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JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

COMMON STOCKS — 99.1%

      

Aerospace & Defense — 2.4%

      

Boeing Co. (The)

      52        19,933  

General Dynamics Corp.

      223        40,773  

Northrop Grumman Corp.

      56        20,943  

United Technologies Corp.

      288        39,279  
     

 

 

  
        120,928  
     

 

 

  

Airlines — 0.4%

      

Delta Air Lines, Inc.

      199        11,469  

Southwest Airlines Co.

      95        5,120  

United Airlines Holdings, Inc. *

      49        4,342  
     

 

 

  
        20,931  
     

 

 

  

Auto Components — 0.2%

      

BorgWarner, Inc.

      55        2,002  

Magna International, Inc. (Canada)

      189        10,083  
     

 

 

  
        12,085  
     

 

 

  

Automobiles — 0.3%

      

General Motors Co.

      412        15,446  
     

 

 

  

Banks — 4.8%

      

Bank of America Corp.

      2,317        67,574  

Citigroup, Inc.

      998        68,919  

Citizens Financial Group, Inc.

      164        5,798  

Fifth Third Bancorp

      310        8,499  

KeyCorp

      1,441        25,701  

Regions Financial Corp.

      477        7,549  

SunTrust Banks, Inc.

      210        14,431  

Wells Fargo & Co.

      912        46,010  
     

 

 

  
        244,481  
     

 

 

  

Beverages — 2.2%

      

Coca-Cola Co. (The)

      1,398        76,088  

Constellation Brands, Inc., Class A

      66        13,600  

PepsiCo, Inc.

      145        19,812  
     

 

 

  
        109,500  
     

 

 

  

Biotechnology — 2.5%

      

AbbVie, Inc.

      557        42,141  

Alexion Pharmaceuticals, Inc. *

      148        14,531  

Amgen, Inc.

      22        4,230  

Biogen, Inc. *

      78        18,067  

Celgene Corp. *

      201        19,955  

Regeneron Pharmaceuticals, Inc. *

      40        11,079  

Vertex Pharmaceuticals, Inc. *

      108        18,259  
     

 

 

  
        128,262  
     

 

 

  

Building Products — 0.3%

      

Masco Corp.

      394        16,409  
     

 

 

  

Capital Markets — 3.2%

      

Ameriprise Financial, Inc.

      68        10,032  

BlackRock, Inc.

      23        10,428  

Charles Schwab Corp. (The)

      466        19,510  

Franklin Resources, Inc.

      378        10,918  

Intercontinental Exchange, Inc.

      502        46,354  

Invesco Ltd.

      513        8,697  

Morgan Stanley

      1,080        46,082  

S&P Global, Inc.

      12        2,817  

TD Ameritrade Holding Corp.

      199        9,300  
     

 

 

  
        164,138  
     

 

 

  

Chemicals — 2.0%

      

Celanese Corp.

      144        17,574  

Corteva, Inc.

      357        10,003  

Dow, Inc.

      278        13,239  

DuPont de Nemours, Inc.

      220        15,721  

Eastman Chemical Co.

      298        22,020  

Linde plc (United Kingdom)

      79        15,352  

LyondellBasell Industries NV, Class A

      60        5,350  
     

 

 

  
        99,259  
     

 

 

  

Commercial Services & Supplies — 0.2%

      

Cintas Corp.

      13        3,410  

Waste Management, Inc.

      42        4,842  
     

 

 

  
        8,252  
     

 

 

  

Communications Equipment — 0.3%

      

Cisco Systems, Inc.

      245        12,120  

Motorola Solutions, Inc.

      20        3,492  
     

 

 

  
        15,612  
     

 

 

  

Consumer Finance — 1.0%

      

American Express Co.

      61        7,196  

Capital One Financial Corp.

      354        32,188  

Synchrony Financial

      289        9,845  
     

 

 

  
        49,229  
     

 

 

  

Containers & Packaging — 0.5%

      

Avery Dennison Corp.

      16        1,799  

Crown Holdings, Inc. *

      187        12,343  

Packaging Corp. of America

      63        6,715  

Westrock Co.

      183        6,675  
     

 

 

  
        27,532  
     

 

 

  

Diversified Consumer Services — 0.0% (a)

      

H&R Block, Inc.

