JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited)

(Amounts in U.S. Dollar, unless otherwise noted)

Investments	Shares		Value
COMMON STOCKS - 40.1%
Aerospace & Defense - 0.5%
Arconic, Inc.		35,500		1,063,225
Astronics Corp.*		7,987		201,272
HEICO Corp.		4,564		558,771
				1,823,268
Airlines - 0.1%
Qantas Airways Ltd. (Australia)		100,045		424,170
Auto Components - 0.2%
Gentex Corp.		18,713		557,086
Banks - 0.6%
Citizens Financial Group, Inc.		18,636		694,750
First Citizens BancShares, Inc., Class A		1,399		737,021
Synovus Financial Corp.		19,037		666,676
				2,098,447
Biotechnology - 1.6%
Biogen, Inc.*		2,557		687,449
Ligand Pharmaceuticals, Inc.*		7,352		645,579
Ra Pharmaceuticals, Inc.*		94,995		4,452,416
				5,785,444
Building Products - 0.1%
Resideo Technologies, Inc.*		20,200		205,636
Capital Markets - 1.4%
Ameriprise Financial, Inc.		4,451		736,240
Bolsas y Mercados Espanoles SHMSF SA (Spain)		56,778		2,203,937
Brightsphere Investment Group, Inc.		60,740		559,415
E*TRADE Financial Corp.		16,383		698,244
Lazard Ltd., Class A		18,397		771,938
				4,969,774
Chemicals - 1.1%
DIC Corp. (Japan)		18,900		495,459
Eastman Chemical Co.		6,851		488,271
Ecolab, Inc.		8,200		1,608,102
Huntsman Corp.		20,810		427,853
Kronos Worldwide, Inc.		8,126		88,086
LyondellBasell Industries NV, Class A		8,124		632,535
Tokuyama Corp. (Japan)		7,000		177,527
				3,917,833
Commercial Services & Supplies - 0.7%
Brady Corp., Class A		8,394		464,776
Cimpress plc (Ireland)*		6,380		763,239
Deluxe Corp.		4,038		194,631
Herman Miller, Inc.		9,883		381,978
Pitney Bowes, Inc.		186,878		698,924
				2,503,548
Communications Equipment - 1.7%
Acacia Communications, Inc.*		74,648		5,117,121
Cisco Systems, Inc.		8,554		393,227
Ubiquiti, Inc.		3,940		643,875
				6,154,223
Construction & Engineering - 0.1%
Arcosa, Inc.		10,800		472,500
Construction Materials - 0.1%
Eagle Materials, Inc.		3,500		319,095
Consumer Finance - 0.4%
Navient Corp.		26,400		379,632
SLM Corp.		31,900		348,348
World Acceptance Corp.*		8,462		731,709
				1,459,689
Containers & Packaging - 0.1%
O-I Glass, Inc.		20,100		253,662
Distributors - 0.1%
LKQ Corp.*		7,900		258,211
Diversified Consumer Services - 0.1%
H&R Block, Inc.		18,853		437,390
Diversified Telecommunication Services - 1.9%
Zayo Group Holdings, Inc.*		190,819		6,630,960
Electric Utilities - 0.2%
Evergy, Inc.		11,713		845,210
Electrical Equipment - 1.7%
Eaton Corp. plc		23,760		2,244,607
OSRAM Licht AG (Germany)*		75,373		3,405,555
Regal Beloit Corp.		5,658		443,927
				6,094,089
Electronic Equipment, Instruments & Components - 0.6%
Avnet, Inc.		17,705		646,055
Dolby Laboratories, Inc., Class A		8,246		571,778
SYNNEX Corp.		7,600		1,046,976
				2,264,809
Energy Equipment & Services - 0.4%
Patterson-UTI Energy, Inc.		70,366		558,706
TechnipFMC plc (United Kingdom)		45,300		747,903
				1,306,609
Entertainment - 1.3%
Cineplex, Inc. (Canada)		120,450		3,073,596
Madison Square Garden Co. (The), Class A*		5,100		1,510,569
				4,584,165
Food & Staples Retailing - 0.3%
Lawson, Inc. (Japan)		9,300		538,268
Metcash Ltd. (Australia)		221,374		383,629
				921,897
Food Products - 0.1%
Ingredion, Inc.		5,218		459,184
Health Care Equipment & Supplies - 0.3%
Danaher Corp.		3,823		615,006
STERIS plc		3,540		533,443
				1,148,449
Health Care Providers & Services - 1.1%
Acadia Healthcare Co., Inc.*		7,700		247,401
Chemed Corp.		440		205,498
DaVita, Inc.*		9,906		791,192
Encompass Health Corp.		7,451		573,950
Magellan Health, Inc.*		4,700		344,087
Tenet Healthcare Corp.*		51,300		1,623,132

