | ||||||||||||||||
Call Options Written | (200,436 | ) | — | — | (200,436 | ) | ||||||||||
Put Options Written | (66,315 | ) | — | — | (66,315 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Appreciation/Depreciation in Other Financial Instruments | $ | (261,440 | ) | $ | — | $ | — | $ | (261,440 | ) | ||||||
|
|
|
|
|
|
|
|
(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) | $ | 1,448,854 | $ | — | $ | — | $ | 1,448,854 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 45 | $ | — | $ | — | $ | 45 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Options Written (a) | ||||||||||||||||
Call Options Written | (12,140 | ) | — | — | (12,140 | ) | ||||||||||
Put Options Written | (640 | ) | — | — | (640 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Appreciation/Depreciation in Other Financial Instruments | $ | (12,735 | ) | $ | — | $ | — | $ | (12,735 | ) | ||||||
|
|
|
|
|
|
|
|
(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) | $ | 585,779 | $ | — | $ | — | $ | 585,779 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 32 | $ | — | $ | — | $ | 32 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Options Written (a) | ||||||||||||||||
Call Options Written | (7,591 | ) | — | — | (7,591 | ) | ||||||||||
Put Options Written | (969 | ) | — | — | (969 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Appreciation/Depreciation in Other Financial Instruments | $ | (8,528 | ) | $ | — | $ | — | $ | (8,528 | ) | ||||||
|
|
|
|
|
|
|
|
(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) | $ | 37,825,031 | $ | — | $ | — | $ | 37,825,031 | ||||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 155 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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) | $ | 4,363,329 | $ | — | $ | — | $ | 4,363,329 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 277,055 | $ | — | $ | — | $ | 277,055 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 107 | $ | — | $ | — | $ | 107 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 19,905,551 | $ | — | $ | — | $ | 19,905,551 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts (a) | $ | 1,940 | $ | — | $ | — | $ | 1,940 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 1,309,699 | $ | — | $ | — | $ | 1,309,699 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 512 | $ | — | $ | — | $ | 512 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 3,315,329 | $ | — | $ | — | $ | 3,315,329 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities for Securities Sold Short (a) | $ | (664,633 | ) | $ | — | $ | — | $ | (664,633 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
156 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
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) | $ | 5,067,469 | $ | — | $ | — | $ | 5,067,469 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 965 | $ | — | $ | — | $ | 965 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 115,508 | $ | — | $ | — | $ | 115,508 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 63 | $ | — | $ | — | $ | 63 | ||||||||
|
|
|
|
|
|
|
|
(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) | $ | 1,705,834 | $ | — | $ | — | $ | 1,705,834 | ||||||||
|
|
|
|
|
|
|
|
(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 June 30, 2021, 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 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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 157 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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 June 30, 2021.
Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities | Cash Collateral Posted by Borrower* | Net Amount Due to Counterparty (not less than zero) | ||||||||||
Large Cap Growth Fund | $ | 422,906 | $ | (422,906 | ) | $ | — | |||||
Large Cap Value Fund | 30,637 | (30,637 | ) | — | ||||||||
U.S. Equity Fund | 30,132 | (30,132 | ) | — | ||||||||
U.S. GARP Equity Fund | 2,790 | (2,790 | ) | — |
* | 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 0.12% to 0.06%. For the year ended June 30, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
Equity Focus Fund | $ | — | (a) | |
Equity Income Fund | — | (a) | ||
Large Cap Growth Fund | 47 | |||
Large Cap Value Fund | 3 | |||
U.S. Applied Data Science Value Fund | 1 | |||
U.S. Equity Fund | 3 | |||
U.S. GARP Equity Fund | 2 | |||
U.S. Sustainable Leaders 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 Focus Fund, Equity Income Fund, U.S. Applied Data Science Value Fund and U.S. Sustainable Leaders Fund did not have any securities out on loan at June 30, 2021. Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, U.S. Large Cap Core Plus Fund, U.S. Research Enhanced Equity Fund and U.S. Value Fund did not lend out any securities during the year ended June 30, 2021.
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the
158 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
tables below to be affiliated issuers. 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 Focus Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 3,216 | $ | 36,907 | $ | 36,539 | $ | (1 | ) | $ | (1 | ) | $ | 3,582 | 3,580 | $ | 4 | $ | — | |||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares(a) | — | 1,810 | 1,810 | — | — | — | — | — | *(c) | — | ||||||||||||||||||||||||||
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Total | $ | 3,216 | $ | 38,717 | $ | 38,349 | $ | (1 | ) | $ | (1 | ) | $ | 3,582 | $ | 4 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
(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). |
Equity Income Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 883,014 | $ | 7,081,611 | $ | 6,855,898 | $ | 238 | $ | (532 | ) | $ | 1,108,433 | 1,107,879 | $ | 1,170 | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares(a) | — | 11,346 | 11,346 | — | — | — | — | — | *(c) | — | ||||||||||||||||||||||||||
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$ | 883,014 | $ | 7,092,957 | $ | 6,867,244 | $ | 238 | $ | (532 | ) | $ | 1,108,433 | $ | 1,170 | $ | — | ||||||||||||||||||||
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(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 June 30, 2021. |
(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). |
Equity Premium Income Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 5,899 | $ | 800,957 | $ | 762,923 | $ | (5 | ) | $ | — | (c) | $ | 43,928 | 43,906 | $ | 10 | $ | — | |||||||||||||||||
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(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 June 30, 2021. |
(c) | Amount rounds to less than one thousand. |
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 159 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Hedged Equity Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (a) (b) | $ | 456,381 | $ | 6,474,865 | $ | 6,618,277 | $ | — | $ | — | $ | 312,969 | 312,969 | $ | 61 | $ | — | |||||||||||||||||||
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(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 June 30, 2021. |
Hedged Equity 2 Fund |
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For the period ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at February 26, 2021 (a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b)(c) | $ | — | $ | 749,510 | $ | 666,577 | $ | — | $ | — | $ | 82,933 | 82,933 | $ | 3 | $ | — | |||||||||||||||||||
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(a) | Commencement of operations was February 26, 2021. |
(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 June 30, 2021. |
Hedged Equity 3 Fund |
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For the period ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at February 26, 2021 (a) | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b) (c) | $ | — | $ | 270,762 | $ | 253,072 | $ | — | $ | — | $ | 17,690 | 17,690 | $ | 1 | $ | — | |||||||||||||||||||
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(a) | Commencement of operations was February 26, 2021. |
(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 June 30, 2021. |
Large Cap Growth Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 1,084,362 | $ | 14,721,272 | $ | 14,303,977 | $ | (26 | ) | $ | (398 | ) | $ | 1,501,233 | 1,500,482 | $ | 1,768 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 1,102,899 | 3,197,800 | 3,986,304 | (220 | )* | (56 | ) | 314,119 | 314,119 | 1,287 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 96,805 | 2,581,274 | 2,564,404 | — | — | 113,675 | 113,675 | 38 | * | — | ||||||||||||||||||||||||||
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Total | $ | 2,284,066 | $ | 20,500,346 | $ | 20,854,685 | $ | (246 | ) | $ | (454 | ) | $ | 1,929,027 | $ | 3,093 | $ | — | ||||||||||||||||||
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160 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
Table of Contents
(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Large Cap Value Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 12,570 | $ | 2,845,097 | $ | 2,800,329 | $ | (14 | ) | $ | 1 | $ | 57,325 | 57,297 | $ | 54 | $ | — | ||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 51,705 | 236,700 | 280,500 | (8 | )* | — | (c) | 7,897 | 7,896 | 41 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 8,692 | 140,745 | 125,975 | — | — | 23,462 | 23,462 | 2 | * | — | ||||||||||||||||||||||||||
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Total | $ | 72,967 | $ | 3,222,542 | $ | 3,206,804 | $ | (22 | ) | $ | 1 | $ | 88,684 | $ | 97 | $ | — | |||||||||||||||||||
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(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 June 30, 2021. |
(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). |
U.S. Applied Data Science Value Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 4,719 | $ | 73,416 | $ | 68,951 | $ | (1 | ) | $ | (1 | ) | $ | 9,182 | 9,178 | $ | 8 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 3 | 5,501 | 5,503 | — | *(c) | (1 | ) | — | — | 2 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | 2,452 | 24,723 | 27,175 | — | — | — | — | 1 | * | — | ||||||||||||||||||||||||||
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Total | $ | 7,174 | $ | 103,640 | $ | 101,629 | $ | (1 | ) | $ | (2 | ) | $ | 9,182 | $ | 11 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
(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). |
U.S. Equity Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 41,341 | $ | 5,762,716 | $ | 5,575,130 | $ | (81 | ) | $ | — | (c) | $ | 228,846 | 228,732 | $ | 291 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | 1,074 | 401,000 | 375,066 | (10 | )* | (3 | ) | 26,995 | 26,995 | 72 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 12,605 | 125,583 | 134,682 | — | — | 3,506 | 3,506 | 3 | * | — | ||||||||||||||||||||||||||
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Total | $ | 55,020 | $ | 6,289,299 | $ | 6,084,878 | $ | (91 | ) | $ | (3 | ) | $ | 259,347 | $ | 366 | $ | — | ||||||||||||||||||
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JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 161 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
(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 June 30, 2021. |
(c) | Amount rounds to less than one thousand. |
U.S. GARP Equity Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 12,447 | $ | 278,039 | $ | 259,363 | $ | (6 | ) | $ | (7 | ) | $ | 31,110 | 31,095 | $ | 38 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) | — | 153,000 | 151,000 | (6 | )* | — | (c) | 1,994 | 1,994 | 26 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 11,327 | 145,116 | 155,528 | — | — | 915 | 915 | 2 | * | — | ||||||||||||||||||||||||||
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Total | $ | 23,774 | $ | 576,155 | $ | 565,891 | $ | (12 | ) | $ | (7 | ) | $ | 34,019 | $ | 66 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
(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). |
U.S. Large Cap Core Plus Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 35,661 | $ | 883,510 | $ | 907,582 | $ | (5 | ) | $ | (4 | ) | $ | 11,580 | 11,574 | $ | 29 | $ | — | |||||||||||||||||
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(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 June 30, 2021. |
U.S. Research Enhanced Equity Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 110,144 | $ | 1,058,266 | $ | 1,101,481 | $ | (14 | ) | $ | (1 | ) | $ | 66,914 | 66,881 | $ | 66 | $ | — | |||||||||||||||||
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(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 June 30, 2021. |
162 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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U.S. Sustainable Leaders Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 1,605 | $ | 59,100 | $ | 56,125 | $ | (1 | ) | $ | 1 | $ | 4,580 | 4,577 | $ | 3 | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | 326 | 2,242 | 2,568 | — | — | — | — | — | *(c) | — | ||||||||||||||||||||||||||
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Total | $ | 1,931 | $ | 61,342 | $ | 58,693 | $ | (1 | ) | $ | 1 | $ | 4,580 | $ | 3 | $ | — | |||||||||||||||||||
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(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 June 30, 2021. |
(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). |
U.S. Value Fund |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) | $ | 25,234 | $ | 751,274 | $ | 738,469 | $ | 7 | $ | (18 | ) | $ | 38,028 | 38,009 | $ | 39 | $ | — | ||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares (a) | — | 236 | 236 | — | — | — | — | — | *(c) | — | ||||||||||||||||||||||||||
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Total | $ | 25,234 | $ | 751,510 | $ | 738,705 | $ | 7 | $ | (18 | ) | $ | 38,028 | $ | 39 | $ | — | |||||||||||||||||||
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(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 June 30, 2021. |
(c) | Amount rounds to less than one thousand. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. 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 equity 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.
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.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 163 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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).
F. Futures Contracts — 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).
G. Summary of Derivatives Information
Derivatives Volume
The table below discloses the volume of the Funds’ options and futures contracts activity during the year ended June 30, 2021. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
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 | U.S. Sustainable Leaders Fund | |||||||||||||||||||||||||||||||
Futures Contracts — Equity: | ||||||||||||||||||||||||||||||||||||||||
Average Notional Balance Long | $ | 5,129 | (a) | $ | 240,641 | $ | 12,681 | (b) | $ | 1,417 | (b) | $ | 5,378 | $ | 166,556 | $ | 20,156 | $ | 737 | $ | 45,618 | $ | 1,633 | |||||||||||||||||
Ending Notional Balance Long | 1,501 | 362,593 | 27,446 | 2,788 | 7,719 | 115,361 | 31,735 | — | 45,673 | 4,583 | ||||||||||||||||||||||||||||||
Exchange-Traded Options: | ||||||||||||||||||||||||||||||||||||||||
Average Number of Contracts Purchased | — | 38,531 | 1,809 | (b) | 730 | (b) | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Average Number of Contracts Written | — | 77,062 | 3,618 | (b) | 1,460 | (b) | — | — | — | — | — | — | ||||||||||||||||||||||||||||
Ending Number of Contracts Purchased | — | 42,646 | 3,233 | 1,318 | — | — | — | — | — | — | ||||||||||||||||||||||||||||||
Ending Number of Contracts Written | — | 85,292 | 6,466 | 2,636 | — | — | — | — | — | — |
164 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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(a) | For the period February 1, 2021 through June 30, 2021. |
(b) | For the period March 1, 2021 through June 30, 2021. |
The Funds’ derivatives contracts held at June 30, 2021 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 of JPM IV, 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 June 30, 2021, Equity Premium Income Fund had outstanding ELNs as listed on the SOI.
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. Securities segregated as collateral are denoted on the SOI. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. 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.
The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates.
As of June 30, 2021, U.S. Large Cap Core Plus Fund had outstanding short sales as listed on its SOI.
J. Offering and Organization Costs — Total offering costs of $104 and $104, respectively, incurred in connection with the offering of shares of Hedged Equity 2 Fund and Hedged Equity 3 Fund are amortized on a straight line basis over 12 months from the date the Funds commenced operations. Costs paid in connection with the organization of the Funds, if any, are recorded as an expense at the time the Funds commenced operations. For the year ended June 30, 2021, total offering costs amortized were $34 and $34, respectively.
K. 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 are recorded on the ex-dividend date or when a Fund first learns of the dividend. To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
L. 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.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended June 30, 2021 are as follows:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | |||||||||||||||||||||||||||||||
Equity Focus Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | $ | 1 | $ | 1 | $ | 2 | n/a | n/a | n/a | n/a | n/a | $ | — | (a) | $ | 4 | ||||||||||||||||||||||||
Equity Income Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 435 | 68 | 366 | n/a | $ | 12 | $ | 7 | $ | 4 | $ | 31 | 254 | 1,177 | ||||||||||||||||||||||||||
Equity Premium Income Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | — | (a) | — | (a) | 9 | n/a | n/a | n/a | n/a | — | (a) | 1 | 10 | |||||||||||||||||||||||||||
Hedged Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 49 | 10 | 126 | n/a | n/a | n/a | n/a | 1 | 28 | 214 | ||||||||||||||||||||||||||||||
Hedged Equity 2 Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | — | (a) | — | (a) | 1 | n/a | n/a | n/a | n/a | — | (a) | — | (a) | 1 | ||||||||||||||||||||||||||
Hedged Equity 3 Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | — | (a) | 1 | 1 | n/a | n/a | n/a | n/a | — | (a) | — | (a) | 2 | |||||||||||||||||||||||||||
Large Cap Growth Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 403 | 27 | 126 | n/a | 9 | 3 | 3 | 14 | 155 | 740 | ||||||||||||||||||||||||||||||
Large Cap Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 62 | 2 | 90 | n/a | 4 | — | (a) | — | (a) | 3 | 18 | 179 | ||||||||||||||||||||||||||||
U.S. Applied Data Science Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 1 | 2 | 3 | n/a | 3 | n/a | n/a | — | (a) | 2 | 11 | |||||||||||||||||||||||||||||
U.S. Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 95 | 12 | 33 | $ | 87 | 6 | 4 | — | (a) | 10 | 98 | 345 | ||||||||||||||||||||||||||||
U.S. GARP Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 9 | 2 | 5 | n/a | 29 | n/a | n/a | 2 | 6 | 53 | ||||||||||||||||||||||||||||||
U.S. Large Cap Core Plus Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 34 | 4 | 51 | n/a | 1 | n/a | n/a | — | (a) | 5 | 95 | |||||||||||||||||||||||||||||
U.S. Research Enhanced Equity Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 16 | n/a | 13 | — | (a) | n/a | n/a | n/a | n/a | 35 | 64 | |||||||||||||||||||||||||||||
U.S. Sustainable Leaders Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 3 | — | (a) | 2 | n/a | n/a | n/a | n/a | n/a | — | (a) | 5 | ||||||||||||||||||||||||||||
U.S. Value Fund | ||||||||||||||||||||||||||||||||||||||||
Transfer agency fees | 149 | 2 | 12 | n/a | — | (a) | — | (a) | — | (a) | — | (a) | 3 | 166 |
(a) | Amount rounds to less than one thousand. |
M. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2021, 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.
N. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least quarterly, except for Equity Focus Fund, 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, and Equity Income Fund 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.
166 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Equity Focus Fund | $ | 35 | $ | (49 | ) | $ | 14 | |||||
Equity Income Fund | (5,136 | ) | (1,553 | ) | 6,689 | |||||||
Equity Premium Income Fund | (74 | ) | (75 | ) | 149 | |||||||
Hedged Equity Fund | — | (4,017 | ) | 4,017 | ||||||||
Hedged Equity 2 Fund | (38 | ) | 38 | — | ||||||||
Hedged Equity 3 Fund | (5 | ) | 5 | — | ||||||||
Large Cap Growth Fund | 495,481 | 19,600 | (515,081 | ) | ||||||||
Large Cap Value Fund | — | (216 | ) | 216 | ||||||||
U.S. Applied Data Science Value Fund | 2,738 | (317 | ) | (2,421 | ) | |||||||
U.S. Equity Fund | 197,537 | (2,245 | ) | (195,292 | ) | |||||||
U.S. GARP Equity Fund | 1,012 | (10 | ) | (1,002 | ) | |||||||
U.S. Large Cap Core Plus Fund | 309,335 | 1,704 | (311,039 | ) | ||||||||
U.S. Research Enhanced Equity Fund | — | (1,904 | ) | 1,904 | ||||||||
U.S. Sustainable Leaders Fund | — | (2 | ) | 2 | ||||||||
U.S. Value Fund | (130 | ) | (214 | ) | 344 |
The reclassifications for the Funds relate primarily to non-taxable dividends, redemptions in-kind and tax equalization.
O. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
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 Focus Fund | 0.50 | % | ||
Equity Income Fund | 0.40 | |||
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.
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 year ended June 30, 2021, the effective rate for Equity Focus Fund, Equity Income Fund, Equity Premium Income Fund, Hedged Equity Fund, Hedged Equity 2 Fund, Hedged Equity 3 Fund, Large Cap Growth Fund, Large Cap Value Fund,
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 167 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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 0.07%, 0.04%, 0.07%, 0.07%, 0.075%, 0.075%, 0.05%, 0.07%, 0.07%, 0.06%, 0.07%, 0.07%, 0.07%, 0.07% and 0.07%, respectively, of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as 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 Focus Fund | 0.25 | % | 0.75 | % | n/a | n/a | ||||||||||
Equity Income Fund | 0.25 | 0.75 | 0.50 | % | 0.25 | % | ||||||||||
Equity Premium Income Fund | 0.25 | 0.75 | n/a | n/a | ||||||||||||
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 year ended June 30, 2021, JPMDS retained the following:
Front-End Sales Charge | CDSC | |||||||
Equity Focus Fund | $ | 2 | $ | 1 | ||||
Equity Income Fund | 622 | 4 | ||||||
Equity Premium Income Fund | 115 | — | ||||||
Hedged Equity Fund | 263 | 1 | ||||||
Hedged Equity 2 Fund | 46 | — | ||||||
Hedged Equity 3 Fund | 18 | — | ||||||
Large Cap Growth Fund | 887 | 1 | ||||||
Large Cap Value Fund | 29 | — | ||||||
U.S. Applied Data Science Value Fund | 3 | — | ||||||
U.S. Equity Fund | 210 | — | (a) | |||||
U.S. GARP Equity Fund | 7 | — | (a) | |||||
U.S. Large Cap Core Plus Fund | 21 | — | (a) | |||||
U.S. Research Enhanced Equity Fund | 1 | — | ||||||
U.S. Sustainable Leaders Fund | 8 | — | ||||||
U.S. Value Fund | 22 | — | (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
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Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | |||||||||||||||||||||||||
Equity Focus Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | n/a | n/a | n/a | n/a | |||||||||||||||||||||
Equity Income Fund | 0.25 | 0.25 | 0.25 | n/a | 0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % | ||||||||||||||||||||
Equity Premium Income Fund | 0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.10 | ||||||||||||||||||||||||
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.
F. Waivers and Reimbursements - The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds (excluding Equity Income Fund) to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||||||||||||||||||||
Equity Focus Fund | 1.10 | % | 1.60 | % | 0.85 | % | n/a | n/a | n/a | n/a | n/a | 0.60 | % | |||||||||||||||||||||||
Equity Premium Income Fund | 0.85 | 1.35 | 0.60 | n/a | 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 | n/a | 0.45 | 0.35 | |||||||||||||||||||||||||||
Hedged Equity 2 Fund | 0.85 | 1.35 | 0.60 | n/a | 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 | n/a | 0.45 | 0.35 | |||||||||||||||||||||||||||
Large Cap Growth Fund | 0.94 | 1.44 | 0.69 | n/a | 1.19 | % | 0.94 | % | 0.69 | % | 0.54 | 0.44 | ||||||||||||||||||||||||
Large Cap Value Fund | 0.93 | 1.44 | 0.69 | n/a | 1.19 | 0.94 | 0.69 | 0.54 | 0.44 | |||||||||||||||||||||||||||
U.S. Applied Data Science Value Fund | 0.83 | (1) | 1.33 | (1) | 0.59 | (1) | n/a | 1.09 | n/a | n/a | 0.44 | 0.34 | ||||||||||||||||||||||||
U.S. Equity Fund | 0.94 | 1.44 | 0.69 | n/a | (2) | 1.19 | 0.94 | 0.69 | 0.54 | 0.44 | ||||||||||||||||||||||||||
U.S. GARP Equity Fund | 0.84 | 1.34 | 0.59 | n/a | 1.09 | n/a | n/a | 0.44 | 0.34 | |||||||||||||||||||||||||||
U.S. Large Cap Core Plus Fund | 1.10 | 1.60 | 0.85 | n/a | 1.45 | n/a | n/a | 0.80 | 0.70 | |||||||||||||||||||||||||||
U.S. Research Enhanced Equity Fund | 0.60 | n/a | 0.35 | n/a | 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 | n/a | 0.34 | |||||||||||||||||||||||||||
U.S. Value Fund | 0.94 | 1.44 | 0.69 | n/a | 1.19 | 0.94 | 0.69 | 0.54 | 0.44 |
(1) | Effective July 1, 2021, the contractual expense limitations changed to 0.73%, 1.23% and 0.49% for Class A, Class C and Class I Shares, respectively, and the contractual expense limitations for all classes of the Fund were extended until at least June 30, 2023. |
(2) | Effective November 1, 2020, the contractual expense limitation expired. Prior to November 1, 2020, the contractual expense limitation was 0.61%. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2021.
For the year ended June 30, 2021, 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 Focus Fund | $ | 87 | $ | 55 | $ | 3 | $ | 145 | $ | — | ||||||||||
Equity Income Fund | 28 | — | — | 28 | — | |||||||||||||||
Equity Premium Income Fund | 181 | 120 | 9 | 310 | 1 | |||||||||||||||
Hedged Equity Fund | — | — | 3 | 3 | — | |||||||||||||||
Hedged Equity 2 Fund | 105 | 57 | 1 | 163 | 48 | |||||||||||||||
Hedged Equity 3 Fund | 91 | 41 | 1 | 133 | 52 | |||||||||||||||
Large Cap Growth Fund | 13,309 | 8,859 | 437 | 22,605 | 9 | |||||||||||||||
Large Cap Value Fund | 711 | 474 | 177 | 1,362 | 16 | |||||||||||||||
U.S. Applied Data Science Value Fund | 225 | 150 | 15 | 390 | 1 | |||||||||||||||
U.S. Equity Fund | 3,640 | 2,421 | 157 | 6,218 | 89 | |||||||||||||||
U.S. GARP Equity Fund | 440 | 294 | 43 | 777 | — | |||||||||||||||
U.S. Large Cap Core Plus Fund | 665 | 443 | 2,400 | 3,508 | 4 | |||||||||||||||
U.S. Research Enhanced Equity Fund | 2,516 | 1,676 | 1,266 | 5,458 | — | (a) | ||||||||||||||
U.S. Sustainable Leaders Fund | 212 | 56 | 133 | 401 | 4 | |||||||||||||||
U.S. Value Fund | 420 | 280 | 159 | 859 | 2 |
(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 year ended June 30, 2021 were as follows:
Equity Focus Fund | $ | 4 | ||
Equity Income Fund | 1,032 | |||
Equity Premium Income Fund | 10 | |||
Hedged Equity Fund | 362 | |||
Hedged Equity 2 Fund | 3 | |||
Hedged Equity 3 Fund | 1 | |||
Large Cap Growth Fund | 1,376 | |||
Large Cap Value Fund | 44 | |||
U.S. Applied Data Science Value Fund | 6 | |||
U.S. Equity Fund | 234 | |||
U.S. GARP Equity Fund | 31 | |||
U.S. Large Cap Core Plus Fund | 32 | |||
U.S. Research Enhanced Equity Fund | 65 | |||
U.S. Sustainable Leaders Fund | 3 | |||
U.S. Value Fund | 32 |
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 year ended June 30, 2021, Large Cap Growth Fund and U.S. Large Cap Core Plus Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
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The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2021, 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) | Securities Sold Short | Covers on Securities Sold Short | |||||||||||||
Equity Focus Fund | $ | 66,707 | $ | 60,241 | $ | — | $ | — | ||||||||
Equity Income Fund | 10,618,660 | 5,698,557 | — | — | ||||||||||||
Equity Premium Income Fund | 1,451,478 | 806,058 | — | — | ||||||||||||
Hedged Equity Fund | 10,328,405 | 5,566,162 | — | — | ||||||||||||
Hedged Equity 2 Fund | 1,347,967 | 37,676 | — | — | ||||||||||||
Hedged Equity 3 Fund | 555,540 | 16,766 | — | — | ||||||||||||
Large Cap Growth Fund | 21,085,125 | 17,536,359 | — | — | ||||||||||||
Large Cap Value Fund | 4,134,889 | 1,861,283 | — | — | ||||||||||||
U.S. Applied Data Science Value Fund | 178,122 | 251,858 | — | — | ||||||||||||
U.S. Equity Fund | 10,580,066 | 11,876,673 | — | — | ||||||||||||
U.S. GARP Equity Fund | 784,347 | 1,009,139 | — | — | ||||||||||||
U.S. Large Cap Core Plus Fund | 2,084,301 | 3,566,133 | 900,847 | 1,424,813 | ||||||||||||
U.S. Research Enhanced Equity Fund | 1,700,221 | 2,701,974 | — | — | ||||||||||||
U.S. Sustainable Leaders Fund | 79,521 | 31,353 | — | — | ||||||||||||
U.S. Value Fund | 851,132 | 158,918 | — | — |
During the year ended June 30, 2021, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Focus Fund | $ | 86,383 | $ | 46,511 | $ | 805 | $ | 45,706 | ||||||||
Equity Income Fund | 31,798,573 | 14,619,610 | 62,447 | 14,557,163 | ||||||||||||
Equity Premium Income Fund | 860,594 | 69,928 | 3,054 | 66,874 | ||||||||||||
Hedged Equity Fund | 12,739,132 | 5,530,022 | 15,819 | 5,514,203 | ||||||||||||
Hedged Equity 2 Fund | 1,384,217 | 76,205 | 24,303 | 51,902 | ||||||||||||
Hedged Equity 3 Fund | 552,612 | 31,579 | 6,940 | 24,639 | ||||||||||||
Large Cap Growth Fund | 23,431,804 | 14,521,976 | 128,749 | 14,393,227 | ||||||||||||
Large Cap Value Fund | 3,848,135 | 537,337 | 22,143 | 515,194 | ||||||||||||
U.S. Applied Data Science Value Fund | 208,145 | 69,600 | 583 | 69,017 | ||||||||||||
U.S. Equity Fund | 11,649,282 | 8,294,130 | 35,921 | 8,258,209 | ||||||||||||
U.S. GARP Equity Fund | 749,270 | 565,544 | 4,603 | 560,941 | ||||||||||||
U.S. Large Cap Core Plus Fund | 1,155,422 | 1,569,941 | 74,667 | 1,495,274 | ||||||||||||
U.S. Research Enhanced Equity Fund | 2,625,984 | 2,444,918 | 2,468 | 2,442,450 | ||||||||||||
U.S. Sustainable Leaders Fund | 89,169 | 26,447 | 45 | 26,402 | ||||||||||||
U.S. Value Fund | 1,191,076 | 517,510 | 2,752 | 514,758 |
* | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals, mark to market of options contracts and non-taxable dividends.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
The tax character of distributions paid during the year ended June 30, 2021 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Focus Fund | $ | 3,392 | $ | 8,409 | $ | 11,801 | ||||||
Equity Income Fund | 662,251 | 1,579 | 663,830 | |||||||||
Equity Premium Income Fund | 34,916 | — | 34,916 | |||||||||
Hedged Equity Fund | 139,976 | — | 139,976 | |||||||||
Hedged Equity 2 Fund | 1,117 | — | 1,117 | |||||||||
Hedged Equity 3 Fund | 437 | — | 437 | |||||||||
Large Cap Growth Fund | 178,186 | 1,429,918 | 1,608,104 | |||||||||
Large Cap Value Fund | 18,876 | — | 18,876 | |||||||||
U.S. Applied Data Science Value Fund | 6,606 | 2,039 | 8,645 | |||||||||
U.S. Equity Fund | 297,885 | 870,370 | 1,168,255 | |||||||||
U.S. GARP Equity Fund | 27,898 | 89,898 | 117,796 | |||||||||
U.S. Large Cap Core Plus Fund | 96,118 | 663,685 | 759,803 | |||||||||
U.S. Research Enhanced Equity Fund | 67,147 | 125,234 | 192,381 | |||||||||
U.S. Sustainable Leaders Fund | 544 | 679 | 1,223 | |||||||||
U.S. Value Fund | 14,336 | 11,801 | 26,137 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended June 30, 2020 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Focus Fund | $ | 1,840 | $ | 14,655 | $ | 16,495 | ||||||
Equity Income Fund | 604,025 | 309,226 | 913,251 | |||||||||
Equity Premium Income Fund | 13,523 | — | 13,523 | |||||||||
Hedged Equity Fund | 76,075 | — | 76,075 | |||||||||
Large Cap Growth Fund | 25,755 | 2,006,004 | 2,031,759 | |||||||||
Large Cap Value Fund | 23,336 | — | 23,336 | |||||||||
U.S. Applied Data Science Value Fund | 13,455 | 63,224 | 76,679 | |||||||||
U.S. Equity Fund | 156,829 | 1,311,869 | 1,468,698 | |||||||||
U.S. GARP Equity Fund | 10,945 | 125,600 | 136,545 | |||||||||
U.S. Large Cap Core Plus Fund | 20,011 | 1,154,945 | 1,174,956 | |||||||||
U.S. Research Enhanced Equity Fund | 70,897 | 483,702 | 554,599 | |||||||||
U.S. Sustainable Leaders Fund | 692 | 1,817 | 2,509 | |||||||||
U.S. Value Fund | 12,810 | 13,478 | 26,288 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of June 30, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Equity Focus Fund | $ | 2,820 | $ | 10,037 | $ | 45,706 | ||||||
Equity Income Fund | — | 109,367 | 14,557,163 | |||||||||
Equity Premium Income Fund | 258 | (33,857 | ) | 66,874 | ||||||||
Hedged Equity Fund | 7,432 | (530,655 | ) | 5,514,203 | ||||||||
Hedged Equity 2 Fund | 545 | (19,927 | ) | 51,902 | ||||||||
Hedged Equity 3 Fund | 211 | (11,805 | ) | 24,639 | ||||||||
Large Cap Growth Fund | 170,774 | 4,629,307 | 14,393,227 | |||||||||
Large Cap Value Fund | 79,543 | 85,941 | 515,194 |
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Current Distributable Ordinary Income | Current Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
U.S. Applied Data Science Value Fund | $ | 15,387 | $ | 9,571 | $ | 69,017 | ||||||
U.S. Equity Fund | 564,794 | 792,879 | 8,258,209 | |||||||||
U.S. GARP Equity Fund | 65,654 | 86,091 | 560,941 | |||||||||
U.S. Large Cap Core Plus Fund | 26,321 | 428,338 | 1,495,274 | |||||||||
U.S. Research Enhanced Equity Fund | 120,335 | 375,010 | 2,442,450 | |||||||||
U.S. Sustainable Leaders Fund | 1,964 | 2,519 | 26,402 | |||||||||
U.S. Value Fund | 12,957 | 22,557 | 514,758 |
The cumulative timing differences primarily consist of mark to market of options contracts, post-October capital loss deferrals, non-taxable dividends and wash sale loss deferrals.
At June 30, 2021, 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 Premium Income Fund | $ | 33,857 | * | $ | — | |||
Hedged Equity Fund | 239,515 | 291,140 | ||||||
Hedged Equity 2 Fund | 7,867 | * | 12,060 | * | ||||
Hedged Equity 3 Fund | 4,547 | 7,258 |
* | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
Late year ordinary losses incurred after December 31 as well as net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended June 30, 2021, the following Funds deferred to July 1, 2021 the following net capital losses of:
Net Capital Losses (Gains) | Late Year Ordinary | |||||||||||
Short-Term | Long-Term | |||||||||||
Hedged Equity Fund | $ | 582,316 | $ | 1,228,621 | $ | — | ||||||
Large Cap Growth Fund | — | — | 22,352 | |||||||||
U.S. Large Cap Core Plus Fund | — | — | 2,396 |
During the year ended June 30, 2021, the following Fund utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
Large Cap Value Fund | 24,093 | — |
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund during the year ended June 30, 2021.
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2021.
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately. Hedged Equity 2 Fund and Hedged Equity 3 Fund were not part of the Credit Facility as of June 30, 2021. Both Funds were added to the Credit Facility effective August 10, 2021.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25% (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended June 30, 2021.
