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JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2019 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

COMMON STOCKS — 98.1%

 

Aerospace & Defense — 2.4%

 

Boeing Co. (The)

      60        22,680  

General Dynamics Corp. (a)

      254        46,402  

Northrop Grumman Corp.

      64        23,889  

United Technologies Corp.

      328        44,713  
     

 

 

  
        137,684  
     

 

 

  

Airlines — 0.4%

 

Delta Air Lines, Inc.

      227        13,070  

Southwest Airlines Co.

      108        5,828  

United Airlines Holdings, Inc. *

      56        4,941  
     

 

 

  
        23,839  
     

 

 

  

Auto Components — 0.2%

 

BorgWarner, Inc.

      62        2,284  

Magna International, Inc. (Canada)

      215        11,483  
     

 

 

  
        13,767  
     

 

 

  

Automobiles — 0.3%

      

General Motors Co.

      469        17,594  
     

 

 

  

Banks — 4.8%

      

Bank of America Corp.

      2,643        77,105  

Citigroup, Inc.

      1,136        78,463  

Citizens Financial Group, Inc.

      191        6,752  

Fifth Third Bancorp

      354        9,679  

KeyCorp

      1,578        28,144  

Regions Financial Corp.

      543        8,590  

SunTrust Banks, Inc.

      244        16,793  

Wells Fargo & Co.

      1,043        52,594  
     

 

 

  
        278,120  
     

 

 

  

Beverages — 2.1%

      

Coca-Cola Co. (The) (a)

      1,590        86,573  

Constellation Brands, Inc., Class A

      75        15,503  

PepsiCo, Inc. (a)

      167        22,953  
     

 

 

  
        125,029  
     

 

 

  

Biotechnology — 2.5%

      

AbbVie, Inc. (a)

      633        47,966  

Alexion Pharmaceuticals, Inc. *

      169        16,548  

Amgen, Inc.

      25        4,842  

Biogen, Inc. *

      88        20,574  

Celgene Corp. *

      229        22,743  

Regeneron Pharmaceuticals, Inc. *

      45        12,619  

Vertex Pharmaceuticals, Inc. *

      123        20,820  
     

 

 

  
        146,112  
     

 

 

  

Building Products — 0.3%

      

Masco Corp.

      448        18,681  
     

 

 

  

Capital Markets — 3.2%

      

Ameriprise Financial, Inc.

      78        11,430  

BlackRock, Inc.

      27        11,898  

Charles Schwab Corp. (The)

      531        22,218  

Franklin Resources, Inc.

      413        11,905  

Intercontinental Exchange, Inc.

      572        52,776  

Invesco Ltd.

      584        9,896  

Morgan Stanley

      1,229        52,461  

S&P Global, Inc.

      13        3,209  

TD Ameritrade Holding Corp.

      227        10,604  
     

 

 

  
        186,397  
     

 

 

  

Chemicals — 1.9%

      

Celanese Corp.

      164        20,054  

Corteva, Inc.

      406        11,378  

Dow, Inc.

      316        15,074  

DuPont de Nemours, Inc.

      251        17,897  

Eastman Chemical Co.

      340        25,074  

Linde plc (United Kingdom)

      90        17,450  

LyondellBasell Industries NV, Class A

      68        6,093  
     

 

 

  
        113,020  
     

 

 

  

Commercial Services & Supplies — 0.2%

      

Cintas Corp. (a)

      14        3,879  

Waste Management, Inc.

      48        5,543  
     

 

 

  
        9,422  
     

 

 

  

Communications Equipment — 0.3%

      

Cisco Systems, Inc.

      280        13,811  

Motorola Solutions, Inc.

      23        3,989  
     

 

 

  
        17,800  
     

 

 

  

Consumer Finance — 1.0%

      

American Express Co.

      69        8,143  

Capital One Financial Corp.

      403        36,653  

Synchrony Financial

      329        11,202  
     

 

 

  
        55,998  
     

 

 

  

Containers & Packaging — 0.5%

      

Avery Dennison Corp.

      18        2,017  

Crown Holdings, Inc. *

      213        14,077  

Packaging Corp. of America

      72        7,661  

Westrock Co.

      209        7,600  
     

 

 

  
        31,355  
     

 

 

  

Diversified Consumer Services — 0.0% (b)

      

H&R Block, Inc.

      94        2,217  
     

 

 

  

Diversified Financial Services — 1.6%

      

Berkshire Hathaway, Inc., Class B * (a)

      450        93,584  
     

 

 

  

Diversified Telecommunication Services — 1.2%

      

AT&T, Inc.

