N-CSR 1 d66858dncsr.htm JPMORGAN TRUST I JPMorgan Trust I
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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: 811-21295

 

 

JPMorgan Trust I

(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: October 31

Date of reporting period: November 1, 2019 through October 31, 2020

 

 

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

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

 

 

 


Table of Contents

ITEM 1. REPORTS TO STOCKHOLDERS.

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


Table of Contents

Annual Report

J.P. Morgan Specialty Funds

October 31, 2020

JPMorgan Macro Opportunities Fund

JPMorgan Opportunistic Equity Long/Short Fund

JPMorgan Research Market Neutral Fund

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

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

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

LOGO


Table of Contents

CONTENTS

 

Letter to Shareholders        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan Macro Opportunities Fund

       3  

JPMorgan Opportunistic Equity Long/Short Fund

       6  

JPMorgan Research Market Neutral Fund

       9  
Schedules of Portfolio Investments        12  
Financial Statements        26  
Financial Highlights        34  
Notes to Financial Statements        40  
Report of Independent Registered Public Accounting Firm        55  
Trustees        56  
Officers        59  
Schedule of Shareholder Expenses        60  
Board Approval of Investment Advisory Agreements        61  
Tax Letter        65  
Privacy Policy — Located at the back of this Annual Report              

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

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

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


Table of Contents

LETTER TO SHAREHOLDERS

DECEMBER 10, 2020 (Unaudited)

 

Dear Shareholders,

Even as the pandemic fueled deep uncertainty over the past year, global financial markets proved to be resilient with unprecedented support from central banks and broad investor optimism over advances in global efforts to end the pandemic. Over the twelve months ended October 31, 2020, equity prices in the U.S. and emerging markets generally led a broad but uneven recovery from lows reached in the first quarter of 2020. For the period, the S&P 500 Index returned 9.71%, the MSCI Emerging Markets Index returned 8.62% and the MSCI EAFE Index returned -6.46%.

 

 

LOGO   

 

“We maintain an unwavering commitment to seeking to provide investors with innovative and timely solutions required to meet the demands and opportunities of any market environment.”
— Andrea L. Lisher

The period began with upward momentum in global equity markets but by the end of March 2020, investors responded to the emerging pandemic with a broad sell-off that fed a sharp spike in financial market volatility. The swift response of leading central banks to seek to ensure market liquidity brought

some calm to financial markets and in the following months equity prices began to recover. Though the full economic impact of the pandemic remains unknown, investors have appeared to focus on specific efforts to contain Covid-19 and the timeline for the potential availability of vaccines against the virus.

Throughout this period, J.P. Morgan Asset Management has quickly adapted to unique challenges and has continued to operate utilizing the same fundamental practices and principles that have driven our success. We maintain an unwavering commitment to seeking to provide investors with innovative and timely solutions required to meet the demands and opportunities of any market environment. 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,

 

LOGO

Andrea L. Lisher

Head of Americas, Client

J.P. Morgan Asset Management

 

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         1  


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J.P. Morgan Specialty Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2020 (Unaudited)

 

While global financial markets largely entered the reporting period with support from an improving economic and trade outlook, the economic shock of the pandemic response sparked a drop in global asset prices and a spike in market volatility in the first quarter of 2020. Rapid interventions by the world’s central banks helped to calm investors and set the stage for general but uneven recovery in financial markets.

The final months of 2019 were marked by rising prices for global equity — led by U.S. markets — driven partly by gains in U.S. and European manufacturing and an initial U.S.-China agreement to lower trade barriers. Amid already low interest rates, the U.S. Federal Reserve declined to cut rates further at its December meeting.

In the first days of January 2020, financial markets largely shrugged off a brief flare-up in military tensions between the U.S. and Iran. However, the emergence and spread of Covid-19 fed increasing investor uncertainty and by early March, the novel coronavirus was declared a pandemic by the World Health Organization. The closure of large sectors of national economies on a global scale sparked a dramatic sell-off in financial markets across the globe. Yields on developed market sovereign bonds fell sharply and prices for commodity gold spiked. By the end of the first quarter of 2020, leading developed market equity indexes had lost 20% or more of their value from the start of the year. Corporate bond prices generally fell and the price of crude oil ended the first quarter down by 60%.

Leading central banks promptly responded with lower interest rates and/or asset purchasing programs, which helped to support asset price stability and head off a potential liquidity crunch in credit markets. Governments also responded with a range of fiscal stimulus or paycheck protection programs designed to cushion the economic impact of the pandemic. In the ensuing months, global equity markets staged a slow and uneven rebound, led by U.S. and emerging markets.

For the twelve months ended October 31, 2020, the S&P 500 Index returned a total of 9.71%, MSCI Emerging Markets Index returned 8.62% and the MSCI EAFE Index returned -6.46%. Among bond market indexes, the Bloomberg Barclays U.S. Aggregate Index returned 6.19% and the Bloomberg Barclays Emerging Markets Index returned 3.38%

 

 
2       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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JPMorgan Macro Opportunities Fund

FUND COMMENTARY

FOR THE PERIOD APRIL 15, 2020 (INCEPTION DATE) THROUGH OCTOBER 31, 2020 (Unaudited)

 

REPORTING PERIOD RETURN:        
Fund (Class I Shares)*      2.60%  
ICE BofAML 3-Month U.S. Treasury Bill Index      0.06%  
Net Assets as of 10/31/2020 (In Thousands)    $ 15,432  

 

INVESTMENT OBJECTIVE**

The JPMorgan Macro Opportunities 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 ICE BofAML 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the period from inception on April 15, 2020 to October 31, 2020.

The Fund’s long equity strategies were leading contributors to absolute performance during the reporting period. The Fund’s fixed income strategies also contributed to absolute performance, while the Fund’s short bias equity strategies and currency positioning detracted from absolute performance.

In equity, the Fund’s security selections in the technology and European utilities sectors were leading contributors to absolute performance. The technology companies in which the Fund was invested benefitted from continued growth in online retail sales and the increased adoption of cloud computing during the period. Shares of select European utilities rose following the EU’s announcement of a 750 billion euro pandemic recovery fund that included an emphasis on investment in renewable energy.

In fixed income, the Fund’s long position in Italian treasury bonds versus its short position in German government bonds also contributed to absolute performance as the EU’s pandemic recovery fund announcement led to narrowing of yield spreads between the two countries’ sovereign debt.

The leading detractors from absolute performance were the Fund’s short positions in U.S. and emerging markets equity via

futures and options contracts as better-than-expected global economic data provided support for global equity. The Fund’s long position in the U.S. dollar, obtained through foreign exchange forward contracts, also detracted from absolute performance as improved economic growth held down the relative value of the dollar.

The Fund’s allocation to equity was the leading contributor to performance relative to the Benchmark, which is a fixed-income index that contains no equity.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund maintained a modest level of portfolio risk and tilted exposures to benefit from the recovery environment, while being mindful of the ongoing risk of pandemic resurgence. The Fund maintained a modest level of net equity risk, achieved through long and short exposures, a low level of duration across developed and emerging markets, as well as defensive positioning in currencies, and exposure to the gold price through equity holdings in gold mining companies. Duration measures the price sensitivity of bonds relative to changes in interest rates. Generally, bonds of shorter duration will experience a smaller decrease in price when interest rates decline.

 

*   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.
 

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         3  


Table of Contents

JPMorgan Macro Opportunities Fund

FUND COMMENTARY

FOR THE PERIOD APRIL 15, 2020 (INCEPTION DATE) THROUGH OCTOBER 31, 2020 (Unaudited) (continued)

 

TOP TEN HOLDINGS OF THE PORTFOLIO***  
  1.      Alibaba Group Holding Ltd., ADR (China)      2.7
  2.      Amazon.com, Inc.      2.3  
  3.      Alphabet, Inc., Class A      2.3  
  4.      Microsoft Corp.      2.1  
  5.      Visa, Inc., Class A      2.0  
  6.      Enel SpA (Italy)      1.9  
  7.      Orsted A/S (Denmark)      1.8  
  8.      Ping An Insurance Group Co. of China Ltd., Class H (China)      1.7  
  9.      Mastercard, Inc., Class A      1.7  
  10.      PayPal Holdings, Inc.      1.7  

PORTFOLIO COMPOSITION BY SECTOR***

 
Information Technology      15.5 %
Financials      14.1  
Consumer Discretionary      11.6
Utilities      6.9
Health Care      5.4
Industrials      3.9
Communication Services      3.3
Materials      3.1
Consumer Staples      1.0  
Others (each less than 1.0%)      0.4  
Short-Term Investments      34.8  

 

***   Percentages indicated are based on total investments as of October 31, 2020. The Fund’s portfolio composition is subject to change.
 