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 June 30, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
Number of Affiliated Omnibus Accounts | % of the Fund | Number of Non-Affiliated Omnibus Accounts | % of the Fund | |||||||||||||
Equity Focus Fund | 1 | 64.6 | % | 1 | 20.2 | % | ||||||||||
Equity Income Fund | 1 | 10.8 | 2 | 29.1 | ||||||||||||
Equity Premium Income Fund | 1 | 37.2 | 1 | 10.8 | ||||||||||||
Hedged Equity Fund | — | — | 2 | 36.2 | ||||||||||||
Hedged Equity 2 Fund | 1 | 21.8 | 3 | 42.1 | ||||||||||||
Hedged Equity 3 Fund | — | — | 4 | 67.5 | ||||||||||||
Large Cap Growth Fund | — | — | 2 | 28.8 | ||||||||||||
U.S. Applied Data Science Value Fund | — | — | 2 | 23.6 | ||||||||||||
U.S. Equity Fund | — | — | 1 | 13.4 | ||||||||||||
U.S. GARP Equity Fund | 2 | 31.9 | — | — | ||||||||||||
U.S. Large Cap Core Plus Fund | 1 | 27.3 | 1 | 15.0 | ||||||||||||
U.S. Research Enhanced Equity Fund | — | — | 1 | 16.5 | ||||||||||||
U.S. Sustainable Leaders Fund | — | — | 3 | 51.6 | ||||||||||||
U.S. Value Fund | — | — | 2 | 44.2 |
As of June 30, 2021, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds 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 | |||||||
Large Cap Value Fund | 21.2 | % | 26.6 | % | ||||
U.S. Equity Fund | n/a | 20.7 | ||||||
U.S. GARP Equity Fund | 50.4 | n/a | ||||||
U.S. Research Enhanced Equity Fund | 19.3 | 30.3 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
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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.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or 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 prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to 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. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
8. Redemptions in-kind
On October 18, 2019, certain shareholders sold Class R6 Shares of U.S. Research Enhanced Equity Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
Value | Realized Gains (Losses) | Type | ||||||||||
U.S. Research Enhanced Equity Fund | $ | 1,336,709 | * | $ | 545,813 | Redemption in-kind |
* | This amount includes cash of $17,300 associated with the redemption in-kind. |
On December 3, 2020, certain shareholders sold Class R6 Shares of U.S. Value Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
Value | Realized Gains (Losses) | Type | ||||||||||
U.S. Value Fund | $ | 126,007 | * | $ | (126 | ) | Redemption in-kind |
* | This amount includes cash of $4,653 associated with the redemption in-kind. |
On January 8, 2021, certain shareholders sold Class I Shares of U.S. Large Cap Core Plus Fund. The portfolio securities were delivered primarily by means of a redemption in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
Value | Realized Gains (Losses) | Type | ||||||||||
U.S. Large Cap Core Plus Fund | $ | 487,288 | * | $ | 198,139 | Redemption in-kind |
* | This amount includes cash of $6,300 associated with the redemption in-kind. |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
9. Subscriptions in-kind
On July 29, 2019, certain shareholders purchased Class R6 Shares of U.S. Equity Fund. The portfolio securities were received primarily by means of a subscription in-kind in exchange for shares of the Fund. Portfolio securities were transferred as detailed below:
Value | Type | |||||||
U.S. Equity Fund | $ | 45,414 | Subscription in-kind |
On February 26, 2020, certain shareholders purchased Class R6 Shares of Equity Income Fund. The portfolio securities were received primarily by means of a subscription in-kind in exchange for shares of the Fund. Cash and portfolio securities were transferred as detailed below:
Value | Type | |||||||
Equity Income Fund | $ | 48,418 | * | Subscription in-kind |
* | This amount includes cash of $230 associated with the subscription in-kind. |
10. Subsequent Event
On August 11, 2021, the Board of Trustees of JPM II approved, effective as of the close of business on September 30, 2021, offering the Equity Income Fund to the public 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.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust I, JPMorgan Trust II and JPMorgan Trust IV and Shareholders of JPMorgan Equity Focus Fund, JPMorgan Equity Income 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 and JPMorgan U.S. Value Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Equity Focus Fund, JPMorgan Hedged Equity Fund, JPMorgan U.S. Applied Data Science Value Fund (formerly known as JPMorgan Intrepid Value Fund), JPMorgan U.S. Equity Fund, JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund), JPMorgan U.S. Large Cap Core Plus Fund, JPMorgan U.S. Research Enhanced Equity Fund, JPMorgan U.S. Sustainable Leaders Fund (formerly known as JPMorgan Intrepid Sustainable Equity Fund) and JPMorgan U.S. Value Fund (formerly known as JPMorgan Growth and Income Fund) (nine of the funds constituting JPMorgan Trust I), JPMorgan Equity Income Fund, JPMorgan Large Cap Growth Fund and JPMorgan Large Cap Value Fund (three of the funds constituting JPMorgan Trust II) and JPMorgan Equity Premium Income Fund, JPMorgan Hedged Equity 2 Fund and JPMorgan Hedged Equity 3 Fund (three of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the “Funds”) as of June 30, 2021, the related statements of operations, the statement of cash flows for JPMorgan U.S. Large Cap Core Plus Fund and statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of each of their operations, its cash flows for JPMorgan U.S. Large Cap Core Plus Fund and the changes in each of their net assets for each of the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
JPMorgan Equity Focus Fund (2)
JPMorgan Equity Income Fund (2)
JPMorgan Equity Premium Income Fund (2)
JPMorgan Hedged Equity Fund (2)
JPMorgan Hedged Equity 2 Fund (1)
JPMorgan Hedged Equity 3 Fund (1)
JPMorgan Large Cap Growth Fund (2)
JPMorgan Large Cap Value Fund (2)
JPMorgan U.S. Applied Data Science Value Fund (2)
JPMorgan U.S. Equity Fund (2)
JPMorgan U.S. GARP Equity Fund (2)
JPMorgan U.S. Large Cap Core Plus Fund (3)
JPMorgan U.S. Research Enhanced Equity Fund (2)
JPMorgan U.S. Sustainable Leaders Fund (2)
JPMorgan U.S. Value Fund (2)
(1) | Statement of operations and statement of changes in net assets for the period February 26, 2021 (commencement of operations) through June 30, 2021 |
(2) | Statement of operations for the year ended June 30, 2021 and statement of changes in net assets for the years ended June 30, 2021 and 2020 |
(3) | Statement of operations and statement of cash flows for the year ended June 30, 2021 and statement of changes in net assets for the years ended June 30, 2021 and 2020 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
(continued)
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 24, 2021
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Chair since 2020; Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 127 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). | |||
Stephen P. Fisher (1959); Trustee of Trusts since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 127 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 127 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
Dennis P. Harrington* (1950); Trustee of Trusts since 2017. (3) | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | 127 | None | |||
Frankie D. Hughes (1952); Trustee of Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 127 | None |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trusts since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 127 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Mary E. Martinez (1960); Vice Chair since 2021; Trustee of Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 127 | None | |||
Marilyn McCoy (1948); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 127 | None | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 127 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
Marian U. Pardo*** (1946); Trustee of Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 127 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
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(1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Boards of Trustees serve currently includes ten registered investment companies (127 funds). |
(3) | Mr. Harrington retired from the Board of Trustees effective July 31, 2021. |
* | Two family members of Mr. Harrington are employed as a partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Boards that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Boards have concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trusts (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
Shannon Gaines (1977), Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
*** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
JPMorgan Equity Focus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,156.10 | $ | 5.88 | 1.10 | % | ||||||||
Hypothetical* | 1,000.00 | 1,019.34 | 5.51 | 1.10 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,153.00 | 8.54 | 1.60 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.86 | 8.00 | 1.60 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,157.50 | 4.55 | 0.85 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,158.80 | 3.21 | 0.60 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
JPMorgan Equity Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,161.10 | 5.14 | 0.96 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.03 | 4.81 | 0.96 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,158.80 | 7.76 | 1.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.60 | 7.25 | 1.45 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,162.60 | 3.75 | 0.70 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.32 | 3.51 | 0.70 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,159.30 | 6.48 | 1.21 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.79 | 6.06 | 1.21 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
JPMorgan Equity Income Fund (continued) | ||||||||||||||||
Class R3 | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,161.30 | $ | 5.09 | 0.95 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.08 | 4.76 | 0.95 | ||||||||||||
Class R4 | ||||||||||||||||
Actual* | 1,000.00 | 1,162.70 | 3.75 | 0.70 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.32 | 3.51 | 0.70 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,163.30 | 2.95 | 0.55 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,164.00 | 2.41 | 0.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
JPMorgan Equity Premium Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,114.10 | 4.40 | 0.84 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.63 | 4.21 | 0.84 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,111.40 | 7.02 | 1.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.15 | 6.71 | 1.34 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,115.40 | 3.15 | 0.60 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,117.00 | 2.36 | 0.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,116.80 | 1.84 | 0.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
JPMorgan Hedged Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,088.40 | 4.30 | 0.83 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.68 | 4.16 | 0.83 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,085.20 | 6.88 | 1.33 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 6.66 | 1.33 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,089.70 | 3.01 | 0.58 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.92 | 2.91 | 0.58 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,090.30 | 2.23 | 0.43 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.66 | 2.16 | 0.43 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,090.80 | 1.71 | 0.33 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.16 | 1.66 | 0.33 | ||||||||||||
JPMorgan Hedged Equity 2 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual** | 1,000.00 | 1,065.40 | 2.93 | 0.85 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual** | 1,000.00 | 1,063.60 | 4.66 | 1.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.10 | 6.76 | 1.35 |
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Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
JPMorgan Hedged Equity 2 Fund (continued) | ||||||||||||||||
Class I | ||||||||||||||||
Actual** | $ | 1,000.00 | $ | 1,066.30 | $ | 2.07 | 0.60 | % | ||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Class R5 | ||||||||||||||||
Actual** | 1,000.00 | 1,066.60 | 1.55 | 0.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,067.50 | 1.21 | 0.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
JPMorgan Hedged Equity 3 Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual** | 1,000.00 | 1,065.00 | 2.93 | 0.85 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.58 | 4.26 | 0.85 | ||||||||||||
Class C | ||||||||||||||||
Actual** | 1,000.00 | 1,063.70 | 4.66 | 1.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.10 | 6.76 | 1.35 | ||||||||||||
Class I | ||||||||||||||||
Actual** | 1,000.00 | 1,066.40 | 2.07 | 0.60 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Class R5 | ||||||||||||||||
Actual** | 1,000.00 | 1,066.40 | 1.55 | 0.45 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class R6 | ||||||||||||||||
Actual** | 1,000.00 | 1,066.80 | 1.21 | 0.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
JPMorgan Large Cap Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,089.00 | 4.87 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,086.50 | 7.45 | 1.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,090.60 | 3.58 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,087.70 | 6.16 | 1.19 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual* | 1,000.00 | 1,089.10 | 4.87 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual* | 1,000.00 | 1,090.40 | 3.58 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,091.20 | 2.80 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,091.80 | 2.28 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.61 | 2.21 | 0.44 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
JPMorgan Large Cap Value Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,211.70 | $ | 5.10 | 0.93 | % | ||||||||
Hypothetical* | 1,000.00 | 1,020.18 | 4.66 | 0.93 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,209.00 | 7.89 | 1.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,213.80 | 3.79 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,210.50 | 6.52 | 1.19 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual* | 1,000.00 | 1,212.10 | 5.16 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual* | 1,000.00 | 1,213.00 | 3.79 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,214.40 | 2.96 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,215.30 | 2.42 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
JPMorgan U.S. Applied Data Science Value Fund |
| |||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,209.90 | 4.55 | 0.83 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.68 | 4.16 | 0.83 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,206.80 | 7.28 | 1.33 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.20 | 6.66 | 1.33 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,211.30 | 3.23 | 0.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,208.30 | 5.97 | 1.09 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.39 | 5.46 | 1.09 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,212.20 | 2.41 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,212.80 | 1.87 | 0.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
JPMorgan U.S. Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,135.70 | 4.98 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,132.90 | 7.62 | 1.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,137.10 | 3.66 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 |
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Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
JPMorgan U.S. Equity Fund (continued) | ||||||||||||||||
Class L | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,138.10 | $ | 2.86 | 0.54 | % | ||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,134.30 | 6.30 | 1.19 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual* | 1,000.00 | 1,135.70 | 4.98 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual* | 1,000.00 | 1,136.90 | 3.66 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,138.10 | 2.86 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,138.30 | 2.33 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
JPMorgan U.S. GARP Equity Fund |
| |||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,156.50 | 4.49 | 0.84 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.63 | 4.21 | 0.84 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,153.70 | 7.16 | 1.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.15 | 6.71 | 1.34 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,157.90 | 3.16 | 0.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.87 | 2.96 | 0.59 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,155.00 | 5.82 | 1.09 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.39 | 5.46 | 1.09 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,158.70 | 2.36 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.61 | 2.21 | 0.44 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,159.30 | 1.82 | 0.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
JPMorgan U.S. Large Cap Core Plus Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,145.10 | 10.06 | 1.89 | ||||||||||||
Hypothetical* | 1,000.00 | 1,015.41 | 9.46 | 1.89 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,142.20 | 12.71 | 2.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,012.93 | 11.94 | 2.39 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,146.60 | 8.69 | 1.63 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.70 | 8.16 | 1.63 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,143.40 | 11.92 | 2.24 | ||||||||||||
Hypothetical* | 1,000.00 | 1,013.68 | 11.19 | 2.24 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,147.00 | 8.48 | 1.59 | ||||||||||||
Hypothetical* | 1,000.00 | 1,016.90 | 7.96 | 1.59 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,147.60 | 7.95 | 1.49 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.39 | 7.46 | 1.49 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
Beginning Account Value | Ending Account Value June 30, 2021 | Expenses Paid During the Period | Annualized Expense Ratio | |||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual* | $ | 1,000.00 | $ | 1,162.40 | $ | 3.22 | 0.60 | % | ||||||||
Hypothetical* | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,164.20 | 1.88 | 0.35 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,164.70 | 1.34 | 0.25 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.55 | 1.25 | 0.25 | ||||||||||||
JPMorgan U.S. Sustainable Leaders Fund |
| |||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,166.70 | 3.44 | 0.64 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.62 | 3.21 | 0.64 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,163.70 | 6.12 | 1.14 | ||||||||||||
Hypothetical* | 1,000.00 | 1,019.14 | 5.71 | 1.14 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,168.30 | 2.10 | 0.39 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.86 | 1.96 | 0.39 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,168.30 | 1.83 | 0.34 | ||||||||||||
Hypothetical* | 1,000.00 | 1,023.11 | 1.71 | 0.34 | ||||||||||||
JPMorgan U.S. Value Fund |
| |||||||||||||||
Class A | ||||||||||||||||
Actual* | 1,000.00 | 1,187.50 | 5.10 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class C | ||||||||||||||||
Actual* | 1,000.00 | 1,184.50 | 7.80 | 1.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,017.65 | 7.20 | 1.44 | ||||||||||||
Class I | ||||||||||||||||
Actual* | 1,000.00 | 1,188.80 | 3.74 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R2 | ||||||||||||||||
Actual* | 1,000.00 | 1,186.00 | 6.45 | 1.19 | ||||||||||||
Hypothetical* | 1,000.00 | 1,018.89 | 5.96 | 1.19 | ||||||||||||
Class R3 | ||||||||||||||||
Actual* | 1,000.00 | 1,187.60 | 5.10 | 0.94 | ||||||||||||
Hypothetical* | 1,000.00 | 1,020.13 | 4.71 | 0.94 | ||||||||||||
Class R4 | ||||||||||||||||
Actual* | 1,000.00 | 1,188.90 | 3.74 | 0.69 | ||||||||||||
Hypothetical* | 1,000.00 | 1,021.37 | 3.46 | 0.69 | ||||||||||||
Class R5 | ||||||||||||||||
Actual* | 1,000.00 | 1,189.90 | 2.93 | 0.54 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.12 | 2.71 | 0.54 | ||||||||||||
Class R6 | ||||||||||||||||
Actual* | 1,000.00 | 1,190.40 | 2.39 | 0.44 | ||||||||||||
Hypothetical* | 1,000.00 | 1,022.61 | 2.21 | 0.44 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
** | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 122/365 (to reflect the actual period). Commencement of operations was February 26, 2021. |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
JPMorgan Hedged Equity 2 Fund and JPMorgan Hedged Equity 3 Fund
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering approvals of initial advisory agreements for new funds. At their November 2020 meeting, the Trustees, including a majority of the Trustees who are not parties to the initial advisory agreements or “interested persons” (as defined in the 1940 Act) of any party to the initial advisory agreements or any of their affiliates (“Independent Trustees”), approved the initial advisory agreements (each a “New Advisory Agreement” and collectively, the “New Advisory Agreements”) for the Funds. In accordance with SEC guidance, due to the COVID-19 pandemic, the meeting was conducted through video conference.
In connection with the approval of the New Advisory Agreements, the Trustees reviewed written materials prepared by the Adviser and received oral presentations from Adviser personnel. Before voting on the proposed New Advisory Agreements, the Trustees reviewed the New Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed New Advisory Agreements. The Trustees also discussed the proposed New Advisory Agreements in an executive session with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each New Advisory Agreement is provided below.
The Trustees considered information provided with respect to the Funds, including additional reporting and information provided in connection with the market volatility caused by the COVID-19 pandemic, and the approval of the New Advisory Agreements. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. After considering and weighing the factors and information they had received, the Trustees found that the proposed compensation to be received by the Adviser from each Fund under the applicable New Advisory Agreement was fair and reasonable under the circumstances and determined that the initial approval of each New Advisory Agreement was in the best interests of each Fund and its potential shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
In connection with the approval of the New Advisory Agreements, the Trustees considered the materials furnished specifically in connection with the approval of each New Advisory Agreement, as well as other relevant information furnished throughout the year for the J.P. Morgan Funds complex, and the Trustees’ experience with the Adviser and its services. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention to be given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund. The Trustees also considered the investment strategy and investment process for each Fund, and the infrastructure supporting the portfolio management team, including personnel changes, if any. In addition, the Board considered its discussions with the Adviser regarding the Adviser’s business continuity plan and steps the Adviser was taking to provide ongoing services to the Funds during the COVID-19 pandemic, and the Adviser’s ability to continuing to provide services to each Fund and its shareholders throughout this period. In addition, the Trustees considered information about the structure and distribution strategy of each Fund, how it fits within the J.P. Morgan Funds lineup, and how it will be positioned against identified peers.
The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the J.P. Morgan Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the J.P. Morgan Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to the J.P. Morgan Funds.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services to be provided to the Funds by the Adviser.
The Trustees also considered that JPMorgan Distribution Services, Inc. (“JPMDS”), an affiliate of the Adviser, and the Adviser, in its role as administrator, will earn fees from the Funds for providing shareholder and administration services, respectively. 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
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 189 |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(continued)
considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including 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 considered the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints, but noted that each Fund has implemented contractual expense limitations and fee waivers (“Fee Caps”) which allow the relevant Fund’s shareholders to share potential economies of scale from its inception, prior to reaching scale, and that the proposed fees are satisfactory 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 each Fund, 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 Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at a competitive level, was reasonable. The Trustees concluded that the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve each Fund and its shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts, collective investment trusts, ETFs and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences, as applicable, in the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees considered each Fund’s investment strategy and process, portfolio management team and competitive positioning against identified peer funds, and concluded that the prospects for competitive future performance were acceptable.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate that will be paid by teach Fund to the Adviser and compared the combined rate to the information prepared by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”) concerning management fee rates paid by other funds in the same Broadridge category as each Fund. 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 projected expenses and the expense ratios for each Fund. The Trustees considered the projected Fee Caps proposed for each Fund, and the net advisory fee rate and net expense ratio for each share class, as applicable, after taking into account any projected waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees noted that the Funds’ estimated net advisory fees and total expenses, which were considered on a class-by-class basis, were in line with identified peer funds. After considering all of the factors identified above, in light of the information, the Trustees concluded that the advisory fees were satisfactory.
190 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation,
including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board of Trustees reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule); (4) whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (6) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (7) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of each Fund’s investments; and (2) perform additional stress testing. The Report noted that each Fund was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
JUNE 30, 2021 | J.P. MORGAN LARGE CAP FUNDS | 191 |
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(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, 2021. 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, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2021:
Dividends Received Deduction | ||||
JPMorgan Equity Focus Fund | 33.04 | % | ||
JPMorgan Equity Income Fund | 100.00 | |||
JPMorgan Equity Premium Income Fund | 12.80 | |||
JPMorgan Hedged Equity Fund | 100.00 | |||
JPMorgan Hedged Equity 2 Fund | 100.00 | |||
JPMorgan Hedged Equity 3 Fund | 100.00 | |||
JPMorgan Large Cap Growth Fund | 76.91 | |||
JPMorgan Large Cap Value Fund | 100.00 | |||
JPMorgan U.S. Applied Data Science Value Fund | 76.91 | |||
JPMorgan U.S. Equity Fund | 77.08 | |||
JPMorgan U.S. GARP Equity Fund | 32.91 | |||
JPMorgan U.S. Large Cap Core Plus Fund | 39.28 | |||
JPMorgan U.S. Research Enhanced Equity Fund | 96.49 | |||
JPMorgan U.S. Sustainable Leaders Fund | 100.00 | |||
JPMorgan U.S. Value Fund | 100.00 |
Long-Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2021:
Long-Term Capital Gain Distribution | ||||
JPMorgan Equity Focus Fund | $ | 8,423 | ||
JPMorgan Equity Income Fund | 1,579 | |||
JPMorgan Large Cap Growth Fund | 1,908,836 | |||
JPMorgan U.S. Applied Data Science Value Fund | 3,057 | |||
JPMorgan U.S. Equity Fund | 985,965 | |||
JPMorgan U.S. GARP Equity Fund | 90,539 | |||
JPMorgan U.S. Large Cap Core Plus Fund | 776,825 | |||
JPMorgan U.S. Research Enhanced Equity Fund | 125,234 | |||
JPMorgan U.S. Sustainable Leaders Fund | 679 | |||
JPMorgan U.S. Value Fund | 11,801 |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2021:
Qualified Dividend Income | ||||
JPMorgan Equity Focus Fund | $ | 1,102 | ||
JPMorgan Equity Income Fund | 662,251 | |||
JPMorgan Equity Premium Income Fund | 4,607 | |||
JPMorgan Hedged Equity Fund | 139,976 | |||
JPMorgan Hedged Equity 2 Fund | 1,117 | |||
JPMorgan Hedged Equity 3 Fund | 437 | |||
JPMorgan Large Cap Growth Fund | 138,307 | |||
JPMorgan Large Cap Value Fund | 18,876 | |||
JPMorgan U.S. Applied Data Science Value Fund | 5,192 | |||
JPMorgan U.S. Equity Fund | 234,262 | |||
JPMorgan U.S. GARP Equity Fund | 9,509 | |||
JPMorgan U.S. Large Cap Core Plus Fund | 41,364 | |||
JPMorgan U.S. Research Enhanced Equity Fund | 67,146 | |||
JPMorgan U.S. Sustainable Leaders Fund | 544 | |||
JPMorgan U.S. Value Fund | 14,336 |
192 | J.P. MORGAN LARGE CAP FUNDS | JUNE 30, 2021 |
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Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC 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.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | AN-LCE-621 |
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Annual Report
J.P. Morgan Equity Funds
June 30, 2021
JPMorgan Equity Index Fund
JPMorgan Market Expansion Enhanced Index Fund
Table of Contents
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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August 4, 2021 (Unaudited)
Dear Shareholders,
The rally in equity markets that began in the second half of last year accelerated in 2021 on the back of mass vaccinations against COVID-19, federal relief and recovery efforts and a surge in both corporate profits and consumer spending. As a result, we find ourselves in a different environment than we inhabited a year ago.
“Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a particularly remarkable performance over the twelve months ended June 30, 2021. The S&P 500 posted a total return of 40.79%; the Russell 1000 returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell Small Cap Index returned 62.03%. The lesson for investors, we believe, is clear: Those who were consistently and fully invested in the second half of 2020 through the first half of 2021 stood to benefit greatly from the superlative performance in global equity markets.
The rollout of mass vaccinations and the partial reopening of economies at all scales have fueled job growth, consumer spending and rising corporate profits. However, the pandemic
remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve. While the central bank has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 1 |
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J.P. Morgan Index Funds
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
Overall, U.S. and emerging markets equity led a remarkable global rally in stocks on the back of massive central bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Leading U.S. equity indexes rose in July and August 2020, punctuated by five consecutive record high closings for the S&P 500 Index in late August — a stretch not seen since 2017. While the spread of COVID-19 accelerated in the U.S., multiple candidate vaccines were being developed around the world and the number of hospitalizations at the end of the summer was relatively small compared with what was to come at the end of the year.
Equity prices across the globe largely declined over September and October 2020. Re-closings across Asia and Europe in response to the pandemic dented investor optimism. The inability of the U.S. Congress to adopt further spending for pandemic relief put acute pressure on the S&P 500 Index in the final week of October.
U.S. equity prices began to rebound in November and by mid-month the S&P 500 Index reached a closing high and crossed 3,600 points for the first time amid the U.S. Food and Drug Administration’s approval of the first COVID-19 vaccines. November and December saw broad gains in global equity, partly driven by continued investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on select equity markets in June.
Within U.S. equity markets, the S&P 500 Index returned 40.79%; the Russell 1000 Index returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell 2000 Index returned 62.03% for the twelve months ended June 30, 2021.
2 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
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TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 40.54% | |||
S&P 500 Index** | 40.79% | |||
Net Assets as of 6/30/2021 (In Thousands) | $ | 6,644,441 |
INVESTMENT OBJECTIVE***
The JPMorgan Equity Index Fund (the “Fund”) seeks investment results that correspond to the aggregate price and dividend performance of securities in the Standard & Poor’s 500 Composite Stock Price Index (the “Benchmark”).
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
For the twelve months ended June 30, 2021, 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 markets provided positive returns for the period amid unprecedented monetary and fiscal support, the rollout of mass vaccinations and record high corporate earnings. During the period, the information technology and financials sectors were leading contributors to performance for the Fund and the Benchmark, while the utilities and real estate sectors made the smallest contributors to performance and no sectors detracted from performance.
HOW WAS THE FUND POSITIONED?
Regardless of the market outlook, the Fund was managed in strict conformity with a full index replication strategy and aimed to hold the same stocks in nearly the same proportions as those found in the Benchmark.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Apple, Inc. | 5.9 | % | |||||
2. | Microsoft Corp. | 5.6 | ||||||
3. | Amazon.com, Inc. | 4.0 | ||||||
4. | Facebook, Inc., Class A | 2.3 | ||||||
5. | Alphabet, Inc., Class A | 2.0 | ||||||
6. | Alphabet, Inc., Class C | 2.0 | ||||||
7. | Berkshire Hathaway, Inc., Class B | 1.4 | ||||||
8. | Tesla, Inc. | 1.4 | ||||||
9. | NVIDIA Corp. | 1.4 | ||||||
10. | JPMorgan Chase & Co. | 1.3 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Information Technology | 27.2 | % | ||
Health Care | 12.9 | |||
Consumer Discretionary | 12.2 | |||
Financials | 11.2 | |||
Communication Services | 11.0 | |||
Industrials | 8.5 | |||
Consumer Staples | 5.8 | |||
Energy | 2.8 | |||
Materials | 2.6 | |||
Real Estate | 2.5 | |||
Utilities | 2.4 | |||
Short-Term Investments | 0.9 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
** | “S&P 500 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated with the Fund. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 3 |
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JPMorgan Equity Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | February 18, 1992 | |||||||||||||
With Sales Charge* | 32.84 | % | 15.87 | % | 13.71 | % | ||||||||
Without Sales Charge | 40.19 | 17.13 | 14.33 | |||||||||||
CLASS C SHARES | November 4, 1997 | |||||||||||||
With CDSC** | 38.35 | 16.41 | 13.68 | |||||||||||
Without CDSC | 39.35 | 16.41 | 13.68 | |||||||||||
CLASS I SHARES | July 2, 1991 | 40.54 | 17.42 | 14.61 | ||||||||||
CLASS R6 SHARES | September 1, 2016 | 40.77 | 17.60 | 14.70 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Equity Index Fund and the S&P 500 Index from June 30, 2011 to June 30, 2021. 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 reflects Class A 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.
4 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
REPORTING PERIOD RETURN: | ||||
Fund (Class I Shares)* | 58.74% | |||
S&P 1000 Index** | 57.32% | |||
Net Assets as of 6/30/21 (In Thousands) | $ | 1,120,933 |
INVESTMENT OBJECTIVE***
The JPMorgan Market Expansion Enhanced Index Fund (the “Fund”) seeks to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small- and mid-capitalization equity markets.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the S&P 1000 Index (the “Benchmark”) for the twelve months ended June 30, 2021. The Fund’s security selection in the industrial cyclical and pharmaceutical sectors was the leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the retail and software & services sectors was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight positions in Customers Bancorp Inc. and Kulicke & Soffa Industries Inc. and its underweight position in Exelixis Inc. Shares of Customers Bancorp, a regional bank, rose amid better-than-expected earnings and revenue in the first quarter of 2021 and increased investor demand for value stocks. Shares of Kulicke & Soffa Brands Industries, a semiconductors equipment maker, rose amid growth in industry demand, several consecutive quarters of better-than-expected earnings and positive earnings forecasts from the company. Shares of Elelixis, a developer of pharmaceutical cancer treatments, fell after the company reported lower-than-expected earnings for the first quarter of 2021 and disappointing results from a drug candidate for late-stage liver cancer.
Leading individual detractors from relative performance included the Fund’s underweight positions in Gamestop Corp., Enphase Energy Inc. and its overweight position in Lannett Co.
Shares of Gamestop, a consumer electronics retail chain, rebounded sharply in early 2021 when users of an Internet forum largely orchestrated a run-up in the stock price in response to large short positions in the stock. Shares of Enphase Energy, a provider of systems to the solar energy sector, rose amid better-than-expected earnings and investor expectations that the incoming Biden administration would seek increased investment in renewable energy. Shares of Lannett, a generic pharmaceuticals company, fell amid consecutive quarters of lower-than-expected results and in May 2021 they were dropped from the S&P SmallCap 600 Index.
HOW WAS THE FUND POSITIONED?
The Fund seeks to closely follow the sector and industry weights within the Benchmark. Because the Fund uses an enhanced index strategy, not all of the stocks in the Benchmark are held by the Fund, and the Fund’s position in an individual stock may be overweight or underweight as compared to the Benchmark. The Fund’s portfolio managers seek to invest in stocks that they believe are attractively valued and that have improving momentum characteristics. The portfolio managers strive to add value exclusively through security selection rather than sector, style or theme allocation.
TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||||||
1. | Camden Property Trust | 0.5 | % | |||||
2. | Molina Healthcare, Inc. | 0.5 | ||||||
3. | United Therapeutics Corp. | 0.5 | ||||||
4. | Bio-Techne Corp. | 0.5 | ||||||
5. | AECOM | 0.5 | ||||||
6. | First Horizon Corp. | 0.5 | ||||||
7. | Signature Bank | 0.5 | ||||||
8. | UGI Corp. | 0.4 | ||||||
9. | AGCO Corp. | 0.4 | ||||||
10. | Arrow Electronics, Inc. | 0.4 |
PORTFOLIO COMPOSITION BY SECTOR AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Industrials | 16.6 | % | ||
Financials | 14.7 | |||
Information Technology | 12.7 | |||
Consumer Discretionary | 12.7 | |||
Health Care | 10.9 | |||
Real Estate | 7.9 | |||
Materials | 5.9 | |||
Consumer Staples | 3.4 | |||
Utilities | 2.7 | |||
Communication Services | 2.2 | |||
Energy | 2.0 | |||
Short-Term Investments | 8.3 |
* | 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. |
** | “S&P 1000 Index” is a registered service mark of Standard & Poor’s Corporation, which does not sponsor and is in no way affiliated with the Fund. |
*** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 5 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | July 31, 1998 | |||||||||||||
With Sales Charge* | 50.05 | % | 12.10 | % | 11.30 | % | ||||||||
Without Sales Charge | 58.28 | 13.31 | 11.90 | |||||||||||
CLASS C SHARES | March 22, 1999 | |||||||||||||
With CDSC** | 56.62 | 12.72 | 11.35 | |||||||||||
Without CDSC | 57.62 | 12.72 | 11.35 | |||||||||||
CLASS I SHARES | July 31, 1998 | 58.74 | 13.59 | 12.19 | ||||||||||
CLASS R2 SHARES | November 3, 2008 | 57.76 | 12.95 | 11.58 | ||||||||||
CLASS R6 SHARES | October 1, 2018 | 58.97 | 13.64 | 12.22 |
* | Sales Charge for Class A Shares is 5.25%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to their inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Market Expansion Enhanced Index Fund and the S&P 1000 Index from June 30, 2011 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 1000 Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of
all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The S&P 1000 Index is an unmanaged index generally representative of the performance of the small and mid-size companies in the U.S. stock market. 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 reflects Class A 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.