      96        3,614  

Verizon Communications, Inc. (a)

      1,136        68,559  
     

 

 

  
        72,173  
     

 

 

  

Electric Utilities — 3.2%

      

American Electric Power Co., Inc.

      333        31,241  

Edison International

      436        32,914  

Entergy Corp.

      178        20,937  

Exelon Corp.

      118        5,688  

NextEra Energy, Inc.

      240        55,971  

Xcel Energy, Inc. (a)

      624        40,521  
     

 

 

  
        187,272  
     

 

 

  

Electrical Equipment — 1.0%

      

Eaton Corp. plc

      672        55,896  
     

 

 

  

Entertainment — 1.5%

      

Electronic Arts, Inc. *

      244        23,824  

Netflix, Inc. * (a)

      146        39,038  

Viacom, Inc., Class B

      39        942  

Walt Disney Co. (The) (a)

      182        23,702  
     

 

 

  
        87,506  
     

 

 

  

JPMorgan Hedged 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.

      128        27,623  

Boston Properties, Inc.

      48        6,256  

Digital Realty Trust, Inc.

      36        4,629  

Equinix, Inc.

      40        23,014  

Equity Residential

      98        8,464  

Federal Realty Investment Trust

      87        11,837  

Host Hotels & Resorts, Inc.

      397        6,861  

Mid-America Apartment Communities, Inc.

      26        3,315  

Prologis, Inc.

      331        28,213  

Public Storage

      25        6,105  

Ventas, Inc.

      131        9,534  

VICI Properties, Inc.

      211        4,769  
     

 

 

  
        140,620  
     

 

 

  

Food Products — 1.1%

      

Conagra Brands, Inc.

      115        3,538  

General Mills, Inc.

      335        18,465  

Mondelez International, Inc., Class A (a)

      712        39,400  
     

 

 

  
        61,403  
     

 

 

  

Health Care Equipment & Supplies — 3.0%

      

Becton Dickinson and Co. (a)

      26        6,640  

Boston Scientific Corp. * (a)

      1,189        48,361  

Intuitive Surgical, Inc. * (a)

      19        10,108  

Medtronic plc (a)

      621        67,502  

Zimmer Biomet Holdings, Inc. (a)

      322        44,228  
     

 

 

  
        176,839  
     

 

 

  

Health Care Providers & Services — 2.6%

      

Anthem, Inc.

      105        25,180  

Cigna Corp. (a)

      342        51,871  

McKesson Corp.

      44        6,047  

UnitedHealth Group, Inc. (a)

      309        67,241  
     

 

 

  
        150,339  
     

 

 

  

Hotels, Restaurants & Leisure — 1.4%

      

Hilton Worldwide Holdings, Inc.

      212        19,749  

McDonald’s Corp.

      82        17,671  

Royal Caribbean Cruises Ltd.

      49        5,343  

Yum! Brands, Inc.

      353        40,058  
     

 

 

  
        82,821  
     

 

 

  

Household Durables — 0.3%

      

Lennar Corp., Class A

      284        15,865  
     

 

 

  

Household Products — 1.2%

      

Kimberly-Clark Corp.

      22        3,111  

Procter & Gamble Co. (The) (a)

      530        65,921  
     

 

 

  
        69,032  
     

 

 

  

Industrial Conglomerates — 1.0%

      

Honeywell International, Inc. (a)

      361        61,044  
     

 

 

  

Insurance — 2.3%

      

Allstate Corp. (The)

      148        16,096  

American International Group, Inc.

      409        22,795  

Arthur J Gallagher & Co.

      97        8,643  

Everest Re Group Ltd.

      31        8,254  

Hartford Financial Services Group, Inc. (The)

      557        33,775  

Lincoln National Corp.

      62        3,754  

MetLife, Inc.

      747        35,212  

Progressive Corp. (The)

      56        4,303  
     

 

 

  
        132,832  
     

 

 

  

Interactive Media & Services — 4.5%

      

Alphabet, Inc., Class A * (a)

      86        105,018  

Alphabet, Inc., Class C * (a)

      79        96,142  

Facebook, Inc., Class A * (a)

      331        58,920  
     

 

 

  
        260,080  
     

 

 

  

Internet & Direct Marketing Retail — 4.0%

      

Amazon.com, Inc. * (a)

      112        194,370  

Booking Holdings, Inc. * (a)

      2        3,945  

Expedia Group, Inc.