 

 
4       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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TOTAL RETURNS AS OF OCTOBER 31, 2020

 
     INCEPTION DATE OF
CLASS
     SINCE
INCEPTION*
 

CLASS A SHARES

   April 15, 2020     

With Sales Charge**

          (2.91 )% 

Without Sales Charge

          2.47  

CLASS C SHARES

   April 15, 2020     

With CDSC***

          1.20

Without CDSC

          2.20  

CLASS I SHARES

   April 15, 2020        2.60

CLASS R6 SHARES

   September 30, 2020        2.67

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the period.

LIFE OF FUND PERFORMANCE (04/15/20 TO 10/31/20)

 

 

LOGO

 

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

The Fund commenced operations on April 15, 2020.

Returns for Class R6 Shares prior to its inception 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 Macro Opportunities Fund and the ICE BofAML 3-Month U.S. Treasury Bill Index from April 15, 2020 to October 31, 2020. 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 ICE BofAML 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has

been adjusted to reflect reinvestment of all dividends and capital gains distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.

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

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the 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.

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.

 

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         5  


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2020 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      18.65%  
S&P 500 Index      9.71%  
ICE BofAML 3-Month U.S. Treasury Bill Index      0.92%  
Net Assets as of 10/31/2020 (In Thousands)      $485,516  

 

INVESTMENT OBJECTIVE**

The JPMorgan Opportunistic Equity Long/Short Fund (the “Fund”) seeks 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 October 31, 2020.

The Fund’s long positions in the consumer discretionary and communications services sectors were leading contributors to performance relative to the Benchmark. The Fund’s long position in the information technology sector and its short positions in the health care sector were leading detractors from relative performance.

Leading individual contributors to absolute performance included the Fund’s long positions in Tesla Inc., Nvidia Corp. and Alibaba Group Holding Ltd. Shares of Tesla, a maker of electric automobiles and energy generation and storage systems, rose on growth in quarterly earnings and investor demand for large cap technology stocks. Shares of Nvidia, a semiconductor manufacturer, rose as the company increased market share in key businesses and expanded into other technology businesses. Shares of Alibaba Group Holding, an electronic commerce platform provider, rose amid increased demand for digital services.

Leading individual detractors from absolute performance included the Fund’s long position in Berkshire Hathaway Inc. and short positions in Square Inc. and Simon Property Group Inc. Shares of Berkshire Hathaway, a holding company

conglomerate, fell after the company reported lower-than-expected results for the first quarter of 2020, largely due to the impact of the pandemic on the company’s insurance business. Shares of Square, a credit-card processing company, rose amid an increase in cashless transactions driven by the pandemic. Shares of Simon Property Group, a retail sector real estate investment trust, rebounded from the broad sell-off in in the first quarter of 2020 amid investor expectations that it would emerge from pandemic lockdowns in a better competitive position than its peers.

HOW WAS THE FUND POSITIONED?

During the twelve months ended October 31, 2020, the Fund invested an average of 109% of its assets in long and short positions in equity securities, selecting from a universe of equity securities with market capitalizations similar to those included in the Russell 1000 Index and/or the Benchmark. The Fund’s manager sought to achieve lower volatility than the Benchmark through a disciplined research process, security selection and risk management. For the twelve month reporting period, the Fund’s average gross exposure was 109% and its average net exposure was 63%.

 

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

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

 

 

 
6       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


Table of Contents

 

TOP TEN LONG POSITIONS OF THE PORTFOLIO***  
  1.     

Alibaba Group Holding Ltd., ADR (China)

     7.1
  2.     

Charter Communications, Inc., Class A

     6.5  
  3.     

Cigna Corp.

     6.2  
  4.     

NXP Semiconductors NV (Netherlands)

     5.7  
  5.     

Fiserv, Inc.

     5.5  
  6.     

Best Buy Co., Inc.

     4.4  
  7.     

Tesla, Inc.

     3.9  
  8.     

Altice USA, Inc., Class A

     3.5  
  9.     

NextEra Energy, Inc.

     3.3  
  10.     

NVIDIA Corp.

     3.3  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.     

Varian Medical Systems, Inc.

     19.6
  2.     

National General Holdings Corp.

     16.4  
  3.     

SPDR S&P 500 ETF Trust

     16.0  
  4.     

Sirius XM Holdings, Inc.

     13.8  
  5.     

Acacia Communications, Inc.

     13.5  
  6.     

Walgreens Boots Alliance, Inc.

     5.4  
  7.     

Host Hotels & Resorts, Inc.

     5.0  
  8.     

CVS Health Corp.

     3.1  
  9.     

Exelon Corp.

     1.5  
  10.     

Consolidated Edison, Inc.

     1.5  

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***

 

Information Technology

     20.3

Communication Services

     17.7

Consumer Discretionary

     16.8

Health Care

     10.2

Materials

     4.8

Utilities

     3.3

Financials

     2.3

Industrials

     1.3

Others (each less than 1.0%)

     0.9  

Short-Term Investments

     22.4  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****

 

Health Care

     22.6

Financials

     16.4

Exchange-Traded Fund

     16.0

Communication Services

     13.8

Information Technology

     13.5

Real Estate

     7.2

Consumer Staples

     5.7

Utilities

     4.4

Others (each less than 1.0%)

     0.4  

 

***   Percentages indicated are based on total long investments as of October 31, 2020. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of October 31, 2020. The Fund’s portfolio composition is subject to change.
 

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         7  


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2020 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2020

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        SINCE
INCEPTION
 

CLASS A SHARES

   August 29, 2014               

With Sales Charge*

          12.19        4.57        6.25

Without Sales Charge

          18.40          5.70          7.18  

CLASS C SHARES

   August 29, 2014               

With CDSC**

          16.78        5.17        6.65

Without CDSC

          17.78          5.17          6.65  

CLASS I SHARES

   August 29, 2014        18.65        5.96        7.44

CLASS R6 SHARES

   August 29, 2014        18.96        6.22        7.72

 

*   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.

LIFE OF FUND PERFORMANCE (8/29/14 TO 10/31/20)

 

 

LOGO

 

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

The Fund commenced operations on August 29, 2014.

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Opportunistic Equity Long/Short Fund, the S&P 500 Index and the ICE BofAML 3-Month U.S. Treasury Bill Index from August 29, 2014 to October 31, 2020. 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 ICE BofAML 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of 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 U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.

From the inception of the Fund through January 23, 2015, the Fund did not experience any shareholder activity. If such activity had occurred, the Fund’s performance may have been impacted.

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 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.

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 SPECIALTY FUNDS   OCTOBER 31, 2020


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JPMorgan Research Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2020 (Unaudited)

 

REPORTING PERIOD RETURN:  
Fund (Class I Shares)*      12.26%  
ICE BofAML 3-Month US Treasury Bill Index      0.92%  
Net Assets as of 10/31/2020 (In Thousands)      $141,439  

 

INVESTMENT OBJECTIVE**

The JPMorgan Research Market Neutral Fund (the “Fund”) seeks to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.

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

The Fund’s Class I Shares outperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Benchmark”) for the twelve months ended October 31, 2020.

The Fund’s security selection in the software & hardware sector and its overweight position in the semiconductors sector were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the consumer stable and the pharmaceutical & health care sector was a leading detractor from relative performance.

Leading individual contributors to relative performance included the Fund’s long position in Amazon.com Inc. and its short positions in Cinemark Holdings Inc. and Boeing Co. Shares of Amazon.com, a provider of online retail shopping and related services, rose amid consumer demand for online shopping and services. Shares of Cinemark Holdings, an operator of movie theaters, fell amid the closure of cinemas and other entertainment venues in response to the pandemic. Shares of Boeing, an airplane manufacturing and aerospace company, fell amid a sharp global decrease in air travel.