6 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 99.6% |
| |||||||
Aerospace & Defense — 1.6% |
| |||||||
Boeing Co. (The)* | 100 | 23,984 | ||||||
General Dynamics Corp. | 42 | 7,848 | ||||||
Howmet Aerospace, Inc.* | 71 | 2,454 | ||||||
Huntington Ingalls Industries, Inc. | 7 | 1,544 | ||||||
L3Harris Technologies, Inc. | 37 | 8,069 | ||||||
Lockheed Martin Corp. | 45 | 16,852 | ||||||
Northrop Grumman Corp. | 27 | 9,908 | ||||||
Raytheon Technologies Corp. | 276 | 23,539 | ||||||
Teledyne Technologies, Inc.*(a) | 8 | 3,542 | ||||||
Textron, Inc. | 41 | 2,827 | ||||||
TransDigm Group, Inc.*(a) | 10 | 6,471 | ||||||
|
| |||||||
107,038 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.7% |
| |||||||
CH Robinson Worldwide, Inc. | 24 | 2,269 | ||||||
Expeditors International of Washington, Inc. | 31 | 3,894 | ||||||
FedEx Corp. | 44 | 13,263 | ||||||
United Parcel Service, Inc., Class B | 132 | 27,395 | ||||||
|
| |||||||
46,821 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Alaska Air Group, Inc.* | 23 | 1,367 | ||||||
American Airlines Group, Inc.*(a) | 117 | 2,477 | ||||||
Delta Air Lines, Inc.* | 116 | 5,039 | ||||||
Southwest Airlines Co.* | 108 | 5,719 | ||||||
United Airlines Holdings, Inc.*(a) | 59 | 3,081 | ||||||
|
| |||||||
17,683 | ||||||||
|
| |||||||
Auto Components — 0.1% |
| |||||||
Aptiv plc* | 49 | 7,750 | ||||||
BorgWarner, Inc.(a) | 44 | 2,120 | ||||||
|
| |||||||
9,870 | ||||||||
|
| |||||||
Automobiles — 1.8% |
| |||||||
Ford Motor Co.* | 714 | 10,611 | ||||||
General Motors Co.* | 232 | 13,756 | ||||||
Tesla, Inc.* | 140 | 95,396 | ||||||
|
| |||||||
119,763 | ||||||||
|
| |||||||
Banks — 4.3% |
| |||||||
Bank of America Corp. | 1,373 | 56,623 | ||||||
Citigroup, Inc. | 376 | 26,633 | ||||||
Citizens Financial Group, Inc. | 78 | 3,558 | ||||||
Comerica, Inc. | 25 | 1,814 | ||||||
Fifth Third Bancorp | 128 | 4,901 | ||||||
First Republic Bank | 32 | 5,999 | ||||||
Huntington Bancshares, Inc. | 269 | 3,834 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued | ||||||||
JPMorgan Chase & Co.(b) | 551 | 85,747 | ||||||
KeyCorp | 177 | 3,650 | ||||||
M&T Bank Corp. | 23 | 3,405 | ||||||
People’s United Financial, Inc. | 78 | 1,335 | ||||||
PNC Financial Services Group, Inc. (The) | 77 | 14,760 | ||||||
Regions Financial Corp. | 175 | 3,533 | ||||||
SVB Financial Group* | 10 | 5,504 | ||||||
Truist Financial Corp. | 245 | 13,593 | ||||||
US Bancorp | 247 | 14,065 | ||||||
Wells Fargo & Co. | 753 | 34,094 | ||||||
Zions Bancorp NA | 30 | 1,577 | ||||||
|
| |||||||
284,625 | ||||||||
|
| |||||||
Beverages — 1.4% |
| |||||||
Brown-Forman Corp., Class B | 33 | 2,493 | ||||||
Coca-Cola Co. (The) | 707 | 38,240 | ||||||
Constellation Brands, Inc., Class A | 31 | 7,198 | ||||||
Molson Coors Beverage Co., Class B*(a) | 34 | 1,842 | ||||||
Monster Beverage Corp.* | 67 | 6,155 | ||||||
PepsiCo, Inc. | 252 | 37,282 | ||||||
|
| |||||||
93,210 | ||||||||
|
| |||||||
Biotechnology — 1.8% |
| |||||||
AbbVie, Inc. | 322 | 36,231 | ||||||
Alexion Pharmaceuticals, Inc.* | 40 | 7,395 | ||||||
Amgen, Inc. | 105 | 25,505 | ||||||
Biogen, Inc.* | 27 | 9,494 | ||||||
Gilead Sciences, Inc. | 228 | 15,728 | ||||||
Incyte Corp.* | 34 | 2,864 | ||||||
Regeneron Pharmaceuticals, Inc.* | 19 | 10,650 | ||||||
Vertex Pharmaceuticals, Inc.* | 47 | 9,506 | ||||||
|
| |||||||
117,373 | ||||||||
|
| |||||||
Building Products — 0.5% |
| |||||||
Allegion plc | 16 | 2,283 | ||||||
AO Smith Corp. | 24 | 1,765 | ||||||
Carrier Global Corp. | 149 | 7,230 | ||||||
Fortune Brands Home & Security, Inc. | 25 | 2,511 | ||||||
Johnson Controls International plc | 131 | 8,957 | ||||||
Masco Corp. | 46 | 2,723 | ||||||
Trane Technologies plc | 44 | 8,020 | ||||||
|
| |||||||
33,489 | ||||||||
|
| |||||||
Capital Markets — 3.0% |
| |||||||
Ameriprise Financial, Inc. | 21 | 5,253 | ||||||
Bank of New York Mellon Corp. (The) | 147 | 7,527 | ||||||
BlackRock, Inc. | 26 | 22,603 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 7 |
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Capital Markets — continued | ||||||||
Cboe Global Markets, Inc. | 19 | 2,313 | ||||||
Charles Schwab Corp. (The) | 273 | 19,888 | ||||||
CME Group, Inc. | 65 | 13,909 | ||||||
Franklin Resources, Inc. | 50 | 1,587 | ||||||
Goldman Sachs Group, Inc. (The) | 62 | 23,515 | ||||||
Intercontinental Exchange, Inc. | 102 | 12,165 | ||||||
Invesco Ltd. | 69 | 1,842 | ||||||
MarketAxess Holdings, Inc. | 7 | 3,207 | ||||||
Moody’s Corp. | 29 | 10,624 | ||||||
Morgan Stanley | 271 | 24,855 | ||||||
MSCI, Inc. | 15 | 8,002 | ||||||
Nasdaq, Inc. | 21 | 3,678 | ||||||
Northern Trust Corp. | 38 | 4,383 | ||||||
Raymond James Financial, Inc. | 22 | 2,893 | ||||||
S&P Global, Inc. | 44 | 18,007 | ||||||
State Street Corp. | 63 | 5,211 | ||||||
T. Rowe Price Group, Inc. | 41 | 8,179 | ||||||
|
| |||||||
199,641 | ||||||||
|
| |||||||
Chemicals — 1.8% |
| |||||||
Air Products and Chemicals, Inc. | 40 | 11,595 | ||||||
Albemarle Corp. | 21 | 3,581 | ||||||
Celanese Corp. | 21 | 3,110 | ||||||
CF Industries Holdings, Inc. | 39 | 2,010 | ||||||
Corteva, Inc. | 134 | 5,953 | ||||||
Dow, Inc. | 136 | 8,609 | ||||||
DuPont de Nemours, Inc. | 97 | 7,502 | ||||||
Eastman Chemical Co. | 25 | 2,903 | ||||||
Ecolab, Inc. | 45 | 9,331 | ||||||
FMC Corp. | 23 | 2,540 | ||||||
International Flavors & Fragrances, Inc. | 45 | 6,773 | ||||||
Linde plc (United Kingdom) | 95 | 27,388 | ||||||
LyondellBasell Industries NV, Class A | 47 | 4,823 | ||||||
Mosaic Co. (The) | 63 | 2,008 | ||||||
PPG Industries, Inc. | 43 | 7,330 | ||||||
Sherwin-Williams Co. (The) | 44 | 11,876 | ||||||
|
| |||||||
117,332 | ||||||||
|
| |||||||
Commercial Services & Supplies — 0.4% |
| |||||||
Cintas Corp. | 16 | 6,139 | ||||||
Copart, Inc.* | 38 | 4,998 | ||||||
Republic Services, Inc. | 38 | 4,219 | ||||||
Rollins, Inc. | 40 | 1,379 | ||||||
Waste Management, Inc. | 71 | 9,910 | ||||||
|
| |||||||
26,645 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Communications Equipment — 0.8% |
| |||||||
Arista Networks, Inc.* | 10 | 3,626 | ||||||
Cisco Systems, Inc. | 767 | 40,677 | ||||||
F5 Networks, Inc.* | 11 | 2,027 | ||||||
Juniper Networks, Inc. | 60 | 1,632 | ||||||
Motorola Solutions, Inc. | 31 | 6,700 | ||||||
|
| |||||||
54,662 | ||||||||
|
| |||||||
Construction & Engineering — 0.0%(c) |
| |||||||
Quanta Services, Inc. | 25 | 2,298 | ||||||
|
| |||||||
Construction Materials — 0.1% |
| |||||||
Martin Marietta Materials, Inc. | 11 | 3,996 | ||||||
Vulcan Materials Co. | 24 | 4,205 | ||||||
|
| |||||||
8,201 | ||||||||
|
| |||||||
Consumer Finance — 0.7% |
| |||||||
American Express Co. | 118 | 19,580 | ||||||
Capital One Financial Corp. | 82 | 12,719 | ||||||
Discover Financial Services | 56 | 6,568 | ||||||
Synchrony Financial | 99 | 4,779 | ||||||
|
| |||||||
43,646 | ||||||||
|
| |||||||
Containers & Packaging — 0.3% |
| |||||||
Amcor plc | 281 | 3,218 | ||||||
Avery Dennison Corp. | 15 | 3,178 | ||||||
Ball Corp. | 60 | 4,843 | ||||||
International Paper Co. | 71 | 4,374 | ||||||
Packaging Corp. of America | 17 | 2,343 | ||||||
Sealed Air Corp. | 28 | 1,640 | ||||||
Westrock Co. | 48 | 2,579 | ||||||
|
| |||||||
22,175 | ||||||||
|
| |||||||
Distributors — 0.1% |
| |||||||
Genuine Parts Co. | 26 | 3,328 | ||||||
LKQ Corp.* | 51 | 2,492 | ||||||
Pool Corp. | 7 | 3,352 | ||||||
|
| |||||||
9,172 | ||||||||
|
| |||||||
Diversified Financial Services — 1.4% |
| |||||||
Berkshire Hathaway, Inc., Class B* | 345 | 95,931 | ||||||
|
| |||||||
Diversified Telecommunication Services — 1.2% |
| |||||||
AT&T, Inc. | 1,300 | 37,423 | ||||||
Lumen Technologies, Inc. | 181 | 2,462 | ||||||
Verizon Communications, Inc. | 754 | 42,245 | ||||||
|
| |||||||
82,130 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
8 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Electric Utilities — 1.5% |
| |||||||
Alliant Energy Corp.(a) | 46 | 2,540 | ||||||
American Electric Power Co., Inc. | 91 | 7,699 | ||||||
Duke Energy Corp. | 140 | 13,830 | ||||||
Edison International | 69 | 3,995 | ||||||
Entergy Corp. | 37 | 3,643 | ||||||
Evergy, Inc. | 42 | 2,523 | ||||||
Eversource Energy | 63 | 5,019 | ||||||
Exelon Corp. | 178 | 7,885 | ||||||
FirstEnergy Corp. | 99 | 3,686 | ||||||
NextEra Energy, Inc. | 357 | 26,177 | ||||||
NRG Energy, Inc. | 45 | 1,796 | ||||||
Pinnacle West Capital Corp. | 21 | 1,683 | ||||||
PPL Corp. | 140 | 3,919 | ||||||
Southern Co. (The) | 193 | 11,667 | ||||||
Xcel Energy, Inc. | 98 | 6,457 | ||||||
|
| |||||||
102,519 | ||||||||
|
| |||||||
Electrical Equipment — 0.6% |
| |||||||
AMETEK, Inc. | 42 | 5,614 | ||||||
Eaton Corp. plc | 73 | 10,754 | ||||||
Emerson Electric Co. | 109 | 10,511 | ||||||
Generac Holdings, Inc.* | 11 | 4,760 | ||||||
Rockwell Automation, Inc. | 21 | 6,046 | ||||||
|
| |||||||
37,685 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 0.6% |
| |||||||
Amphenol Corp., Class A | 109 | 7,445 | ||||||
CDW Corp. | 26 | 4,459 | ||||||
Corning, Inc. | 141 | 5,771 | ||||||
IPG Photonics Corp.*(a) | 7 | 1,378 | ||||||
Keysight Technologies, Inc.* | 34 | 5,181 | ||||||
TE Connectivity Ltd. | 60 | 8,131 | ||||||
Trimble, Inc.* | 46 | 3,740 | ||||||
Zebra Technologies Corp., Class A* | 10 | 5,160 | ||||||
|
| |||||||
41,265 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.2% |
| |||||||
Baker Hughes Co.(a) | 132 | 3,030 | ||||||
Halliburton Co. | 162 | 3,746 | ||||||
NOV, Inc.* | 71 | 1,090 | ||||||
Schlumberger NV | 255 | 8,151 | ||||||
|
| |||||||
16,017 | ||||||||
|
| |||||||
Entertainment — 1.9% |
| |||||||
Activision Blizzard, Inc. | 142 | 13,505 | ||||||
Electronic Arts, Inc. | 52 | 7,496 | ||||||
Live Nation Entertainment, Inc.* | 26 | 2,305 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Entertainment — continued |
| |||||||
Netflix, Inc.* | 81 | 42,653 | ||||||
Take-Two Interactive Software, Inc.* | 21 | 3,729 | ||||||
Walt Disney Co. (The)* | 331 | 58,162 | ||||||
|
| |||||||
127,850 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 2.5% |
| |||||||
Alexandria Real Estate Equities, Inc. | 25 | 4,545 | ||||||
American Tower Corp. | 83 | 22,368 | ||||||
AvalonBay Communities, Inc. | 25 | 5,306 | ||||||
Boston Properties, Inc. | 26 | 2,964 | ||||||
Crown Castle International Corp. | 79 | 15,356 | ||||||
Digital Realty Trust, Inc. | 51 | 7,716 | ||||||
Duke Realty Corp. | 68 | 3,234 | ||||||
Equinix, Inc. | 16 | 13,094 | ||||||
Equity Residential | 63 | 4,825 | ||||||
Essex Property Trust, Inc. | 12 | 3,551 | ||||||
Extra Space Storage, Inc. | 24 | 3,990 | ||||||
Federal Realty Investment Trust | 13 | 1,510 | ||||||
Healthpeak Properties, Inc. | 98 | 3,267 | ||||||
Host Hotels & Resorts, Inc.* | 129 | 2,198 | ||||||
Iron Mountain, Inc.(a) | 53 | 2,225 | ||||||
Kimco Realty Corp. | 79 | 1,646 | ||||||
Mid-America Apartment Communities, Inc. | 21 | 3,512 | ||||||
Prologis, Inc. | 135 | 16,104 | ||||||
Public Storage | 28 | 8,336 | ||||||
Realty Income Corp. | 68 | 4,541 | ||||||
Regency Centers Corp. | 29 | 1,843 | ||||||
SBA Communications Corp. | 20 | 6,346 | ||||||
Simon Property Group, Inc. | 60 | 7,807 | ||||||
UDR, Inc. | 54 | 2,648 | ||||||
Ventas, Inc. | 68 | 3,901 | ||||||
Vornado Realty Trust | 29 | 1,334 | ||||||
Welltower, Inc. | 76 | 6,319 | ||||||
Weyerhaeuser Co. | 136 | 4,696 | ||||||
|
| |||||||
165,182 | ||||||||
|
| |||||||
Food & Staples Retailing — 1.3% |
| |||||||
Costco Wholesale Corp. | 81 | 31,855 | ||||||
Kroger Co. (The) | 138 | 5,282 | ||||||
Sysco Corp. | 93 | 7,244 | ||||||
Walgreens Boots Alliance, Inc. | 131 | 6,874 | ||||||
Walmart, Inc. | 250 | 35,262 | ||||||
|
| |||||||
86,517 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 9 |
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Food Products — 0.9% |
| |||||||
Archer-Daniels-Midland Co. | 102 | 6,166 | ||||||
Campbell Soup Co.(a) | 37 | 1,686 | ||||||
Conagra Brands, Inc.(a) | 87 | 3,180 | ||||||
General Mills, Inc. | 111 | 6,768 | ||||||
Hershey Co. (The) | 27 | 4,643 | ||||||
Hormel Foods Corp. | 51 | 2,451 | ||||||
JM Smucker Co. (The)(a) | 20 | 2,586 | ||||||
Kellogg Co.(a) | 46 | 2,952 | ||||||
Kraft Heinz Co. (The) | 118 | 4,814 | ||||||
Lamb Weston Holdings, Inc. | 27 | 2,149 | ||||||
McCormick & Co., Inc. (Non-Voting)(a) | 45 | 4,005 | ||||||
Mondelez International, Inc., Class A | 256 | 15,974 | ||||||
Tyson Foods, Inc., Class A | 54 | 3,960 | ||||||
|
| |||||||
61,334 | ||||||||
|
| |||||||
Gas Utilities — 0.0%(c) |
| |||||||
Atmos Energy Corp. | 24 | 2,287 | ||||||
|
| |||||||
Health Care Equipment & Supplies—3.6% |
| |||||||
Abbott Laboratories | 324 | 37,515 | ||||||
ABIOMED, Inc.* | 8 | 2,575 | ||||||
Align Technology, Inc.* | 13 | 8,013 | ||||||
Baxter International, Inc. | 92 | 7,372 | ||||||
Becton Dickinson and Co. | 53 | 12,880 | ||||||
Boston Scientific Corp.* | 259 | 11,065 | ||||||
Cooper Cos., Inc. (The) | 9 | 3,554 | ||||||
Danaher Corp. | 116 | 31,025 | ||||||
Dentsply Sirona, Inc. | 40 | 2,515 | ||||||
Dexcom, Inc.* | 18 | 7,520 | ||||||
Edwards Lifesciences Corp.* | 113 | 11,725 | ||||||
Hologic, Inc.* | 47 | 3,113 | ||||||
IDEXX Laboratories, Inc.*(a) | 16 | 9,809 | ||||||
Intuitive Surgical, Inc.* | 22 | 19,832 | ||||||
Medtronic plc | 245 | 30,414 | ||||||
ResMed, Inc. | 27 | 6,533 | ||||||
STERIS plc | 18 | 3,668 | ||||||
Stryker Corp. | 60 | 15,504 | ||||||
Teleflex, Inc. | 9 | 3,420 | ||||||
West Pharmaceutical Services, Inc. | 13 | 4,828 | ||||||
Zimmer Biomet Holdings, Inc. | 38 | 6,106 | ||||||
|
| |||||||
238,986 | ||||||||
|
| |||||||
Health Care Providers & Services — 2.6% |
| |||||||
AmerisourceBergen Corp. | 27 | 3,084 | ||||||
Anthem, Inc. | 45 | 17,024 | ||||||
Cardinal Health, Inc. | 53 | 3,017 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — continued |
| |||||||
Centene Corp.* | 106 | 7,740 | ||||||
Cigna Corp. | 62 | 14,815 | ||||||
CVS Health Corp. | 240 | 20,006 | ||||||
DaVita, Inc.* | 13 | 1,537 | ||||||
HCA Healthcare, Inc. | 48 | 9,895 | ||||||
Henry Schein, Inc.* | 26 | 1,901 | ||||||
Humana, Inc. | 23 | 10,402 | ||||||
Laboratory Corp. of America Holdings* | 18 | 4,905 | ||||||
McKesson Corp. | 29 | 5,509 | ||||||
Quest Diagnostics, Inc. | 24 | 3,140 | ||||||
UnitedHealth Group, Inc. | 172 | 68,821 | ||||||
Universal Health Services, Inc., Class B | 14 | 2,079 | ||||||
|
| |||||||
173,875 | ||||||||
|
| |||||||
Health Care Technology — 0.1% |
| |||||||
Cerner Corp. | 55 | 4,289 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure — 2.0% |
| |||||||
Booking Holdings, Inc.* | 7 | 16,358 | ||||||
Caesars Entertainment, Inc.* | 38 | 3,943 | ||||||
Carnival Corp.*(a) | 145 | 3,832 | ||||||
Chipotle Mexican Grill, Inc.* | 5 | 7,949 | ||||||
Darden Restaurants, Inc. | 24 | 3,479 | ||||||
Domino’s Pizza, Inc. | 7 | 3,299 | ||||||
Expedia Group, Inc.* | 26 | 4,217 | ||||||
Hilton Worldwide Holdings, Inc.* | 51 | 6,119 | ||||||
Las Vegas Sands Corp.* | 60 | 3,152 | ||||||
Marriott International, Inc., Class A* | 49 | 6,639 | ||||||
McDonald’s Corp. | 136 | 31,390 | ||||||
MGM Resorts International | 74 | 3,162 | ||||||
Norwegian Cruise Line Holdings Ltd.*(a) | 67 | 1,981 | ||||||
Penn National Gaming, Inc.* | 27 | 2,069 | ||||||
Royal Caribbean Cruises Ltd.* | 40 | 3,400 | ||||||
Starbucks Corp. | 215 | 23,993 | ||||||
Wynn Resorts Ltd.* | 19 | 2,344 | ||||||
Yum! Brands, Inc. | 54 | 6,241 | ||||||
|
| |||||||
133,567 | ||||||||
|
| |||||||
Household Durables — 0.4% |
| |||||||
DR Horton, Inc. | 60 | 5,398 | ||||||
Garmin Ltd. | 27 | 3,948 | ||||||
Leggett & Platt, Inc. | 24 | 1,257 | ||||||
Lennar Corp., Class A | 50 | 4,989 | ||||||
Mohawk Industries, Inc.* | 11 | 2,050 | ||||||
Newell Brands, Inc. | 69 | 1,894 | ||||||
NVR, Inc.* | 1 | 3,098 |
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Household Durables — continued |
| |||||||
PulteGroup, Inc. | 48 | 2,628 | ||||||
Whirlpool Corp. | 11 | 2,487 | ||||||
|
| |||||||
27,749 | ||||||||
|
| |||||||
Household Products — 1.3% |
| |||||||
Church & Dwight Co., Inc. | 45 | 3,806 | ||||||
Clorox Co. (The) | 23 | 4,075 | ||||||
Colgate-Palmolive Co. | 154 | 12,533 | ||||||
Kimberly-Clark Corp. | 61 | 8,221 | ||||||
Procter & Gamble Co. (The) | 446 | 60,161 | ||||||
|
| |||||||
88,796 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers — 0.0%(c) |
| |||||||
AES Corp. (The) | 121 | 3,163 | ||||||
|
| |||||||
Industrial Conglomerates — 1.2% |
| |||||||
3M Co.(a) | 106 | 20,969 | ||||||
General Electric Co.(a) | 1,599 | 21,519 | ||||||
Honeywell International, Inc. | 126 | 27,745 | ||||||
Roper Technologies, Inc. | 19 | 9,012 | ||||||
|
| |||||||
79,245 | ||||||||
|
| |||||||
Insurance — 1.8% |
| |||||||
Aflac, Inc. | 115 | 6,177 | ||||||
Allstate Corp. (The) | 55 | 7,111 | ||||||
American International Group, Inc. | 156 | 7,439 | ||||||
Aon plc, Class A | 41 | 9,812 | ||||||
Arthur J Gallagher & Co. | 37 | 5,227 | ||||||
Assurant, Inc. | 11 | 1,723 | ||||||
Chubb Ltd. | 82 | 13,017 | ||||||
Cincinnati Financial Corp. | 27 | 3,182 | ||||||
Everest Re Group Ltd. | 7 | 1,840 | ||||||
Globe Life, Inc. | 17 | 1,645 | ||||||
Hartford Financial Services Group, Inc. (The) | 65 | 4,031 | ||||||
Lincoln National Corp. | 33 | 2,048 | ||||||
Loews Corp. | 41 | 2,226 | ||||||
Marsh & McLennan Cos., Inc. | 93 | 13,028 | ||||||
MetLife, Inc. | 136 | 8,110 | ||||||
Principal Financial Group, Inc. | 46 | 2,911 | ||||||
Progressive Corp. (The) | 107 | 10,466 | ||||||
Prudential Financial, Inc. | 72 | 7,353 | ||||||
Travelers Cos., Inc. (The) | 46 | 6,857 | ||||||
Unum Group | 37 | 1,056 | ||||||
Willis Towers Watson plc | 23 | 5,403 | ||||||
WR Berkley Corp. | 26 | 1,899 | ||||||
|
| |||||||
122,561 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Interactive Media & Services — 6.5% |
| |||||||
Alphabet, Inc., Class A* | 55 | 133,739 | ||||||
Alphabet, Inc., Class C* | 52 | 129,973 | ||||||
Facebook, Inc., Class A* | 436 | 151,725 | ||||||
Twitter, Inc.* | 145 | 10,002 | ||||||
|
| |||||||
425,439 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 4.2% |
| |||||||
Amazon.com, Inc.* | 78 | 268,570 | ||||||
eBay, Inc. | 118 | 8,275 | ||||||
Etsy, Inc.* | 23 | 4,765 | ||||||
|
| |||||||
281,610 | ||||||||
|
| |||||||
IT Services — 5.2% |
| |||||||
Accenture plc, Class A | 116 | 34,125 | ||||||
Akamai Technologies, Inc.* | 30 | 3,461 | ||||||
Automatic Data Processing, Inc. | 77 | 15,392 | ||||||
Broadridge Financial Solutions, Inc. | 21 | 3,416 | ||||||
Cognizant Technology Solutions Corp., Class A | 96 | 6,652 | ||||||
DXC Technology Co.* | 46 | 1,807 | ||||||
Fidelity National Information Services, Inc. | 113 | 16,000 | ||||||
Fiserv, Inc.* | 108 | 11,594 | ||||||
FleetCor Technologies, Inc.* | 15 | 3,887 | ||||||
Gartner, Inc.* | 16 | 3,797 | ||||||
Global Payments, Inc. | 54 | 10,083 | ||||||
International Business Machines Corp. | 163 | 23,854 | ||||||
Jack Henry & Associates, Inc.(a) | 14 | 2,212 | ||||||
Mastercard, Inc., Class A | 159 | 58,164 | ||||||
Paychex, Inc. | 58 | 6,267 | ||||||
PayPal Holdings, Inc.* | 214 | 62,358 | ||||||
VeriSign, Inc.* | 18 | 4,110 | ||||||
Visa, Inc., Class A | 308 | 72,040 | ||||||
Western Union Co. (The) | 75 | 1,712 | ||||||
|
| |||||||
340,931 | ||||||||
|
| |||||||
Leisure Products — 0.0%(c) |
| |||||||
Hasbro, Inc. | 23 | 2,202 | ||||||
|
| |||||||
Life Sciences Tools & Services — 1.3% |
| |||||||
Agilent Technologies, Inc. | 55 | 8,168 | ||||||
Bio-Rad Laboratories, Inc., Class A* | 4 | 2,529 | ||||||
Charles River Laboratories International, Inc.* | 9 | 3,386 | ||||||
Illumina, Inc.* | 27 | 12,582 | ||||||
IQVIA Holdings, Inc.* | 35 | 8,458 | ||||||
Mettler-Toledo International, Inc.* | 4 | 5,871 | ||||||
PerkinElmer, Inc. | 20 | 3,152 | ||||||
Thermo Fisher Scientific, Inc. | 72 | 36,108 | ||||||
Waters Corp.* | 11 | 3,884 | ||||||
|
| |||||||
84,138 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 11 |
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Machinery — 1.7% |
| |||||||
Caterpillar, Inc. | 100 | 21,711 | ||||||
Cummins, Inc. | 27 | 6,492 | ||||||
Deere & Co. | 57 | 20,037 | ||||||
Dover Corp. | 26 | 3,947 | ||||||
Fortive Corp. | 62 | 4,300 | ||||||
IDEX Corp. | 14 | 3,043 | ||||||
Illinois Tool Works, Inc. | 52 | 11,703 | ||||||
Ingersoll Rand, Inc.* | 68 | 3,318 | ||||||
Otis Worldwide Corp. | 73 | 6,007 | ||||||
PACCAR, Inc. | 63 | 5,643 | ||||||
Parker-Hannifin Corp. | 24 | 7,218 | ||||||
Pentair plc | 30 | 2,043 | ||||||
Snap-on, Inc. | 10 | 2,201 | ||||||
Stanley Black & Decker, Inc. | 29 | 6,029 | ||||||
Westinghouse Air Brake Technologies Corp. | 32 | 2,663 | ||||||
Xylem, Inc. | 33 | 3,933 | ||||||
|
| |||||||
110,288 | ||||||||
|
| |||||||
Media — 1.3% |
| |||||||
Charter Communications, Inc., Class A* | 25 | 18,095 | ||||||
Comcast Corp., Class A | 835 | 47,611 | ||||||
Discovery, Inc., Class A*(a) | 31 | 942 | ||||||
Discovery, Inc., Class C*(a) | 55 | 1,586 | ||||||
DISH Network Corp., Class A* | 45 | 1,891 | ||||||
Fox Corp., Class A | 60 | 2,211 | ||||||
Fox Corp., Class B | 28 | 974 | ||||||
Interpublic Group of Cos., Inc. (The) | 72 | 2,328 | ||||||
News Corp., Class A | 71 | 1,836 | ||||||
News Corp., Class B | 22 | 540 | ||||||
Omnicom Group, Inc. | 39 | 3,133 | ||||||
ViacomCBS, Inc. | 110 | 4,985 | ||||||
|
| |||||||
86,132 | ||||||||
|
| |||||||
Metals & Mining — 0.4% |
| |||||||
Freeport-McMoRan, Inc. | 267 | 9,905 | ||||||
Newmont Corp. | 146 | 9,247 | ||||||
Nucor Corp. | 54 | 5,228 | ||||||
|
| |||||||
24,380 | ||||||||
|
| |||||||
Multiline Retail — 0.5% |
| |||||||
Dollar General Corp. | 43 | 9,308 | ||||||
Dollar Tree, Inc.* | 42 | 4,203 | ||||||
Target Corp. | 90 | 21,781 | ||||||
|
| |||||||
35,292 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Multi-Utilities — 0.7% |
| |||||||
Ameren Corp. | 47 | 3,725 | ||||||
CenterPoint Energy, Inc. | 106 | 2,592 | ||||||
CMS Energy Corp. | 53 | 3,114 | ||||||
Consolidated Edison, Inc. | 62 | 4,478 | ||||||
Dominion Energy, Inc. | 147 | 10,807 | ||||||
DTE Energy Co. | 35 | 4,572 | ||||||
NiSource, Inc. | 71 | 1,750 | ||||||
Public Service Enterprise Group, Inc. | 92 | 5,495 | ||||||
Sempra Energy | 57 | 7,602 | ||||||
WEC Energy Group, Inc. | 57 | 5,110 | ||||||
|
| |||||||
49,245 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 2.6% |
| |||||||
APA Corp. | 69 | 1,489 | ||||||
Cabot Oil & Gas Corp.(a) | 73 | 1,271 | ||||||
Chevron Corp. | 352 | 36,867 | ||||||
ConocoPhillips | 246 | 14,966 | ||||||
Devon Energy Corp. | 108 | 3,167 | ||||||
Diamondback Energy, Inc. | 33 | 3,095 | ||||||
EOG Resources, Inc. | 106 | 8,868 | ||||||
Exxon Mobil Corp. | 771 | 48,634 | ||||||
Hess Corp. | 50 | 4,365 | ||||||
Kinder Morgan, Inc. | 355 | 6,466 | ||||||
Marathon Oil Corp. | 144 | 1,955 | ||||||
Marathon Petroleum Corp. | 116 | 7,010 | ||||||
Occidental Petroleum Corp. | 153 | 4,784 | ||||||
ONEOK, Inc. | 81 | 4,515 | ||||||
Phillips 66 | 80 | 6,843 | ||||||
Pioneer Natural Resources Co. | 42 | 6,859 | ||||||
Valero Energy Corp. | 74 | 5,812 | ||||||
Williams Cos., Inc. (The) | 221 | 5,874 | ||||||
|
| |||||||
172,840 | ||||||||
|
| |||||||
Personal Products — 0.2% |
| |||||||
Estee Lauder Cos., Inc. (The), Class A | 42 | 13,433 | ||||||
|
| |||||||
Pharmaceuticals — 3.6% |
| |||||||
Bristol-Myers Squibb Co. | 407 | 27,185 | ||||||
Catalent, Inc.* | 31 | 3,354 | ||||||
Eli Lilly & Co. | 145 | 33,272 | ||||||
Johnson & Johnson | 480 | 79,007 | ||||||
Merck & Co., Inc. | 461 | 35,862 | ||||||
Organon & Co.* | 46 | 1,394 | ||||||
Perrigo Co. plc | 24 | 1,115 |
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Pharmaceuticals — continued |
| |||||||
Pfizer, Inc. | 1,019 | 39,921 | ||||||
Viatris, Inc. | 220 | 3,146 | ||||||
Zoetis, Inc. | 86 | 16,113 | ||||||
|
| |||||||
240,369 | ||||||||
|
| |||||||
Professional Services — 0.4% |
| |||||||
Equifax, Inc. | 22 | 5,308 | ||||||
IHS Markit Ltd. | 68 | 7,686 | ||||||
Jacobs Engineering Group, Inc. | 24 | 3,164 | ||||||
Leidos Holdings, Inc. | 24 | 2,448 | ||||||
Nielsen Holdings plc | 65 | 1,611 | ||||||
Robert Half International, Inc. | 21 | 1,827 | ||||||
Verisk Analytics, Inc. | 30 | 5,158 | ||||||
|
| |||||||
27,202 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.1% |
| |||||||
CBRE Group, Inc., Class A* | 61 | 5,241 | ||||||
|
| |||||||
Road & Rail — 1.0% |
| |||||||
CSX Corp. | 414 | 13,275 | ||||||
JB Hunt Transport Services, Inc. | 15 | 2,477 | ||||||
Kansas City Southern | 17 | 4,693 | ||||||
Norfolk Southern Corp. | 46 | 12,096 | ||||||
Old Dominion Freight Line, Inc. | 17 | 4,395 | ||||||
Union Pacific Corp. | 121 | 26,607 | ||||||
|
| |||||||
63,543 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 5.8% |
| |||||||
Advanced Micro Devices, Inc.* | 221 | 20,784 | ||||||
Analog Devices, Inc. | 67 | 11,564 | ||||||
Applied Materials, Inc. | 167 | 23,798 | ||||||
Broadcom, Inc. | 74 | 35,457 | ||||||
Enphase Energy, Inc.* | 25 | 4,538 | ||||||
Intel Corp. | 735 | 41,285 | ||||||
KLA Corp. | 28 | 9,050 | ||||||
Lam Research Corp. | 26 | 16,901 | ||||||
Maxim Integrated Products, Inc.* | 49 | 5,149 | ||||||
Microchip Technology, Inc. | 50 | 7,459 | ||||||
Micron Technology, Inc.* | 204 | 17,355 | ||||||
Monolithic Power Systems, Inc. | 8 | 2,925 | ||||||
NVIDIA Corp. | 113 | 90,778 | ||||||
NXP Semiconductors NV (China) | 50 | 10,331 | ||||||
Qorvo, Inc.* | 21 | 4,012 | ||||||
QUALCOMM, Inc. | 205 | 29,362 | ||||||
Skyworks Solutions, Inc. | 30 | 5,765 | ||||||
Teradyne, Inc. | 30 | 4,056 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Semiconductors & Semiconductor Equipment — continued |
| |||||||
Texas Instruments, Inc. | 168 | 32,343 | ||||||
Xilinx, Inc. | 45 | 6,476 | ||||||
|
| |||||||
379,388 | ||||||||
|
| |||||||
Software — 8.9% |
| |||||||
Adobe, Inc.* | 87 | 50,980 | ||||||
ANSYS, Inc.* | 16 | 5,509 | ||||||
Autodesk, Inc.* | 40 | 11,696 | ||||||
Cadence Design Systems, Inc.* | 51 | 6,934 | ||||||
Citrix Systems, Inc. | 23 | 2,652 | ||||||
Fortinet, Inc.*(a) | 25 | 5,880 | ||||||
Intuit, Inc. | 50 | 24,393 | ||||||
Microsoft Corp. | 1,372 | 371,571 | ||||||
NortonLifeLock, Inc. | 106 | 2,875 | ||||||
Oracle Corp. | 331 | 25,752 | ||||||
Paycom Software, Inc.* | 9 | 3,252 | ||||||
PTC, Inc.* | 19 | 2,706 | ||||||
salesforce.com, Inc.* | 169 | 41,194 | ||||||
ServiceNow, Inc.* | 36 | 19,761 | ||||||
Synopsys, Inc.* | 28 | 7,662 | ||||||
Tyler Technologies, Inc.* | 7 | 3,356 | ||||||
|
| |||||||
586,173 | ||||||||
|
| |||||||
Specialty Retail — 2.2% |
| |||||||
Advance Auto Parts, Inc. | 12 | 2,445 | ||||||
AutoZone, Inc.* | 4 | 5,875 | ||||||
Best Buy Co., Inc. | 41 | 4,668 | ||||||
CarMax, Inc.* | 30 | 3,837 | ||||||
Gap, Inc. (The) | 38 | 1,273 | ||||||
Home Depot, Inc. (The) | 194 | 61,748 | ||||||
L Brands, Inc. | 43 | 3,074 | ||||||
Lowe’s Cos., Inc. | 129 | 24,971 | ||||||
O’Reilly Automotive, Inc.* | 13 | 7,194 | ||||||
Ross Stores, Inc. | 65 | 8,053 | ||||||
TJX Cos., Inc. (The) | 220 | 14,808 | ||||||
Tractor Supply Co. | 21 | 3,905 | ||||||
Ulta Beauty, Inc.* | 10 | 3,448 | ||||||
|
| |||||||
145,299 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 6.3% |
| |||||||
Apple, Inc. | 2,857 | 391,258 | ||||||
Hewlett Packard Enterprise Co. | 238 | 3,468 | ||||||
HP, Inc. | 219 | 6,605 | ||||||
NetApp, Inc. | 41 | 3,317 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 13 |
Table of Contents
JPMorgan Equity Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued | ||||||||
Technology Hardware, Storage & Peripherals — 6.3% |
| |||||||
Seagate Technology Holdings plc (Ireland) | 36 | 3,189 | ||||||
Western Digital Corp.* | 56 | 3,972 | ||||||
|
| |||||||
411,809 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 0.7% |
| |||||||
Hanesbrands, Inc. | 64 | 1,187 | ||||||
NIKE, Inc., Class B | 232 | 35,871 | ||||||
PVH Corp.* | 13 | 1,396 | ||||||
Ralph Lauren Corp. | 9 | 1,035 | ||||||
Tapestry, Inc.* | 51 | 2,208 | ||||||
Under Armour, Inc., Class A* | 34 | 727 | ||||||
Under Armour, Inc., Class C* | 36 | 665 | ||||||
VF Corp. | 59 | 4,804 | ||||||
|
| |||||||
47,893 | ||||||||
|
| |||||||
Tobacco — 0.7% |
| |||||||
Altria Group, Inc. | 337 | 16,070 | ||||||
Philip Morris International, Inc. | 284 | 28,131 | ||||||
|
| |||||||
44,201 | ||||||||
|
| |||||||
Trading Companies & Distributors — 0.2% |
| |||||||
Fastenal Co. | 105 | 5,439 | ||||||
United Rentals, Inc.* | 13 | 4,205 | ||||||
WW Grainger, Inc. | 8 | 3,492 | ||||||
|
| |||||||
13,136 | ||||||||
|
| |||||||
Water Utilities — 0.1% |
| |||||||
American Water Works Co., Inc. | 33 | 5,094 | ||||||
|
| |||||||
Wireless Telecommunication Services — 0.2% |
| |||||||
T-Mobile US, Inc.* | 107 | 15,457 | ||||||
|
| |||||||
Total Common Stocks |
| 6,615,327 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 0.8% |
| |||||||
Investment Companies — 0.4% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01%(d)(e) | 26,043 | 26,043 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 0.4% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08%(d)(e) | 25,407 | 25,407 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03%(d)(e) | 4,179 | 4,179 | ||||||
|
| |||||||
Total Investment of Cash Collateral from | 29,586 | |||||||
|
| |||||||
Total Short-Term Investments | 55,629 | |||||||
|
| |||||||
Total Investments — 100.4% |
| 6,670,956 | ||||||
Liabilities in Excess of |
| (26,515 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 6,644,441 | ||||||
|
|
Percentages indicated are based on net assets.