      82        1,942  
     

 

 

  

Diversified Financial Services — 1.6%

      

Berkshire Hathaway, Inc., Class B *

      395        82,153  
     

 

 

  

Diversified Telecommunication Services — 1.3%

      

AT&T, Inc.

      84        3,175  

Verizon Communications, Inc.

      1,011        60,994  
     

 

 

  
        64,169  
     

 

 

  

Electric Utilities — 3.2%

      

American Electric Power Co., Inc.

      294        27,532  

Edison International

      383        28,909  

Entergy Corp.

      159        18,625  

Exelon Corp.

      103        4,991  

NextEra Energy, Inc.

      212        49,298  

Xcel Energy, Inc.

      548        35,560  
     

 

 

  
        164,915  
     

 

 

  

Electrical Equipment — 1.0%

      

Eaton Corp. plc

      590        49,068  
     

 

 

  

Entertainment — 1.5%

      

Electronic Arts, Inc. *

      214        20,893  

Netflix, Inc. *

      128        34,282  

Viacom, Inc., Class B

      34        827  

Walt Disney Co. (The)

      160        20,808  
     

 

 

  
        76,810  
     

 

 

  

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)

 

 

Investments

    Shares (000)      Value ($000)  

Equity Real Estate Investment Trusts (REITs) — 2.4%

      

AvalonBay Communities, Inc.

      113        24,240  

Boston Properties, Inc.

      42        5,458  

Digital Realty Trust, Inc.

      31        4,072  

Equinix, Inc.

      35        20,177  

Equity Residential

      86        7,443  

Federal Realty Investment Trust

      76        10,405  

Host Hotels & Resorts, Inc.

      348        6,025  

Mid-America Apartment Communities, Inc.

      22        2,899  

Prologis, Inc.

      291        24,787  

Public Storage

      22        5,372  

Ventas, Inc.

      115        8,385  

VICI Properties, Inc.

      185        4,189  
     

 

 

  
        123,452  
     

 

 

  

Food Products — 1.1%

      

Conagra Brands, Inc.

      104        3,179  

General Mills, Inc.

      295        16,238  

Mondelez International, Inc., Class A

      619        34,243  
     

 

 

  
        53,660  
     

 

 

  

Health Care Equipment & Supplies — 3.1%

      

Becton Dickinson and Co.

      23        5,775  

Boston Scientific Corp. *

      1,044        42,460  

Intuitive Surgical, Inc. *

      17        8,930  

Medtronic plc

      546        59,281  

Zimmer Biomet Holdings, Inc.

      283        38,827  
     

 

 

  
        155,273  
     

 

 

  

Health Care Providers & Services — 2.6%

      

Anthem, Inc.

      93        22,296  

Cigna Corp.

      300        45,560  

McKesson Corp.

      39        5,309  

UnitedHealth Group, Inc.

      272        59,070  
     

 

 

  
        132,235  
     

 

 

  

Hotels, Restaurants & Leisure — 1.4%

      

Hilton Worldwide Holdings, Inc.

      186        17,347  

McDonald’s Corp.

      72        15,502  

Royal Caribbean Cruises Ltd.

      43        4,684  

Yum! Brands, Inc.

      310        35,198  
     

 

 

  
        72,731  
     

 

 

  

Household Durables — 0.3%

      

Lennar Corp., Class A

      249        13,934  
     

 

 

  

Household Products — 1.2%

      

Kimberly-Clark Corp.

      19        2,727  

Procter & Gamble Co. (The)

      465        57,879  
     

 

 

  
        60,606  
     

 

 

  

Industrial Conglomerates — 1.1%

      

Honeywell International, Inc.

      317        53,606  
     

 

 

  

Insurance — 2.3%

      

Allstate Corp. (The)

      130        14,135  

American International Group, Inc.

      359        20,006  

Arthur J Gallagher & Co.

      87        7,784  

Everest Re Group Ltd.

      27        7,240  

Hartford Financial Services Group, Inc. (The)

      489        29,654  

Lincoln National Corp.

      53        3,191  

MetLife, Inc.