Leading individual detractors from relative performance included the Fund’s short positions in Spotify Technology SA,

and Kroger Co. and its long position in Diamondback Energy Inc. Shares of Spotify Technology, a provider of digital music streaming services, rose after the company reported better-than-expected user growth during the third quarter of 2020. Shares of Kroger, a grocery supermarket chain, rose after the company reported better-than-expected sales and earnings for the second quarter of 2020 and unveiled a $1 billion share repurchase plan. Shares of Diamondback Energy, an oil and gas company focused on U.S. shale deposits, fell amid consecutive quarters of lower-than-expected earnings.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers aimed to construct a portfolio of long and short positions with a low correlation to the broader market for stocks and bonds. The Fund’s portfolio managers used fundamental research to estimate companies’ long-term earnings forecasts, ranking approximately 600 large and mid cap stocks into five quintiles. The Fund’s portfolio managers looked to the top two quintiles for potential long positions in stocks that they believed were undervalued and the bottom two quintiles for potential short positions in stocks that they believed were overvalued.

 

*   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.
 

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         9  


Table of Contents

JPMorgan Research Market Neutral Fund

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2020 (Unaudited) (continued)

 

TOP TEN LONG POSITIONS OF THE PORTFOLIO***  
  1.     

Amazon.com, Inc.

     2.0
  2.     

NXP Semiconductors NV (Netherlands)

     2.0  
  3.     

Netflix, Inc.

     1.7  
  4.     

Trane Technologies plc

     1.5  
  5.     

Truist Financial Corp.

     1.3  
  6.     

Stanley Black & Decker, Inc.

     1.3  
  7.     

Mastercard, Inc., Class A

     1.3  
  8.     

Analog Devices, Inc.

     1.1  
  9.     

O’Reilly Automotive, Inc.

     1.1  
  10.     

Norfolk Southern Corp.

     1.1  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.     

Cisco Systems, Inc.

     3.1
  2.     

Broadcom, Inc.

     2.4  
  3.     

ViacomCBS, Inc.

     2.4  
  4.     

Walt Disney Co. (The)

     2.1  
  5.     

Spotify Technology SA

     1.9  
  6.     

Kroger Co. (The)

     1.9  
  7.     

Clorox Co. (The)

     1.8  
  8.     

Take-Two Interactive Software, Inc.

     1.8  
  9.     

General Electric Co.

     1.7  
  10.     

Gilead Sciences, Inc.

     1.7  

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***

 

Information Technology

     17.9

Industrials

     11.9

Consumer Discretionary

     10.5

Health Care

     9.0

Communication Services

     7.8

Financials

     6.7

Materials

     4.6

Energy

     4.3

Real Estate

     3.8

Consumer Staples

     2.9

Utilities

     2.9

Short-Term Investments

     17.7  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****

 

Information Technology

     15.9

Communication Services

     14.3

Industrials

     13.6

Health Care

     10.0

Financials

     9.3

Consumer Staples

     8.1

Consumer Discretionary

     7.8

Energy

     6.5  

Materials

     5.4

Real Estate

     5.3

Utilities

     3.8

 

***   Percentages indicated are based on total long investments as of October 31, 2020. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of October 31, 2020. The Fund’s portfolio composition is subject to change.
 

 

 
10       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


Table of Contents

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2020

 
     INCEPTION DATE OF
CLASS
     1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

   February 28, 2002               

With Sales Charge*

          6.06        2.21        0.64

Without Sales Charge

          11.97          3.32          1.19  

CLASS C SHARES

   November 2, 2009               

With CDSC**

          10.36        2.80        0.78

Without CDSC

          11.36          2.80          0.78  

CLASS I SHARES

   November 2, 2009        12.26        3.58        1.44

 

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

TEN YEAR FUND PERFORMANCE (10/31/10 TO 10/31/20)

 

 

LOGO

 

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

The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Research Market Neutral Fund and ICE BofAML 3-Month U.S. Treasury Bill Index from October 31, 2010 to October 31, 2020. 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 ICE BofAML 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill

that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.

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

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the 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.

 

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         11  


Table of Contents

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2020

 

INVESTMENTS       
SHARES
(000)
    VALUE
($000)
 

Common Stocks — 56.6%

   

Banks — 5.5%

   

Bank Central Asia Tbk. PT (Indonesia)

    64       126  

Fifth Third Bancorp

    3       68  

First Republic Bank

    1       172  

HDFC Bank Ltd., ADR (India) *

    3       179  

PNC Financial Services Group, Inc. (The)

    1       73  

Sberbank of Russia PJSC, ADR (Russia)

    11       114  

Sberbank of Russia PJSC, ADR (Russia)

    5       47  

Signature Bank

    1       70  
   

 

 

 
      849  
   

 

 

 

Capital Markets — 0.9%

   

S&P Global, Inc.

    (a)      136  
   

 

 

 

Electric Utilities — 5.5%

   

EDP — Energias de Portugal SA (Portugal)

    24       121  

Enel SpA (Italy)

    34       271  

Iberdrola SA (Spain)

    17       204  

Orsted A/S (Denmark) (b)

    2       257  
   

 

 

 
      853  
   

 

 

 

Electrical Equipment — 1.7%

   

Rockwell Automation, Inc.

    (a)      107  

Schneider Electric SE (France)

    1       150  
   

 

 

 
      257  
   

 

 

 

Entertainment — 1.0%

   

Walt Disney Co. (The)

    1       147  
   

 

 

 

Health Care Equipment & Supplies — 0.7%

   

Abbott Laboratories

    1       114  
   

 

 

 

Hotels, Restaurants & Leisure — 0.9%

   

Compass Group plc (United Kingdom)

    11       145  
   

 

 

 

Insurance — 3.4%

   

AIA Group Ltd. (Hong Kong)

    17       162  

Aon plc, Class A

    1       125  

Ping An Insurance Group Co. of China Ltd., Class H (China)

    24       243  
   

 

 

 
      530  
   

 

 

 

Interactive Media & Services — 2.1%

   

Alphabet, Inc., Class A *

    (a)      327  
   

 

 

 

Internet & Direct Marketing Retail — 4.6%

   

Alibaba Group Holding Ltd., ADR (China) *

    1       381  

Amazon.com, Inc. *

    (a)      334  
   

 

 

 
      715  
   

 

 

 
INVESTMENTS       
SHARES
(000)
    VALUE
($000)
 
   

IT Services — 4.9%

   

Mastercard, Inc., Class A

    1       241  

PayPal Holdings, Inc. *

    1       238  

Visa, Inc., Class A

    2       282  
   

 

 

 
      761  
   

 

 

 

Life Sciences Tools & Services — 0.9%

   

Thermo Fisher Scientific, Inc.

    (a)      136  
   

 

 

 

Machinery — 1.9%

   

Stanley Black & Decker, Inc.

    1       155  

Volvo AB, Class B (Sweden) *

    7       139  
   

 

 

 
      294  
   

 

 

 

Metals & Mining — 2.9%

   

Barrick Gold Corp. (Canada)

    8       215  

Newmont Corp.

    4       224  
   

 

 

 
      439  
   

 

 

 

Multi-Utilities — 0.8%

   

RWE AG (Germany)

    3       129  
   

 

 

 

Personal Products — 0.9%

   

Estee Lauder Cos., Inc. (The), Class A

    1       141  
   

 

 

 

Pharmaceuticals — 3.4%

   

AstraZeneca plc (United Kingdom)

    1       119  

Johnson & Johnson

    1       121  

Novo Nordisk A/S, Class B (Denmark)

    2       141  

Roche Holding AG (Switzerland)

    (a)      143  
   

 

 

 
      524  
   

 

 

 

Semiconductors & Semiconductor Equipment — 4.1%

 

 

Analog Devices, Inc.

    1       165  

Microchip Technology, Inc.

    1       152  

NVIDIA Corp.

    (a)      135  

Texas Instruments, Inc.

    1       173  
   

 

 

 
      625  
   

 

 

 

Software — 5.3%

   

Adobe, Inc. *

    (a)      94  

Atlassian Corp. plc, Class A *

    (a)      91  

Microsoft Corp.