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $28,583. | |
(b) | Investment in affiliate. This security is included in an index in which the Fund, as an index fund, tracks. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts | ||||||||||||||||||
S&P 500 E-Mini Index | 141 | 09/2021 | USD | 30,234 | 458 | |||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — 97.4% |
| |||||||
Aerospace & Defense — 0.7% |
| |||||||
Aerojet Rocketdyne Holdings, Inc.(a) | 25 | 1,193 | ||||||
Axon Enterprise, Inc.*(a) | 20 | 3,448 | ||||||
Curtiss-Wright Corp. | 13 | 1,591 | ||||||
Hexcel Corp.* | 29 | 1,816 | ||||||
Triumph Group, Inc.* | 15 | 307 | ||||||
|
| |||||||
8,355 | ||||||||
|
| |||||||
Air Freight & Logistics — 0.9% |
| |||||||
Atlas Air Worldwide Holdings, Inc.*(a) | 8 | 545 | ||||||
Echo Global Logistics, Inc.* | 9 | 280 | ||||||
Forward Air Corp. | 10 | 898 | ||||||
Hub Group, Inc., Class A* | 57 | 3,745 | ||||||
XPO Logistics, Inc.* | 35 | 4,909 | ||||||
|
| |||||||
10,377 | ||||||||
|
| |||||||
Airlines — 0.3% |
| |||||||
Hawaiian Holdings, Inc.* | 27 | 663 | ||||||
JetBlue Airways Corp.* | 170 | 2,852 | ||||||
|
| |||||||
3,515 | ||||||||
|
| |||||||
Auto Components — 1.7% |
| |||||||
Adient plc* | 29 | 1,329 | ||||||
American Axle & Manufacturing Holdings, Inc.* | 45 | 467 | ||||||
Dana, Inc. | 105 | 2,490 | ||||||
Fox Factory Holding Corp.* | 7 | 1,074 | ||||||
Gentex Corp. | 78 | 2,594 | ||||||
Gentherm, Inc.* | 10 | 739 | ||||||
Goodyear Tire & Rubber Co. (The)* | 222 | 3,801 | ||||||
LCI Industries | 8 | 1,025 | ||||||
Lear Corp.(a) | 29 | 5,153 | ||||||
Patrick Industries, Inc. | 9 | 635 | ||||||
|
| |||||||
19,307 | ||||||||
|
| |||||||
Automobiles — 0.5% |
| |||||||
Harley-Davidson, Inc. | 49 | 2,226 | ||||||
Thor Industries, Inc. | 18 | 2,050 | ||||||
Winnebago Industries, Inc. | 12 | 843 | ||||||
|
| |||||||
5,119 | ||||||||
|
| |||||||
Banks — 7.4% |
| |||||||
Ameris Bancorp | 22 | 1,134 | ||||||
Associated Banc-Corp. | 116 | 2,373 | ||||||
Banc of California, Inc. | 12 | 216 | ||||||
BancorpSouth Bank | 34 | 967 | ||||||
Bank OZK(a) | 40 | 1,692 | ||||||
Banner Corp. | 46 | 2,511 | ||||||
Berkshire Hills Bancorp, Inc.(a) | 48 | 1,305 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Banks — continued |
| |||||||
Boston Private Financial Holdings, Inc. | 24 | 358 | ||||||
Brookline Bancorp, Inc. | 23 | 342 | ||||||
Cadence BanCorp | 37 | 770 | ||||||
Cathay General Bancorp | 25 | 977 | ||||||
CIT Group, Inc. | 34 | 1,744 | ||||||
Columbia Banking System, Inc. | 20 | 765 | ||||||
Commerce Bancshares, Inc. | 34 | 2,520 | ||||||
Cullen/Frost Bankers, Inc. | 8 | 885 | ||||||
Customers Bancorp, Inc.* | 79 | 3,086 | ||||||
Dime Community Bancshares, Inc. | 15 | 512 | ||||||
Eagle Bancorp, Inc. | 45 | 2,546 | ||||||
East West Bancorp, Inc. | 55 | 3,975 | ||||||
First BanCorp (Puerto Rico) | 75 | 892 | ||||||
First Commonwealth Financial Corp. | 35 | 485 | ||||||
First Financial Bancorp | 13 | 312 | ||||||
First Horizon Corp. | 313 | 5,413 | ||||||
First Midwest Bancorp, Inc. | 117 | 2,316 | ||||||
FNB Corp. | 105 | 1,288 | ||||||
Fulton Financial Corp. | 65 | 1,028 | ||||||
Great Western Bancorp, Inc. | 21 | 702 | ||||||
Hancock Whitney Corp. | 68 | 3,031 | ||||||
Hanmi Financial Corp. | 44 | 840 | ||||||
Hope Bancorp, Inc. | 51 | 726 | ||||||
Independent Bank Group, Inc. | 12 | 866 | ||||||
International Bancshares Corp. | 17 | 739 | ||||||
NBT Bancorp, Inc. | 11 | 389 | ||||||
OFG Bancorp (Puerto Rico) | 17 | 369 | ||||||
Pacific Premier Bancorp, Inc. | 78 | 3,303 | ||||||
PacWest Bancorp | 39 | 1,618 | ||||||
Pinnacle Financial Partners, Inc.(a) | 26 | 2,290 | ||||||
Prosperity Bancshares, Inc. | 30 | 2,160 | ||||||
Signature Bank | 22 | 5,355 | ||||||
Sterling Bancorp | 71 | 1,748 | ||||||
Synovus Financial Corp. | 54 | 2,348 | ||||||
Texas Capital Bancshares, Inc.* | 16 | 1,041 | ||||||
Triumph Bancorp, Inc.* | 7 | 535 | ||||||
Trustmark Corp. | 20 | 629 | ||||||
UMB Financial Corp. | 12 | 1,080 | ||||||
Umpqua Holdings Corp. | 74 | 1,362 | ||||||
United Bankshares, Inc.(a) | 41 | 1,478 | ||||||
United Community Banks, Inc. | 88 | 2,816 | ||||||
Valley National Bancorp | 127 | 1,699 | ||||||
Veritex Holdings, Inc. | 17 | 617 | ||||||
Webster Financial Corp. | 30 | 1,595 | ||||||
Wintrust Financial Corp. | 39 | 2,959 | ||||||
|
| |||||||
82,707 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 15 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Beverages — 0.3% |
| |||||||
Boston Beer Co., Inc. (The), Class A* | 3 | 3,165 | ||||||
Coca-Cola Consolidated, Inc. | 2 | 603 | ||||||
|
| |||||||
3,768 | ||||||||
|
| |||||||
Biotechnology — 1.8% |
| |||||||
Arrowhead Pharmaceuticals, Inc.* | 50 | 4,166 | ||||||
Eagle Pharmaceuticals, Inc.* | 35 | 1,494 | ||||||
Emergent BioSolutions, Inc.* | 5 | 296 | ||||||
Exelixis, Inc.* | 277 | 5,045 | ||||||
Myriad Genetics, Inc.* | 21 | 654 | ||||||
REGENXBIO, Inc.* | 75 | 2,894 | ||||||
Spectrum Pharmaceuticals, Inc.*(a) | 100 | 375 | ||||||
United Therapeutics Corp.* | 32 | 5,696 | ||||||
|
| |||||||
20,620 | ||||||||
|
| |||||||
Building Products — 1.6% |
| |||||||
American Woodmark Corp.* | 5 | 425 | ||||||
Apogee Enterprises, Inc. | 9 | 367 | ||||||
Builders FirstSource, Inc.*(a) | 112 | 4,756 | ||||||
Gibraltar Industries, Inc.* | 10 | 733 | ||||||
Griffon Corp. | 16 | 413 | ||||||
Lennox International, Inc.(a) | 8 | 2,826 | ||||||
Owens Corning | 33 | 3,201 | ||||||
Quanex Building Products Corp. | 30 | 735 | ||||||
Resideo Technologies, Inc.* | 40 | 1,203 | ||||||
UFP Industries, Inc. | 41 | 3,075 | ||||||
|
| |||||||
17,734 | ||||||||
|
| |||||||
Capital Markets — 2.0% |
| |||||||
Affiliated Managers Group, Inc. | 14 | 2,174 | ||||||
Blucora, Inc.* | 40 | 691 | ||||||
Brightsphere Investment Group, Inc. | 43 | 1,012 | ||||||
Donnelley Financial Solutions, Inc.* | 16 | 512 | ||||||
Evercore, Inc., Class A | 14 | 1,907 | ||||||
FactSet Research Systems, Inc. | 12 | 4,027 | ||||||
Federated Hermes, Inc. | 32 | 1,072 | ||||||
Jefferies Financial Group, Inc. | 126 | 4,302 | ||||||
Piper Sandler Cos. | 4 | 531 | ||||||
SEI Investments Co. | 4 | 275 | ||||||
Stifel Financial Corp.(a) | 49 | 3,210 | ||||||
Virtus Investment Partners, Inc. | 10 | 2,861 | ||||||
|
| |||||||
22,574 | ||||||||
|
| |||||||
Chemicals — 2.6% |
| |||||||
Ashland Global Holdings, Inc.(a) | 41 | 3,561 | ||||||
Avient Corp. | 73 | 3,583 | ||||||
Cabot Corp. | 17 | 988 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Chemicals — continued |
| |||||||
Ferro Corp.* | 24 | 516 | ||||||
FutureFuel Corp. | 40 | 384 | ||||||
Hawkins, Inc. | 6 | 197 | ||||||
HB Fuller Co. | 50 | 3,193 | ||||||
Ingevity Corp.* | 40 | 3,222 | ||||||
Koppers Holdings, Inc.* | 37 | 1,200 | ||||||
Kraton Corp.* | 11 | 349 | ||||||
Minerals Technologies, Inc. | 17 | 1,372 | ||||||
RPM International, Inc. | 47 | 4,158 | ||||||
Scotts Miracle-Gro Co. (The) | 13 | 2,572 | ||||||
Sensient Technologies Corp.(a) | 14 | 1,177 | ||||||
Trinseo SA | 13 | 772 | ||||||
Valvoline, Inc. | 62 | 2,016 | ||||||
|
| |||||||
29,260 | ||||||||
|
| |||||||
Commercial Services & Supplies — 1.6% |
| |||||||
ABM Industries, Inc. | 22 | 984 | ||||||
Brady Corp., Class A | 17 | 975 | ||||||
Brink’s Co. (The)(a) | 32 | 2,491 | ||||||
Clean Harbors, Inc.* | 38 | 3,540 | ||||||
Deluxe Corp. | 15 | 697 | ||||||
Herman Miller, Inc. | 27 | 1,266 | ||||||
HNI Corp. | 18 | 781 | ||||||
IAA, Inc.* | 43 | 2,340 | ||||||
Interface, Inc. | 21 | 315 | ||||||
KAR Auction Services, Inc.*(a) | 41 | 716 | ||||||
Matthews International Corp., Class A | 11 | 381 | ||||||
Pitney Bowes, Inc. | 49 | 427 | ||||||
Stericycle, Inc.* | 8 | 565 | ||||||
Tetra Tech, Inc. | 17 | 2,096 | ||||||
Viad Corp.* | 6 | 319 | ||||||
|
| |||||||
17,893 | ||||||||
|
| |||||||
Communications Equipment — 0.5% |
| |||||||
ADTRAN, Inc. | 18 | 366 | ||||||
Ciena Corp.* | 48 | 2,730 | ||||||
Comtech Telecommunications Corp.(a) | 10 | 244 | ||||||
Digi International, Inc.* | 11 | 217 | ||||||
Extreme Networks, Inc.* | 38 | 424 | ||||||
Lumentum Holdings, Inc.* | 7 | 591 | ||||||
Viavi Solutions, Inc.* | 71 | 1,261 | ||||||
|
| |||||||
5,833 | ||||||||
|
| |||||||
Construction & Engineering — 1.8% |
| |||||||
AECOM* | 88 | 5,590 | ||||||
Arcosa, Inc. | 17 | 1,004 |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Construction & Engineering — continued |
| |||||||
Comfort Systems USA, Inc. | 32 | 2,500 | ||||||
EMCOR Group, Inc. | 38 | 4,726 | ||||||
Fluor Corp.* | 14 | 253 | ||||||
MasTec, Inc.* | 36 | 3,830 | ||||||
Matrix Service Co.* | 20 | 209 | ||||||
MYR Group, Inc.* | 5 | 464 | ||||||
Valmont Industries, Inc. | 7 | 1,629 | ||||||
|
| |||||||
20,205 | ||||||||
|
| |||||||
Construction Materials — 0.2% |
| |||||||
Eagle Materials, Inc. | 10 | 1,421 | ||||||
US Concrete, Inc.* | 6 | 413 | ||||||
|
| |||||||
1,834 | ||||||||
|
| |||||||
Consumer Finance — 0.8% |
| |||||||
Encore Capital Group, Inc.*(a) | 10 | 493 | ||||||
Enova International, Inc.* | 11 | 387 | ||||||
EZCORP, Inc., Class A* | 29 | 172 | ||||||
FirstCash, Inc. | 14 | 1,047 | ||||||
Green Dot Corp., Class A* | 16 | 768 | ||||||
LendingTree, Inc.* | 2 | 466 | ||||||
Navient Corp. | 78 | 1,512 | ||||||
PROG Holdings, Inc. | 22 | 1,046 | ||||||
SLM Corp. | 140 | 2,928 | ||||||
|
| |||||||
8,819 | ||||||||
|
| |||||||
Containers & Packaging — 0.6% |
| |||||||
AptarGroup, Inc. | 7 | 1,028 | ||||||
Greif, Inc., Class A | 7 | 406 | ||||||
O-I Glass, Inc.* | 48 | 782 | ||||||
Silgan Holdings, Inc. | 51 | 2,100 | ||||||
Sonoco Products Co. | 31 | 2,094 | ||||||
|
| |||||||
6,410 | ||||||||
|
| |||||||
Diversified Consumer Services — 0.5% |
| |||||||
Adtalem Global Education, Inc.* | 17 | 588 | ||||||
American Public Education, Inc.* | 26 | 740 | ||||||
Graham Holdings Co., Class B | 2 | 1,140 | ||||||
Grand Canyon Education, Inc.* | 6 | 540 | ||||||
Service Corp. International | 15 | 815 | ||||||
Strategic Education, Inc. | 9 | 654 | ||||||
WW International, Inc.* | 17 | 622 | ||||||
|
| |||||||
5,099 | ||||||||
|
| |||||||
Diversified Telecommunication Services — 0.3% |
| |||||||
ATN International, Inc. | 3 | 146 | ||||||
Cogent Communications Holdings, Inc. | 13 | 1,015 | ||||||
Consolidated Communications Holdings, Inc.* | 262 | 2,300 | ||||||
|
| |||||||
3,461 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Electric Utilities — 0.9% |
| |||||||
Hawaiian Electric Industries, Inc. | 96 | 4,072 | ||||||
IDACORP, Inc. | 40 | 3,858 | ||||||
OGE Energy Corp. | 79 | 2,642 | ||||||
|
| |||||||
10,572 | ||||||||
|
| |||||||
Electrical Equipment — 2.0% |
| |||||||
Acuity Brands, Inc.(a) | 13 | 2,394 | ||||||
AZZ, Inc. | 8 | 414 | ||||||
Encore Wire Corp. | 23 | 1,773 | ||||||
EnerSys(a) | 15 | 1,449 | ||||||
Hubbell, Inc. | 18 | 3,360 | ||||||
nVent Electric plc | 142 | 4,445 | ||||||
Powell Industries, Inc. | 35 | 1,086 | ||||||
Regal Beloit Corp.(a) | 34 | 4,600 | ||||||
Sunrun, Inc.*(a) | 49 | 2,711 | ||||||
|
| |||||||
22,232 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components — 4.0% |
| |||||||
Advanced Energy Industries, Inc. | 13 | 1,521 | ||||||
Arrow Electronics, Inc.* | 46 | 5,229 | ||||||
Avnet, Inc. | 94 | 3,765 | ||||||
Bel Fuse, Inc., Class B(a) | 24 | 340 | ||||||
Belden, Inc. | 12 | 628 | ||||||
Benchmark Electronics, Inc. | 12 | 344 | ||||||
Cognex Corp. | 44 | 3,732 | ||||||
Coherent, Inc.* | 7 | 1,928 | ||||||
Fabrinet (Thailand)*(a) | 41 | 3,883 | ||||||
Insight Enterprises, Inc.* | 22 | 2,210 | ||||||
Itron, Inc.* | 13 | 1,330 | ||||||
Jabil, Inc. | 86 | 5,004 | ||||||
Littelfuse, Inc. | 7 | 1,735 | ||||||
OSI Systems, Inc.* | 6 | 569 | ||||||
Sanmina Corp.*(a) | 86 | 3,351 | ||||||
SYNNEX Corp. | 41 | 5,017 | ||||||
TTM Technologies, Inc.* | 28 | 399 | ||||||
Vishay Intertechnology, Inc. | 86 | 1,950 | ||||||
Vontier Corp. | 54 | 1,753 | ||||||
|
| |||||||
44,688 | ||||||||
|
| |||||||
Energy Equipment & Services — 0.6% |
| |||||||
Bristow Group, Inc.* | 9 | 236 | ||||||
ChampionX Corp.* | 125 | 3,209 | ||||||
Helmerich & Payne, Inc. | 22 | 718 | ||||||
Nabors Industries Ltd.* | 2 | 194 | ||||||
Oceaneering International, Inc.* | 35 | 537 | ||||||
Oil States International, Inc.*(a) | 21 | 161 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 17 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Energy Equipment & Services — continued |
| |||||||
Patterson-UTI Energy, Inc. | 71 | 710 | ||||||
ProPetro Holding Corp.* | 85 | 776 | ||||||
US Silica Holdings, Inc.* | 22 | 250 | ||||||
|
| |||||||
6,791 | ||||||||
|
| |||||||
Entertainment — 0.1% |
| |||||||
Cinemark Holdings, Inc.* | 35 | 766 | ||||||
Marcus Corp. (The)*(a) | 10 | 208 | ||||||
|
| |||||||
974 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) — 7.8% |
| |||||||
Acadia Realty Trust | 20 | 435 | ||||||
Agree Realty Corp. | 18 | 1,283 | ||||||
Alexander & Baldwin, Inc. | 56 | 1,031 | ||||||
American Assets Trust, Inc. | 15 | 571 | ||||||
American Campus Communities, Inc. | 11 | 498 | ||||||
Armada Hoffler Properties, Inc. | 18 | 234 | ||||||
Brixmor Property Group, Inc. | 127 | 2,896 | ||||||
Camden Property Trust | 46 | 6,111 | ||||||
CareTrust REIT, Inc. | 29 | 671 | ||||||
Centerspace | 10 | 773 | ||||||
Chatham Lodging Trust* | 15 | 189 | ||||||
Community Healthcare Trust, Inc. | 7 | 332 | ||||||
CoreSite Realty Corp. | 6 | 754 | ||||||
Corporate Office Properties Trust | 117 | 3,282 | ||||||
Cousins Properties, Inc. | 75 | 2,761 | ||||||
CyrusOne, Inc. | 39 | 2,761 | ||||||
DiamondRock Hospitality Co.* | 62 | 604 | ||||||
Douglas Emmett, Inc.(a) | 52 | 1,731 | ||||||
EastGroup Properties, Inc. | 3 | 460 | ||||||
EPR Properties* | 10 | 543 | ||||||
Essential Properties Realty Trust, Inc. | 32 | 863 | ||||||
First Industrial Realty Trust, Inc. | 61 | 3,170 | ||||||
Four Corners Property Trust, Inc. | 43 | 1,190 | ||||||
Getty Realty Corp. | 5 | 167 | ||||||
Global Net Lease, Inc. | 91 | 1,676 | ||||||
Healthcare Realty Trust, Inc. | 42 | 1,268 | ||||||
Highwoods Properties, Inc. | 95 | 4,284 | ||||||
Hudson Pacific Properties, Inc.(a) | 30 | 843 | ||||||
Independence Realty Trust, Inc. | 28 | 503 | ||||||
Innovative Industrial Properties, Inc.(a) | 10 | 1,891 | ||||||
JBG SMITH Properties | 40 | 1,248 | ||||||
Kilroy Realty Corp. | 35 | 2,434 | ||||||
Kite Realty Group Trust | 56 | 1,237 | ||||||
Life Storage, Inc. | 30 | 3,231 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
Medical Properties Trust, Inc. | 180 | 3,618 | ||||||
National Retail Properties, Inc. | 26 | 1,200 | ||||||
National Storage Affiliates Trust | 42 | 2,144 | ||||||
NexPoint Residential Trust, Inc. | 17 | 930 | ||||||
Omega Healthcare Investors, Inc. | 30 | 1,096 | ||||||
Park Hotels & Resorts, Inc.* | 129 | 2,651 | ||||||
Pebblebrook Hotel Trust | 10 | 237 | ||||||
Physicians Realty Trust | 41 | 757 | ||||||
PotlatchDeltic Corp. | 42 | 2,235 | ||||||
Rayonier, Inc. | 13 | 456 | ||||||
Retail Opportunity Investments Corp. | 71 | 1,254 | ||||||
Rexford Industrial Realty, Inc. | 15 | 854 | ||||||
RPT Realty | 31 | 404 | ||||||
Sabra Health Care REIT, Inc. | 154 | 2,800 | ||||||
Saul Centers, Inc.(a) | 4 | 167 | ||||||
Service Properties Trust | 98 | 1,236 | ||||||
SITE Centers Corp. | 99 | 1,494 | ||||||
Spirit Realty Capital, Inc. | 72 | 3,440 | ||||||
STORE Capital Corp. | 61 | 2,105 | ||||||
Summit Hotel Properties, Inc.* | 72 | 673 | ||||||
Uniti Group, Inc. | 78 | 829 | ||||||
Urban Edge Properties | 71 | 1,352 | ||||||
Urstadt Biddle Properties, Inc., Class A | 17 | 324 | ||||||
Weingarten Realty Investors | 71 | 2,279 | ||||||
Xenia Hotels & Resorts, Inc.* | 87 | 1,626 | ||||||
|
| |||||||
88,086 | ||||||||
|
| |||||||
Food & Staples Retailing — 0.6% |
| |||||||
Andersons, Inc. (The) | 31 | 943 | ||||||
BJ’s Wholesale Club Holdings, Inc.*(a) | 39 | 1,875 | ||||||
SpartanNash Co.(a) | 12 | 233 | ||||||
Sprouts Farmers Market, Inc.*(a) | 120 | 2,987 | ||||||
United Natural Foods, Inc.* | 19 | 714 | ||||||
|
| |||||||
6,752 | ||||||||
|
| |||||||
Food Products — 1.7% |
| |||||||
Cal-Maine Foods, Inc. | 10 | 344 | ||||||
Darling Ingredients, Inc.* | 53 | 3,604 | ||||||
Flowers Foods, Inc. | 82 | 1,975 | ||||||
Hain Celestial Group, Inc. (The)*(a) | 26 | 1,055 | ||||||
Ingredion, Inc. | 38 | 3,435 | ||||||
J&J Snack Foods Corp. | 2 | 331 | ||||||
John B Sanfilippo & Son, Inc. | 3 | 301 | ||||||
Pilgrim’s Pride Corp.* | 61 | 1,351 | ||||||
Post Holdings, Inc.* | 20 | 2,202 |
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Food Products — continued |
| |||||||
Sanderson Farms, Inc. | 7 | 1,241 | ||||||
Seneca Foods Corp., Class A* | 9 | 483 | ||||||
Simply Good Foods Co. (The)* | 27 | 975 | ||||||
TreeHouse Foods, Inc.* | 33 | 1,483 | ||||||
|
| |||||||
18,780 | ||||||||
|
| |||||||
Gas Utilities — 0.8% |
| |||||||
National Fuel Gas Co. | 34 | 1,763 | ||||||
New Jersey Resources Corp. | 30 | 1,168 | ||||||
Spire, Inc. | 16 | 1,178 | ||||||
UGI Corp.(a) | 113 | 5,245 | ||||||
|
| |||||||
9,354 | ||||||||
|
| |||||||
Health Care Equipment & Supplies — 2.7% |
| |||||||
Avanos Medical, Inc.* | 15 | 527 | ||||||
CONMED Corp. | 8 | 1,113 | ||||||
Cutera, Inc.*(a) | 5 | 255 | ||||||
Envista Holdings Corp.*(a) | 114 | 4,944 | ||||||
Globus Medical, Inc., Class A* | 25 | 1,915 | ||||||
Haemonetics Corp.* | 15 | 1,026 | ||||||
Hill-Rom Holdings, Inc. | 39 | 4,385 | ||||||
Inogen, Inc.* | 7 | 456 | ||||||
Integer Holdings Corp.* | 10 | 970 | ||||||
Integra LifeSciences Holdings Corp.* | 23 | 1,549 | ||||||
Lantheus Holdings, Inc.* | 89 | 2,460 | ||||||
LivaNova plc* | 14 | 1,178 | ||||||
Masimo Corp.* | 3 | 776 | ||||||
Meridian Bioscience, Inc.*(a) | 19 | 415 | ||||||
Merit Medical Systems, Inc.* | 16 | 1,047 | ||||||
Natus Medical, Inc.* | 11 | 296 | ||||||
Neogen Corp.* | 4 | 175 | ||||||
NuVasive, Inc.* | 56 | 3,782 | ||||||
Orthofix Medical, Inc.* | 16 | 630 | ||||||
Penumbra, Inc.*(a) | 8 | 2,192 | ||||||
Varex Imaging Corp.*(a) | 13 | 349 | ||||||
|
| |||||||
30,440 | ||||||||
|
| |||||||
Health Care Providers & Services — 4.2% |
| |||||||
Acadia Healthcare Co., Inc.* | 28 | 1,770 | ||||||
Addus HomeCare Corp.* | 5 | 419 | ||||||
Amedisys, Inc.* | 12 | 2,866 | ||||||
AMN Healthcare Services, Inc.* | 42 | 4,030 | ||||||
Chemed Corp. | 5 | 2,467 | ||||||
Covetrus, Inc.* | 30 | 799 | ||||||
Cross Country Healthcare, Inc.* | 13 | 218 | ||||||
Encompass Health Corp. | 30 | 2,372 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Health Care Providers & Services — continued |
| |||||||
Ensign Group, Inc. (The) | 16 | 1,413 | ||||||
HealthEquity, Inc.* | 22 | 1,754 | ||||||
LHC Group, Inc.* | 11 | 2,123 | ||||||
Magellan Health, Inc.* | 29 | 2,776 | ||||||
MEDNAX, Inc.* | 31 | 949 | ||||||
ModivCare, Inc.* | 15 | 2,483 | ||||||
Molina Healthcare, Inc.* | 24 | 6,071 | ||||||
Owens & Minor, Inc. | 56 | 2,354 | ||||||
R1 RCM, Inc.* | 37 | 827 | ||||||
RadNet, Inc.* | 14 | 465 | ||||||
Select Medical Holdings Corp. | 96 | 4,057 | ||||||
Tenet Healthcare Corp.*(a) | 74 | 4,923 | ||||||
Tivity Health, Inc.*(a) | 75 | 1,976 | ||||||
|
| |||||||
47,112 | ||||||||
|
| |||||||
Health Care Technology — 0.6% |
| |||||||
Allscripts Healthcare Solutions, Inc.*(a) | 62 | 1,155 | ||||||
HealthStream, Inc.* | 10 | 265 | ||||||
NextGen Healthcare, Inc.* | 181 | 2,999 | ||||||
Omnicell, Inc.* | 13 | 2,029 | ||||||
|
| |||||||
6,448 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure — 1.9% |
| |||||||
BJ’s Restaurants, Inc.*(a) | 8 | 378 | ||||||
Bloomin’ Brands, Inc.* | 24 | 662 | ||||||
Boyd Gaming Corp.* | 27 | 1,654 | ||||||
Cheesecake Factory, Inc. (The)*(a) | 18 | 948 | ||||||
Churchill Downs, Inc. | 3 | 654 | ||||||
Cracker Barrel Old Country Store, Inc.(a) | 5 | 776 | ||||||
Dave & Buster’s Entertainment, Inc.* | 16 | 666 | ||||||
Dine Brands Global, Inc.* | 16 | 1,409 | ||||||
Jack in the Box, Inc. | 8 | 914 | ||||||
Marriott Vacations Worldwide Corp.* | 13 | 2,103 | ||||||
Papa John’s International, Inc. | 8 | 836 | ||||||
Ruth’s Hospitality Group, Inc.* | 7 | 168 | ||||||
Scientific Games Corp.* | 20 | 1,549 | ||||||
Six Flags Entertainment Corp.* | 57 | 2,472 | ||||||
Texas Roadhouse, Inc. | 19 | 1,842 | ||||||
Travel + Leisure Co. | 38 | 2,229 | ||||||
Wendy’s Co. (The) | 42 | 972 | ||||||
Wyndham Hotels & Resorts, Inc. | 22 | 1,590 | ||||||
|
| |||||||
21,822 | ||||||||
|
| |||||||
Household Durables — 1.5% |
| |||||||
Cavco Industries, Inc.* | 3 | 600 | ||||||
Helen of Troy Ltd.*(a) | 8 | 1,822 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 19 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Household Durables — continued |
| |||||||
iRobot Corp.*(a) | 9 | 859 | ||||||
KB Home | 29 | 1,193 | ||||||
La-Z-Boy, Inc. | 15 | 548 | ||||||
M/I Homes, Inc.* | 9 | 505 | ||||||
Meritage Homes Corp.* | 12 | 1,129 | ||||||
Taylor Morrison Home Corp.* | 42 | 1,097 | ||||||
Tempur Sealy International, Inc. | 62 | 2,437 | ||||||
Toll Brothers, Inc. | 37 | 2,116 | ||||||
Tri Pointe Homes, Inc.* | 166 | 3,552 | ||||||
Universal Electronics, Inc.* | 9 | 432 | ||||||
|
| |||||||
16,290 | ||||||||
|
| |||||||
Household Products — 0.5% |
| |||||||
Central Garden & Pet Co.*(a) | 33 | 1,752 | ||||||
Central Garden & Pet Co., Class A* | 67 | 3,227 | ||||||
Energizer Holdings, Inc. | 21 | 915 | ||||||
|
| |||||||
5,894 | ||||||||
|
| |||||||
Industrial Conglomerates — 0.3% |
| |||||||
Carlisle Cos., Inc. | 19 | 3,680 | ||||||
|
| |||||||
Insurance — 3.5% |
| |||||||
Alleghany Corp.* | 8 | 5,046 | ||||||
American Equity Investment Life Holding Co. | 47 | 1,513 | ||||||
American Financial Group, Inc. | 31 | 3,862 | ||||||
Assured Guaranty Ltd. | 38 | 1,818 | ||||||
Brighthouse Financial, Inc.* | 16 | 747 | ||||||
Brown & Brown, Inc. | 28 | 1,501 | ||||||
CNO Financial Group, Inc. | 40 | 947 | ||||||
eHealth, Inc.*(a) | 8 | 473 | ||||||
First American Financial Corp. | 61 | 3,791 | ||||||
Hanover Insurance Group, Inc. (The) | 12 | 1,618 | ||||||
Horace Mann Educators Corp.(a) | 14 | 516 | ||||||
James River Group Holdings Ltd. | 11 | 394 | ||||||
Kemper Corp. | 20 | 1,493 | ||||||
Old Republic International Corp. | 139 | 3,458 | ||||||
Primerica, Inc. | 18 | 2,772 | ||||||
Reinsurance Group of America, Inc. | 26 | 2,941 | ||||||
RenaissanceRe Holdings Ltd. (Bermuda) | 16 | 2,411 | ||||||
Selective Insurance Group, Inc. | 19 | 1,540 | ||||||
Stewart Information Services Corp. | 37 | 2,086 | ||||||
|
| |||||||
38,927 | ||||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Interactive Media & Services — 0.7% |
| |||||||
QuinStreet, Inc.*(a) | 43 | 799 | ||||||
TripAdvisor, Inc.* | 85 | 3,426 | ||||||
Yelp, Inc.* | 90 | 3,608 | ||||||
|
| |||||||
7,833 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail — 0.2% |
| |||||||
Just Eat Takeaway.com NV, ADR (Germany)* | — | (b) | – | (b) | ||||
Stamps.com, Inc.* | 9 | 1,783 | ||||||
|
| |||||||
1,783 | ||||||||
|
| |||||||
IT Services — 1.8% |
| |||||||
Alliance Data Systems Corp. | 17 | 1,740 | ||||||
Concentrix Corp.* | 24 | 3,811 | ||||||
Contra Bmtechnologies* | 16 | 197 | ||||||
EVERTEC, Inc. (Puerto Rico) | 19 | 834 | ||||||
ExlService Holdings, Inc.* | 11 | 1,207 | ||||||
Maximus, Inc. | 21 | 1,847 | ||||||
Perficient, Inc.*(a) | 11 | 901 | ||||||
Sabre Corp.*(a) | 114 | 1,421 | ||||||
TTEC Holdings, Inc. | 29 | 2,990 | ||||||
Unisys Corp.* | 39 | 991 | ||||||
WEX, Inc.* | 21 | 4,150 | ||||||
|
| |||||||
20,089 | ||||||||
|
| |||||||
Leisure Products — 0.9% |
| |||||||
Brunswick Corp. | 29 | 2,869 | ||||||
Mattel, Inc.* | 109 | 2,181 | ||||||
Polaris, Inc. | 18 | 2,531 | ||||||
YETI Holdings, Inc.* | 22 | 2,029 | ||||||
|
| |||||||
9,610 | ||||||||
|
| |||||||
Life Sciences Tools & Services — 1.2% |
| |||||||
Bio-Techne Corp. | 13 | 5,628 | ||||||
Luminex Corp. | 15 | 545 | ||||||
Medpace Holdings, Inc.* | 9 | 1,519 | ||||||
PRA Health Sciences, Inc.* | 21 | 3,420 | ||||||
Syneos Health, Inc.* | 29 | 2,577 | ||||||
|
| |||||||
13,689 | ||||||||
|
| |||||||
Machinery — 4.4% |
| |||||||
AGCO Corp. | 40 | 5,230 | ||||||
Alamo Group, Inc. | 3 | 458 | ||||||
Albany International Corp., Class A(a) | 4 | 321 |
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Machinery — continued |
| |||||||
Barnes Group, Inc. | 16 | 810 | ||||||
Chart Industries, Inc.* | 15 | 2,180 | ||||||
Colfax Corp.* | 29 | 1,328 | ||||||
Crane Co. | 49 | 4,509 | ||||||
Federal Signal Corp. | 19 | 753 | ||||||
Flowserve Corp. | 42 | 1,706 | ||||||
Graco, Inc. | 8 | 575 | ||||||
Hillenbrand, Inc. | 34 | 1,499 | ||||||
ITT, Inc. | 45 | 4,141 | ||||||
John Bean Technologies Corp. | 11 | 1,569 | ||||||
Lincoln Electric Holdings, Inc. | 5 | 698 | ||||||
Lydall, Inc.* | 7 | 424 | ||||||
Meritor, Inc.* | 25 | 586 | ||||||
Middleby Corp. (The)* | 7 | 1,230 | ||||||
Mueller Industries, Inc. | 19 | 814 | ||||||
Nordson Corp. | 12 | 2,722 | ||||||
Oshkosh Corp. | 40 | 4,923 | ||||||
SPX Corp.* | 16 | 977 | ||||||
SPX FLOW, Inc.(a) | 22 | 1,448 | ||||||
Standex International Corp. | 4 | 398 | ||||||
Terex Corp. | 62 | 2,975 | ||||||
Timken Co. (The) | 57 | 4,582 | ||||||
Toro Co. (The) | 9 | 1,022 | ||||||
Wabash National Corp. | 66 | 1,058 | ||||||
Woodward, Inc. | 5 | 664 | ||||||
|
| |||||||
49,600 | ||||||||
|
| |||||||
Marine — 0.1% |
| |||||||
Kirby Corp.* | 17 | 1,001 | ||||||
|
| |||||||
Media — 0.9% |
| |||||||
AMC Networks, Inc., Class A* | 10 | 668 | ||||||
Cable One, Inc.(a) | 2 | 3,252 | ||||||
EW Scripps Co. (The), Class A(a) | 19 | 385 | ||||||
Gannett Co., Inc.* | 43 | 236 | ||||||
John Wiley & Sons, Inc., Class A | 14 | 824 | ||||||
Meredith Corp.* | 13 | 584 | ||||||
New York Times Co. (The), Class A | 13 | 562 | ||||||
TEGNA, Inc. | 205 | 3,845 | ||||||
|
| |||||||
10,356 | ||||||||
|
| |||||||
Metals & Mining — 2.3% |
| |||||||
Allegheny Technologies, Inc.*(a) | 62 | 1,284 | ||||||
Arconic Corp.* | 75 | 2,686 | ||||||
Century Aluminum Co.* | 13 | 173 | ||||||
Cleveland-Cliffs, Inc.*(a) | 199 | 4,295 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Metals & Mining — 2.3% |
| |||||||
Commercial Metals Co. | 16 | 493 | ||||||
Haynes International, Inc. | 18 | 623 | ||||||
Kaiser Aluminum Corp. | 9 | 1,168 | ||||||
Materion Corp. | 15 | 1,100 | ||||||
Reliance Steel & Aluminum Co. | 27 | 4,012 | ||||||
Royal Gold, Inc. | 5 | 616 | ||||||
Steel Dynamics, Inc. | 70 | 4,163 | ||||||
SunCoke Energy, Inc. | 176 | 1,257 | ||||||
United States Steel Corp.(a) | 43 | 1,039 | ||||||
Warrior Met Coal, Inc. | 100 | 1,717 | ||||||
Worthington Industries, Inc. | 11 | 661 | ||||||
|
| |||||||
25,287 | ||||||||
|
| |||||||
Mortgage Real Estate Investment Trusts (REITs) — 0.6% |
| |||||||
Apollo Commercial Real Estate Finance, Inc. | 42 | 671 | ||||||
Granite Point Mortgage Trust, Inc. | 17 | 243 | ||||||
KKR Real Estate Finance Trust, Inc.(a) | 55 | 1,183 | ||||||
PennyMac Mortgage Investment Trust | 62 | 1,306 | ||||||
Ready Capital Corp. | 13 | 208 | ||||||
Redwood Trust, Inc. | 256 | 3,089 | ||||||
|
| |||||||
6,700 | ||||||||
|
| |||||||
Multiline Retail — 1.0% |
| |||||||
Big Lots, Inc.(a) | 14 | 891 | ||||||
Kohl’s Corp. | 78 | 4,277 | ||||||
Macy’s, Inc.* | 176 | 3,331 | ||||||
Nordstrom, Inc.* | 34 | 1,258 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.*(a) | 11 | 951 | ||||||
|
| |||||||
10,708 | ||||||||
|
| |||||||
Multi-Utilities — 0.6% |
| |||||||
Black Hills Corp. | 14 | 919 | ||||||
MDU Resources Group, Inc. | 142 | 4,441 | ||||||
NorthWestern Corp. | 23 | 1,363 | ||||||
|
| |||||||
6,723 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
Antero Midstream Corp. | 91 | 940 | ||||||
Callon Petroleum Co.*(a) | 5 | 278 | ||||||
Cimarex Energy Co. | 62 | 4,478 | ||||||
CNX Resources Corp.* | 66 | 900 | ||||||
EQT Corp.* | 92 | 2,048 | ||||||
Green Plains, Inc.* | 31 | 1,035 | ||||||
Murphy Oil Corp. | 61 | 1,425 | ||||||
PBF Energy, Inc., Class A* | 38 | 577 | ||||||
PDC Energy, Inc. | 33 | 1,530 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 21 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Oil, Gas & Consumable Fuels — 1.6% |
| |||||||
Range Resources Corp.* | 78 | 1,304 | ||||||
Renewable Energy Group, Inc.* | 15 | 954 | ||||||
REX American Resources Corp.* | 2 | 180 | ||||||
SM Energy Co. | 27 | 663 | ||||||
Southwestern Energy Co.* | 210 | 1,188 | ||||||
World Fuel Services Corp. | 5 | 164 | ||||||
|
| |||||||
17,664 | ||||||||
|
| |||||||
Paper & Forest Products — 0.6% |
| |||||||
Domtar Corp.* | 35 | 1,933 | ||||||
Glatfelter Corp. | 15 | 210 | ||||||
Louisiana-Pacific Corp. | 61 | 3,677 | ||||||
Mercer International, Inc. (Germany)(a) | 16 | 203 | ||||||
Neenah, Inc. | 15 | 732 | ||||||
Schweitzer-Mauduit International, Inc. | 11 | 442 | ||||||
|
| |||||||
7,197 | ||||||||
|
| |||||||
Personal Products — 0.4% |
| |||||||
Coty, Inc., Class A* | 94 | 875 | ||||||
Edgewell Personal Care Co.(a) | 19 | 817 | ||||||
elf Beauty, Inc.* | 12 | 328 | ||||||
Medifast, Inc. | 4 | 1,228 | ||||||
Nu Skin Enterprises, Inc., Class A | 19 | 1,076 | ||||||
USANA Health Sciences, Inc.*(a) | 4 | 379 | ||||||
|
| |||||||
4,703 | ||||||||
|
| |||||||
Pharmaceuticals — 1.0% |
| |||||||
Endo International plc* | 254 | 1,187 | ||||||
Innoviva, Inc.*(a) | 197 | 2,635 | ||||||
Jazz Pharmaceuticals plc* | 27 | 4,797 | ||||||
Lannett Co., Inc.*(a) | 306 | 1,428 | ||||||
Prestige Consumer Healthcare, Inc.*(a) | 19 | 964 | ||||||
Supernus Pharmaceuticals, Inc.*(a) | 16 | 483 | ||||||