      656        30,925  

Progressive Corp. (The)

      49        3,777  
     

 

 

  
        116,712  
     

 

 

  

Interactive Media & Services — 4.5%

      

Alphabet, Inc., Class A *

      75        92,184  

Alphabet, Inc., Class C *

      69        84,391  

Facebook, Inc., Class A *

      291        51,752  
     

 

 

  
        228,327  
     

 

 

  

Internet & Direct Marketing Retail — 4.0%

      

Amazon.com, Inc. *

      98        170,657  

Booking Holdings, Inc. *

      2        3,572  

Expedia Group, Inc.

      211        28,380  
     

 

 

  
        202,609  
     

 

 

  

IT Services — 6.4%

      

Accenture plc, Class A

      246        47,376  

Automatic Data Processing, Inc.

      346        55,824  

Cognizant Technology Solutions Corp., Class A

      315        18,953  

Fiserv, Inc. *

      108        11,203  

Mastercard, Inc., Class A

      350        95,020  

PayPal Holdings, Inc. *

      439        45,481  

Visa, Inc., Class A

      286        49,235  
     

 

 

  
        323,092  
     

 

 

  

Leisure Products — 0.1%

      

Hasbro, Inc.

      64        7,572  
     

 

 

  

Life Sciences Tools & Services — 1.3%

      

Illumina, Inc. *

      30        9,269  

Thermo Fisher Scientific, Inc.

      187        54,328  
     

 

 

  
        63,597  
     

 

 

  

Machinery — 2.5%

      

Caterpillar, Inc.

      108        13,667  

Cummins, Inc.

      148        24,074  

Deere & Co.

      92        15,483  

Ingersoll-Rand plc

      162        19,921  

PACCAR, Inc.

      149        10,443  

Parker-Hannifin Corp.

      79        14,232  

Snap-on, Inc.

      49        7,598  

Stanley Black & Decker, Inc.

      141        20,357  
     

 

 

  
        125,775  
     

 

 

  

Media — 3.2%

      

Altice USA, Inc., Class A *

      322        9,249  

Charter Communications, Inc., Class A *

      107        44,006  

Comcast Corp., Class A

      1,859        83,812  

Discovery, Inc., Class A *

      451        12,022  

Discovery, Inc., Class C *

      493        12,142  
     

 

 

  
        161,231  
     

 

 

  

Metals & Mining — 0.1%

      

Freeport-McMoRan, Inc.

      266        2,550  

Newmont Goldcorp Corp.

      97        3,663  
     

 

 

  
        6,213  
     

 

 

  

Multi-Utilities — 0.3%

      

Sempra Energy

      98        14,433  
     

 

 

  

Oil, Gas & Consumable Fuels — 4.5%

      

Chevron Corp.

      667        79,077  

Concho Resources, Inc.

      47        3,159  

Diamondback Energy, Inc.

      205        18,476  

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)

 

Investments

    Shares (000)      Value ($000)  

EOG Resources, Inc.

      465        34,518  

Exxon Mobil Corp.

      202        14,233  

Marathon Petroleum Corp.

      508        30,888  

ONEOK, Inc.

      296        21,782  

Pioneer Natural Resources Co.

      191        24,008  
     

 

 

  
        226,141  
     

 

 

  

Pharmaceuticals — 4.1%

      

Allergan plc

      60        10,116  

Bristol-Myers Squibb Co.

      488        24,756  

Eli Lilly & Co.

      332        37,095  

Johnson & Johnson

      394        50,936  

Merck & Co., Inc.

      752        63,320  

Pfizer, Inc.

      642        23,056  
     

 

 

  
        209,279  
     

 

 

  

Road & Rail — 1.6%

      

Kansas City Southern

      20        2,634  

Lyft, Inc., Class A *

      100        4,068  

Norfolk Southern Corp.

      251        45,096  

Union Pacific Corp.

      193        31,281  
     

 

 

  
        83,079  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.3%

      

Advanced Micro Devices, Inc. *

      529        15,327  

Analog Devices, Inc.

      370        41,345  

Intel Corp.

      150        7,754  

KLA Corp.

      67        10,603  

NVIDIA Corp.

      181        31,500  

NXP Semiconductors NV (Netherlands)

      273        29,806  

Skyworks Solutions, Inc.

      19        1,490  

Teradyne, Inc.

      442        25,593  

Texas Instruments, Inc.

      408        52,757  
     

 

 

  
        216,175  
     

 

 

  

Software — 6.3%

      

Intuit, Inc.