    1       297  

salesforce.com, Inc. *

    1       230  

ServiceNow, Inc. *

    (a)      103  
   

 

 

 
      815  
   

 

 

 

Specialty Retail — 1.9%

   

Burlington Stores, Inc. *

    1       109  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
12       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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

Common Stocks — continued

   

Specialty Retail — continued

   

TJX Cos., Inc. (The)

    4       180  
   

 

 

 
      289  
   

 

 

 

Textiles, Apparel & Luxury Goods — 3.3%

   

Lululemon Athletica, Inc. *

    (a)      80  

LVMH Moet Hennessy Louis Vuitton SE (France)

    (a)      225  

NIKE, Inc., Class B

    2       200  
   

 

 

 
      505  
   

 

 

 

Total Common Stocks
(Cost $7,587)

      8,731  
   

 

 

 
     PRINCIPAL
AMOUNT
($000)
        

Foreign Government Securities — 3.2%

   

Bonos de la Tesoreria (Peru) 5.94%, 2/12/2029

  PEN  332       109  

Romania Government Bond (Romania)

   

2.75%, 2/26/2026 (b)

  EUR 60       76  

3.62%, 5/26/2030 (b)

  EUR 58       77  

United Mexican States (Mexico) 4.50%, 4/22/2029

    200       226  
   

 

 

 

Total Foreign Government Securities
(Cost $483)

      488  
   

 

 

 
     NO. OF
CONTRACTS
        

Options Purchased — 0.4%

 

Call Options Purchased — 0.3%

 

 

Aerospace & Defense — 0.0% (c)

 

 

Airbus SE (France) 12/17/2021 at EUR 100.00, American Style Notional Amount: EUR 69 Exchange-Traded *

  EUR 11       3  

Boeing Co. (The) 1/21/2022 at USD 300.00, American Style Notional Amount: USD 58 Exchange-Traded *

    4       2  
   

 

 

 
      5  
   

 

 

 

Airlines — 0.0% (c)

   

American Airlines Group, Inc. 1/21/2022 at USD 37.00, American Style Notional Amount: USD 36 Exchange-Traded *

    32       2  

United Airlines Holdings, Inc. 1/21/2022 at USD 90.00, American Style Notional Amount: USD 41 Exchange-Traded *

    12       1  
   

 

 

 
      3  
   

 

 

 

Automobiles — 0.0% (c)

   

Renault SA (France) 12/17/2021 at EUR 40.00, American Style Notional Amount: EUR 36 Exchange-Traded *

  EUR 17       1  
   

 

 

 
INVESTMENTS       
NO. OF
CONTRACTS
     VALUE
($000)
 
    

Banks — 0.1%

    

Natwest Group plc (United Kingdom) 12/17/2021 at GBP 160.00, American Style Notional Amount: GBP 0 Exchange-Traded *

  GBP 33        4  

Signature Bank 9/17/2021 at USD 100.00, American Style Notional Amount: USD 81 Exchange-Traded *

    10        6  

Societe Generale SA (France) 12/17/2021 at EUR 20.00, American Style Notional Amount: EUR 42 Exchange-Traded *

    EUR 36        2  

Wells Fargo & Co. 1/21/2022 at USD 40.00, American Style Notional Amount: USD 51 Exchange-Traded *

    24        1  
    

 

 

 
       13  
    

 

 

 

Equity Real Estate Investment Trusts (REITs) — 0.0% (c)

 

  

Simon Property Group, Inc. 1/21/2022 at USD 135.00, American Style Notional Amount: USD 50 Exchange-Traded *

    8        2  
    

 

 

 

Hotels, Restaurants & Leisure — 0.0% (c)

 

  

Carnival Corp. 1/21/2022 at USD 40.00, American Style Notional Amount: USD 34 Exchange-Traded *

    25        3  

MGM Resorts International 1/21/2022 at USD 40.00, American Style Notional Amount: USD 51 Exchange-Traded *

    25        3  

Norwegian Cruise Line Holdings Ltd. 1/21/2022 at USD 75.00, American Style Notional Amount: USD 37 Exchange-Traded *

    22        1  
    

 

 

 
       7  
    

 

 

 

Index Funds — 0.2%

 

  

Russell 2000 Index 3/19/2021 at USD 1,750.00, European Style Notional Amount: USD 1,077 Exchange-Traded *

    7        23  

STOXX Europe 600 Utilities Index (Germany) 12/18/2020 at EUR 370.00, European Style Notional Amount: EUR 359 Exchange-Traded *

  EUR 21        3  

12/18/2020 at EUR 400.00, European Style Notional Amount: EUR 360 Exchange-Traded *

  EUR 21        (a) 
    

 

 

 
       26  
    

 

 

 

Total Call Options Purchased

       57  
    

 

 

 

Put Options Purchased — 0.1%

 

Index Funds — 0.1%

 

  

S&P 500 Index 11/2/2020 at USD 3,240.00, European Style Notional Amount: USD 2,394 Exchange-Traded *

    7        13  
    

 

 

 

Total Options Purchased
(Cost $139)

       70  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         13  


Table of Contents

JPMorgan Macro Opportunities Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2020 (continued)

 

INVESTMENTS   PRINCIPAL
AMOUNT
($000)
     VALUE
($000)
 

Short-Term Investments — 32.2%

 

Foreign Government Treasury Bills — 16.9%

 

  

Japan Treasury Discount Bills (Japan)

    

(0.08)%, 11/2/2020 (d)

  JPY  64,250        614  

(0.09)%, 11/16/2020 (d)

  JPY 64,850        620  

(0.09)%, 1/18/2021 (d)

  JPY 34,950        334  

(0.09)%, 2/1/2021 (d)

  JPY 62,000        592  

Letras do Tesouro Nacional (Brazil) 4.32%, 7/1/2023 (d)

  BRL 3,000        449  
    

 

 

 

Total Foreign Government Treasury Bills
(Cost $2,640)

       2,609  
    

 

 

 
     SHARES
(000)
         

Investment Companies — 15.3%

 

  

JPMorgan Prime Money Market Fund Class IM Shares, 0.11% (e) (f)
(Cost $2,356)

    2,355        2,356  
    

 

 

 

Total Short-Term Investments
(Cost $4,996)

       4,965  
    

 

 

 

Total Investments — 92.4%
(Cost $13,205)

       14,254  

Other Assets Less Liabilities — 7.6%

       1,178  
    

 

 

 

NET ASSETS — 100.0%

       15,432  
    

 

 

 

 

Percentages indicated are based on net assets.    

 

Abbreviations

 
ADR   American Depositary Receipt
BRL   Brazilian Real
EUR   Euro
GBP   British Pound
JPY   Japanese Yen
PEN   Peruvian Nuevo Sol
PJSC   Public Joint Stock Company
PT   Limited liability company
USD   United States Dollar
(a)   Amount rounds to less than one thousand.
(b)   Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale.
(c)   Amount rounds to less than 0.1% of net assets.
(d)   The rate shown is the effective yield as of October 31, 2020.
(e)   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.
(f)   The rate shown is the current yield as of October 31, 2020.
*   Non-income producing security.

 

 

Futures contracts outstanding as of October 31, 2020 (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 Industrial Select Sector

       4          12/2020        USD        305          (10

Euro-BTP

       5          12/2020        EUR        870          21  

Russell 2000 E-Mini Index

       3          12/2020        USD        231          1  

U.S. Treasury 10 Year Note

       5          12/2020        USD        691          (6
                        

 

 

 
                           6  
                        

 

 

 

Short Contracts

 

EURO STOXX 50 Index

       (24        12/2020        EUR        (827        96  

Euro-Bund

       (4        12/2020        EUR        (821        (11

MSCI Emerging Markets E-Mini Index

       (3        12/2020        USD        (165        1  

S&P 500 E-Mini Index

       (16        12/2020        USD        (2,612        103  

E-mini Consumer Staples Select Sector

       (5        12/2020        USD        (312        14  

E-mini Utilities Select Sector

       (2        12/2020        USD        (126        4  

E-mini Health Care Select Sector

       (1        12/2020        USD        (103        5  
                        

 

 

 
                           212  
                        

 

 

 
                           218  
                        

 

 

 

 

Abbreviations

 

EUR   Euro
MSCI   Morgan Stanley Capital International
USD   United States Dollar

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
14       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


Table of Contents

Forward foreign currency exchange contracts outstanding as of October 31, 2020 (amounts in thousands):

 

CURRENCY
PURCHASED
     CURRENCY SOLD      COUNTERPARTY    SETTLEMENT
DATE
       UNREALIZED
APPRECIATION
(DEPRECIATION) ($)
 