|
| |||||||
11,494 | ||||||||
|
| |||||||
Professional Services — 2.0% |
| |||||||
ASGN, Inc.* | 18 | 1,784 | ||||||
CACI International, Inc., Class A* | 15 | 3,804 | ||||||
FTI Consulting, Inc.* | 11 | 1,553 | ||||||
Heidrick & Struggles International, Inc. | 40 | 1,795 | ||||||
Insperity, Inc. | 11 | 958 | ||||||
KBR, Inc. | 44 | 1,675 | ||||||
Kelly Services, Inc., Class A* | 13 | 312 | ||||||
Korn Ferry | 44 | 3,221 | ||||||
ManpowerGroup, Inc. | 38 | 4,577 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Professional Services — 2.0% |
| |||||||
Resources Connection, Inc. | 38 | 540 | ||||||
Science Applications International Corp. | 16 | 1,420 | ||||||
TrueBlue, Inc.* | 20 | 561 | ||||||
|
| |||||||
22,200 | ||||||||
|
| |||||||
Real Estate Management & Development — 0.5% |
| |||||||
Jones Lang LaSalle, Inc.* | 18 | 3,574 | ||||||
RE/MAX Holdings, Inc., Class A | 7 | 237 | ||||||
Realogy Holdings Corp.* | 98 | 1,793 | ||||||
|
| |||||||
5,604 | ||||||||
|
| |||||||
Road & Rail — 0.8% |
| |||||||
ArcBest Corp. | 37 | 2,124 | ||||||
Avis Budget Group, Inc.* | 15 | 1,192 | ||||||
Landstar System, Inc. | 23 | 3,708 | ||||||
Saia, Inc.* | 7 | 1,529 | ||||||
|
| |||||||
8,553 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment — 3.6% |
| |||||||
Axcelis Technologies, Inc.* | 12 | 469 | ||||||
Cirrus Logic, Inc.* | 20 | 1,663 | ||||||
CMC Materials, Inc. | 1 | 158 | ||||||
Cohu, Inc.*(a) | 13 | 493 | ||||||
Cree, Inc.* | 21 | 2,096 | ||||||
Diodes, Inc.* | 13 | 1,037 | ||||||
First Solar, Inc.* | 51 | 4,642 | ||||||
FormFactor, Inc.*(a) | 28 | 1,021 | ||||||
Ichor Holdings Ltd.* | 43 | 2,313 | ||||||
Kulicke & Soffa Industries, Inc. (Singapore)(a) | 75 | 4,573 | ||||||
MKS Instruments, Inc. | 17 | 3,092 | ||||||
Photronics, Inc.* | 19 | 251 | ||||||
Power Integrations, Inc. | 19 | 1,543 | ||||||
Rambus, Inc.* | 37 | 870 | ||||||
Semtech Corp.* | 22 | 1,514 | ||||||
Silicon Laboratories, Inc.*(a) | 14 | 2,146 | ||||||
SMART Global Holdings, Inc.*(a) | 35 | 1,664 | ||||||
SolarEdge Technologies, Inc.* | 16 | 4,477 | ||||||
Synaptics, Inc.* | 11 | 1,727 | ||||||
Ultra Clean Holdings, Inc.* | 26 | 1,382 | ||||||
Universal Display Corp. | 14 | 3,024 | ||||||
Veeco Instruments, Inc.*(a) | 2 | 52 | ||||||
|
| |||||||
40,207 | ||||||||
|
| |||||||
Software — 3.0% |
| |||||||
ACI Worldwide, Inc.* | 35 | 1,300 |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Software — continued |
| |||||||
Blackbaud, Inc.*(a) | 15 | 1,179 | ||||||
Bottomline Technologies DE, Inc.* | 11 | 423 | ||||||
CDK Global, Inc. | 90 | 4,467 | ||||||
Ceridian HCM Holding, Inc.* | 41 | 3,914 | ||||||
CommVault Systems, Inc.* | 16 | 1,266 | ||||||
Fair Isaac Corp.* | 9 | 4,702 | ||||||
InterDigital, Inc. | 10 | 760 | ||||||
J2 Global, Inc.*(a) | 16 | 2,160 | ||||||
Manhattan Associates, Inc.*(a) | 21 | 3,071 | ||||||
Paylocity Holding Corp.* | 12 | 2,213 | ||||||
Progress Software Corp. | 10 | 462 | ||||||
Qualys, Inc.* | 11 | 1,057 | ||||||
SPS Commerce, Inc.* | 10 | 1,008 | ||||||
Teradata Corp.*(a) | 34 | 1,684 | ||||||
Vonage Holdings Corp.* | 82 | 1,183 | ||||||
Xperi Holding Corp. | 120 | 2,674 | ||||||
|
| |||||||
33,523 | ||||||||
|
| |||||||
Specialty Retail — 3.9% |
| |||||||
Aaron’s Co., Inc. (The) | 11 | 348 | ||||||
Abercrombie & Fitch Co., Class A* | 19 | 891 | ||||||
American Eagle Outfitters, Inc. | 68 | 2,560 | ||||||
Asbury Automotive Group, Inc.* | 6 | 1,097 | ||||||
AutoNation, Inc.* | 40 | 3,754 | ||||||
Bed Bath & Beyond, Inc.* | 35 | 1,175 | ||||||
Boot Barn Holdings, Inc.*(a) | 9 | 790 | ||||||
Caleres, Inc. | 15 | 420 | ||||||
Cato Corp. (The), Class A | 7 | 110 | ||||||
Chico’s FAS, Inc.* | 35 | 228 | ||||||
Children’s Place, Inc. (The)*(a) | 5 | 450 | ||||||
Conn’s, Inc.* | 4 | 110 | ||||||
Designer Brands, Inc., Class A* | 22 | 369 | ||||||
Dick’s Sporting Goods, Inc.(a) | 22 | 2,166 | ||||||
Five Below, Inc.* | 6 | 1,082 | ||||||
Foot Locker, Inc. | 37 | 2,286 | ||||||
GameStop Corp., Class A*(a) | 18 | 3,769 | ||||||
Genesco, Inc.* | 5 | 318 | ||||||
Group 1 Automotive, Inc. | 6 | 865 | ||||||
Guess?, Inc.(a) | 16 | 414 | ||||||
Haverty Furniture Cos., Inc.(a) | 5 | 228 | ||||||
Hibbett, Inc.* | 5 | 466 | ||||||
Lithia Motors, Inc., Class A | 9 | 2,921 | ||||||
ODP Corp. (The)* | 18 | 853 | ||||||
Rent-A-Center, Inc. | 38 | 2,038 | ||||||
RH*(a) | 5 | 3,327 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Specialty Retail — continued |
| |||||||
Sally Beauty Holdings, Inc.* | 70 | 1,536 | ||||||
Shoe Carnival, Inc.(a) | 3 | 222 | ||||||
Signet Jewelers Ltd.*(a) | 19 | 1,519 | ||||||
Sleep Number Corp.* | 7 | 814 | ||||||
Urban Outfitters, Inc.*(a) | 23 | 932 | ||||||
Williams-Sonoma, Inc. | 27 | 4,327 | ||||||
Zumiez, Inc.* | 27 | 1,342 | ||||||
|
| |||||||
43,727 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals — 0.7% |
| |||||||
3D Systems Corp.*(a) | 23 | 899 | ||||||
Diebold Nixdorf, Inc.* | 28 | 363 | ||||||
NCR Corp.* | 97 | 4,443 | ||||||
Xerox Holdings Corp. | 70 | 1,642 | ||||||
|
| |||||||
7,347 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods — 1.6% |
| |||||||
Capri Holdings Ltd.* | 51 | 2,905 | ||||||
Carter’s, Inc. | 11 | 1,094 | ||||||
Columbia Sportswear Co. | 3 | 285 | ||||||
Crocs, Inc.* | 21 | 2,424 | ||||||
Deckers Outdoor Corp.* | 9 | 3,572 | ||||||
G-III Apparel Group Ltd.* | 14 | 457 | ||||||
Kontoor Brands, Inc. | 18 | 1,027 | ||||||
Oxford Industries, Inc. | 5 | 484 | ||||||
Skechers U.S.A., Inc., Class A* | 58 | 2,877 | ||||||
Steven Madden Ltd. | 26 | 1,158 | ||||||
Unifi, Inc.* | 7 | 173 | ||||||
Vera Bradley, Inc.* | 9 | 113 | ||||||
Wolverine World Wide, Inc. | 27 | 891 | ||||||
|
| |||||||
17,460 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance — 1.3% |
| |||||||
Essent Group Ltd. | 46 | 2,072 | ||||||
Flagstar Bancorp, Inc. | 16 | 685 | ||||||
HomeStreet, Inc. | 9 | 346 | ||||||
Meta Financial Group, Inc. | 11 | 542 | ||||||
MGIC Investment Corp. | 106 | 1,436 | ||||||
Mr. Cooper Group, Inc.* | 23 | 767 | ||||||
New York Community Bancorp, Inc.(a) | 149 | 1,646 | ||||||
NMI Holdings, Inc., Class A*(a) | 49 | 1,108 | ||||||
Northfield Bancorp, Inc. | 15 | 244 | ||||||
Northwest Bancshares, Inc. | 224 | 3,058 | ||||||
Provident Financial Services, Inc. | 21 | 483 | ||||||
TrustCo Bank Corp. | 27 | 937 | ||||||
Walker & Dunlop, Inc. | 9 | 939 | ||||||
WSFS Financial Corp. | 16 | 755 | ||||||
|
| |||||||
15,018 | ||||||||
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 23 |
Table of Contents
JPMorgan Market Expansion Enhanced Index Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021 (continued)
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Common Stocks — continued |
| |||||||
Tobacco — 0.0%(c) |
| |||||||
Vector Group Ltd. | 39 | 554 | ||||||
|
| |||||||
Trading Companies & Distributors — 1.1% |
| |||||||
Applied Industrial Technologies, Inc. | 13 | 1,166 | ||||||
Boise Cascade Co. | 21 | 1,202 | ||||||
DXP Enterprises, Inc.* | 4 | 140 | ||||||
GMS, Inc.* | 72 | 3,471 | ||||||
MSC Industrial Direct Co., Inc., Class A | 15 | 1,346 | ||||||
NOW, Inc.* | 106 | 1,003 | ||||||
Univar Solutions, Inc.* | 75 | 1,819 | ||||||
Veritiv Corp.* | 31 | 1,879 | ||||||
Watsco, Inc. | 2 | 659 | ||||||
|
| |||||||
12,685 | ||||||||
|
| |||||||
Water Utilities — 0.5% |
| |||||||
American States Water Co. | 12 | 926 | ||||||
California Water Service Group | 15 | 855 | ||||||
Essential Utilities, Inc. | 73 | 3,314 | ||||||
|
| |||||||
5,095 | ||||||||
|
| |||||||
Wireless Telecommunication Services — 0.3% |
| |||||||
Shenandoah Telecommunications Co. | 16 | 762 | ||||||
Spok Holdings, Inc. | 93 | 899 | ||||||
Telephone and Data Systems, Inc. | 68 | 1,529 | ||||||
|
| |||||||
3,190 | ||||||||
|
| |||||||
Total Common Stocks |
| 1,091,332 | ||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 8.8% |
| |||||||
Investment Companies — 3.2% |
| |||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07%(d)(e) (Cost $35,621) | 35,608 | 35,626 | ||||||
|
| |||||||
Investment of Cash Collateral from Securities Loaned — 5.6% |
| |||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08%(d)(e) | 58,005 | 58,006 | ||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03%(d)(e) | 4,937 | 4,937 | ||||||
|
| |||||||
Total Investment of Cash Collateral from | 62,943 | |||||||
|
| |||||||
Total Short-Term Investments | 98,569 | |||||||
|
| |||||||
Total Investments — 106.2% |
| 1,189,901 | ||||||
Liabilities in Excess of |
| (68,968 | ) | |||||
|
| |||||||
NET ASSETS — 100.0% |
| 1,120,933 | ||||||
|
|
Percentages indicated are based on net assets.
Abbreviations
ADR | American Depositary Receipt | |
REIT | Real Estate Investment Trust | |
(a) | The security or a portion of this security is on loan at June 30, 2021. The total value of securities on loan at June 30, 2021 is $61,512. | |
(b) | Amount rounds to less than one thousand. | |
(c) | Amount rounds to less than 0.1% of net assets. | |
(d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(e) | The rate shown is the current yield as of June 30, 2021. | |
* | Non-income producing security. |
Futures contracts outstanding as of June 30, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
DESCRIPTION | NUMBER OF CONTRACTS | EXPIRATION DATE | TRADING CURRENCY | NOTIONAL AMOUNT ($) | VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) | |||||||||||||
Long Contracts | ||||||||||||||||||
Russell 2000 E-Mini Index | 57 | 09/2021 | USD | 6,572 | 31 | |||||||||||||
S&P Midcap 400 E-Mini Index | 75 | 09/2021 | USD | 20,178 | (131 | ) | ||||||||||||
|
| |||||||||||||||||
(100 | ) | |||||||||||||||||
|
|
Abbreviations
USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 25 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021
(Amounts in thousands, except per share amounts)
JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||
ASSETS: |
| |||||||
Investments in non-affiliates, at value | $ | 6,529,580 | $ | 1,091,332 | ||||
Investments in affiliates, at value | 111,790 | 35,626 | ||||||
Investment of cash collateral received from securities loaned, at value (See Note 2.B.) | 29,586 | 62,943 | ||||||
Cash | 38 | 5 | ||||||
Deposits at broker for futures contracts | 1,751 | 1,861 | ||||||
Receivables: | ||||||||
Investment securities sold | 32,038 | 26,289 | ||||||
Fund shares sold | 1,626 | 270 | ||||||
Dividends from non-affiliates | 3,864 | 912 | ||||||
Dividends from affiliates | — | (a) | — | (a) | ||||
Securities lending income (See Note 2.B.) | 4 | 6 | ||||||
Variation margin on futures contracts | 46 | 26 | ||||||
Due from adviser | 8 | — | ||||||
|
|
|
| |||||
Total Assets | 6,710,331 | 1,219,270 | ||||||
|
|
|
| |||||
LIABILITIES: |
| |||||||
Payables: | ||||||||
Investment securities purchased | — | 34,715 | ||||||
Collateral received on securities loaned (See Note 2.B.) | 29,586 | 62,943 | ||||||
Fund shares redeemed | 35,484 | 307 | ||||||
Accrued liabilities: | ||||||||
Investment advisory fees | — | 178 | ||||||
Administration fees | 170 | 36 | ||||||
Distribution fees | 219 | 47 | ||||||
Service fees | 228 | 29 | ||||||
Custodian and accounting fees | 56 | 13 | ||||||
Trustees’ and Chief Compliance Officer’s fees | — | (a) | — | (a) | ||||
Other | 147 | 69 | ||||||
|
|
|
| |||||
Total Liabilities | 65,890 | 98,337 | ||||||
|
|
|
| |||||
Net Assets | $ | 6,644,441 | $ | 1,120,933 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021 (continued)
(Amounts in thousands, except per share amounts)
JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||
NET ASSETS: | ||||||||
Paid-in-Capital | $ | 2,767,330 | $ | 620,678 | ||||
Total distributable earnings (loss) | 3,877,111 | 500,255 | ||||||
|
|
|
| |||||
Total Net Assets | $ | 6,644,441 | $ | 1,120,933 | ||||
|
|
|
| |||||
Net Assets: | ||||||||
Class A | $ | 749,440 | $ | 130,822 | ||||
Class C | 110,184 | 22,386 | ||||||
Class I | 991,703 | 187,197 | ||||||
Class R2 | — | 14,519 | ||||||
Class R6 | 4,793,114 | 766,009 | ||||||
|
|
|
| |||||
Total | $ | 6,644,441 | $ | 1,120,933 | ||||
|
|
|
| |||||
Outstanding units of beneficial interest (shares) | ||||||||
Class A | 11,487 | 10,302 | ||||||
Class C | 1,707 | 2,231 | ||||||
Class I | 15,181 | 14,427 | ||||||
Class R2 | — | 1,168 | ||||||
Class R6 | 73,350 | 59,431 | ||||||
Net Asset Value (a): | ||||||||
Class A — Redemption price per share | $ | 65.24 | $ | 12.70 | ||||
Class C — Offering price per share (b) | 64.55 | 10.04 | ||||||
Class I — Offering and redemption price per share | 65.33 | 12.98 | ||||||
Class R2 — Offering and redemption price per share | — | 12.43 | ||||||
Class R6 — Offering and redemption price per share | 65.35 | 12.89 | ||||||
Class A maximum sales charge | 5.25 | % | 5.25 | % | ||||
Class A maximum public offering price per share | $ | 68.85 | $ | 13.40 | ||||
|
|
|
| |||||
Cost of investments in non-affiliates | $ | 2,667,916 | $ | 681,838 | ||||
Cost of investments in affiliates | 59,441 | 35,621 | ||||||
Investment securities on loan, at value (See Note 2.B.) | 28,583 | 61,512 | ||||||
Cost of investment of cash collateral (See Note 2.B.) | �� | 29,587 | 62,946 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 27 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2021
(Amounts in thousands)
JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||
INVESTMENT INCOME: | ||||||||
Dividend income from non-affiliates | $ | 92,532 | $ | 13,741 | ||||
Dividend income from affiliates | 2,176 | 31 | ||||||
Income from securities lending (net) (See Note 2.B.) | 153 | 98 | ||||||
|
|
|
| |||||
Total investment income | 94,861 | 13,870 | ||||||
|
|
|
| |||||
EXPENSES: | ||||||||
Investment advisory fees | 2,458 | 2,424 | ||||||
Administration fees | 4,608 | 727 | ||||||
Distribution fees: | ||||||||
Class A | 1,662 | 285 | ||||||
Class C | 764 | 159 | ||||||
Class R2 | — | 64 | ||||||
Service fees: | ||||||||
Class A | 1,662 | 285 | ||||||
Class C | 255 | 53 | ||||||
Class I | 2,484 | 451 | ||||||
Class R2 | — | 32 | ||||||
Custodian and accounting fees | 242 | 42 | ||||||
Interest expense to affiliates | 4 | — | (a) | |||||
Professional fees | 97 | 56 | ||||||
Trustees’ and Chief Compliance Officer’s fees | 41 | 27 | ||||||
Printing and mailing costs | 121 | 44 | ||||||
Registration and filing fees | 169 | 66 | ||||||
Transfer agency fees (See Note 2.F.) | 275 | 57 | ||||||
Other | 96 | 26 | ||||||
|
|
|
| |||||
Total expenses | 14,938 | 4,798 | ||||||
|
|
|
| |||||
Less fees waived | (6,917 | ) | (1,540 | ) | ||||
Less expense reimbursements | (29 | ) | (1 | ) | ||||
|
|
|
| |||||
Net expenses | 7,992 | 3,257 | ||||||
|
|
|
| |||||
Net investment income (loss) | 86,869 | 10,613 | ||||||
|
|
|
| |||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||
Net realized gain (loss) on transactions from: |
| |||||||
Investments in non-affiliates | 69,616 | 108,394 | ||||||
Investments in affiliates | 2,986 | (7 | ) | |||||
Futures contracts | 10,641 | 11,164 | ||||||
|
|
|
| |||||
Net realized gain (loss) | 83,243 | 119,551 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation on: | ||||||||
Investments in non-affiliates | 1,849,646 | 309,127 | ||||||
Investments in affiliates | 34,820 | (6 | ) | |||||
Futures contracts | (54 | ) | (603 | ) | ||||
|
|
|
| |||||
Change in net unrealized appreciation/depreciation | 1,884,412 | 308,518 | ||||||
|
|
|
| |||||
Net realized/unrealized gains (losses) | 1,967,655 | 428,069 | ||||||
|
|
|
| |||||
Change in net assets resulting from operations | $ | 2,054,524 | $ | 438,682 | ||||
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 86,869 | $ | 110,145 | $ | 10,613 | $ | 11,526 | ||||||||
Net realized gain (loss) | 83,243 | (79,555 | ) | 119,551 | 13,208 | |||||||||||
Change in net unrealized appreciation/depreciation | 1,884,412 | 311,041 | 308,518 | (102,163 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 2,054,524 | 341,631 | 438,682 | (77,429 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (8,535 | ) | (13,786 | ) | (4,777 | ) | (7,463 | ) | ||||||||
Class C | (710 | ) | (1,399 | ) | (1,056 | ) | (1,930 | ) | ||||||||
Class I | (15,010 | ) | (17,951 | ) | (7,824 | ) | (14,281 | ) | ||||||||
Class R2 | — | — | (505 | ) | (683 | ) | ||||||||||
Class R6 | (74,066 | ) | (76,732 | ) | (28,918 | ) | (32,417 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (98,321 | ) | (109,868 | ) | (43,080 | ) | (56,774 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | (315,633 | ) | 261,702 | (73,378 | ) | (16,159 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,640,570 | 493,465 | 322,224 | (150,362 | ) | |||||||||||
Beginning of period | 5,003,871 | 4,510,406 | 798,709 | 949,071 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 6,644,441 | $ | 5,003,871 | $ | 1,120,933 | $ | 798,709 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 29 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 74,031 | $ | 396,037 | $ | 12,668 | $ | 14,635 | ||||||||
Distributions reinvested | 8,283 | 13,586 | 4,485 | 7,071 | ||||||||||||
Cost of shares redeemed | (119,065 | ) | (476,055 | ) | (29,106 | ) | (35,182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | (36,751 | ) | (66,432 | ) | (11,953 | ) | (13,476 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 12,852 | 28,430 | 1,380 | 2,645 | ||||||||||||
Distributions reinvested | 573 | 1,019 | 1,043 | 1,874 | ||||||||||||
Cost of shares redeemed | (39,283 | ) | (27,965 | ) | (8,237 | ) | (9,924 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (25,858 | ) | 1,484 | (5,814 | ) | (5,405 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 246,978 | 615,684 | 30,722 | 66,205 | ||||||||||||
Distributions reinvested | 14,184 | 17,086 | 6,558 | 12,652 | ||||||||||||
Cost of shares redeemed | (612,226 | ) | (449,355 | ) | (96,868 | ) | (132,377 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | (351,064 | ) | 183,415 | (59,588 | ) | (53,520 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Proceeds from shares issued | — | — | 2,268 | 2,859 | ||||||||||||
Distributions reinvested | — | — | 505 | 683 | ||||||||||||
Cost of shares redeemed | — | — | (4,131 | ) | (3,891 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R2 capital transactions | — | — | (1,358 | ) | (349 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 1,831,702 | 933,144 | 35,619 | 88,970 | ||||||||||||
Distributions reinvested | 73,037 | 75,669 | 28,918 | 32,417 | ||||||||||||
Cost of shares redeemed | (1,806,699 | ) | (865,578 | ) | (59,202 | ) | (64,796 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 98,040 | 143,235 | 5,335 | 56,591 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | (315,633 | ) | $ | 261,702 | $ | (73,378 | ) | $ | (16,159 | ) | |||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
30 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Equity Index Fund | JPMorgan Market Expansion Enhanced Index Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 1,327 | 9,010 | 1,153 | 1,620 | ||||||||||||
Reinvested | 147 | 300 | 434 | 706 | ||||||||||||
Redeemed | (2,136 | ) | (10,572 | ) | (2,805 | ) | (3,909 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | (662 | ) | (1,262 | ) | (1,218 | ) | (1,583 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 229 | 638 | 158 | 354 | ||||||||||||
Reinvested | 11 | 23 | 128 | 234 | ||||||||||||
Redeemed | (738 | ) | (629 | ) | (995 | ) | (1,383 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (498 | ) | 32 | (709 | ) | (795 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 4,416 | 13,690 | 2,880 | 7,326 | ||||||||||||
Reinvested | 253 | 378 | 620 | 1,238 | ||||||||||||
Redeemed | (11,138 | ) | (10,027 | ) | (9,173 | ) | (14,740 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | (6,469 | ) | 4,041 | (5,673 | ) | (6,176 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class R2 | ||||||||||||||||
Issued | — | — | 218 | 332 | ||||||||||||
Reinvested | — | — | 50 | 69 | ||||||||||||
Redeemed | — | — | (395 | ) | (425 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R2 Shares | — | — | (127 | ) | (24 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 32,382 | 20,323 | 3,304 | 11,559 | ||||||||||||
Reinvested | 1,283 | 1,679 | 2,753 | 3,191 | ||||||||||||
Redeemed | (30,349 | ) | (19,098 | ) | (5,522 | ) | (7,082 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 3,316 | 2,904 | 535 | 7,668 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 31 |
Table of Contents
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Equity Index Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.41 | 0.61 | 4.54 | 5.15 | (0.54 | ) | (0.38 | ) | (0.92 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 35.36 | 0.61 | 5.22 | 5.83 | (0.59 | ) | (3.19 | ) | (3.78 | ) | ||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.08 | 0.37 | 4.50 | 4.87 | (0.30 | ) | (0.38 | ) | (0.68 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 35.09 | 0.36 | 5.18 | 5.54 | (0.36 | ) | (3.19 | ) | (3.55 | ) | ||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.44 | 0.72 | 4.54 | 5.26 | (0.64 | ) | (0.38 | ) | (1.02 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 35.39 | 0.70 | 5.22 | 5.92 | (0.68 | ) | (3.19 | ) | (3.87 | ) | ||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 37.44 | 0.76 | 4.57 | 5.33 | (0.71 | ) | (0.38 | ) | (1.09 | ) | ||||||||||||||||||
September 1, 2016 (g) through June 30, 2017 | 36.73 | 0.58 | 4.05 | 4.63 | (0.73 | ) | (3.19 | ) | (3.92 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Net expenses for Class R6 Shares are 0.044% for the year ended June 30, 2021, 0.044% for the year ended June 30, 2020, 0.043% for the year ended June 30, 2019, 0.042% for the year ended June 30, 2018 and 0.045% for the period September 1, 2016 through June 30, 2017. |
(g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
32 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without waivers, reimbursements and earnings credits | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
41.64 | 13.88 | 590,286 | 0.45 | 1.52 | 0.69 | 14 | ||||||||||||||||||||
37.41 | 17.35 | 580,645 | 0.45 | 1.67 | 0.76 | 21 | ||||||||||||||||||||
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 | ||||||||||||||||||||
41.27 | 13.20 | 78,613 | 1.05 | 0.92 | 1.15 | 14 | ||||||||||||||||||||
37.08 | 16.57 | 89,681 | 1.11 | 1.01 | 1.23 | 21 | ||||||||||||||||||||
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 | ||||||||||||||||||||
41.68 | 14.18 | 687,941 | 0.20 | 1.78 | 0.40 | 14 | ||||||||||||||||||||
37.44 | 17.62 | 740,340 | 0.20 | 1.93 | 0.48 | 21 | ||||||||||||||||||||
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 | |||||||||||||||||||
41.68 | 14.36 | 2,008,916 | 0.04 | (f) | 1.85 | 0.14 | 14 | |||||||||||||||||||
37.44 | 13.49 | 338,764 | 0.05 | (f) | 1.93 | 0.15 | 21 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 33 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED
Per share operating performance | ||||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b) | Net realized (losses) on | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Year Ended June 30, 2021 | $ | 8.38 | $ | 0.09 | $ | 4.68 | $ | 4.77 | $ | (0.09 | ) | $ | (0.36 | ) | $ | (0.45 | ) | |||||||||||
Year Ended June 30, 2020 | 9.88 | 0.10 | (0.98 | ) | (0.88 | ) | (0.11 | ) | (0.51 | ) | (0.62 | ) | ||||||||||||||||
Year Ended June 30, 2019 | 11.75 | 0.10 | (0.65 | ) | (0.55 | ) | (0.09 | ) | (1.23 | ) | (1.32 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 11.52 | 0.10 | 1.46 | 1.56 | (0.08 | ) | (1.25 | ) | (1.33 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 10.64 | 0.10 | 1.92 | 2.02 | (0.08 | ) | (1.06 | ) | (1.14 | ) | ||||||||||||||||||
Class C |
| |||||||||||||||||||||||||||
Year Ended June 30, 2021 | 6.70 | 0.03 | 3.73 | 3.76 | (0.06 | ) | (0.36 | ) | (0.42 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 8.02 | 0.04 | (0.78 | ) | (0.74 | ) | (0.07 | ) | (0.51 | ) | (0.58 | ) | ||||||||||||||||
Year Ended June 30, 2019 | 9.83 | 0.04 | (0.56 | ) | (0.52 | ) | (0.06 | ) | (1.23 | ) | (1.29 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 9.85 | 0.03 | 1.24 | 1.27 | (0.04 | ) | (1.25 | ) | (1.29 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 9.27 | 0.03 | 1.65 | 1.68 | (0.04 | ) | (1.06 | ) | (1.10 | ) | ||||||||||||||||||
Class I |
| |||||||||||||||||||||||||||
Year Ended June 30, 2021 | 8.55 | 0.12 | 4.78 | 4.90 | (0.11 | ) | (0.36 | ) | (0.47 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 10.06 | 0.12 | (0.99 | ) | (0.87 | ) | (0.13 | ) | (0.51 | ) | (0.64 | ) | ||||||||||||||||
Year Ended June 30, 2019 | 11.92 | 0.13 | (0.67 | ) | (0.54 | ) | (0.09 | ) | (1.23 | ) | (1.32 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 11.66 | 0.13 | 1.48 | 1.61 | (0.10 | ) | (1.25 | ) | (1.35 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 10.75 | 0.13 | 1.94 | 2.07 | (0.10 | ) | (1.06 | ) | (1.16 | ) | ||||||||||||||||||
Class R2 |
| |||||||||||||||||||||||||||
Year Ended June 30, 2021 | 8.21 | 0.04 | 4.60 | 4.64 | (0.06 | ) | (0.36 | ) | (0.42 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 9.69 | 0.06 | (0.97 | ) | (0.91 | ) | (0.06 | ) | (0.51 | ) | (0.57 | ) | ||||||||||||||||
Year Ended June 30, 2019 | 11.56 | 0.07 | (0.65 | ) | (0.58 | ) | (0.06 | ) | (1.23 | ) | (1.29 | ) | ||||||||||||||||
Year Ended June 30, 2018 | 11.36 | 0.07 | 1.44 | 1.51 | (0.06 | ) | (1.25 | ) | (1.31 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 10.52 | 0.07 | 1.89 | 1.96 | (0.06 | ) | (1.06 | ) | (1.12 | ) | ||||||||||||||||||
Class R6 |
| |||||||||||||||||||||||||||
Year Ended June 30, 2021 | 8.49 | 0.13 | 4.76 | 4.89 | (0.13 | ) | (0.36 | ) | (0.49 | ) | ||||||||||||||||||
Year Ended June 30, 2020 | 10.00 | 0.13 | (0.99 | ) | (0.86 | ) | (0.14 | ) | (0.51 | ) | (0.65 | ) | ||||||||||||||||
October 1, 2018 (f) through June 30, 2019 | 12.08 | 0.11 | (0.82 | ) | (0.71 | ) | (0.14 | ) | (1.23 | ) | (1.37 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Calculated based upon average shares outstanding. |
(c) | Not annualized for periods less than one year. |
(d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(f) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
34 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
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| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (c)(d) | Net assets, end of period (000’s) | Net expenses (e) | Net income | Expenses without | Portfolio turnover rate (c) | ||||||||||||||||||||
$ | 12.70 | 58.28 | % | $ | 130,822 | 0.60 | % | 0.83 | % | 0.87 | % | 35 | % | |||||||||||||
8.38 | (9.97 | ) | 96,485 | 0.60 | 1.08 | 0.88 | 49 | |||||||||||||||||||
9.88 | (3.69 | ) | 129,406 | 0.60 | 0.98 | 0.88 | 36 | |||||||||||||||||||
11.75 | 14.02 | 171,304 | 0.60 | 0.85 | 0.88 | 33 | ||||||||||||||||||||
11.52 | 19.37 | 162,853 | 0.62 | 0.87 | 0.93 | 30 | ||||||||||||||||||||
10.04 | 57.62 | 22,386 | 1.10 | 0.33 | 1.38 | 35 | ||||||||||||||||||||
6.70 | (10.43 | ) | 19,697 | 1.10 | 0.57 | 1.39 | 49 | |||||||||||||||||||
8.02 | (4.21 | ) | 29,952 | 1.10 | 0.49 | 1.38 | 36 | |||||||||||||||||||
9.83 | 13.46 | 36,618 | 1.10 | 0.34 | 1.38 | 33 | ||||||||||||||||||||
9.85 | 18.58 | 37,529 | 1.17 | 0.32 | 1.44 | 30 | ||||||||||||||||||||
12.98 | 58.74 | 187,197 | 0.35 | 1.08 | 0.60 | 35 | ||||||||||||||||||||
8.55 | (9.68 | ) | 171,771 | 0.35 | 1.32 | 0.62 | 49 | |||||||||||||||||||
10.06 | (3.56 | ) | 264,415 | 0.34 | 1.14 | 0.61 | 36 | |||||||||||||||||||
11.92 | 14.31 | 864,316 | 0.35 | 1.10 | 0.61 | 33 | ||||||||||||||||||||
11.66 | 19.66 | 788,063 | 0.38 | 1.13 | 0.62 | 30 | ||||||||||||||||||||
12.43 | 57.76 | 14,519 | 1.00 | 0.43 | 1.25 | 35 | ||||||||||||||||||||
8.21 | (10.32 | ) | 10,627 | 1.00 | 0.68 | 1.29 | 49 | |||||||||||||||||||
9.69 | (4.11 | ) | 12,786 | 0.93 | 0.66 | 1.35 | 36 | |||||||||||||||||||
11.56 | 13.79 | 13,560 | 0.83 | 0.61 | 1.35 | 33 | ||||||||||||||||||||
11.36 | 19.06 | 22,703 | 0.85 | 0.63 | 1.29 | 30 | ||||||||||||||||||||
12.89 | 58.97 | 766,009 | 0.25 | 1.18 | 0.35 | 35 | ||||||||||||||||||||
8.49 | (9.65 | ) | 500,129 | 0.25 | 1.45 | 0.36 | 49 | |||||||||||||||||||
10.00 | (4.81 | ) | 512,512 | 0.25 | 1.51 | 0.37 | 36 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 35 |
Table of Contents
AS OF JUNE 30, 2021
(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 2 separate funds of the Trust (each, a “Fund” and collectively, the “Funds”) covered by this report:
Classes Offered | Diversification Classification | |||
JPMorgan Equity Index Fund | Class A, Class C, Class I and Class R6 | Diversified | ||
JPMorgan Market Expansion Enhanced Index Fund | Class A, Class C, Class I, Class R2 and Class R6 | Diversified |
The investment objective of 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 Market Expansion Enhanced Index Fund (“Market Expansion Enhanced Index Fund”) is to seek to provide investment results that correspond to or incrementally exceed the total return performance of an index that tracks the performance of the small and mid-capitalization equity markets.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class R2 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts are generally valued on the basis of available market quotations. Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.