      47        12,597  

Microsoft Corp.

      1,925        267,597  

salesforce.com, Inc. *

      283        42,077  
     

 

 

  
        322,271  
     

 

 

  

Specialty Retail — 4.9%

      

Advance Auto Parts, Inc.

      109        18,098  

AutoZone, Inc. *

      33        36,042  

Best Buy Co., Inc.

      345        23,818  

Home Depot, Inc. (The)

      264        61,323  

Lowe’s Cos., Inc.

      380        41,745  

O’Reilly Automotive, Inc. *

      42        16,833  

Ross Stores, Inc.

      148        16,272  

TJX Cos., Inc. (The)

      591        32,929  
     

 

 

  
        247,060  
     

 

 

  

Technology Hardware, Storage & Peripherals — 4.5%

      

Apple, Inc.

      961        215,327  

HP, Inc.

      681        12,885  
     

 

 

  
        228,212  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.6%

      

NIKE, Inc., Class B

      255        23,978  

Ralph Lauren Corp.

      54        5,174  
     

 

 

  
        29,152  
     

 

 

  

Tobacco — 1.3%

      

Altria Group, Inc.

      395        16,175  

Philip Morris International, Inc.

      638        48,415  
     

 

 

  
        64,590  
     

 

 

  

Trading Companies & Distributors — 0.1%

      

HD Supply Holdings, Inc. *

      184        7,199  
     

 

 

  

Wireless Telecommunication Services — 0.1%

      

T-Mobile US, Inc. *

      84        6,652  
     

 

 

  

TOTAL COMMON STOCKS

(Cost $3,352,466)

         5,025,989  
     

 

 

  

SHORT-TERM INVESTMENTS — 1.0%

      

INVESTMENT COMPANIES — 1.0%

 

JPMorgan Prime Money Market Fund Class IM Shares, 2.17% (b) (c)
(Cost $52,078)

      52,060        52,075  
     

 

 

  
Total Investments — 100.1%
(Cost $3,404,544)		         5,078,064  

Liabilities in Excess of Other Assets — (0.1)%

         (4,937 ) 
     

 

 

  

Net Assets — 100.0%

         5,073,127  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)

 

(a)    Amount rounds to less than 0.1% of net assets.
(b)    Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(c)    The rate shown is the current yield as of September 30, 2019.
*    Non-income producing security.

 

Futures contracts outstanding as of September 30, 2019 (amounts in thousands, except number of contracts):

 

 

Description

    Number of
Contracts		      Expiration
Date		     

Trading

Currency

    Notional Amount
($)		      Value and
Unrealized
Appreciation
(Depreciation) ($)		  

Long Contracts

 

S&P 500 E-Mini Index

      281        12/2019      USD      41,827        (325 ) 
              

 

 

  

Abbreviations

 

USD

   

United States Dollar

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s 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.

J.P. Morgan Investment Management Inc. (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 Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. 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 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 Fund 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 Fund’s 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 Fund’s 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.

JPMorgan U.S. Research Enhanced Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited) (continued)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments (“SOI”) (amounts in thousands):

 

     Level 1
Quoted prices		     Level 2
Other significant observable
inputs		      Level 3
Significant unobservable
inputs		      Total  

Total Investments in Securities (a)

    $ 5,078,064     $ —        $ —        $ 5,078,064  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts (a)

    $ (325 )    $ —        $ —        $ (325 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

(a)

All portfolio holdings designated as Level 1 are disclosed individually on the SOI.

There were no transfers into and out of level 3 for the period ended September 30, 2019.

B. Investment Transactions with Affiliates — The Fund invested in an Underlying Fund which is advised by the Adviser. An issuer which is under common control with the Fund may be considered an affiliate. The Fund assumes the issuer listed in the table below to be affiliated issuers. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amounts in the table below. Amounts in the table below are in thousands.

 

For the period ended September 30, 2019

  

Security Description

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

JPMorgan Prime Money Market Fund Class IM Shares, 2.17% (a) (b)

   $ 39,677     $ 198,598     $ 186,194     $ 1     $ (7 )    $ 52,075       52,060     $ 326     $ —    
 

 

 

    

 

 

    

 

 

    

 

 

    

 

 

    

 

 

      

 

 

    

 

 

  

 

(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 September 30, 2019.