MXN

     8,166        USD        380      Barclays Bank plc      11/24/2020          4  

USD

     470        BRL        2,609      Citibank, NA**      11/24/2020          16  

USD

     36        DKK        225      Merrill Lynch International      11/24/2020          1  

USD

     454        DKK        2,873      TD Bank Financial Group      11/24/2020          4  

USD

     430        HKD        3,330      Citibank, NA      11/24/2020          (a) 

USD

     431        HKD        3,339      TD Bank Financial Group      11/24/2020          (a) 

USD

     159        INR        11,690      Citibank, NA**      11/24/2020          1  

USD

     34        INR        2,507      Goldman Sachs International**      11/24/2020          (a) 

USD

     113        PEN        404      Citibank, NA**      11/24/2020          1  

USD

     201        RUB        15,658      Goldman Sachs International**      11/24/2020          5  

JPY

     31,386        USD        298      Goldman Sachs International      1/25/2021          2  

USD

     182        CHF        166      Goldman Sachs International      1/25/2021          1  

USD

     1,621        EUR        1,377      Goldman Sachs International      1/25/2021          14  

USD

     972        GBP        748      Goldman Sachs International      1/25/2021          2  

USD

     166        SEK        1,460      Goldman Sachs International      1/25/2021          1  
                   

 

 

 

Total unrealized appreciation

          52  
       

 

 

 

CNY

     2,649        USD        396      Barclays Bank plc**      11/24/2020          (1

DKK

     308        USD        49      Goldman Sachs International      11/24/2020          (a) 

DKK

     293        USD        47      Merrill Lynch International      11/24/2020          (1

HKD

     231        USD        30      TD Bank Financial Group      11/24/2020          (a) 

RUB

     2,418        USD        31      Goldman Sachs International**      11/24/2020          (a) 

USD

     34        CNY        229      Barclays Bank plc**      11/24/2020          (a) 

USD

     358        CNY        2,420      Merrill Lynch International**      11/24/2020          (2

USD

     110        IDR        1,633,287      Citibank, NA**      11/24/2020          (1

USD

     387        ZAR        6,420      Citibank, NA      11/24/2020          (7

CHF

     33        USD        36      Goldman Sachs International      1/25/2021          (a) 

EUR

     595        USD        705      Goldman Sachs International      1/25/2021          (10

GBP

     173        USD        226      Goldman Sachs International      1/25/2021          (2

USD

     1,857        JPY        194,949      Goldman Sachs International      1/25/2021          (8
                   

 

 

 

Total unrealized depreciation

          (32
       

 

 

 

Net unrealized appreciation

          20  
       

 

 

 

 

Abbreviations

 

BRL   Brazilian Real
CHF   Swiss Franc
CNY   China Yuan
DKK   Danish Krone
EUR   Euro
GBP   British Pound
HKD   Hong Kong Dollar
IDR   Indonesian Rupiah
INR   Indian Rupee
JPY   Japanese Yen
MXN   Mexican Peso
PEN   Peruvian Nuevo Sol
RUB   Russian Ruble
SEK   Swedish Krona
USD   United States Dollar
ZAR   South African Rand
(a)   Amount rounds to less than one thousand.
**   Non-deliverable forward.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         15  


Table of Contents

JPMorgan Opportunistic Equity Long/Short Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2020

 

INVESTMENTS   SHARES
(000)
    VALUE
($000)
 

Long Positions — 105.6%

 

Common Stocks — 82.0%

 

Automobiles — 4.1%

 

Tesla, Inc. *

    51       19,761  
   

 

 

 

Banks — 0.6%

 

Comerica, Inc.

    68       3,097  
   

 

 

 

Chemicals — 5.1%

 

Air Products and Chemicals, Inc. (a)

    61       16,718  

Sherwin-Williams Co. (The) (a)

    12       7,952  
   

 

 

 
      24,670  
   

 

 

 

Consumer Finance — 1.8%

 

LendingTree, Inc. *

    27       8,797  
   

 

 

 

Electric Utilities — 3.5%

 

NextEra Energy, Inc.

    232       16,980  
   

 

 

 

Entertainment — 2.4%

 

Netflix, Inc. * (a)

    25       11,672  
   

 

 

 

Food Products — 1.0%

 

Beyond Meat, Inc. * (a)

    32       4,596  
   

 

 

 

Health Care Providers & Services — 9.8%

 

Cigna Corp. (a)

    192       32,043  

UnitedHealth Group, Inc. (a)

    50       15,341  
   

 

 

 
      47,384  
   

 

 

 

Interactive Media & Services — 1.5%

 

Alphabet, Inc., Class A *

    (b)      522  

Zillow Group, Inc., Class C * (a)

    78       6,923  
   

 

 

 
      7,445  
   

 

 

 

Internet & Direct Marketing Retail — 8.5%

 

Alibaba Group Holding Ltd., ADR (China) * (a)

    120       36,626  

Amazon.com, Inc. *

    2       4,840  
   

 

 

 
      41,466  
   

 

 

 

IT Services — 6.7%

 

Fidelity National Information Services, Inc. (a)

    3       406  

Fiserv, Inc. * (a)

    296       28,280  

Mastercard, Inc., Class A

    2       441  

Twilio, Inc., Class A *

    11       3,043  

Visa, Inc., Class A(a)

    2       414  
   

 

 

 
      32,584  
   

 

 

 

Life Sciences Tools & Services — 1.1%

 

Thermo Fisher Scientific, Inc.

    11       5,123  
   

 

 

 

Media — 14.7%

 

Altice USA, Inc., Class A * (a)

    661       17,810  

Charter Communications, Inc., Class A * (a)

    55       33,386  
INVESTMENTS   SHARES
(000)
    VALUE
($000)
 
   
   

Media — continued

 

Liberty Media Corp.-Liberty SiriusXM, Class A *

    316       10,929  

Liberty Media Corp.-Liberty SiriusXM, Class C *

    273       9,432  
   

 

 

 
      71,557  
   

 

 

 

Road & Rail — 1.4%

 

Canadian Pacific Railway Ltd. (Canada)

    21       6,196  

Lyft, Inc., Class A *

    9       196  

Uber Technologies, Inc. *

    7       230  
   

 

 

 
      6,622  
   

 

 

 

Semiconductors & Semiconductor Equipment — 9.5%

 

NVIDIA Corp. (a)

    34       16,834  

NXP Semiconductors NV (Netherlands)

    217       29,317  
   

 

 

 
      46,151  
   

 

 

 

Software — 3.3%

 

Microsoft Corp.

    35       7,056  

RingCentral, Inc., Class A *

    35       8,925  
   

 

 

 
      15,981  
   

 

 

 

Specialty Retail — 5.1%

 

Best Buy Co., Inc.

    202       22,545  

Lowe’s Cos., Inc.

    15       2,328  
   

 

 

 
      24,873  
   

 

 

 

Technology Hardware, Storage & Peripherals — 1.9%

 

Apple, Inc.

    85       9,250  
   

 

 

 

Total Common Stocks
(Cost $334,770)

      398,009  
   

 

 

 

Short-Term Investments — 23.6%

 

Investment Companies — 23.6%

 

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (c) (d) (Cost $114,889)

    114,820       114,889  
   

 

 

 

Total Long Positions
(Cost $449,659)

      512,898  
   

 

 

 

Short Positions — (31.1)%

 

Common Stocks — (26.1)%

 

Beverages — (0.1)%

   

Molson Coors Beverage Co., Class B

    (15     (518
   

 

 

 

Communications Equipment — (4.2)%

 

Acacia Communications, Inc. *

    (300     (20,334
   

 

 

 

Electric Utilities — (0.7)%

 

Exelon Corp.

    (57     (2,280

Pinnacle West Capital Corp.

    (13     (1,087
   

 

 

 
      (3,367
   

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
16       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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

Short Positions — continued

 

Energy Equipment & Services — (0.1)%

 

Schlumberger NV

    (43     (649
   

 

 

 

Equity Real Estate Investment Trusts (REITs) — (2.2)%

 

AvalonBay Communities, Inc.

    (14     (1,976

Host Hotels & Resorts, Inc.

    (722     (7,565

Vornado Realty Trust

    (42     (1,291
   

 

 

 
      (10,832
   

 

 

 

Food & Staples Retailing — (1.7)%

 

Walgreens Boots Alliance, Inc.