      240        32,324  
     

 

 

  
        230,639  
     

 

 

  

IT Services — 6.3%

      

Accenture plc, Class A

      281        53,954  

Automatic Data Processing, Inc. (a)

      394        63,543  

Cognizant Technology Solutions Corp., Class A

      358        21,569  

Fiserv, Inc. *

      123        12,752  

Mastercard, Inc., Class A (a)

      399        108,348  

PayPal Holdings, Inc. * (a)

      500        51,782  

Visa, Inc., Class A (a)

      326        56,051  
     

 

 

  
        367,999  
     

 

 

  

Leisure Products — 0.1%

      

Hasbro, Inc.

      73        8,617  
     

 

 

  

Life Sciences Tools & Services — 1.2%

      

Illumina, Inc. *

      34        10,462  

Thermo Fisher Scientific, Inc.

      211        61,382  
     

 

 

  
        71,844  
     

 

 

  

Machinery — 2.5%

      

Caterpillar, Inc.

      123        15,523  

Cummins, Inc.

      169        27,433  

Deere & Co.

      105        17,679  

Ingersoll-Rand plc

      184        22,710  

PACCAR, Inc. (a)

      170        11,880  

Parker-Hannifin Corp.

      90        16,201  

Snap-on, Inc.

      55        8,669  

Stanley Black & Decker, Inc.

      161        23,207  
     

 

 

  
        143,302  
     

 

 

  

Media — 3.2%

      

Altice USA, Inc., Class A *

      367        10,531  

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

      122        50,122  

Comcast Corp., Class A (a)

      2,117        95,449  

Discovery, Inc., Class A *

      485        12,928  

Discovery, Inc., Class C *

      591        14,559  
     

 

 

  
        183,589  
     

 

 

  

Metals & Mining — 0.1%

      

Freeport-McMoRan, Inc.

      313        2,995  

Newmont Goldcorp Corp.

      110        4,168  
     

 

 

  
        7,163  
     

 

 

  

Multi-Utilities — 0.3%

      

Sempra Energy

      111        16,388  
     

 

 

  

Oil, Gas & Consumable Fuels — 4.4%

      

Chevron Corp. (a)

      759        90,033  

Concho Resources, Inc.

      53        3,585  

Diamondback Energy, Inc.

      234        21,031  

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Shares (000)      Value ($000)  

EOG Resources, Inc. (a)

      530        39,314  

Exxon Mobil Corp. (a)

      225        15,895  

Marathon Petroleum Corp. (a)

      579        35,182  

ONEOK, Inc.

      337        24,807  

Pioneer Natural Resources Co. (a)

      217        27,341  
     

 

 

  
        257,188  
     

 

 

  

Pharmaceuticals — 4.1%

      

Allergan plc

      68        11,526  

Bristol-Myers Squibb Co.

      556        28,179  

Eli Lilly & Co.

      378        42,265  

Johnson & Johnson (a)

      448        57,953  

Merck & Co., Inc. (a)

      857        72,117  

Pfizer, Inc.

      740        26,598  
     

 

 

  
        238,638  
     

 

 

  

Road & Rail — 1.6%

      

Kansas City Southern

      23        2,993  

Lyft, Inc., Class A *

      114        4,672  

Norfolk Southern Corp. (a)

      286        51,374  

Union Pacific Corp. (a)

      220        35,653  
     

 

 

  
        94,692  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.2%

      

Advanced Micro Devices, Inc. *

      602        17,455  

Analog Devices, Inc. (a)

      421        47,075  

Intel Corp.

      171        8,831  

KLA Corp.

      76        12,070  

NVIDIA Corp. (a)

      206        35,845  

NXP Semiconductors NV (Netherlands)

      311        33,936  

Skyworks Solutions, Inc.

      22        1,704  

Teradyne, Inc.

      503        29,127  

Texas Instruments, Inc. (a)

      465        60,045  
     

 

 

  
        246,088  
     

 

 

  

Software — 6.3%

      

Intuit, Inc.

      54        14,353  

Microsoft Corp. (a)

      2,192        304,805  

salesforce.com, Inc. * (a)

      323        47,934  
     

 

 

  
        367,092  
     

 

 

  

Specialty Retail — 4.8%

      

Advance Auto Parts, Inc.

      125        20,632  

AutoZone, Inc. * (a)

      38        41,302  

Best Buy Co., Inc.

      393        27,140  

Home Depot, Inc. (The) (a)

      300        69,682  

Lowe’s Cos., Inc.