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

Investments	Shares		Value
UnitedHealth Group, Inc.		759		206,790
				3,992,050
Hotels, Restaurants & Leisure - 1.6%
Aramark		6,300		278,082
BJ’s Restaurants, Inc.		19,563		778,216
Bloomin’ Brands, Inc.		13,800		286,626
Cracker Barrel Old Country Store, Inc.		1,900		290,567
Dave & Buster’s Entertainment, Inc.		24,574		1,085,188
El Pollo Loco Holdings, Inc.*		19,500		268,710
Jack in the Box, Inc.		9,376		766,488
Koshidaka Holdings Co. Ltd. (Japan)		29,200		412,158
SeaWorld Entertainment, Inc.*		23,199		799,437
Twin River Worldwide Holdings, Inc.		29,527		786,895
				5,752,367
Household Durables - 0.6%
Electrolux AB, Series B (Sweden)		55,158		1,310,353
PulteGroup, Inc.		14,794		660,552
				1,970,905
Independent Power and Renewable Electricity Producers - 0.2%
Clearway Energy, Inc., Class C		30,563		647,019
				647,019
Industrial Conglomerates - 0.5%
Smiths Group plc (United Kingdom)		80,740		1,795,238
Insurance - 0.4%
Athene Holding Ltd., Class A*		15,805		688,466
MBIA, Inc.*		80,234		726,920
				1,415,386
Interactive Media & Services - 0.7%
Alphabet, Inc., Class A*		427		611,797
IAC/InterActiveCorp*		4,900		1,193,591
Yelp, Inc.*		21,422		698,357
				2,503,745
Internet & Direct Marketing Retail - 0.4%
eBay, Inc.		20,683		694,122
Quotient Technology, Inc.*		60,289		607,110
				1,301,232
IT Services - 0.5%
Alliance Data Systems Corp.		6,738		692,599
Otsuka Corp. (Japan)		15,900		620,019
Visa, Inc., Class A		2,957		588,354
				1,900,972
Leisure Products - 0.1%
Tomy Co. Ltd. (Japan)		46,900		507,268
Machinery - 2.2%
Allison Transmission Holdings, Inc.		11,004		486,377
CNH Industrial NV (United Kingdom)		82,300		775,266
Cummins, Inc.		2,526		404,084
DMG Mori Co. Ltd. (Japan)		10,700		147,396
Fortive Corp.		16,200		1,213,866
Ingersoll-Rand plc		10,500		1,398,915
JTEKT Corp. (Japan)		34,900		370,079
Meritor, Inc.*		39,331		861,742
Navistar International Corp.*		36,446		1,334,653
Trinity Industries, Inc.		33,731		685,751
				7,678,129
Media - 0.6%
iHeartMedia, Inc., Class A*		17,000		300,560
MSG Networks, Inc., Class A*		43,777		665,848
Omnicom Group, Inc.		6,221		468,503
Sinclair Broadcast Group, Inc., Class A		10,690		319,845
TEGNA, Inc.		17,500		295,750
				2,050,506
Metals & Mining - 0.7%
AK Steel Holding Corp.*		270,908		747,706
Regis Resources Ltd. (Australia)		143,089		438,633
Schnitzer Steel Industries, Inc., Class A		20,510		329,801
Steel Dynamics, Inc.		14,043		419,605
Tokyo Steel Manufacturing Co. Ltd. (Japan)		66,100		495,209
				2,430,954
Oil, Gas & Consumable Fuels - 1.3%
Green Plains, Inc.		11,790		147,021
HollyFrontier Corp.		24,812		1,114,555
Murphy Oil Corp.		27,234		570,825
Peabody Energy Corp.		6,800		45,968
Phillips 66		4,368		399,104
SFL Corp. Ltd. (Norway)		42,856		567,414
Tallgrass Energy LP, Class A		69,788		1,556,970
				4,401,857
Paper & Forest Products - 0.4%
Canfor Corp. (Canada)*		14,718		132,233
Domtar Corp.		19,866		691,734
Louisiana-Pacific Corp.		20,277		622,098
				1,446,065
Personal Products - 0.2%
USANA Health Sciences, Inc.*		9,648		595,282
Pharmaceuticals - 1.1%
Dermira, Inc.*		146,909		2,783,925
Horizon Therapeutics plc*		14,883		513,315
Johnson & Johnson		1,437		213,926
Pfizer, Inc.		11,499		428,223
				3,939,389
Professional Services - 0.8%
FTI Consulting, Inc.*		4,746		569,805
Meitec Corp. (Japan)		8,700		494,557
Nielsen Holdings plc		54,600		1,113,840
TechnoPro Holdings, Inc. (Japan)		7,200		476,759
				2,654,961
Real Estate Management & Development - 1.4%
Unizo Holdings Co. Ltd. (Japan)		98,000		4,983,490
Road & Rail - 0.2%
Hitachi Transport System Ltd. (Japan)		18,800		539,708
Semiconductors & Semiconductor Equipment - 2.6%
Cypress Semiconductor Corp.		266,201		6,210,469
Lam Research Corp.		1,823		543,637
Mellanox Technologies Ltd.*		8,655		1,046,390
MKS Instruments, Inc.		1,770		185,531
QUALCOMM, Inc.		8,547		729,145
Teradyne, Inc.		8,959		591,204
				9,306,376
Software - 2.4%
ForeScout Technologies, Inc.*		8,800		250,888
Instructure, Inc.*		111,668		5,453,865
Oracle Corp.		7,844		411,418
Progress Software Corp.		13,855		625,276
TiVo Corp.		81,900		596,232