    (239     (8,146
   

 

 

 

Health Care Equipment & Supplies — (6.1)%

 

Varian Medical Systems, Inc. *

    (171     (29,552
   

 

 

 

Health Care Providers & Services — (0.9)%

 

CVS Health Corp.

    (83     (4,664
   

 

 

 

Insurance — (5.1)%

 

National General Holdings Corp.

    (728     (24,729
   

 

 

 

Media — (4.3)%

 

Sirius XM Holdings, Inc.

    (3,631     (20,803
   

 

 

 

Multi-Utilities — (0.7)%

 

Consolidated Edison, Inc.

    (29     (2,255

DTE Energy Co.

    (9     (1,054
   

 

 

 
      (3,309
   

 

 

 

Total Common Stocks
(Proceeds $(127,400))

      (126,903
   

 

 

 

Exchange-traded Funds — (5.0)%

 

U.S. Equity — (5.0)%

 

SPDR S&P 500 ETF Trust(Proceeds $(24,614))

    (74     (24,243
   

 

 

 

Total Short Positions
(Proceeds $(152,014))

      (151,146
   

 

 

 

Total Investments — 74.5%
(Cost $297,645)

      361,752  

Other Assets Less Liabilities — 25.5%

      123,764  
   

 

 

 

NET ASSETS — 100.0%

      485,516  
 

 

 

 

 

Percentages indicated are based on net assets.    

 

Abbreviations

 

 
ADR   American Depositary Receipt
ETF   Exchange-Traded Fund
SPDR   Standard & Poor’s Depository Receipts
(a)   All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is approximately $110,619,000 and $186,652,000 respectively.
(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 October 31, 2020.
*   Non-income producing security.
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         17  


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2020

 

INVESTMENTS    SHARES
(000)
    VALUE
($000)
 

Long Positions — 95.0%

 

Common Stocks — 78.2%

 

Aerospace & Defense — 1.0%

 

Northrop Grumman Corp.

     3       813  

Raytheon Technologies Corp.

     10       542  
    

 

 

 
       1,355  
    

 

 

 

Air Freight & Logistics — 0.2%

 

FedEx Corp.

     1       260  

United Parcel Service, Inc., Class B

     1       81  
    

 

 

 
       341  
    

 

 

 

Auto Components — 0.7%

 

Aptiv plc

     4       352  

BorgWarner, Inc.

     1       41  

Magna International, Inc. (Canada)

     12       604  
    

 

 

 
       997  
    

 

 

 

Automobiles — 0.1%

 

General Motors Co.

     4       151  
    

 

 

 

Banks — 2.0%

 

Regions Financial Corp.

     37       494  

SVB Financial Group *

     1       340  

Truist Financial Corp.

     43       1,806  

Wells Fargo & Co.

     10       221  
    

 

 

 
       2,861  
    

 

 

 

Beverages — 0.9%

 

Coca-Cola Co. (The)

     5       232  

Constellation Brands, Inc., Class A

     3       467  

PepsiCo, Inc.

     5       635  
    

 

 

 
       1,334  
    

 

 

 

Biotechnology — 2.2%

 

AbbVie, Inc.

     12       1,032  

Alexion Pharmaceuticals, Inc. *

     5       601  

Biogen, Inc. *

     4       915  

Vertex Pharmaceuticals, Inc. *

     2       516  
    

 

 

 
       3,064  
    

 

 

 

Building Products — 1.8%

 

Allegion plc

     1       102  

Masco Corp.

     7       389  

Trane Technologies plc

     15       2,043  
    

 

 

 
       2,534  
    

 

 

 

Capital Markets — 1.3%

 

Ameriprise Financial, Inc.

     (a)      61  

Charles Schwab Corp. (The)

     12       507  

Intercontinental Exchange, Inc.

     3       310  
INVESTMENTS    SHARES
(000)
    VALUE
($000)
 
    
    

Capital Markets — continued

 

Morgan Stanley

     13       637  

MSCI, Inc.

     (a)      174  

State Street Corp.

     3       182  
    

 

 

 
       1,871  
    

 

 

 

Chemicals — 4.1%

 

Air Products and Chemicals, Inc. (b)

     1       363  

Celanese Corp.

     6       707  

Corteva, Inc.

     15       483  

DuPont de Nemours, Inc.

     15       877  

Eastman Chemical Co. (b)

     13       1,047  

FMC Corp.

     3       342  

Linde plc (United Kingdom)

     6       1,242  

PPG Industries, Inc.

     5       680  

Sherwin-Williams Co. (The)

     (a)      91  
    

 

 

 
       5,832  
    

 

 

 

Consumer Finance — 0.8%

 

Capital One Financial Corp.

     16       1,141  
    

 

 

 

Containers & Packaging — 0.2%

 

Crown Holdings, Inc. *

     4       303  
    

 

 

 

Diversified Financial Services — 0.4%

 

Voya Financial, Inc.

     10       496  
    

 

 

 

Electric Utilities — 1.9%

 

Entergy Corp.

     2       251  

NextEra Energy, Inc.

     18       1,331  

Xcel Energy, Inc. (b)

     15       1,062  
    

 

 

 
       2,644  
    

 

 

 

Electrical Equipment — 1.3%

 

AMETEK, Inc.

     7       679  

Eaton Corp. plc

     6       643  

Rockwell Automation, Inc.

     (a)      71  

Sensata Technologies Holding plc *

     11       495  
    

 

 

 
       1,888  
    

 

 

 

Electronic Equipment, Instruments & Components — 0.6%

 

TE Connectivity Ltd.

     8       821  
    

 

 

 

Energy Equipment & Services — 0.3%

 

Baker Hughes Co.

     27       398  
    

 

 

 

Entertainment — 2.9%

 

Electronic Arts, Inc. *

     7       873  

Netflix, Inc. * (b)

     5       2,272  

Warner Music Group Corp., Class A

     38       1,005  
    

 

 

 
       4,150  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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

Long Positions — continued

 

Common Stocks — continued

 

Equity Real Estate Investment Trusts (REITs) — 3.6%

 

Brixmor Property Group, Inc.

     43       470  

Camden Property Trust

     6       599  

Equity LifeStyle Properties, Inc.

     17       987  

Host Hotels & Resorts, Inc.

     5       56  

Kimco Realty Corp.

     23       235  

Prologis, Inc.

     6       603  

Realty Income Corp.

     2       107  

SBA Communications Corp.

     1       236  

Sun Communities, Inc.

     1       89  

UDR, Inc.

     11       331  

Ventas, Inc.

     20       775  

WP Carey, Inc.

     9       573  
    

 

 

 
       5,061  
    

 

 

 

Food & Staples Retailing — 0.4%

 

Albertsons Cos., Inc., Class A

     26       376  

Costco Wholesale Corp.

     1       196  
    

 

 

 
       572  
    

 

 

 

Food Products — 0.6%

 

Conagra Brands, Inc.

     9       324  

Mondelez International, Inc., Class A

     9       484  
    

 

 

 
       808  
    

 

 

 

Health Care Equipment & Supplies — 2.4%

 

Baxter International, Inc.

     1       97  

Becton Dickinson and Co.

     1       128  

Boston Scientific Corp. *

     19       666  

Intuitive Surgical, Inc. *

     1       853  

Medtronic plc

     6       609  

Zimmer Biomet Holdings, Inc.

     7       989  
    

 

 

 
       3,342  
    

 

 

 

Health Care Providers & Services — 1.6%

 

Centene Corp. *

     5       294  

Cigna Corp.(b)

     4       705  

McKesson Corp.

     7       1,055  

UnitedHealth Group, Inc. (b)

     (a)      151  
    

 

 

 
       2,205  
    

 

 

 

Hotels, Restaurants & Leisure — 1.7%

 

Choice Hotels International, Inc.

     2       179  

Hilton Worldwide Holdings, Inc.

     3       270  

Las Vegas Sands Corp.

     7       340  

McDonald’s Corp.

     1       188  

Yum! Brands, Inc. (b)

     15       1,421  
    

 

 

 
       2,398  
    

 

 

 
INVESTMENTS    SHARES
(000)
    VALUE
($000)
 
    
    

Household Durables — 0.5%

 

KB Home

     14       436  

Lennar Corp., Class A

     1       62  

Mohawk Industries, Inc. *

     1       68  

Toll Brothers, Inc.

     4       173  
    

 

 

 
       739  
    

 

 

 

Household Products — 0.6%

 

Kimberly-Clark Corp.