The various inputs that are used in determining the valuation of the Funds’ investments are summarized into the three broad levels listed below.
• | Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments. |
• | Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. |
• | Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Funds’ assumptions in determining the fair value of investments). |
36 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
Table of Contents
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 Index Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 6,670,956 | $ | — | $ | — | $ | 6,670,956 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments | ||||||||||||||||
Futures Contracts (a) | $ | 458 | $ | — | $ | — | $ | 458 | ||||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
Market Expansion Enhanced Index Fund
Level 1 Quoted prices | Level 2 Other significant observable inputs | Level 3 Significant unobservable inputs | Total | |||||||||||||
Total Investments in Securities (a) | $ | 1,189,901 | $ | — | $ | — | $ | 1,189,901 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Appreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts (a) | $ | 31 | $ | — | $ | — | $ | 31 | ||||||||
Depreciation in Other Financial Instruments |
| |||||||||||||||
Futures Contracts (a) | (131 | ) | — | — | (131 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Appreciation/Depreciation in Other Financial Instruments | $ | (100 | ) | $ | — | $ | — | $ | (100 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain 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.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 37 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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 June 30, 2021.
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 | $ | 28,583 | $ | (28,583 | ) | $ | — | |||||
Market Expansion Enhanced Index Fund | 61,512 | (61,512 | ) | — |
* | 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 0.12% to 0.06%. For the year ended June 30, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
Equity Index Fund | $ | 7 | ||
Market Expansion Enhanced Index Fund | 3 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
C. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. 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 Index Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds Sales | Net (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Chase & Co. (a) | $ | 55,564 | $ | 17,224 | $ | 24,847 | $ | 2,986 | $ | 34,820 | $ | 85,747 | 551 | $ | 2,169 | $ | — | |||||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (b)(c) | 82,086 | 456,000 | 512,650 | (29 | )* | — | (d) | 25,407 | 25,407 | 117 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (b)(c) | 44,138 | 279,006 | 318,965 | — | — | 4,179 | 4,179 | 6 | * | — | ||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (b)(c) | 23,364 | 2,081,392 | 2,078,713 | — | — | 26,043 | 26,043 | 7 | — | |||||||||||||||||||||||||||
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Total | $ | 205,152 | $ | 2,833,622 | $ | 2,935,175 | $ | 2,957 | $ | 34,820 | $ | 141,376 | $ | 2,299 | $ | — | ||||||||||||||||||||
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(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 June 30, 2021. |
(d) | 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). |
38 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
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Market Expansion Enhanced Index Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds Sales | Net (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a)(b) | $ | 24,762 | $ | 158,806 | $ | 147,934 | $ | (7 | ) | $ | (1 | ) | $ | 35,626 | 35,608 | $ | 31 | $ | — | |||||||||||||||||
JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a)(b) | 35,019 | 167,000 | 144,000 | (8 | )* | (5 | ) | 58,006 | 58,005 | 54 | * | — | ||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a)(b) | 4,323 | 125,107 | 124,493 | — | — | 4,937 | 4,937 | 2 | * | — | ||||||||||||||||||||||||||
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Total | $ | 64,104 | $ | 450,913 | $ | 416,427 | $ | (15 | ) | $ | (6 | ) | $ | 98,569 | $ | 87 | $ | — | ||||||||||||||||||
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(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 June 30, 2021. |
* | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
D. Futures Contracts — The Funds used index futures contracts to gain or reduce exposure to their respective indices, 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).
The table below discloses the volume of the Funds’ futures contracts activity during the year ended June 30, 2021:
Equity Index Fund | Market Expansion Enhanced Index Fund | |||||||
Futures Contracts — Equity: | ||||||||
Average Notional Balance Long | $ | 36,040 | $ | 24,904 | ||||
Ending Notional Balance Long | 30,234 | 26,750 |
E. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Dividend income is recorded on the ex-dividend date or when a Fund first learns of the dividend.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 39 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (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.
F. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended June 30, 2021 are as follows:
Class A | Class C | Class I | Class R2 | Class R6 | Total | |||||||||||||||||||
Equity Index Fund | ||||||||||||||||||||||||
Transfer agency fees | $ | 209 | $ | 5 | $ | 31 | n/a | $ | 30 | $ | 275 | |||||||||||||
Market Expansion Enhanced Index Fund | ||||||||||||||||||||||||
Transfer agency fees | 21 | 6 | 6 | $ | 19 | 5 | 57 |
G. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2021, 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.
H. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least quarterly for Equity Index Fund and declared and paid at least annually for Market Expansion Enhanced Index Fund. Distributions are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Equity Index Fund | $ | — | $ | (1,550 | ) | $ | 1,550 | |||||
Market Expansion Enhanced Index Fund | — | (118 | ) | 118 |
The reclassifications for the Funds relate primarily to non-taxable dividends.
I. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
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 Index Fund | 0.04 | % | ||
Market Expansion Enhanced Index Fund | 0.25 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
40 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
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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 year ended June 30, 2021, the effective rate was 0.07% 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 Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
Class A | Class C | Class R2 | ||||||||||
Equity Index Fund | 0.25 | % | 0.75 | % | n/a | |||||||
Market Expansion Enhanced Index Fund | 0.25 | 0.75 | 0.50 | % |
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended June 30, 2021, JPMDS retained the following:
Front-End Sales Charge | CDSC | |||||||
Equity Index Fund | $ | 32 | $ | — | (a) | |||
Market Expansion Enhanced Index Fund | 7 | — | (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 | Class R2 | |||||||||||||
Equity Index Fund | 0.25 | % | 0.25 | % | 0.25 | % | n/a | |||||||||
Market Expansion Enhanced Index Fund | 0.25 | 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 R2 | Class R6 | ||||||||||||||||
Equity Index Fund | 0.45 | % | n/a | 0.20 | % | n/a | 0.045 | % | ||||||||||||
Market Expansion Enhanced Index Fund | 0.60 | 1.10 | % | 0.35 | 1.00 | % | 0.25 |
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 41 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
The expense limitation agreements were in effect for the year ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2021.
For the year ended June 30, 2021, 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 Index Fund | $ | 2,463 | $ | 2,602 | $ | 1,815 | $ | 6,880 | $ | 29 | ||||||||||
Market Expansion Enhanced Index Fund | 595 | 397 | 522 | 1,514 | 1 |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. 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 year ended June 30, 2021 were as follows:
Equity Index Fund | $ | 37 | ||
Market Expansion Enhanced Index Fund | 26 |
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.
During the year ended June 30, 2021, Market Expansion Enhanced Index Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended June 30, 2021, purchases and sales of investments (excluding short-term investments) were as follows:
Purchases (excluding U.S. Government) | Sales (excluding U.S. Government) | |||||||
Equity Index Fund | $ | 1,601,893 | $ | 1,906,737 | ||||
Market Expansion Enhanced Index Fund | 329,526 | 429,096 |
During the year ended June 30, 2021, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Equity Index Fund | $ | 2,890,608 | $ | 3,788,518 | $ | 7,712 | $ | 3,780,806 | ||||||||
Market Expansion Enhanced Index Fund | 791,319 | 409,687 | 11,205 | 398,482 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to mark to market of futures contracts, non-taxable dividends and wash sale loss deferrals.
42 | J.P. MORGAN EQUITY FUNDS | JUNE 30, 2021 |
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The tax character of distributions paid during the year ended June 30, 2021 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 98,321 | $ | — | $ | 98,321 | ||||||
Market Expansion Enhanced Index Fund | 10,680 | 32,400 | 43,080 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended June 30, 2020 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Equity Index Fund | $ | 100,689 | $ | 9,179 | $ | 109,868 | ||||||
Market Expansion Enhanced Index Fund | 11,935 | 44,839 | 56,774 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of June 30, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Equity Index Fund | $ | 72,432 | $ | 23,953 | $ | 3,780,806 | ||||||
Market Expansion Enhanced Index Fund | 33,029 | 68,796 | 398,482 |
The cumulative timing differences primarily consist of mark to market of futures contracts, non-taxable dividends and wash sale loss deferrals.
As of June 30, 2021, the Funds did not have any net capital loss carryforwards.
During the year ended June 30, 2021, the following Fund utilized capital loss carryforwards as follows:
Capital Loss Utilized | ||||||||
Short-Term | Long-Term | |||||||
Equity Index Fund | $ | 3,355 | $ | 1,124 |
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 at June 30, 2021. Average borrowings from the Facility during the year ended June 30, 2021 were as follows:
Average Borrowings | Average Interest Rate Paid | Number of Days Outstanding | Interest Paid | |||||||||||||
Equity Index Fund | $ | 33,005 | 0.83 | % | 5 | $ | 4 |
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2021.
JUNE 30, 2021 | J.P. MORGAN EQUITY FUNDS | 43 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25% (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended June 30, 2021.
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 June 30, 2021, the following 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 | |||||||
Equity Index Fund | 1 | 10.2 | % | |||||
Market Expansion Enhanced Index Fund | 3 | 56.5 |
As of June 30, 2021, J.P. Morgan Investor Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds 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 Blend Funds | |||||||
Equity Index Fund | — | 53.6 | % | |||||
Market Expansion Enhanced Index Fund | 63.7 | % | — |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or 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 prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the
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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. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust II and Shareholders of JPMorgan Equity Index Fund and JPMorgan Market Expansion Enhanced Index Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Equity Index Fund and JPMorgan Market Expansion Enhanced Index Fund (two of the funds constituting JPMorgan Trust II, hereafter collectively referred to as the “Funds”) as of June 30, 2021, the related statements of operations for the year ended June 30, 2021, the statements of changes in net assets for each of the two years in the period ended June 30, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 24, 2021
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Chair since 2020; Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 127 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present); | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 127 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trust since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 127 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions, (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017. (3) | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | 127 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 127 | None |
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TRUSTEES
(Unaudited) (continued)
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 127 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Mary E. Martinez (1960); Vice Chair since 2021; Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 127 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 127 | None | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 127 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 127 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
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(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (127 funds). |
(3) | Mr. Harrington retired from the Board of Trustees effective July 31, 2021. |
* | Two family members of Mr. Harrington are employed as a partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
Shannon Gaines (1977), Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
*** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2021, and continued to hold your shares at the end of the reporting period, June 30, 2021.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Equity Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,150.10 | $ | 2.40 | 0.45 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.56 | 2.26 | 0.45 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,146.60 | 5.59 | 1.05 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.59 | 5.26 | 1.05 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,151.60 | 1.07 | 0.20 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.80 | 1.00 | 0.20 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,152.40 | 0.21 | 0.04 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.60 | 0.20 | 0.04 | ||||||||||||
JPMorgan Market Expansion Enhanced Index Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,204.90 | 3.28 | 0.60 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.82 | 3.01 | 0.60 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,202.40 | 6.01 | 1.10 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.34 | 5.51 | 1.10 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,207.40 | 1.92 | 0.35 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.06 | 1.76 | 0.35 | ||||||||||||
Class R2 | ||||||||||||||||
Actual | 1,000.00 | 1,203.30 | 5.46 | 1.00 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.84 | 5.01 | 1.00 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,206.90 | 1.37 | 0.25 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.55 | 1.25 | 0.25 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Board of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation,
including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board of Trustees reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of this
assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule); (4) whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (6) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (7) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of each Fund’s investments; and (2) perform additional stress testing. The Report noted that each Fund was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
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(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, 2021. 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, 2021.
The information necessary to complete your income tax returns
for the calendar year ending December 31, 2021 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions
eligible for the dividends received deduction for corporate
shareholders for the fiscal year ended June 30, 2021:
Dividends Received Deduction | ||||
JPMorgan Equity Index Fund | 88.26 | % | ||
JPMorgan Market Expansion Enhanced Index Fund | 100.00 |
Long-Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2021:
Long-Term Capital Gain Distribution | ||||
JPMorgan Market Expansion Enhanced Index Fund | $ | 32,400 |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum
allowable amount, of ordinary income distributions treated as
qualified dividends for the fiscal year ended June 30, 2021:
Qualified Dividend Income | ||||
JPMorgan Equity Index Fund | $ | 89,219 | ||
JPMorgan Market Expansion Enhanced Index Fund | 10,680 |
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FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC 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.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | AN-INDEX-621 |
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Annual Report
J.P. Morgan Investor Funds
June 30, 2021
JPMorgan Investor Balanced Fund
JPMorgan Investor Conservative Growth Fund
JPMorgan Investor Growth Fund
JPMorgan Investor Growth & Income Fund
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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LETTER TO SHAREHOLDERS
August 4, 2021 (Unaudited)
Dear Shareholders,
The rally in equity markets that began in the second half of last year accelerated in 2021 on the back of mass vaccinations against COVID-19, federal relief and recovery efforts and a surge in both corporate profits and consumer spending. As a result, we find ourselves in a different environment than we inhabited a year ago.
“Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management.” — Andrea L. Lisher |
U.S. equity markets turned in a particularly remarkable performance over the twelve months ended June 30, 2021. The S&P 500 posted a total return of 40.79%; the Russell 1000 returned 43.07%; the Russell Mid Cap Index returned 49.80% and the Russell Small Cap Index returned 62.03%. The lesson for investors, we believe, is clear: Those who were consistently and fully invested in the second half of 2020 through the first half of 2021 stood to benefit greatly from the superlative performance in global equity markets.
The rollout of mass vaccinations and the partial reopening of economies at all scales have fueled job growth, consumer spending and rising corporate profits. However, the pandemic
remains a global threat and the Delta variant of COVID-19 has driven a resurgence in infections across the U.S. and elsewhere. At the same time, a rush of economic activity has driven prices higher for a range of products and commodities and raised investor concerns about the timing of any potential response to rising inflation by the U.S. Federal Reserve. While the central bank has acknowledged stronger-than-expected inflationary data, it has also maintained its stance that upward pressure on consumer prices is likely to be a temporary effect of the economic recovery.
Amid opportunities and challenges both new and old, J.P. Morgan Asset Management will seek to continue to provide investors with innovative strategies and solutions to build durable portfolios that are bolstered by our extensive experience in risk management. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 1 |
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2021 (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 June 30, 2021 (in thousands) | ||||||||||||||||||
JPMorgan Investor Balanced Fund, Class A | 16.86 | % | 22.40% | 0.05% | 44.16% | 32.35% | $ | 5,912,919 | ||||||||||||||||
JPMorgan Investor Conservative Growth Fund, Class A | 8.96 | 14.14 | 0.05 | 44.16 | 32.35 | 4,859,371 | ||||||||||||||||||
JPMorgan Investor Growth Fund, Class A | 32.02 | 38.24 | 0.05 | 44.16 | 32.35 | 4,262,795 | ||||||||||||||||||
JPMorgan Investor Growth & Income Fund, Class A | 23.67 | 29.49 | 0.05 | 44.16 | 32.35 | 4,144,536 |
Investor Balanced Fund | ||||
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Fixed Income | 42.6 | % | ||
U.S. Equity | 37.6 | |||
International Equity | 13.5 | |||
Alternative Assets | 4.0 | |||
Short-Term Investments | 2.3 | |||
Investor Conservative Growth Fund | ||||
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
Fixed Income | 61.6 | % | ||
U.S. Equity | 22.5 | |||
International Equity | 8.8 | |||
Alternative Assets | 4.8 | |||
Short-Term Investments | 2.3 | |||
Investor Growth Fund | ||||
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
U.S. Equity | 64.3 | % | ||
International Equity | 22.9 | |||
Fixed Income | 9.8 | |||
Alternative Assets | 1.2 | |||
Short-Term Investments | 1.8 |
Investor Growth & Income Fund | ||||
PORTFOLIO COMPOSITION BY ASSET CLASS AS OF JUNE 30, 2021 | PERCENT OF TOTAL INVESTMENTS | |||
U.S. Equity | 51.0 | % | ||
Fixed Income | 28.4 | |||
International Equity | 16.2 | |||
Alternative Assets | 2.0 | |||
Short-Term Investments | 2.4 |
* | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
2 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
J.P. Morgan Investor Funds
TWELVE MONTHS ENDED JUNE 30, 2021 (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?
Overall, U.S. and emerging markets equity led a remarkable global rally in stocks on the back of massive central bank interventions, unprecedented fiscal spending and the rollout of multiple vaccines against COVID-19 and its variants. The initial reopening of the U.S. economy in 2021 fueled a surge in corporate profits, consumer spending and business investment.
Leading U.S. equity indexes rose in July and August 2020, punctuated by five consecutive record high closings for the S&P 500 Index in late August – a stretch not seen since 2017. While the spread of COVID-19 accelerated in the U.S., multiple candidate vaccines were being developed around the world and the number of hospitalizations at the end of the summer was relatively small compared with what was to come at the end of the year.
Equity prices across the globe largely declined over September and October 2020. Re-closings across Asia and Europe in response to the pandemic dented investor optimism. The inability of the U.S. Congress to adopt further spending for pandemic relief put acute pressure on the S&P 500 Index in the final week of October.
U.S. equity prices began to rebound in November and by mid-month the S&P 500 Index reached a closing high and crossed 3,600 points for the first time amid the U.S. Food and Drug Administration’s approval of the first COVID-19 vaccines. November and December saw broad gains in global equity, partly driven by continued investor demand for U.S. large cap
stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on non-U.S. equity markets in June.
WHAT WERE THE MAIN DRIVERS OF THE FUNDS’ PERFORMANCE?
In accordance with their model allocations, each of the JPMorgan Investor Funds (the “Investor Funds”) allocated its assets among fixed income, equity and alternative investments.
For the twelve months ended June 30, 2021, each of the Investor Funds’ Class A Shares outperformed the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Investor Funds’ broad based fixed income benchmark, mainly due to the Investor Funds’ exposure to global equity, which outperformed fixed income markets.
Each of the Investor Funds’ Class A Shares underperformed the Russell 3000 Index, the Investor Funds’ broad based equity benchmark, due to the Investor Funds’ allocations to fixed income and international developed market equity, which both underperformed U.S. equity.
The Class A Shares of the Investor Growth Fund outperformed the MSCI EAFE Index, largely due to its large allocation to U.S. equity, which outperformed international developed market equity, while the Investor Balanced Fund, Investor Conservative Growth Fund and the Investor Growth & Income Fund underperformed the MSCI EAFE Index due to their allocations to fixed income, which underperformed international developed market equity.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 3 |
Table of Contents
J.P. Morgan Investor Funds
FUNDS COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited) (continued)
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 Fund’s composite benchmark. During the reporting period, the Investor Funds’ portfolio managers maintained their relative overweight positions in international equity.
* | The adviser seeks to achieve each Fund’s objective. There can be no guarantee it will be achieved. |
4 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Investor Balanced Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
With Sales Charge* | 16.86 | % | 8.86 | % | 7.21 | % | ||||||||
Without Sales Charge | 22.40 | 9.87 | 7.70 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | 20.78 | 9.27 | 7.23 | |||||||||||
Without CDSC | 21.78 | 9.27 | 7.23 | |||||||||||
CLASS I SHARES | December 10, 1996 | 22.72 | 10.15 | 7.96 | ||||||||||
CLASS R6 SHARES | July 31, 2017 | 23.03 | 10.32 | 8.04 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Balanced Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Moderate Funds Index from June 30, 2011 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Moderate Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays U.S. Intermediate Aggregate Index is an unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed
securities with maturities of one to 10 years. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper Mixed-Asset Target Allocation Moderate Funds Index consists of funds that by portfolio practice maintain a mix of between 40% to 60% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 5 |
Table of Contents
JPMorgan Investor Conservative Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
With Sales Charge* | 8.96 | % | 6.11 | % | 5.25 | % | ||||||||
Without Sales Charge | 14.14 | 7.09 | 5.74 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | 12.54 | 6.51 | 5.29 | |||||||||||
Without CDSC | 13.54 | 6.51 | 5.29 | |||||||||||
CLASS I SHARES | December 10, 1996 | 14.41 | 7.36 | 6.00 | ||||||||||
CLASS R6 SHARES | July 31, 2017 | 14.70 | 7.50 | 6.07 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Conservative Growth Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Conservative Funds Index from June 30, 2011 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Conservative Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays U.S. Intermediate Aggregate Index is an
unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper Mixed-Asset Target Allocation Conservative Funds Index consists of funds that by portfolio practice maintain a mix of between 20% to 40% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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 reflects Class A 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.
6 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Investor Growth Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
With Sales Charge* | 32.02 | % | 13.92 | % | 10.79 | % | ||||||||
Without Sales Charge | 38.24 | 14.97 | 11.31 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | 36.52 | 14.33 | 10.82 | |||||||||||
Without CDSC | 37.52 | 14.33 | 10.82 | |||||||||||
CLASS I SHARES | December 10, 1996 | 38.55 | 15.25 | 11.59 | ||||||||||
CLASS R6 SHARES | July 31, 2017 | 38.86 | 15.41 | 11.66 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index from June 30, 2011 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays U.S. Intermediate Aggregate Index is an
unmanaged index comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper Mixed-Asset Target Allocation Aggressive Growth Funds Index consists of funds that invest in a variety of market capitalization ranges without concentrating 75% of their equity assets in any one market capitalization range over an extended period of time. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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 reflects Class A 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.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 7 |
Table of Contents
JPMorgan Investor Growth & Income Fund
FUND COMMENTARY
TWELVE MONTHS ENDED JUNE 30, 2021 (Unaudited)
AVERAGE ANNUAL TOTAL RETURNS AS OF JUNE 30, 2021 | ||||||||||||||
INCEPTION DATE OF CLASS | 1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
CLASS A SHARES | December 10, 1996 | |||||||||||||
With Sales Charge* | 23.67 | % | 11.34 | % | 8.87 | % | ||||||||
Without Sales Charge | 29.49 | 12.37 | 9.37 | |||||||||||
CLASS C SHARES | July 1, 1997 | |||||||||||||
With CDSC** | 27.77 | 11.74 | 8.89 | |||||||||||
Without CDSC | 28.77 | 11.74 | 8.89 | |||||||||||
CLASS I SHARES | December 10, 1996 | 29.74 | 12.63 | 9.64 | ||||||||||
CLASS R6 SHARES | July 31, 2017 | 30.11 | 12.80 | 9.72 |
* | Sales Charge for Class A Shares is 4.50%. |
** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (6/30/11 TO 6/30/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns for Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Investor Growth & Income Fund, the Bloomberg Barclays U.S. Intermediate Aggregate Index, the Russell 3000 Index, the MSCI EAFE Index (net of foreign withholding taxes) and the Lipper Mixed-Asset Target Allocation Growth Funds Index from June 30, 2011 to June 30, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the broad-based securities indices and the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mixed-Asset Target Allocation Growth Funds Index, which is not a broad-based securities index, includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Bloomberg Barclays U.S. Intermediate Aggregate Index is an unmanaged index
comprised of U.S. Government, mortgage, corporate, and asset-backed securities with maturities of one to 10 years. The Russell 3000 Index is an unmanaged index which measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The Lipper Mixed-Asset Target Allocation Growth Funds Index consists of funds that by portfolio practice maintain a mix of between 60% to 80% equity securities, with the remainder invested in bonds, cash and cash equivalents. Investors cannot invest directly in an index.
Class A Shares have a $500 minimum initial investment and carry a 4.50% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or 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 reflects Class A 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.