      432        47,527  

O’Reilly Automotive, Inc. *

      48        19,280  

Ross Stores, Inc. (a)

      169        18,567  

TJX Cos., Inc. (The)

      672        37,483  
     

 

 

  
        281,613  
     

 

 

  

Technology Hardware, Storage & Peripherals — 4.5%

      

Apple, Inc. (a)

      1,095        245,243  

HP, Inc.

      776        14,676  
     

 

 

  
        259,919  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.6%

      

NIKE, Inc., Class B

      290        27,256  

Ralph Lauren Corp.

      62        5,890  
     

 

 

  
        33,146  
     

 

 

  

Tobacco — 1.3%

      

Altria Group, Inc.

      443        18,117  

Philip Morris International, Inc.

      726        55,153  
     

 

 

  
        73,270  
     

 

 

  

Trading Companies & Distributors — 0.1%

      

HD Supply Holdings, Inc. *

      207        8,095  
     

 

 

  

Wireless Telecommunication Services — 0.1%

      

T-Mobile US, Inc. *

      96        7,586  
     

 

 

  

TOTAL COMMON STOCKS

(Cost $5,084,057)

         5,721,209  
  

 

 

  
     No. of
Contracts		         

OPTIONS PURCHASED — 1.7%

      

PUT OPTIONS PURCHASED — 1.7%

      

Index Funds — 1.7%

      

S&P 500 Index

      

12/31/2019 at USD 2,815.00, European Style Notional Amount: USD 5,813,871 Exchange-Traded *

      19,531        98,534  
     

 

 

  

TOTAL PUT OPTIONS PURCHASED

         98,534  
     

 

 

  

TOTAL OPTIONS PURCHASED

(Cost $97,669)

         98,534  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 1.6%

 

INVESTMENT COMPANIES — 1.6%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.94% (c) (d)

(Cost $92,538)

      92,538        92,538  
     

 

 

  

Total Investments — 101.4%

(Cost $5,274,264)

         5,912,281  

Liabilities in Excess of Other Assets — (1.4)%

         (80,223 ) 
     

 

 

  

Net Assets — 100.0%

         5,832,058  
     

 

 

  

 

Percentages indicated are based on net assets.

Abbreviations

 

USD    United States Dollar
(a)    All or a portion of this security is segregated for options written.
(b)    Amount rounds to less than 0.1% of net assets.

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

(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 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

      655        12/2019        USD        97,497        (697 ) 
              

 

 

  

Abbreviations

USD    United States Dollar

Written Call Options Contracts as of September 30, 2019 (amounts in thousands, except number of contracts):

 

Description

    Counterparty      Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value ($)  

S&P 500 Index

      Exchange-Traded        19,531        USD 5,813,871        USD 3,070.00        12/31/2019        (79,686 ) 
                 

 

 

  

Written Put Options Contracts as of September 30, 2019 (amounts in thousands, except number of contracts):

 

Description

    Counterparty      Number of
Contracts		      Notional
Amount		      Exercise
Price		      Expiration
Date		      Value ($)  

S&P 500 Index

      Exchange-Traded        19,531        USD 5,813,871        USD 2,375.00        12/31/2019        (12,988 ) 
                 

 

 

  

Total Written Options Contracts (Premiums Received $93,092)

 

      (92,674 ) 
                 

 

 

  

 

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.

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Futures contracts and options are generally valued on the basis of available market quotations.

Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer-related events after the report date and prior to issuance of the report are not reflected herein.

The various inputs that are used in determining the valuation of the 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.

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)

    $ 5,912,281     $ —        $ —        $ 5,912,281  
  

 

 

    

 

 

     

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Futures Contracts (a)

    $ (697 )    $ —        $ —        $ (697 ) 

Options Written (a)

           

Call Options Written

      (79,686 )      —          —          (79,686 ) 

Put Options Written

      (12,988 )      —          —          (12,988 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Options Written

      (92,674 )            (92,674 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

Total Depreciation in Other Financial Instruments

    $ (93,371 )    $        $        $ (93,371 ) 
  

 

 

    

 

 

     

 

 

     

 

 

  

 

(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 an affiliated issuer. The Underlying Fund’s distributions may be reinvested into the Underlying Fund. Reinvestment amounts are included in the purchase cost amount 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 U.S. Government Money Market Fund Class Institutional Shares, 1.94%(a)(b)

    $ 232,451      $ 663,445      $ 803,358      $ —        $ —        $ 92,538        92,538      $ 626      $ —    
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

(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.