     2       227  

Procter & Gamble Co. (The)

     5       637  
    

 

 

 
       864  
    

 

 

 

Industrial Conglomerates — 0.4%

 

Honeywell International, Inc.

     4       618  
    

 

 

 

Insurance — 1.8%

 

American International Group, Inc.

     4       125  

Arthur J Gallagher & Co.

     4       379  

Chubb Ltd.

     9       1,110  

Marsh & McLennan Cos., Inc.

     4       405  

Progressive Corp. (The)

     6       530  

RenaissanceRe Holdings Ltd. (Bermuda)

     (a)      48  
    

 

 

 
       2,597  
    

 

 

 

Interactive Media & Services — 1.4%

 

Alphabet, Inc., Class C * (b)

     1       1,357  

Facebook, Inc., Class A *

     2       566  
    

 

 

 
       1,923  
    

 

 

 

Internet & Direct Marketing Retail — 2.1%

 

Amazon.com, Inc. * (b)

     1       2,730  

Booking Holdings, Inc. *

     (a)      258  
    

 

 

 
       2,988  
    

 

 

 

IT Services — 4.9%

 

Booz Allen Hamilton Holding Corp.

     4       321  

DXC Technology Co.

     6       115  

Fiserv, Inc. * (b)

     11       1,016  

FleetCor Technologies, Inc. *

     4       808  

Leidos Holdings, Inc. (b)

     14       1,150  

Mastercard, Inc., Class A (b)

     6       1,754  

PayPal Holdings, Inc. * (b)

     5       998  

WEX, Inc. *

     6       726  
    

 

 

 
       6,888  
    

 

 

 

Life Sciences Tools & Services — 0.8%

 

Thermo Fisher Scientific, Inc.

     2       1,094  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         19  


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2020 (continued)

 

INVESTMENTS    SHARES
(000)
     VALUE
($000)
 

Long Positions — continued

 

Common Stocks — continued

 

Machinery — 2.3%

 

Deere & Co.

     2        365  

Parker-Hannifin Corp. (b)

     5        1,081  

Stanley Black & Decker, Inc. (b)

     11        1,757  
     

 

 

 
        3,203  
     

 

 

 

Media — 2.2%

 

Altice USA, Inc., Class A *

     2        60  

Charter Communications, Inc., Class A *

     2        1,119  

Comcast Corp., Class A

     15        629  

Discovery, Inc., Class A *

     57        1,146  

Discovery, Inc., Class C *

     8        147  
     

 

 

 
        3,101  
     

 

 

 

Multiline Retail — 0.4%

 

Dollar Tree, Inc. *

     7        613  
     

 

 

 

Multi-Utilities — 0.9%

 

Ameren Corp.

     9        712  

CMS Energy Corp.

     4        261  

Public Service Enterprise Group, Inc.

     6        338  
     

 

 

 
        1,311  
     

 

 

 

Oil, Gas & Consumable Fuels — 3.8%

 

Cheniere Energy, Inc. *

     8        399  

Chevron Corp.(b)

     6        397  

Concho Resources, Inc.

     2        83  

Diamondback Energy, Inc.

     41        1,053  

EOG Resources, Inc.

     5        164  

Kinder Morgan, Inc.

     56        669  

Parsley Energy, Inc., Class A

     57        571  

Pioneer Natural Resources Co. (b)

     7        569  

TC Energy Corp. (Canada)

     21        832  

Williams Cos., Inc. (The)

     31        594  
     

 

 

 
        5,331  
     

 

 

 

Personal Products — 0.3%

 

Estee Lauder Cos., Inc. (The), Class A

     2        398  
     

 

 

 

Pharmaceuticals — 1.7%

 

Bristol-Myers Squibb Co.

     16        959  

Elanco Animal Health, Inc. *

     7        204  

Eli Lilly and Co.

     7        909  

Merck & Co., Inc.

     4        313  
     

 

 

 
        2,385  
     

 

 

 

Road & Rail — 4.1%

 

Canadian Pacific Railway Ltd. (Canada)

     2        483  

CSX Corp.

     11        883  
INVESTMENTS    SHARES
(000)
    VALUE
($000)
 
    
    

Road & Rail — continued

 

Lyft, Inc., Class A *

     46       1,041  

Norfolk Southern Corp. (b)

     7       1,446  

Old Dominion Freight Line, Inc.

     2       447  

Uber Technologies, Inc. *

     36       1,204  

Union Pacific Corp.

     2       312  
    

 

 

 
       5,816  
    

 

 

 

Semiconductors & Semiconductor Equipment — 7.2%

 

Advanced Micro Devices, Inc. * (b)

     17       1,267  

Analog Devices, Inc. (b)

     12       1,463  

Applied Materials, Inc.

     3       172  

ASML Holding NV (Registered), NYRS (Netherlands)

     (a)      145  

Lam Research Corp.

     3       1,189  

Microchip Technology, Inc.

     4       374  

Micron Technology, Inc. *

     20       987  

NXP Semiconductors NV (Netherlands)

     20       2,677  

ON Semiconductor Corp. *

     19       488  

Qorvo, Inc. *

     4       452  

Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)

     11       903  

Texas Instruments, Inc. (b)

     1       121  
    

 

 

 
       10,238  
    

 

 

 

Software — 3.8%

 

Ceridian HCM Holding, Inc. *

     10       832  

Coupa Software, Inc. *

     3       778  

Intuit, Inc. (b)

     1       464  

Microsoft Corp. (b)

     4       882  

Paylocity Holding Corp. *

     5       884  

salesforce.com, Inc. *

     4       923  

ServiceNow, Inc. *

     1       259  

Workday, Inc., Class A *

     2       332  
    

 

 

 
       5,354  
    

 

 

 

Specialty Retail — 3.9%

 

AutoZone, Inc. *

     1       1,136  

Best Buy Co., Inc.

     8       937  

Home Depot, Inc. (The)

     1       322  

Lowe’s Cos., Inc. (b)

     8       1,278  

O’Reilly Automotive, Inc. * (b)

     3       1,458  

Ross Stores, Inc.

     (a)      29  

TJX Cos., Inc. (The)

     6       327  
    

 

 

 
       5,487  
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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

Long Positions — continued

 

Common Stocks — continued

 

Technology Hardware, Storage & Peripherals — 0.5%

 

Seagate Technology plc

     16       763  
    

 

 

 

Textiles, Apparel & Luxury Goods — 0.5%

 

Carter’s, Inc.

     7       574  

NIKE, Inc., Class B

     1       169  
    

 

 

 
       743  
    

 

 

 

Trading Companies & Distributors — 0.2%

 

WW Grainger, Inc.

     1       273  
    

 

 

 

Wireless Telecommunication Services — 0.9%

 

T-Mobile US, Inc. *

     12       1,271  
    

 

 

 

Total Common Stocks
(Cost $97,714)

       110,565  
    

 

 

 

Short-Term Investments — 16.8%

 

Investment Companies — 16.8%

 

JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (c) (d)
(Cost $23,767)

     23,759       23,773  
    

 

 

 

Total Long Positions
(Cost $121,481)

       134,338  
    

 

 

 

Short Positions — (70.6)%

 

Common Stocks — (70.6)%

 

Aerospace & Defense — (1.4)%

 

Boeing Co. (The)

     (3     (447

HEICO Corp.

     (3     (336

Huntington Ingalls Industries, Inc.

     (3     (396

Lockheed Martin Corp.

     (1     (476

TransDigm Group, Inc.

     (1     (357
    

 

 

 
       (2,012
    

 

 

 

Air Freight & Logistics — (0.9)%

 

CH Robinson Worldwide, Inc.

     (8     (668

Expeditors International of Washington, Inc.

     (7     (594
    

 

 

 
       (1,262
    

 

 

 

Auto Components — (0.1)%

 

Autoliv, Inc. (Sweden)

     (1     (105
    

 

 

 

Automobiles — (0.6)%

 

Ford Motor Co.

     (97     (752

Harley-Davidson, Inc.

     (4     (141
    

 

 

 
       (893
    

 

 

 

Banks — (1.9)%

 

Associated Banc-Corp.

     (7     (92

Bank of Hawaii Corp.

     (4     (269

Citizens Financial Group, Inc.

     (13     (362
INVESTMENTS    SHARES
(000)
    VALUE
($000)
 

Banks — continued

 

First Republic Bank

     (3     (323

Huntington Bancshares, Inc.