8 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Investor Balanced Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 97.7% |
| |||||||
Alternative Assets — 4.0% |
| |||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | 7,616 | 120,338 | ||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 6,377 | 73,650 | ||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 4,086 | 41,268 | ||||||
|
| |||||||
Total Alternative Assets | 235,256 | |||||||
|
| |||||||
Fixed Income — 42.6% |
| |||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 93,666 | 1,128,677 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 58,716 | 503,785 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 6,879 | 55,446 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 21,096 | 154,632 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 28,044 | 268,098 | ||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 6,201 | 67,405 | ||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 22,831 | 232,193 | ||||||
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | 10,922 | 107,582 | ||||||
|
| |||||||
Total Fixed Income | 2,517,818 | |||||||
|
| |||||||
International Equity — 13.5% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 3,280 | 149,181 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 4,678 | 105,446 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 3,264 | 102,184 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 4,254 | 91,169 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 16,953 | 351,769 | ||||||
|
| |||||||
Total International Equity | 799,749 | |||||||
|
| |||||||
U.S. Equity — 37.6% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 8,107 | 184,505 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 4,500 | 306,788 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 9,090 | 183,431 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 17,161 | 221,200 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 1,055 | 60,530 | ||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 371 | 28,605 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 1,639 | 56,732 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 23,840 | 517,096 | ||||||
JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) | 2,689 | 198,466 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 7,327 | 269,929 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 4,542 | 196,041 | ||||||
|
| |||||||
Total U.S. Equity | 2,223,323 | |||||||
|
| |||||||
Total Investment Companies | 5,776,146 | |||||||
|
| |||||||
Short-Term Investments — 2.3% |
| |||||||
Investment Companies — 2.3% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 136,209 | 136,209 | ||||||
|
| |||||||
Total Investments — 100.0% | 5,912,355 | |||||||
Other Assets Less Liabilities — 0.0% (c) | 564 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 5,912,919 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
(c) | Amount rounds to less than 0.1% of net assets. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 9 |
Table of Contents
JPMorgan Investor Conservative Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 97.7% |
| |||||||
Alternative Assets — 4.8% |
| |||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | 6,877 | 108,652 | ||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 6,932 | 80,067 | ||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 4,392 | 44,356 | ||||||
|
| |||||||
Total Alternative Assets | 233,075 | |||||||
|
| |||||||
Fixed Income — 61.7% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 112,836 | 1,359,669 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 64,309 | 551,771 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 5,928 | 47,776 | ||||||
JPMorgan Government Bond Fund Class R6 Shares (a) | 4,248 | 46,731 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 17,801 | 130,480 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 28,877 | 276,066 | ||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 6,898 | 74,982 | ||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 38,014 | 386,602 | ||||||
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | 12,239 | 120,554 | ||||||
|
| |||||||
Total Fixed Income | 2,994,631 | |||||||
|
| |||||||
International Equity — 8.8% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 1,964 | 89,302 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 2,855 | 64,351 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 1,160 | 36,326 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 1,703 | 36,502 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 9,738 | 202,058 | ||||||
|
| |||||||
Total International Equity | 428,539 | |||||||
|
| |||||||
U.S. Equity — 22.4% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 5,147 | 117,151 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 2,022 | 137,885 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 3,081 | 62,174 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 6,286 | 81,023 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 931 | 53,455 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 273 | 21,086 | ||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 1,058 | 36,636 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 10,374 | 225,007 | ||||||
JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) | 1,584 | 116,904 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 3,181 | 117,176 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 2,812 | 121,387 | ||||||
|
| |||||||
Total U.S. Equity | 1,089,884 | |||||||
|
| |||||||
Total Investment Companies | 4,746,129 | |||||||
|
| |||||||
Short-Term Investments — 2.3% |
| |||||||
Investment Companies — 2.3% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 113,834 | 113,834 | ||||||
|
| |||||||
Total Investments — 100.0% | 4,859,963 | |||||||
Liabilities in Excess of | (592 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | 4,859,371 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
(c) | Amount rounds to less than 0.1% of net assets. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
10 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Investor Growth Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 98.2% |
| |||||||
Alternative Assets — 1.2% |
| |||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | 3,223 | 50,919 | ||||||
|
| |||||||
Fixed Income — 9.7% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 23,796 | 286,742 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 4,084 | 35,044 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 2,222 | 17,909 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 7,924 | 58,084 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 1,850 | 17,684 | ||||||
|
| |||||||
Total Fixed Income | 415,463 | |||||||
|
| |||||||
International Equity — 22.9% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 2,779 | 126,383 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 4,499 | 101,406 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 3,790 | 118,666 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 8,128 | 174,176 | ||||||
JPMorgan International Focus Fund Class R6 Shares (a) | 4,595 | 127,367 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 15,804 | 327,933 | ||||||
|
| |||||||
Total International Equity | 975,931 | |||||||
|
| |||||||
U.S. Equity — 64.4% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 6,005 | 136,682 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 6,862 | 467,865 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 21,126 | 426,327 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 18,258 | 235,346 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 1,274 | 73,142 | ||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 257 | 19,863 | ||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 3,020 | 104,559 | ||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 27,317 | 592,506 | ||||||
JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) | 2,961 | 218,557 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 8,656 | 318,872 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 3,435 | 148,266 | ||||||
|
| |||||||
Total U.S. Equity | 2,741,985 | |||||||
|
| |||||||
Total Investment Companies | 4,184,298 | |||||||
|
|
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Short-Term Investments — 1.8% |
| |||||||
Investment Companies — 1.8% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 77,533 | 77,533 | ||||||
|
| |||||||
Total Investments — 100.0% | 4,261,831 | |||||||
Other Assets Less Liabilities — 0.0% (c) | 964 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 4,262,795 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. | |
(c) | Amount rounds to less than 0.1% of net assets. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 11 |
Table of Contents
JPMorgan Investor Growth & Income Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF JUNE 30, 2021
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
Investment Companies — 97.5% |
| |||||||
Alternative Assets — 2.0% |
| |||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | 3,668 | 57,950 | ||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 2,136 | 24,674 | ||||||
|
| |||||||
Total Alternative Assets | 82,624 | |||||||
|
| |||||||
Fixed Income — 28.3% | ||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | 46,409 | 559,233 | ||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 23,486 | 201,508 | ||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 2,399 | 19,335 | ||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 14,257 | 104,504 | ||||||
JPMorgan Income Fund Class R6 Shares (a) | 14,318 | 136,880 | ||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 3,330 | 36,192 | ||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 5,679 | 57,752 | ||||||
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | 6,061 | 59,701 | ||||||
|
| |||||||
Total Fixed Income | 1,175,105 | |||||||
|
| |||||||
International Equity — 16.3% | ||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 2,351 | 106,916 | ||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 3,761 | 84,781 | ||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 2,754 | 86,231 | ||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 4,368 | 93,602 | ||||||
JPMorgan International Focus Fund Class R6 Shares (a) | 2,095 | 58,068 | ||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 11,755 | 243,911 | ||||||
|
| |||||||
Total International Equity | 673,509 | |||||||
|
| |||||||
U.S. Equity — 50.9% | ||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 6,130 | 139,527 | ||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 5,643 | 384,715 | ||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 12,328 | 248,789 | ||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 13,728 | 176,949 | ||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 981 | 56,297 | ||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 245 | 18,907 | ||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 2,407 | 83,333 |
INVESTMENTS | SHARES (000) | VALUE ($000) | ||||||
U.S. Equity — continued | ||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 21,322 | 462,466 | ||||||
JPMorgan U.S. GARP Equity Fund Class R6 Shares (a) | 1,688 | 124,584 | ||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 7,272 | 267,886 | ||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 3,464 | 149,502 | ||||||
|
| |||||||
Total U.S. Equity | 2,112,955 | |||||||
|
| |||||||
Total Investment Companies | 4,044,193 | |||||||
|
| |||||||
Short-Term Investments — 2.4% |
| |||||||
Investment Companies — 2.4% |
| |||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 97,632 | 97,632 | ||||||
|
| |||||||
Total Investments — 99.9% | 4,141,825 | |||||||
Other Assets Less Liabilities — 0.1% | 2,711 | |||||||
|
| |||||||
NET ASSETS — 100.0% | 4,144,536 | |||||||
|
|
Percentages indicated are based on net assets.
(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
(b) | The rate shown is the current yield as of June 30, 2021. |
Detailed information about investment portfolios of the underlying funds can be found in shareholder reports filed with the Securities and Exchange Commission (SEC) by each such underlying fund semi-annually on Form N-CSR and in portfolio holdings filed quarterly on Form N-PORT, and are available for download from both the SEC’s as well as each respective underlying fund’s website. Detailed information about underlying J.P. Morgan Funds can also be found at www.jpmorganfunds.com or by calling 1-800-480-4111.
SEE NOTES TO FINANCIAL STATEMENTS.
12 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 13 |
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF JUNE 30, 2021
(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 | $ | 5,912,355 | $ | 4,859,963 | $ | 4,261,831 | $ | 4,141,825 | ||||||||
Receivables: | ||||||||||||||||
Fund shares sold | 8,073 | 5,457 | 5,191 | 7,009 | ||||||||||||
Dividends from affiliates | 880 | 905 | 58 | 441 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 5,921,308 | 4,866,325 | 4,267,080 | 4,149,275 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Payables: | ||||||||||||||||
Due to custodian | 877 | 902 | 57 | 437 | ||||||||||||
Distributions | 78 | 25 | 16 | 90 | ||||||||||||
Fund shares redeemed | 4,460 | 3,533 | 2,211 | 2,217 | ||||||||||||
Accrued liabilities: | ||||||||||||||||
Investment advisory fees | 238 | 196 | 172 | 167 | ||||||||||||
Distribution fees | 1,359 | 1,196 | 833 | 855 | ||||||||||||
Service fees | 1,179 | 984 | 826 | 807 | ||||||||||||
Custodian and accounting fees | 36 | 30 | 24 | 24 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | — | — | — | (a) | — | (a) | ||||||||||
Other | 162 | 88 | 146 | 142 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 8,389 | 6,954 | 4,285 | 4,739 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 5,912,919 | $ | 4,859,371 | $ | 4,262,795 | $ | 4,144,536 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
14 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Investor Balanced Fund | JPMorgan Investor Conservative Growth Fund | JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||
NET ASSETS: | ||||||||||||||||
Paid-in-Capital | $ | 4,357,598 | $ | 4,012,155 | $ | 2,685,460 | $ | 2,837,605 | ||||||||
Total distributable earnings (loss) | 1,555,321 | 847,216 | 1,577,335 | 1,306,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Net Assets | $ | 5,912,919 | $ | 4,859,371 | $ | 4,262,795 | $ | 4,144,536 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets: | ||||||||||||||||
Class A | $ | 4,788,045 | $ | 3,327,682 | $ | 3,494,958 | $ | 3,595,109 | ||||||||
Class C | 619,700 | 840,217 | 193,877 | 199,275 | ||||||||||||
Class I | 363,694 | 649,055 | 547,092 | 313,988 | ||||||||||||
Class R6 | 141,480 | 42,417 | 26,868 | 36,164 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total | $ | 5,912,919 | $ | 4,859,371 | $ | 4,262,795 | $ | 4,144,536 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Outstanding units of beneficial interest (shares) | ||||||||||||||||
($0.0001 par value; unlimited number of shares authorized): | ||||||||||||||||
Class A | 280,533 | 239,426 | 138,764 | 179,245 | ||||||||||||
Class C | 37,002 | 60,770 | 8,452 | 10,303 | ||||||||||||
Class I | 21,258 | 46,385 | 21,147 | 15,976 | ||||||||||||
Class R6 | 8,276 | 3,033 | 1,039 | 1,840 | ||||||||||||
Net Asset Value (a): | ||||||||||||||||
Class A — Redemption price per share | $ | 17.07 | $ | 13.90 | $ | 25.19 | $ | 20.06 | ||||||||
Class C — Offering price per share (b) | 16.75 | 13.83 | 22.94 | 19.34 | ||||||||||||
Class I — Offering and redemption price per share | 17.11 | 13.99 | 25.87 | 19.65 | ||||||||||||
Class R6 — Offering and redemption price per share | 17.10 | 13.98 | 25.86 | 19.65 | ||||||||||||
Class A maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Class A maximum public offering price per share | $ | 17.87 | $ | 14.55 | $ | 26.38 | $ | 21.01 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of investments in affiliates | $ | 4,400,861 | $ | 4,052,229 | $ | 2,712,767 | $ | 2,829,142 |
(a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
(b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 15 |
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED JUNE 30, 2021
(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) | $ | — | |||||||
Dividend income from affiliates | 97,569 | 88,160 | 44,734 | 56,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 97,569 | 88,160 | 44,734 | 56,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES: | ||||||||||||||||
Investment advisory fees | 2,647 | 2,141 | 1,788 | 1,795 | ||||||||||||
Distribution fees: | ||||||||||||||||
Class A | 10,619 | 7,304 | 7,300 | 7,767 | ||||||||||||
Class C | 4,588 | 6,485 | 1,340 | 1,474 | ||||||||||||
Service fees: | ||||||||||||||||
Class A | 10,619 | 7,304 | 7,300 | 7,767 | ||||||||||||
Class C | 1,529 | 2,162 | 447 | 491 | ||||||||||||
Class I | 839 | 1,158 | 1,142 | 640 | ||||||||||||
Custodian and accounting fees | 173 | 135 | 112 | 116 | ||||||||||||
Interest expense to affiliates | — | (a) | — | — | — | |||||||||||
Professional fees | 89 | 78 | 68 | 70 | ||||||||||||
Trustees’ and Chief Compliance Officer’s fees | 39 | 36 | 34 | 34 | ||||||||||||
Printing and mailing costs | 232 | 169 | 184 | 168 | ||||||||||||
Registration and filing fees | 310 | 264 | 238 | 225 | ||||||||||||
Transfer agency fees (See Note 2.D.) | 345 | 208 | 565 | 404 | ||||||||||||
Other | 77 | 61 | 52 | 53 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 32,106 | 27,505 | 20,570 | 21,004 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less fees waived | (447 | ) | (334 | ) | (1,165 | ) | (1,035 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 31,659 | 27,171 | 19,405 | 19,969 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income (loss) | 65,910 | 60,989 | 25,329 | 36,699 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED/UNREALIZED GAINS (LOSSES): | ||||||||||||||||
Net realized gain (loss) on investments in affiliates | 42,768 | 4,006 | 19,427 | 18,632 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 102,633 | 68,429 | 89,368 | 78,234 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | 836,058 | 414,720 | 985,382 | 769,845 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized/unrealized gains (losses) | 981,459 | 487,155 | 1,094,177 | 866,711 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | $ | 1,047,369 | $ | 548,144 | $ | 1,119,506 | $ | 903,410 | ||||||||
|
|
|
|
|
|
|
|
(a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
16 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
JPMorgan Investor Balanced Fund | JPMorgan Investor Conservative Growth Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 65,910 | $ | 83,109 | $ | 60,989 | $ | 67,103 | ||||||||
Net realized gain (loss) on investments in affiliates | 42,768 | 154,582 | 4,006 | 67,580 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 102,633 | 119,158 | 68,429 | 52,549 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | 836,058 | (149,916 | ) | 414,720 | (30,281 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,047,369 | 206,933 | 548,144 | 156,951 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (241,826 | ) | (229,989 | ) | (107,114 | ) | (106,707 | ) | ||||||||
Class C | (30,839 | ) | (42,751 | ) | (25,907 | ) | (43,315 | ) | ||||||||
Class I | (20,024 | ) | (20,229 | ) | (19,767 | ) | (6,669 | ) | ||||||||
Class R6 | (4,744 | ) | (4,648 | ) | (1,492 | ) | (75 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (297,433 | ) | (297,617 | ) | (154,280 | ) | (156,766 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 498,681 | (26,255 | ) | 930,907 | 110,079 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,248,617 | (116,939 | ) | 1,324,771 | 110,264 | |||||||||||
Beginning of period | 4,664,302 | 4,781,241 | 3,534,600 | 3,424,336 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 5,912,919 | $ | 4,664,302 | $ | 4,859,371 | $ | 3,534,600 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 17 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: | ||||||||||||||||
Net investment income (loss) | $ | 25,329 | $ | 33,863 | $ | 36,699 | $ | 45,055 | ||||||||
Net realized gain (loss) on investments in affiliates | 19,427 | 130,833 | 18,632 | 142,821 | ||||||||||||
Distributions of capital gains received from investment company affiliates | 89,368 | 112,377 | 78,234 | 97,301 | ||||||||||||
Change in net unrealized appreciation/depreciation of investments in affiliates | 985,382 | (153,606 | ) | 769,845 | (144,999 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from operations | 1,119,506 | 123,467 | 903,410 | 140,178 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
DISTRIBUTIONS TO SHAREHOLDERS: | ||||||||||||||||
Class A | (191,653 | ) | (177,809 | ) | (208,071 | ) | (180,537 | ) | ||||||||
Class C | (11,958 | ) | (14,895 | ) | (12,260 | ) | (15,142 | ) | ||||||||
Class I | (30,152 | ) | (30,485 | ) | (17,381 | ) | (16,426 | ) | ||||||||
Class R6 | (1,430 | ) | (944 | ) | (2,147 | ) | (1,136 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (235,193 | ) | (224,133 | ) | (239,859 | ) | (213,241 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Change in net assets resulting from capital transactions | 488,131 | 204,943 | 448,347 | 199,917 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS: | ||||||||||||||||
Change in net assets | 1,372,444 | 104,277 | 1,111,898 | 126,854 | ||||||||||||
Beginning of period | 2,890,351 | 2,786,074 | 3,032,638 | 2,905,784 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,262,795 | $ | 2,890,351 | $ | 4,144,536 | $ | 3,032,638 | ||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
18 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
JPMorgan Investor Balanced Fund | JPMorgan Investor Conservative Growth Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 1,059,424 | $ | 804,533 | $ | 1,075,821 | $ | 707,325 | ||||||||
Distributions reinvested | 240,566 | 229,101 | 106,705 | 106,330 | ||||||||||||
Cost of shares redeemed | (749,375 | ) | (783,437 | ) | (552,675 | ) | (558,904 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 550,615 | 250,197 | 629,851 | 254,751 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 107,776 | 92,860 | 186,648 | 152,586 | ||||||||||||
Distributions reinvested | 30,740 | 42,486 | 25,834 | 43,140 | ||||||||||||
Cost of shares redeemed | (257,583 | ) | (227,894 | ) | (425,016 | ) | (339,533 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (119,067 | ) | (92,548 | ) | (212,534 | ) | (143,807 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 62,699 | 61,893 | 580,681 | 29,848 | ||||||||||||
Distributions reinvested | 19,591 | 19,891 | 19,546 | 6,494 | ||||||||||||
Cost of shares redeemed | (69,908 | ) | (253,271 | ) | (118,479 | ) | (43,993 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 12,382 | (171,487 | ) | 481,748 | (7,651 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 78,494 | 8,796 | 34,441 | 7,156 | ||||||||||||
Distributions reinvested | 4,744 | 4,648 | 1,491 | 75 | ||||||||||||
Cost of shares redeemed | (28,487 | ) | (25,861 | ) | (4,090 | ) | (445 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 54,751 | (12,417 | ) | 31,842 | 6,786 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 498,681 | $ | (26,255 | ) | $ | 930,907 | $ | 110,079 | |||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 65,521 | 54,485 | 80,439 | 56,518 | ||||||||||||
Reinvested | 15,046 | 15,430 | 7,973 | 8,462 | ||||||||||||
Redeemed | (46,417 | ) | (54,146 | ) | (41,273 | ) | (45,232 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 34,150 | 15,769 | 47,139 | 19,748 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 6,752 | 6,428 | 13,974 | 12,247 | ||||||||||||
Reinvested | 1,964 | 2,906 | 1,943 | 3,449 | ||||||||||||
Redeemed | (16,434 | ) | (16,049 | ) | (32,126 | ) | (27,680 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (7,718 | ) | (6,715 | ) | (16,209 | ) | (11,984 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 3,860 | 4,202 | 43,349 | 2,372 | ||||||||||||
Reinvested | 1,222 | 1,338 | 1,447 | 514 | ||||||||||||
Redeemed | (4,335 | ) | (16,863 | ) | (8,697 | ) | (3,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 747 | (11,323 | ) | 36,099 | (667 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 4,807 | 605 | 2,605 | 570 | ||||||||||||
Reinvested | 295 | 313 | 110 | 6 | ||||||||||||
Redeemed | (1,788 | ) | (1,717 | ) | (301 | ) | (35 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 3,314 | (799 | ) | 2,414 | 541 | |||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 19 |
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
JPMorgan Investor Growth Fund | JPMorgan Investor Growth & Income Fund | |||||||||||||||
Year Ended June 30, 2021 | Year Ended June 30, 2020 | Year Ended June 30, 2021 | Year Ended June 30, 2020 | |||||||||||||
CAPITAL TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Proceeds from shares issued | $ | 830,655 | $ | 558,177 | $ | 751,860 | $ | 565,444 | ||||||||
Distributions reinvested | 190,218 | 176,437 | 206,828 | 179,461 | ||||||||||||
Cost of shares redeemed | (577,179 | ) | (455,371 | ) | (530,707 | ) | (521,230 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class A capital transactions | 443,694 | 279,243 | 427,981 | 223,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Proceeds from shares issued | 35,253 | 27,420 | 25,444 | 27,326 | ||||||||||||
Distributions reinvested | 11,871 | 14,722 | 12,228 | 15,011 | ||||||||||||
Cost of shares redeemed | (68,282 | ) | (54,930 | ) | (78,939 | ) | (69,814 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class C capital transactions | (21,158 | ) | (12,788 | ) | (41,267 | ) | (27,477 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Proceeds from shares issued | 108,448 | 66,549 | 78,317 | 33,034 | ||||||||||||
Distributions reinvested | 29,065 | 29,649 | 16,763 | 15,920 | ||||||||||||
Cost of shares redeemed | (80,107 | ) | (161,471 | ) | (38,629 | ) | (56,949 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class I capital transactions | 57,406 | (65,273 | ) | 56,451 | (7,995 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Proceeds from shares issued | 14,495 | 5,644 | 8,613 | 11,377 | ||||||||||||
Distributions reinvested | 1,425 | 943 | 2,143 | 1,136 | ||||||||||||
Cost of shares redeemed | (7,731 | ) | (2,826 | ) | (5,574 | ) | (799 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in net assets resulting from Class R6 capital transactions | 8,189 | 3,761 | 5,182 | 11,714 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total change in net assets resulting from capital transactions | $ | 488,131 | $ | 204,943 | $ | 448,347 | $ | 199,917 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARE TRANSACTIONS: | ||||||||||||||||
Class A | ||||||||||||||||
Issued | 36,092 | 28,831 | 40,098 | 34,165 | ||||||||||||
Reinvested | 8,516 | 8,791 | 11,282 | 10,681 | ||||||||||||
Redeemed | (25,341 | ) | (23,795 | ) | (28,499 | ) | (31,975 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class A Shares | 19,267 | 13,827 | 22,881 | 12,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class C | ||||||||||||||||
Issued | 1,667 | 1,555 | 1,398 | 1,717 | ||||||||||||
Reinvested | 582 | 796 | 693 | 922 | ||||||||||||
Redeemed | (3,334 | ) | (3,095 | ) | (4,447 | ) | (4,444 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class C Shares | (1,085 | ) | (744 | ) | (2,356 | ) | (1,805 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Issued | 4,534 | 3,339 | 4,231 | 2,041 | ||||||||||||
Reinvested | 1,265 | 1,443 | 932 | 967 | ||||||||||||
Redeemed | (3,432 | ) | (8,024 | ) | (2,119 | ) | (3,539 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class I Shares | 2,367 | (3,242 | ) | 3,044 | (531 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class R6 | ||||||||||||||||
Issued | 606 | 288 | 462 | 706 | ||||||||||||
Reinvested | 62 | 46 | 119 | 69 | ||||||||||||
Redeemed | (318 | ) | (145 | ) | (306 | ) | (48 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Change in Class R6 Shares | 350 | 189 | 275 | 727 | ||||||||||||
|
|
|
|
|
|
|
|
SEE NOTES TO FINANCIAL STATEMENTS.
20 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 21 |
Table of Contents
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 |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.37 | 0.24 | 0.72 | 0.96 | (0.29 | ) | (0.74 | ) | (1.03 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.33 | 0.23 | 1.33 | 1.56 | (0.24 | ) | (0.28 | ) | (0.52 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.14 | 0.14 | 0.73 | 0.87 | (0.21 | ) | (0.74 | ) | (0.95 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.13 | 0.14 | 1.30 | 1.44 | (0.15 | ) | (0.28 | ) | (0.43 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 15.39 | 0.28 | 0.73 | 1.01 | (0.33 | ) | (0.74 | ) | (1.07 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 14.35 | 0.27 | 1.33 | 1.60 | (0.28 | ) | (0.28 | ) | (0.56 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 15.63 | 0.29 | 0.50 | 0.79 | (0.36 | ) | (0.74 | ) | (1.10 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
22 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (d)(e) | Net assets, end of period (000’s) | Net expenses (f)(g) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (d) | ||||||||||||||||||||
$ | 17.07 | 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 | ||||||||||||||||||||
15.30 | 6.30 | 3,436,111 | 0.52 | 1.54 | 0.63 | 9 | ||||||||||||||||||||
15.37 | 11.09 | 3,430,816 | 0.52 | 1.55 | 0.65 | 4 | ||||||||||||||||||||
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 | ||||||||||||||||||||
15.06 | 5.71 | 791,718 | 1.09 | 0.89 | 1.13 | 9 | ||||||||||||||||||||
15.14 | 10.40 | 1,071,522 | 1.09 | 0.97 | 1.15 | 4 | ||||||||||||||||||||
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 | ||||||||||||||||||||
15.33 | 6.62 | 471,153 | 0.27 | 1.76 | 0.37 | 9 | ||||||||||||||||||||
15.39 | 11.36 | 469,758 | 0.27 | 1.80 | 0.38 | 4 | ||||||||||||||||||||
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 | ||||||||||||||||||||
15.32 | 5.07 | 85,614 | 0.12 | 2.03 | 0.12 | 9 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 23 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Conservative Growth Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 12.80 | 0.24 | 0.24 | 0.48 | (0.26 | ) | (0.41 | ) | (0.67 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.36 | 0.23 | 0.61 | 0.84 | (0.23 | ) | (0.17 | ) | (0.40 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 12.75 | 0.16 | 0.24 | 0.40 | (0.19 | ) | (0.41 | ) | (0.60 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.30 | 0.15 | 0.62 | 0.77 | (0.15 | ) | (0.17 | ) | (0.32 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 12.87 | 0.27 | 0.25 | 0.52 | (0.29 | ) | (0.41 | ) | (0.70 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 12.42 | 0.26 | 0.62 | 0.88 | (0.26 | ) | (0.17 | ) | (0.43 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 13.00 | 0.24 | 0.14 | 0.38 | (0.29 | ) | (0.41 | ) | (0.70 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
24 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (d)(e) | Net assets, end of period (000’s) | Net expenses (f)(g) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (d) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
12.61 | 3.76 | 2,173,957 | 0.52 | 1.85 | 0.64 | 6 | ||||||||||||||||||||
12.80 | 6.92 | 2,081,812 | 0.52 | 1.80 | 0.65 | 6 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.55 | 3.09 | 1,188,675 | 1.10 | 1.21 | 1.13 | 6 | ||||||||||||||||||||
12.75 | 6.40 | 1,573,159 | 1.10 | 1.22 | 1.15 | 6 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.69 | 4.08 | 136,915 | 0.27 | 2.09 | 0.39 | 6 | ||||||||||||||||||||
12.87 | 7.22 | 135,687 | 0.27 | 2.05 | 0.40 | 6 | ||||||||||||||||||||
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 | ||||||||||||||||||||
12.68 | 2.95 | 175 | 0.14 | 2.09 | 0.15 | 6 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 25 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Growth Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 20.38 | 0.19 | 2.04 | 2.23 | (0.37 | ) | (1.44 | ) | (1.81 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 18.04 | 0.18 | 3.19 | 3.37 | (0.19 | ) | (0.84 | ) | (1.03 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 19.20 | 0.04 | 1.95 | 1.99 | (0.32 | ) | (1.44 | ) | (1.76 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 17.10 | 0.06 | 3.01 | 3.07 | (0.13 | ) | (0.84 | ) | (0.97 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 20.77 | 0.24 | 2.09 | 2.33 | (0.42 | ) | (1.44 | ) | (1.86 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 18.37 | 0.23 | 3.25 | 3.48 | (0.24 | ) | (0.84 | ) | (1.08 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 21.25 | 0.29 | 1.58 | 1.87 | (0.45 | ) | (1.44 | ) | (1.89 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
26 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (d)(e) | Net assets, end of period (000’s) | Net expenses (f)(g) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (d) | ||||||||||||||||||||
$ | 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 | ||||||||||||||||||||
20.80 | 11.02 | 2,048,525 | 0.52 | 0.88 | 0.67 | 11 | ||||||||||||||||||||
20.38 | 19.19 | 1,937,119 | 0.52 | 0.93 | 0.70 | 8 | ||||||||||||||||||||
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 | ||||||||||||||||||||
19.43 | 10.41 | 205,740 | 1.10 | 0.20 | 1.16 | 11 | ||||||||||||||||||||
19.20 | 18.47 | 274,389 | 1.09 | 0.35 | 1.19 | 8 | ||||||||||||||||||||
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 | ||||||||||||||||||||
21.24 | 11.33 | 439,498 | 0.27 | 1.11 | 0.39 | 11 | ||||||||||||||||||||
20.77 | 19.46 | 346,558 | 0.27 | 1.17 | 0.39 | 8 | ||||||||||||||||||||
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 | ||||||||||||||||||||
21.23 | 8.90 | 8,073 | 0.14 | 1.45 | 0.27 | 11 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 27 |
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
| Per share operating performance | |||||||||||||||||||||||||||
Investment operations | Distributions | |||||||||||||||||||||||||||
Net asset value, beginning of period | Net investment income (loss) (b)(c) | Net realized and unrealized gains (losses) on investments | Total from investment operations | Net investment income | Net realized gain | Total distributions | ||||||||||||||||||||||
JPMorgan Investor Growth & Income Fund |
| |||||||||||||||||||||||||||
Class A |
| |||||||||||||||||||||||||||
Year Ended June 30, 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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 17.37 | 0.22 | 1.27 | 1.49 | (0.33 | ) | (1.12 | ) | (1.45 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.79 | 0.22 | 2.07 | 2.29 | (0.23 | ) | (0.48 | ) | (0.71 | ) | ||||||||||||||||||
Class C | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 16.91 | 0.10 | 1.26 | 1.36 | (0.23 | ) | (1.12 | ) | (1.35 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.39 | 0.12 | 2.01 | 2.13 | (0.13 | ) | (0.48 | ) | (0.61 | ) | ||||||||||||||||||
Class I | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
Year Ended June 30, 2018 | 17.11 | 0.26 | 1.26 | 1.52 | (0.37 | ) | (1.12 | ) | (1.49 | ) | ||||||||||||||||||
Year Ended June 30, 2017 | 15.57 | 0.25 | 2.04 | 2.29 | (0.27 | ) | (0.48 | ) | (0.75 | ) | ||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||
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 | ) | ||||||||||||||||||
July 31, 2017 (h) through June 30, 2018 | 17.44 | 0.22 | 0.99 | 1.21 | (0.40 | ) | (1.12 | ) | (1.52 | ) |
(a) | Annualized for periods less than one year, unless otherwise noted. |
(b) | Net investment income (loss) is affected by timing of distributions from Underlying Funds. |
(c) | Calculated based upon average shares outstanding. |
(d) | Not annualized for periods less than one year. |
(e) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
(f) | Does not include expenses of Underlying Funds. |
(g) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
(h) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
28 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
| Ratios/Supplemental data | |||||||||||||||||||||||||
Ratios to average net assets (a) | ||||||||||||||||||||||||||
Net asset value, end of period | Total return (excludes sales charge) (d)(e) | Net assets, end of period (000’s) | Net expenses (f)(g) | Net investment income (loss) (b) | Expenses without waivers, reimbursements and earnings credits (f) | Portfolio turnover rate (d) | ||||||||||||||||||||
$ | 20.06 | 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 | ||||||||||||||||||||
17.41 | 8.67 | 2,386,397 | 0.52 | 1.25 | 0.66 | 11 | ||||||||||||||||||||
17.37 | 14.82 | 2,348,659 | 0.52 | 1.30 | 0.67 | 7 | ||||||||||||||||||||
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 | ||||||||||||||||||||
16.92 | 8.10 | 260,085 | 1.10 | 0.57 | 1.14 | 11 | ||||||||||||||||||||
16.91 | 14.17 | 385,447 | 1.10 | 0.73 | 1.17 | 7 | ||||||||||||||||||||
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 | ||||||||||||||||||||
17.14 | 9.02 | 242,612 | 0.27 | 1.49 | 0.39 | 11 | ||||||||||||||||||||
17.11 | 15.07 | 238,466 | 0.27 | 1.53 | 0.39 | 7 | ||||||||||||||||||||
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 | ||||||||||||||||||||
17.13 | 7.04 | 619 | 0.13 | 1.42 | 0.14 | 11 |
SEE NOTES TO FINANCIAL STATEMENTS.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 29 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021
(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. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Board of Trustees of the Trust (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events, and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and, at least on a quarterly basis, with the AVC and the Board.
Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s net asset values (“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.
30 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
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) | $ | 5,912,355 | $ | — | $ | — | $ | 5,912,355 | ||||||||
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(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) | $ | 4,859,963 | $ | — | $ | — | $ | 4,859,963 | ||||||||
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(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) | $ | 4,261,831 | $ | — | $ | — | $ | 4,261,831 | ||||||||
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(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) | $ | 4,141,825 | $ | — | $ | — | $ | 4,141,825 | ||||||||
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(a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Investor Balanced Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 1,016,902 | $ | 140,687 | $ | — | $ | — | $ | (28,912 | ) | $ | 1,128,677 | 93,666 | $ | 24,856 | $ | 17,054 | ||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 460,270 | 51,320 | — | — | (7,805 | ) | 503,785 | 58,716 | 12,712 | 7,633 |
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 31 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Investor Balanced Fund (continued) |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | $ | 44,506 | $ | 8,311 | $ | — | $ | — | $ | 2,629 | $ | 55,446 | 6,879 | $ | 1,998 | $ | — | |||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 113,205 | 265 | 10,830 | 2,160 | 44,381 | 149,181 | 3,280 | 265 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 75,736 | 1,445 | 2,496 | 216 | 30,545 | 105,446 | 4,678 | 1,446 | — | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 134,748 | 4,176 | 5,326 | 230 | 50,677 | 184,505 | 8,107 | 3,176 | — | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 72,638 | 1,262 | — | — | 28,284 | 102,184 | 3,264 | 1,262 | — | |||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 67,191 | 741 | 70,045 | (4,392 | ) | 6,505 | — | — | 741 | — | ||||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 123,852 | 16,385 | — | — | 14,395 | 154,632 | 21,096 | 7,062 | — | |||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 206,297 | 49,276 | — | — | 12,525 | 268,098 | 28,044 | 10,505 | 276 | |||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 63,174 | 1,481 | — | — | 2,750 | 67,405 | 6,201 | 1,481 | — | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 72,965 | 1,160 | 5,368 | 893 | 21,519 | 91,169 | 4,254 | 1,160 | — | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 276,983 | 6,338 | 9,663 | 478 | 77,633 | 351,769 | 16,953 | 6,338 | — | |||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 264,075 | 13,951 | 55,946 | 13,504 | 71,204 | 306,788 | 4,500 | 344 | 13,607 | |||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 116,791 | 5,983 | 10,281 | 1,074 | 69,864 | 183,431 | 9,090 | 1,530 | — | |||||||||||||||||||||||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 203,010 | 28,844 | — | — | 339 | 232,193 | 22,831 | 2,903 | — | |||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 157,086 | 8,663 | 23,082 | 812 | 77,721 | 221,200 | 17,161 | 2,272 | 6,392 | |||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 46,588 | 5,267 | 5,521 | 1,574 | 12,622 | 60,530 | 1,055 | 76 | 5,192 | |||||||||||||||||||||||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | — | 98,332 | — | — | 22,006 | 120,338 | 7,616 | 1,216 | 2,658 | |||||||||||||||||||||||||||
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | — | 107,615 | — | — | (33 | ) | 107,582 | 10,922 | 422 | — | ||||||||||||||||||||||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 19,408 | 712 | — | — | 8,485 | 28,605 | 371 | 126 | 586 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 40,527 | 433 | 12,141 | 1,328 | 26,585 | 56,732 | 1,639 | 433 | — | |||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 71,761 | 750 | — | — | 1,139 | 73,650 | 6,377 | 750 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 417,080 | 30,689 | 65,082 | 17,062 | 117,347 | 517,096 | 23,840 | 4,420 | 26,268 | |||||||||||||||||||||||||||
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) Class R6 Shares (a) | 157,349 | 16,792 | 20,333 | 7,108 | 37,550 | 198,466 | 2,689 | 2,276 | 14,517 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 85,748 | 347,131 | 296,670 | — | — | 136,209 | 136,209 | 42 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 198,019 | 9,376 | 11,946 | 1,283 | 73,197 | 269,929 | 7,327 | 3,335 | 6,041 | |||||||||||||||||||||||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 37,161 | 3,081 | — | — | 1,026 | 41,268 | 4,086 | 1,322 | — | |||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 125,287 | 21,503 | 12,067 | (562 | ) | 61,880 | 196,041 | 4,542 | 3,100 | 2,409 | ||||||||||||||||||||||||||
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Total | $ | 4,668,357 | $ | 981,969 | $ | 616,797 | $ | 42,768 | $ | 836,058 | $ | 5,912,355 | $ | 97,569 | $ | 102,633 | ||||||||||||||||||||
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(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 June 30, 2021. |
32 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
Investor Conservative Growth Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 1,109,768 | $ | 284,248 | $ | — | $ | — | $ | (34,347 | ) | $ | 1,359,669 | 112,836 | $ | 28,945 | $ | 20,057 | ||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 444,346 | 116,717 | — | — | (9,292 | ) | 551,771 | 64,309 | 13,582 | 8,265 | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 33,346 | 12,398 | — | — | 2,032 | 47,776 | 5,928 | 1,694 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 62,166 | 159 | — | — | 26,977 | 89,302 | 1,964 | 159 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 44,908 | 882 | — | — | 18,561 | 64,351 | 2,855 | 882 | — | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 75,542 | 10,634 | — | — | 30,975 | 117,151 | 5,147 | 1,944 | — | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 23,298 | 3,149 | — | — | 9,879 | 36,326 | 1,160 | 449 | — | |||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 68,718 | 767 | 71,701 | (5,815 | ) | 8,031 | — | — | 767 | — | ||||||||||||||||||||||||||
JPMorgan Government Bond Fund Class R6 Shares (a) | �� | 36,072 | 12,071 | — | — | (1,412 | ) | 46,731 | 4,248 | 707 | 63 | |||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 93,590 | 25,217 | — | — | 11,673 | 130,480 | 17,801 | 5,834 | — | |||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 198,144 | 65,270 | — | — | 12,652 | 276,066 | 28,877 | 10,633 | 286 | |||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 58,859 | 13,272 | — | — | 2,851 | 74,982 | 6,898 | 1,572 | — | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 25,534 | 2,638 | — | — | 8,330 | 36,502 | 1,703 | 438 | — | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 140,275 | 22,583 | 4,474 | 201 | 43,473 | 202,058 | 9,738 | 3,621 | — | |||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 103,858 | 15,254 | 16,800 | 3,666 | 31,907 | 137,885 | 2,022 | 154 | 6,086 | |||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 36,535 | 2,706 | — | — | 22,933 | 62,174 | 3,081 | 492 | — | |||||||||||||||||||||||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 298,450 | 87,749 | — | — | 403 | 386,602 | 38,014 | 4,687 | — | |||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 49,189 | 11,843 | 7,869 | 562 | 27,298 | 81,023 | 6,286 | 827 | 2,326 | |||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 33,158 | 9,252 | — | — | 11,045 | 53,455 | 931 | 67 | 4,585 | |||||||||||||||||||||||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | — | 87,751 | — | — | 20,901 | 108,652 | 6,877 | 1,082 | 2,480 | |||||||||||||||||||||||||||
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | — | 120,544 | — | — | 10 | 120,554 | 12,239 | 581 | — | |||||||||||||||||||||||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 10,732 | 5,027 | — | — | 5,327 | 21,086 | 273 | 71 | 330 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 23,208 | 1,973 | 6,671 | 1,775 | 16,351 | 36,636 | 1,058 | 273 | — | |||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 59,857 | 19,164 | — | — | 1,046 | 80,067 | 6,932 | 764 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 163,061 | 17,387 | 11,291 | 1,254 | 54,596 | 225,007 | 10,374 | 1,878 | 11,319 |
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 33 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Investor Conservative Growth Fund (continued) |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) Class R6 Shares (a) | $ | 86,700 | $ | 18,714 | $ | 13,986 | $ | 1,942 | $ | 23,534 | $ | 116,904 | 1,584 | $ | 1,340 | $ | 8,546 | |||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 81,542 | 436,838 | 404,546 | — | — | 113,834 | 113,834 | 47 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 75,682 | 15,056 | 4,765 | 599 | 30,604 | 117,176 | 3,181 | 1,386 | 2,593 | |||||||||||||||||||||||||||
JPMorgan Unconstrained Debt Fund Class R6 Shares (a) | 31,189 | 12,238 | — | — | 929 | 44,356 | 4,392 | 1,363 | — | |||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 69,196 | 21,512 | 6,596 | (178 | ) | 37,453 | 121,387 | 2,812 | 1,921 | 1,493 | ||||||||||||||||||||||||||
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Total | $ | 3,536,923 | $ | 1,453,013 | $ | 548,699 | $ | 4,006 | $ | 414,720 | $ | 4,859,963 | $ | 88,160 | $ | 68,429 | ||||||||||||||||||||
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(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 June 30, 2021. |
Investor Growth Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 244,531 | $ | 53,006 | $ | 3,768 | $ | (125 | ) | $ | (6,902 | ) | $ | 286,742 | 23,796 | $ | 6,074 | $ | 4,084 | |||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 34,127 | 1,484 | — | — | (567 | ) | 35,044 | 4,084 | 922 | 562 | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 12,685 | 4,418 | — | — | 806 | 17,909 | 2,222 | 597 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 86,521 | 2,236 | — | — | 37,626 | 126,383 | 2,779 | 221 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 64,972 | 9,338 | — | — | 27,096 | 101,406 | 4,499 | 1,276 | — | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 81,907 | 19,777 | — | — | 34,998 | 136,682 | 6,005 | 2,207 | — | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 82,873 | 3,450 | — | — | 32,343 | 118,666 | 3,790 | 1,440 | — | |||||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 56,620 | 2,891 | 7,536 | (50 | ) | 6,159 | 58,084 | 7,924 | 2,891 | — | ||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 14,393 | 2,408 | — | — | 883 | 17,684 | 1,850 | 724 | 20 | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | 118,179 | 18,610 | — | — | 37,387 | 174,176 | 8,128 | 1,878 | — | |||||||||||||||||||||||||||
JPMorgan International Focus Fund Class R6 Shares (a) | 87,895 | 12,304 | — | — | 27,168 | 127,367 | 4,595 | 1,166 | — | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 224,042 | 38,707 | — | — | 65,184 | 327,933 | 15,804 | 5,127 | — | |||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 382,989 | 24,911 | 66,534 | 18,570 | 107,929 | 467,865 | 6,862 | 511 | 20,243 | |||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 237,668 | 29,679 | — | — | 158,980 | 426,327 | 21,126 | 3,468 | — |
34 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
Investor Growth Fund (continued) |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | $ | 145,035 | $ | 13,076 | $ | — | $ | — | $ | 77,235 | $ | 235,346 | 18,258 | $ | 2,213 | $ | 6,226 | |||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 50,686 | 6,365 | — | — | 16,091 | 73,142 | 1,274 | 92 | 6,273 | |||||||||||||||||||||||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | — | 42,728 | — | — | 8,191 | 50,919 | 3,223 | 423 | 718 | |||||||||||||||||||||||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 13,476 | 495 | — | — | 5,892 | 19,863 | 257 | 88 | 407 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 59,627 | 693 | — | — | 44,239 | 104,559 | 3,020 | 694 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 420,147 | 33,151 | 3,327 | 431 | 142,104 | 592,506 | 27,317 | 4,814 | 28,337 | |||||||||||||||||||||||||||
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) Class R6 Shares (a) | 158,097 | 17,381 | 3,223 | 601 | 45,701 | 218,557 | 2,961 | 2,355 | 15,025 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) | 49,643 | 289,225 | 261,335 | — | — | 77,533 | 77,533 | 24 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 185,993 | 59,890 | — | — | 72,989 | 318,872 | 8,656 | 3,345 | 5,776 | |||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 80,959 | 23,457 | — | — | 43,850 | 148,266 | 3,435 | 2,184 | 1,697 | |||||||||||||||||||||||||||
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Total | $ | 2,893,065 | $ | 709,680 | $ | 345,723 | $ | 19,427 | $ | 985,382 | $ | 4,261,831 | $ | 44,734 | $ | 89,368 | ||||||||||||||||||||
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(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 June 30, 2021. |
Investor Growth & Income Fund
For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan Core Bond Fund Class R6 Shares (a) | $ | 488,800 | $ | 84,134 | $ | — | $ | — | $ | (13,701 | ) | $ | 559,233 | 46,409 | $ | 11,993 | $ | 8,189 | ||||||||||||||||||
JPMorgan Core Plus Bond Fund Class R6 Shares (a) | 178,529 | 26,093 | — | — | (3,114 | ) | 201,508 | 23,486 | 4,995 | 2,986 | ||||||||||||||||||||||||||
JPMorgan Emerging Markets Debt Fund Class R6 Shares (a) | 13,905 | 4,585 | — | — | 845 | 19,335 | 2,399 | 656 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Equity Fund Class R6 Shares (a) | 76,698 | 4,677 | 6,634 | 1,481 | 30,694 | 106,916 | 2,351 | 182 | — | |||||||||||||||||||||||||||
JPMorgan Emerging Markets Research Enhanced Equity Fund Class R6 Shares (a) | 57,707 | 3,179 | — | — | 23,895 | 84,781 | 3,761 | 1,134 | — | |||||||||||||||||||||||||||
JPMorgan Equity Income Fund Class R6 Shares (a) | 96,196 | 7,349 | 1,793 | 27 | 37,748 | 139,527 | 6,130 | 2,376 | — | |||||||||||||||||||||||||||
JPMorgan Europe Dynamic Fund Class R6 Shares (a) | 61,298 | 1,065 | — | — | 23,868 | 86,231 | 2,754 | 1,065 | — | |||||||||||||||||||||||||||
JPMorgan Floating Rate Income Fund Class R6 Shares (a) | 28,641 | 325 | 29,895 | (1,479 | ) | 2,408 | — | — | 325 | — | ||||||||||||||||||||||||||
JPMorgan High Yield Fund Class R6 Shares (a) | 86,524 | 8,145 | — | — | 9,835 | 104,504 | 14,257 | 4,785 | — | |||||||||||||||||||||||||||
JPMorgan Income Fund Class R6 Shares (a) | 92,158 | 38,956 | — | — | 5,766 | 136,880 | 14,318 | 4,869 | 129 | |||||||||||||||||||||||||||
JPMorgan Inflation Managed Bond Fund Class R6 Shares (a) | 33,920 | 795 | — | — | 1,477 | 36,192 | 3,330 | 795 | — |
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 35 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Investor Growth & Income Fund (continued) |
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For the year ended June 30, 2021 | ||||||||||||||||||||||||||||||||||||
Security Description | Value at June 30, 2020 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation/ (Depreciation) | Value at June 30, 2021 | Shares at June 30, 2021 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
JPMorgan International Equity Fund Class R6 Shares (a) | $ | 70,614 | $ | 1,122 | $ | — | $ | — | $ | 21,866 | $ | 93,602 | 4,368 | $ | 1,122 | $ | — | |||||||||||||||||||
JPMorgan International Focus Fund Class R6 Shares (a) | 43,930 | 583 | — | — | 13,555 | 58,068 | 2,095 | 583 | — | |||||||||||||||||||||||||||
JPMorgan International Research Enhanced Equity Fund Class R6 Shares (a) | 185,069 | 6,282 | — | — | 52,560 | 243,911 | 11,755 | 4,235 | — | |||||||||||||||||||||||||||
JPMorgan Large Cap Growth Fund Class R6 Shares (a) | 305,298 | 25,805 | 47,819 | 12,873 | 88,558 | 384,715 | 5,643 | 414 | 16,396 | |||||||||||||||||||||||||||
JPMorgan Large Cap Value Fund Class R6 Shares (a) | 144,690 | 14,253 | 4,421 | 891 | 93,376 | 248,789 | 12,328 | 2,049 | — | |||||||||||||||||||||||||||
JPMorgan Limited Duration Bond Fund Class R6 Shares (a) | 48,554 | 9,124 | — | — | 74 | 57,752 | 5,679 | 713 | — | |||||||||||||||||||||||||||
JPMorgan Market Expansion Enhanced Index Fund Class R6 Shares (a) | 119,601 | 6,677 | 10,646 | 358 | 60,959 | 176,949 | 13,728 | 1,751 | 4,926 | |||||||||||||||||||||||||||
JPMorgan Mid Cap Growth Fund Class R6 Shares (a) | 41,735 | 6,761 | 4,994 | 2,054 | 10,741 | 56,297 | 981 | 68 | 4,647 | |||||||||||||||||||||||||||
JPMorgan Realty Income Fund Class R6 Shares (a) | — | 46,911 | — | — | 11,039 | 57,950 | 3,668 | 629 | 1,432 | |||||||||||||||||||||||||||
JPMorgan Short Duration Core Plus Fund Class R6 Shares (a) | — | 59,701 | — | — | — | (b) | 59,701 | 6,061 | 269 | — | ||||||||||||||||||||||||||
JPMorgan Small Cap Equity Fund Class R6 Shares (a) | 12,828 | 471 | — | — | 5,608 | 18,907 | 245 | 84 | 387 | |||||||||||||||||||||||||||
JPMorgan Small Cap Value Fund Class R6 Shares (a) | 47,522 | 553 | — | — | 35,258 | 83,333 | 2,407 | 553 | — | |||||||||||||||||||||||||||
JPMorgan Strategic Income Opportunities Fund Class R6 Shares (a) | 24,041 | 251 | — | — | 382 | 24,674 | 2,136 | 251 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Equity Fund Class R6 Shares (a) | 334,653 | 26,227 | 11,182 | 1,208 | 111,560 | 462,466 | 21,322 | 3,792 | 22,433 | |||||||||||||||||||||||||||
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) Class R6 Shares (a) | 99,637 | 10,513 | 13,320 | 1,551 | 26,203 | 124,584 | 1,688 | 1,425 | 9,088 | |||||||||||||||||||||||||||
JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (c) | 54,957 | 252,796 | 210,121 | — | — | 97,632 | 97,632 | 31 | — | |||||||||||||||||||||||||||
JPMorgan U.S. Research Enhanced Equity Fund Class R6 Shares (a) | 189,258 | 12,330 | 5,244 | 157 | 71,385 | 267,886 | 7,272 | 3,223 | 5,833 | |||||||||||||||||||||||||||
JPMorgan Value Advantage Fund Class R6 Shares (a) | 97,001 | 13,295 | 7,305 | (489 | ) | 47,000 | 149,502 | 3,464 | 2,301 | 1,788 | ||||||||||||||||||||||||||
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Total | $ | 3,033,764 | $ | 672,958 | $ | 353,374 | $ | 18,632 | $ | 769,845 | $ | 4,141,825 | $ | 56,668 | $ | 78,234 | ||||||||||||||||||||
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(a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
(b) | Amount rounds to less than one thousand. |
(c) | The rate shown is the current yield as of June 30, 2021. |
C. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Distributions of net investment income and realized capital gains from the Underlying Funds are recorded on the ex-dividend date.
D. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trust are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and
36 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
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 year ended June 30, 2021 are as follows:
Class A | Class C | Class I | Class R6 | Total | ||||||||||||||||
Investor Balanced Fund | ||||||||||||||||||||
Transfer agency fees | $ | 305 | $ | 25 | $ | 13 | $ | 2 | $ | 345 | ||||||||||
Investor Conservative Growth Fund | ||||||||||||||||||||
Transfer agency fees | 162 | 24 | 21 | 1 | 208 | |||||||||||||||
Investor Growth Fund | ||||||||||||||||||||
Transfer agency fees | 514 | 24 | 22 | 5 | 565 | |||||||||||||||
Investor Growth & Income Fund | ||||||||||||||||||||
Transfer agency fees | 377 | 15 | 12 | — | (a) | 404 |
(a) | Amount rounds to less than one thousand. |
The Funds invested in Underlying Funds and, as a result, bear a portion of the expenses incurred by these Underlying Funds. These expenses are not reflected in the expenses shown on the Statements of Operations and are not included in the ratios to average net assets shown in the Financial Highlights. Certain expenses of affiliated Underlying Funds are waived as described in Note 3.F.
E. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of June 30, 2021, 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.
F. 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.
The following amounts were reclassified within the capital accounts:
Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income | Accumulated net realized gains (losses) | ||||||||||
Investor Balanced Fund | $ | — | $ | 13,764 | $ | (13,764 | ) | |||||
Investor Conservative Growth Fund | — | 10,816 | (10,816 | ) | ||||||||
Investor Growth Fund | — | 9,981 | (9,981 | ) | ||||||||
Investor Growth & Income Fund | — | 9,402 | (9,402 | ) |
The reclassifications for the Funds relate primarily to investments in regulated investment companies.
G. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate of 0.05% of each Fund’s respective average daily net assets.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 37 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
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.
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 year ended June 30, 2021, JPMDS retained the following:
Front-End Sales Charge | CDSC | |||||||
Investor Balanced Fund | $ | 308 | $ | — | (a) | |||
Investor Conservative Growth Fund | 217 | 1 | ||||||
Investor Growth Fund | 252 | 2 | ||||||
Investor Growth & Income Fund | 194 | 1 |
(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 | ||||||||||
Investor Balanced Fund | 0.25 | % | 0.25 | % | 0.25 | % | ||||||
Investor Conservative Growth Fund | 0.25 | 0.25 | 0.25 | |||||||||
Investor Growth Fund | 0.25 | 0.25 | 0.25 | |||||||||
Investor Growth & Income Fund | 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 | |||||||||||||
Investor Balanced Fund | n/a | (1) | n/a | (2) | n/a | (2) | n/a | (2) | ||||||||
Investor Conservative Growth Fund | n/a | (1) | n/a | (2) | n/a | (2) | n/a | (2) |
38 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
Table of Contents
Class A | Class C | Class I | Class R6 | |||||||||||||
Investor Growth Fund | 0.55 | % | n/a | (2) | n/a | (2) | n/a | (2) | ||||||||
Investor Growth & Income Fund | 0.55 | n/a | (2) | n/a | (2) | n/a | (2) |
(1) | Effective November 1, 2020, the contractual expense limitation expired. Prior to November 1, 2020, the contractual expense limitation was 0.55%. |
(2) | Effective November 1, 2020, the contractual expense limitations for Class C, Class I and Class R6 Shares expired. Prior to November 1, 2020, the contractual expense limitations were 1.10%, 0.30% and 0.15% for Class C, Class I and Class R6 Shares, respectively. |
Except as noted above, the expense limitation agreements were in effect for the year ended June 30, 2021 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2021.
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 year ended June 30, 2021, 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 | $ | 363 | $ | 367 | ||||||
Investor Conservative Growth Fund | 3 | 239 | 242 | |||||||||
Investor Growth Fund | 3 | 1,115 | 1,118 | |||||||||
Investor Growth & Income Fund | 3 | 974 | 977 |
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. 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 year ended June 30, 2021 were as follows:
Investor Balanced Fund | $ | 80 | ||
Investor Conservative Growth Fund | 92 | |||
Investor Growth Fund | 47 | |||
Investor Growth & Income Fund | 58 |
G. Other — Certain officers of the Trust are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Board 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 year ended June 30, 2021, 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 | $ | 634,841 | $ | 320,129 | ||||
Investor Conservative Growth Fund | 1,016,176 | 144,154 | ||||||
Investor Growth Fund | 420,455 | 84,388 | ||||||
Investor Growth & Income Fund | 420,162 | 143,255 |
During the year ended June 30, 2021, there were no purchases or sales of U.S. Government securities.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 39 |
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (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 June 30, 2021 were as follows:
Aggregate Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
Investor Balanced Fund | $ | 4,460,856 | $ | 1,453,078 | $ | 1,579 | $ | 1,451,499 | ||||||||
Investor Conservative Growth Fund | 4,072,908 | 788,162 | 1,107 | 787,055 | ||||||||||||
Investor Growth Fund | 2,765,448 | 1,496,383 | — | 1,496,383 | ||||||||||||
Investor Growth & Income Fund | 2,906,718 | 1,235,632 | 525 | 1,235,107 |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to wash sale loss deferrals.
The tax character of distributions paid during the year ended June 30, 2021 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Investor Balanced Fund | $ | 104,407 | $ | 193,026 | $ | 297,433 | ||||||
Investor Conservative Growth Fund | 74,110 | 80,170 | 154,280 | |||||||||
Investor Growth Fund | 52,034 | 183,159 | 235,193 | |||||||||
Investor Growth & Income Fund | 63,854 | 176,005 | 239,859 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended June 30, 2020 was as follows:
Ordinary Income* | Net Long-Term Capital Gains | Total Distributions Paid | ||||||||||
Investor Balanced Fund | $ | 98,387 | $ | 199,230 | $ | 297,617 | ||||||
Investor Conservative Growth Fund | 73,997 | 82,769 | 156,766 | |||||||||
Investor Growth Fund | 39,217 | 184,916 | 224,133 | |||||||||
Investor Growth & Income Fund | 54,732 | 158,509 | 213,241 |
* | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of June 30, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
Current Distributable Ordinary Income | Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) | Unrealized Appreciation (Depreciation) | ||||||||||
Investor Balanced Fund | $ | 7,459 | $ | 96,547 | $ | 1,451,499 | ||||||
Investor Conservative Growth Fund | 8,139 | 52,130 | 787,055 | |||||||||
Investor Growth Fund | 1,537 | 79,503 | 1,496,383 | |||||||||
Investor Growth & Income Fund | 2,330 | 69,669 | 1,235,107 |
The cumulative timing differences primarily consist of wash sale loss deferrals.
As of June 30, 2021, the Funds did not have any net capital loss carryforwards.
6. Borrowings
The Funds rely upon an exemptive order granted by the Securities and Exchange Commission (“SEC”) (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to 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).
40 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
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The Funds had no borrowings outstanding from another fund during the year ended June 30, 2021.
The Trust and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 1, 2021.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended June 30, 2021.
The Trust, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), has entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25% (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended June 30, 2021.
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 June 30, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
Number of Affiliated Omnibus Accounts | % of the Fund | Number of Non-Affiliated Accounts | % of the Fund | |||||||||||||
Investor Balanced Fund | 1 | 72.0 | % | 1 | 14.3 | % | ||||||||||
Investor Conservative Growth Fund | 1 | 68.0 | 2 | 22.2 | ||||||||||||
Investor Growth Fund | 1 | 54.0 | 1 | 20.4 | ||||||||||||
Investor Growth & Income Fund | 1 | 58.6 | 1 | 21.6 |
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
As of June 30, 2021, the Funds owned in the aggregate, shares representing more than 10% of the net assets of the following Underlying Funds:
% of Net Assets | ||||
JPMorgan Market Expansion Enhanced Index Fund | 63.7 | % | ||
JPMorgan U.S. GARP Equity Fund (formerly known as JPMorgan Intrepid Growth Fund) | 50.4 | |||
JPMorgan Limited Duration Bond Fund | 46.9 | |||
JPMorgan Europe Dynamic Fund | 37.4 | |||
JPMorgan International Research Enhanced Equity Fund | 22.4 | |||
JPMorgan Large Cap Value Fund | 21.2 | |||
JPMorgan U.S. Research Enhanced Equity Fund | 19.3 | |||
JPMorgan Small Cap Value Fund | 18.6 | |||
JPMorgan Realty Income Fund | 15.8 | |||
JPMorgan Inflation Managed Bond Fund | 12.7 | |||
JPMorgan Emerging Markets Debt Fund | 11.4 |
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 41 |
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NOTES TO FINANCIAL STATEMENTS
AS OF JUNE 30, 2021 (continued)
(Dollar values in thousands)
Because of the Funds’ investments in Underlying Funds, the Funds indirectly pay a portion of the expenses incurred by the Underlying Funds. As a result, the cost of investing in the Funds may be higher than the cost of investing in a mutual fund that invests directly in individual securities and financial instruments. The Funds are also subject to certain risks related to the Underlying Funds’ investments in securities and financial instruments such as fixed income securities including high yield (commonly known as “junk bonds”), asset-backed and mortgage-related securities, equity securities, foreign and emerging markets securities, commodities and real estate securities. These securities are subject to risks specific to their structure, sector or market.
In addition, the Underlying Funds may use derivative instruments in connection with their individual investment strategies including futures contracts, forward foreign currency exchange contracts, options, swaps and other derivatives, which are also subject to specific risks related to their structure, sector or market and may be riskier than investments in other types of securities. Specific risks and concentrations present in the Underlying Funds are disclosed within their individual financial statements and registration statements, as appropriate.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or 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 prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to 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. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
42 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Board of Trustees of JPMorgan Trust II and Shareholders of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Investor Balanced Fund, JPMorgan Investor Conservative Growth Fund, JPMorgan Investor Growth Fund and JPMorgan Investor Growth & Income Fund (four of the funds constituting JPMorgan Trust II, hereafter collectively referred to as the “Funds”) as of June 30, 2021, the related statements of operations for the year ended June 30, 2021, the statements of changes in net assets for each of the two years in the period ended June 30, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of June 30, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended June 30, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of June 30, 2021 by correspondence with the transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
New York, New York
August 24, 2021
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 43 |
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees | ||||||
John F. Finn (1947); Chair since 2020; Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 127 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present. | |||
Stephen P. Fisher (1959); Trustee of Trust since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 127 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
Kathleen M. Gallagher (1958); Trustee of the Trust since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 127 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
Dennis P. Harrington* (1950); Trustee of Trust since 2017.(3) | Retired; Partner, Deloitte LLP (accounting firm) (serving in various roles 1984-2012). | 127 | None | |||
Frankie D. Hughes (1952); Trustee of Trust since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 127 | None |
44 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
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Name (Year of Birth); Positions With the Funds (1) | Principal Occupation During Past 5 Years | Number of Funds in Fund Complex Overseen by Trustee (2) | Other Directorships Held During the Past 5 Years | |||
Independent Trustees (continued) | ||||||
Raymond Kanner** (1953); Trustee of Trust since 2017. | Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 127 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
Mary E. Martinez (1960); Vice Chair since 2021; Trustee of Trust since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (Asset Management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 127 | None | |||
Marilyn McCoy (1948); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 127 | None | |||
Dr. Robert A. Oden, Jr. (1946); Trustee of Trust since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 127 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
Marian U. Pardo*** (1946); Trustee of Trust since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 127 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). |
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 45 |
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TRUSTEES
(Unaudited) (continued)
(1) | The Trustees serve for an indefinite term, subject to the Trust’s current retirement policy, which is age 78 for all Trustees. |
(2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Board of Trustees serves currently includes ten registered investment companies (127 funds). |
(3) | Mr. Harrington retired from the Board of Trustees effective July 31, 2021. |
* | Two family members of Mr. Harrington are employed as a partner and managing director, respectively, of the Funds’ independent registered public accounting firm. Such firm has represented to the Board that those family members are not involved in the audit of the Funds’ financial statements and do not provide other services to the Funds. The Board has concluded that such association does not interfere with Mr. Harrington’s exercise of independent judgment as an Independent Trustee. |
** | A family member of Mr. Kanner is employed by JPMorgan Chase Bank, which is affiliated with JPMIM and JPMDS. In that capacity, this employee provides services to various JPMorgan affiliates including JPMIM and JPMDS and for which JPMIM and JPMDS bear some portion of the expense thereof. |
*** | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
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(Unaudited)
Name (Year of Birth), Positions Held with the Trust (Since) | Principal Occupations During Past 5 Years | |
Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* | Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) | Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** | Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
Stephen M. Ungerman (1953), Chief Compliance Officer (2005) | Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
Elizabeth A. Davin (1964), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
Jessica K. Ditullio (1962), Assistant Secretary (2005)*** | Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
Anthony Geron (1971), Assistant Secretary (2018)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
Carmine Lekstutis (1980), Assistant Secretary (2011)** | Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** | Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) | Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
Aleksandr Fleytekh (1972), Assistant Treasurer (2019) | Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
Shannon Gaines (1977), Assistant Treasurer (2018)*** | Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
Jeffrey D. House (1972), Assistant Treasurer (2017)*** | Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
Michael Mannarino (1985), Assistant Treasurer (2020) | Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
Joseph Parascondola (1963), Assistant Treasurer (2011)* | Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
Gillian I. Sands (1969), Assistant Treasurer (2012) | Vice President, J.P. Morgan Investment Management Inc. since September 2012. |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
* | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
*** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 47 |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds (not including expenses of the Underlying Funds) and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, January 1, 2021 and continued to hold your shares at the end of the reporting period, June 30, 2021.
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 January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Investor Balanced Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,071.70 | $ | 2.93 | 0.57 | % | ||||||||
Hypothetical | 1,000.00 | 1,021.97 | 2.86 | 0.57 | ||||||||||||
Class C | �� | |||||||||||||||
Actual | 1,000.00 | 1,069.20 | 5.49 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,072.80 | 1.64 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,074.20 | 0.36 | 0.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.45 | 0.35 | 0.07 | ||||||||||||
JPMorgan Investor Conservative Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,043.20 | 2.89 | 0.57 | ||||||||||||
Hypothetical | 1,000.00 | 1,021.97 | 2.86 | 0.57 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,040.80 | 5.41 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,044.20 | 1.62 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,045.50 | 0.36 | 0.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.45 | 0.35 | 0.07 |
48 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
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Beginning Account Value January 1, 2021 | Ending Account Value June 30, 2021 | Expenses Paid During the Period* | Annualized Expense Ratio | |||||||||||||
JPMorgan Investor Growth Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,120.40 | $ | 2.89 | 0.55 | % | ||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,117.40 | 5.67 | 1.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.44 | 5.41 | 1.08 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,121.50 | 1.68 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,122.80 | 0.42 | 0.08 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.40 | 0.40 | 0.08 | ||||||||||||
JPMorgan Investor Growth & Income Fund | ||||||||||||||||
Class A | ||||||||||||||||
Actual | 1,000.00 | 1,093.50 | 2.85 | 0.55 | ||||||||||||
Hypothetical | 1,000.00 | 1,022.07 | 2.76 | 0.55 | ||||||||||||
Class C | ||||||||||||||||
Actual | 1,000.00 | 1,090.90 | 5.55 | 1.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,019.49 | 5.36 | 1.07 | ||||||||||||
Class I | ||||||||||||||||
Actual | 1,000.00 | 1,094.50 | 1.66 | 0.32 | ||||||||||||
Hypothetical | 1,000.00 | 1,023.21 | 1.61 | 0.32 | ||||||||||||
Class R6 | ||||||||||||||||
Actual | 1,000.00 | 1,095.80 | 0.36 | 0.07 | ||||||||||||
Hypothetical | 1,000.00 | 1,024.45 | 0.35 | 0.07 |
* | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). |
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LIQUIDITY RISK MANAGEMENT PROGRAM
(Unaudited)
Each of the Funds has adopted the J.P. Morgan Funds Liquidity Risk Management Program (the “Program”) under Rule 22e-4 under the 1940 Act (the “Liquidity Rule”). The Program seeks to assess, manage and review each Fund’s Liquidity Risk. “Liquidity Risk” is defined as the risk that a fund could not meet requests to redeem shares issued by the fund without significant dilution of remaining investors’ interests in the fund. Among other things, the Liquidity Rule requires that a written report be provided to the Boards of Trustees (the “Board”) on an annual basis that addresses the operation of the Program and assesses the adequacy and effectiveness of its implementation, including the operation of any Highly Liquid Investment Minimum (“HLIM”) established for a J.P. Morgan Fund and any material changes to the Program.
The Board has appointed J.P. Morgan Asset Management’s Liquidity Risk Forum to be the program administrator for the Program (the “Program Administrator”). In addition to regular reporting at each of its quarterly meetings, on February 8, 2021, the Board of Trustees reviewed the Program Administrator’s annual report (the “Report”) concerning the operation of the Program for the period from January 1, 2020 through December 31, 2020 (the “Program Reporting Period”). The Report addressed the operation of the Program and assessed its adequacy and effectiveness of implementation, including, where applicable, the operation of a J.P. Morgan Fund’s HLIM. There were no material changes to the Program during the Program Reporting Period.
The Report summarized the operation of the Program and the information and factors considered by the Program Administrator in assessing whether the Program has been adequately and effectively implemented with respect to each Fund. Such information and factors included, among other things: (1) the liquidity risk framework used to assess, manage, and periodically review each Fund’s Liquidity Risk and the results of
this assessment; (2) the methodology and inputs for classifying the investments of a Fund into one of four liquidity categories that reflect an estimate of the liquidity of those investments under current market conditions, including additional focus on particular asset classes and securities impacted by the COVID-19 pandemic; (3) whether a Fund invested primarily in “Highly Liquid Investments” (as defined under the Liquidity Rule); (4) whether an HLIM should be established for a Fund (and, for Funds that have adopted an HLIM, whether the HLIM continues to be appropriate or whether a Fund has invested below its HLIM) and the procedures for monitoring for any HLIM; (5) whether a Fund invested more than 15% of its assets in “Illiquid Investments” (as defined under the Liquidity Rule) and the procedures for monitoring for this limit; (6) the oversight of the liquidity vendor retained to perform liquidity classifications for the Program including during the COVID-19 pandemic; and (7) specific liquidity events arising during the Program Reporting Period, including the impact on Fund liquidity caused by the significant market volatility created in March 2020 by the COVID-19 pandemic. The Report further summarized that the Program Administrator instituted a stressed market protocol in March 2020 to: (1) review the results of the liquidity risk framework and daily liquidity classifications of each Fund’s investments; and (2) perform additional stress testing. The Report noted that each Fund was able to meet redemption requests without significant dilution to remaining shareholders during the Program Reporting Period, including during March 2020.
Based on this review, the Report concluded that: (1) the Program continues to be reasonably designed to effectively assess and manage each Fund’s Liquidity Risk; and (2) the Program has been adequately and effectively implemented with respect to each Fund during the Program Reporting Period.
50 | J.P. MORGAN INVESTOR FUNDS | JUNE 30, 2021 |
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(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, 2021. 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, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended June 30, 2021:
Dividends Received Deduction | ||||
JPMorgan Investor Balanced Fund | 20.24 | % | ||
JPMorgan Investor Conservative Growth Fund | 14.04 | |||
JPMorgan Investor Growth Fund | 41.83 | |||
JPMorgan Investor Growth & Income Fund | 28.84 |
Long-Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended June 30, 2021:
Long-Term Capital Gain Distribution | ||||
JPMorgan Investor Balanced Fund | $ | 193,026 | ||
JPMorgan Investor Conservative Growth Fund | 80,170 | |||
JPMorgan Investor Growth Fund | 183,159 | |||
JPMorgan Investor Growth & Income Fund | 176,005 |
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended June 30, 2021:
Qualified Dividend Income | ||||
JPMorgan Investor Balanced Fund | $ | 46,462 | ||
JPMorgan Investor Conservative Growth Fund | 32,412 | |||
JPMorgan Investor Growth Fund | 41,637 | |||
JPMorgan Investor Growth & Income Fund | 35,484 |
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended June 30, 2021, the Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses cannot be quantified until Underlying Funds complete reporting for the calendar year in progress. Amounts for the fiscal year ended June 30, 2021 will be disclosed in the semiannual report for the period ended December 31, 2021.
JUNE 30, 2021 | J.P. MORGAN INVESTOR FUNDS | 51 |
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Rev. January 2011
FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? |
Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
Reasons we can share your personal information | Does J.P. Morgan Funds share? | Can you limit this sharing? | ||
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus | Yes | No | ||
For marketing purposes — to offer our products and services to you | Yes | No | ||
For joint marketing with other financial companies | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your transactions and experiences | No | We don’t share | ||
For our affiliates’ everyday business purposes — information about your creditworthiness | No | We don’t share | ||
For nonaffiliates to market to you | No | We don’t share |
Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com |
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Page 2 |
Who we are | ||
Who is providing this notice? | J.P. Morgan Funds |
What we do | ||
How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
How does J.P. Morgan Funds collect my personal information? | We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. |
Definitions | ||
Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC 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.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
© JPMorgan Chase & Co., 2021. All rights reserved. June 2021. | AN-INV-621 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is Dennis P. Harrington. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
On April 1, 2021, Kathleen M. Gallagher replaced Dennis P. Harrington as the audit committee financial expert. Ms. Gallagher is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2021 – $375,430
2020 – $393,508
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2021 – $49,455
2020 – $53,460
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2021 – $133,265
2020 – $150,184
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended June 30, 2021 and 2020, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2021 – Not applicable
2020 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
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One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2021 – 0.0%
2020 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable - Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2020 - $30.2 million
2019 - $24.9 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.
(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
(a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
(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).
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
(b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
JPMorgan Trust II | ||
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
September 1, 2021 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ Brian S. Shlissel | |
Brian S. Shlissel | ||
President and Principal Executive Officer | ||
September 1, 2021 | ||
By: | /s/ Timothy J. Clemens | |
Timothy J. Clemens | ||
Treasurer and Principal Financial Officer | ||
September 1, 2021 |