     (30     (315

KeyCorp

     (39     (511

PNC Financial Services Group, Inc. (The)

     (7     (749
    

 

 

 
       (2,621
    

 

 

 

Beverages — (0.1)%

 

Brown-Forman Corp., Class B

     (2     (129
    

 

 

 

Biotechnology — (2.1)%

 

Amgen, Inc.

     (6     (1,222

Gilead Sciences, Inc.

     (29     (1,685
    

 

 

 
       (2,907
    

 

 

 

Building Products — (0.4)%

 

Fortune Brands Home & Security, Inc.

     (2     (181

Johnson Controls International plc

     (10     (429
    

 

 

 
       (610
    

 

 

 

Capital Markets — (2.7)%

 

BlackRock, Inc.

     (a)      (244

CME Group, Inc.

     (1     (111

Franklin Resources, Inc.

     (40     (750

Moody’s Corp.

     (1     (222

Nasdaq, Inc.

     (7     (867

Northern Trust Corp.

     (11     (888

T. Rowe Price Group, Inc.

     (1     (91

Waddell & Reed Financial, Inc., Class A

     (41     (630
    

 

 

 
       (3,803
    

 

 

 

Chemicals — (1.0)%

 

Albemarle Corp.

     (11     (1,009

Ecolab, Inc.

     (2     (449
    

 

 

 
       (1,458
    

 

 

 

Commercial Services & Supplies — (0.3)%

 

Republic Services, Inc.

     (5     (447
    

 

 

 

Communications Equipment — (2.8)%

 

Cisco Systems, Inc.

     (86     (3,099

Juniper Networks, Inc.

     (47     (924
    

 

 

 
       (4,023
    

 

 

 

Construction Materials — (0.7)%

 

Martin Marietta Materials, Inc.

     (1     (367

Vulcan Materials Co.

     (4     (569
    

 

 

 
       (936
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2020   J.P. MORGAN SPECIALTY FUNDS         21  


Table of Contents

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2020 (continued)

 

INVESTMENTS    SHARES
(000)
    VALUE
($000)
 

Short Positions — continued

 

Common Stocks — continued

 

Consumer Finance — (0.2)%

 

American Express Co.

     (3     (245
    

 

 

 

Containers & Packaging — (2.1)%

 

Avery Dennison Corp.

     (1     (200

Ball Corp.

     (9     (805

International Paper Co.

     (29     (1,251

Sealed Air Corp.

     (4     (148

Sonoco Products Co.

     (13     (631
    

 

 

 
       (3,035
    

 

 

 

Diversified Telecommunication Services — (2.0)%

 

AT&T, Inc.

     (62     (1,662

CenturyLink, Inc.

     (93     (800

Verizon Communications, Inc.

     (7     (427
    

 

 

 
       (2,889
    

 

 

 

Electric Utilities — (1.4)%

 

American Electric Power Co., Inc.

     (6     (570

Duke Energy Corp.

     (4     (339

FirstEnergy Corp.

     (7     (201

PPL Corp.

     (8     (216

Southern Co. (The)

     (11     (660
    

 

 

 
       (1,986
    

 

 

 

Electrical Equipment — (0.8)%

 

Acuity Brands, Inc.

     (12     (1,043

Hubbell, Inc.

     (1     (89
    

 

 

 
       (1,132
    

 

 

 

Electronic Equipment, Instruments & Components — (0.2)%

 

Cognex Corp.

     (5     (331
    

 

 

 

Energy Equipment & Services — (1.2)%

 

Halliburton Co.

     (78     (940

Schlumberger NV

     (46     (685
    

 

 

 
       (1,625
    

 

 

 

Entertainment — (4.2)%

 

Cinemark Holdings, Inc.

     (11     (94

Spotify Technology SA *

     (8     (1,948

Take-Two Interactive Software, Inc. *

     (12     (1,787

Walt Disney Co. (The)

     (17     (2,053
    

 

 

 
       (5,882
    

 

 

 

Equity Real Estate Investment Trusts (REITs) — (3.7)%

 

AvalonBay Communities, Inc.

     (3     (358

Crown Castle International Corp.

     (1     (97

Duke Realty Corp.

     (7     (262
INVESTMENTS    SHARES
(000)
    VALUE
($000)
 

Equity Real Estate Investment Trusts (REITs) — continued

 

Equity Residential

     (10     (470

Essex Property Trust, Inc.

     (2     (408

Extra Space Storage, Inc.

     (3     (391

Iron Mountain, Inc.

     (42     (1,100

National Retail Properties, Inc.

     (13     (403

Simon Property Group, Inc.

     (17     (1,071

Vornado Realty Trust

     (10     (316

Welltower, Inc.

     (8     (419
    

 

 

 
       (5,295
    

 

 

 

Food & Staples Retailing — (2.9)%

 

Kroger Co. (The)

     (60     (1,929

Sysco Corp.

     (7     (363

Walgreens Boots Alliance, Inc.

     (15     (521

Walmart, Inc.

     (9     (1,225
    

 

 

 
       (4,038
    

 

 

 

Food Products — (1.5)%

 

Campbell Soup Co.

     (17     (806

General Mills, Inc.

     (9     (538

Kellogg Co.

     (12     (732
    

 

 

 
       (2,076
    

 

 

 

Health Care Equipment & Supplies — (1.6)%

 

Abbott Laboratories

     (5     (478

Dentsply Sirona, Inc.

     (2     (81

Edwards Lifesciences Corp. *

     (3     (217

Stryker Corp.

     (7     (1,437
    

 

 

 
       (2,213
    

 

 

 

Health Care Providers & Services — (1.4)%

 

AmerisourceBergen Corp.

     (11     (1,022

Henry Schein, Inc. *

     (15     (935

Patterson Cos., Inc.

     (3     (84
    

 

 

 
       (2,041
    

 

 

 

Health Care Technology — (0.6)%

 

Cerner Corp.

     (12     (815
    

 

 

 

Hotels, Restaurants & Leisure — (1.8)%

 

Chipotle Mexican Grill, Inc. *

     (1     (762

Darden Restaurants, Inc.

     (7     (651

Marriott International, Inc., Class A

     (1     (91

Starbucks Corp.

     (12     (1,010
    

 

 

 
       (2,514
    

 

 

 
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN SPECIALTY FUNDS   OCTOBER 31, 2020


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

Short Positions — continued

 

Common Stocks — continued

 

Household Durables — (0.2)%

 

NVR, Inc. *

     (a)      (59

PulteGroup, Inc.

     (4     (151
    

 

 

 
       (210
    

 

 

 

Household Products — (1.3)%

 

Clorox Co. (The)

     (9     (1,823
    

 

 

 

Industrial Conglomerates — (2.0)%

 

3M Co.

     (7     (1,189

General Electric Co.

     (229     (1,696
    

 

 

 
       (2,885
    

 

 

 

Insurance — (1.9)%

 

Aflac, Inc.

     (6     (194

Allstate Corp. (The)

     (7     (592

Aon plc, Class A

     (2     (385

Axis Capital Holdings Ltd.

     (4     (191

MetLife, Inc.

     (6     (240

Principal Financial Group, Inc.

     (9     (338

Travelers Cos., Inc. (The)

     (6     (689
    

 

 

 
       (2,629
    

 

 

 

Interactive Media & Services — (0.5)%

 

Twitter, Inc. *

     (18     (740
    

 

 

 

Internet & Direct Marketing Retail — (0.8)%

 

eBay, Inc.

     (25     (1,170
    

 

 

 

IT Services — (3.3)%

 

EPAM Systems, Inc. *

     (1     (218

Global Payments, Inc.

     (2     (350

Infosys Ltd., ADR (India)

     (34     (483

Jack Henry & Associates, Inc.

     (5     (815

Paychex, Inc.

     (16     (1,328

Western Union Co. (The)

     (72     (1,406
    

 

 

 
       (4,600
    

 

 

 

Life Sciences Tools & Services — (0.6)%

 

Agilent Technologies, Inc.

     (3     (328

Waters Corp. *

     (3     (576
    

 

 

 
       (904
    

 

 

 

Machinery — (2.0)%

 

Caterpillar, Inc.

     (8     (1,197

Illinois Tool Works, Inc.

     (6     (1,267

PACCAR, Inc.

     (4