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

Investments	Shares		Value
Verint Systems, Inc.*		21,500		1,247,000
				8,584,679
Specialty Retail - 2.9%
ABC-Mart, Inc. (Japan)		7,700		493,999
American Eagle Outfitters, Inc.		18,654		268,617
Best Buy Co., Inc.		3,520		298,109
Designer Brands, Inc., Class A		45,912		653,787
Dick’s Sporting Goods, Inc.		26,890		1,189,345
Genesco, Inc.*		15,668		616,066
Guess?, Inc.		33,762		718,793
Michaels Cos., Inc. (The)*		91,824		452,692
Tiffany & Co.		40,588		5,439,604
				10,131,012
Technology Hardware, Storage & Peripherals - 0.1%
Apple, Inc.		656		203,039
Textiles, Apparel & Luxury Goods - 0.3%
Ralph Lauren Corp.		3,654		414,729
Wolverine World Wide, Inc.		21,735		686,174
				1,100,903
Trading Companies & Distributors - 1.0%
HD Supply Holdings, Inc.*		47,983		1,954,827
Triton International Ltd. (Bermuda)		18,516		695,276
WESCO International, Inc.*		18,617		901,249
				3,551,352
Water Utilities - 0.1%
AquaVenture Holdings Ltd.*		17,245		465,615
TOTAL COMMON STOCKS (Cost $134,065,040)				141,744,847
Investments	Principal Amount		Value
CONVERTIBLE BONDS - 6.3%
Biotechnology - 0.6%
BioMarin Pharmaceutical, Inc.
1.50%, 10/15/2020		148,000		158,035
0.60%, 8/1/2024		156,000		165,505
Exact Sciences Corp.
1.00%, 1/15/2025		116,000		168,997
0.38%, 3/15/2027		186,000		209,250
Intercept Pharmaceuticals, Inc.
3.25%, 7/1/2023		347,000		331,439
Ionis Pharmaceuticals, Inc.
1.00%, 11/15/2021		317,000		359,216
Medicines Co. (The)
2.50%, 1/15/2022		75,000		190,125
2.75%, 7/15/2023		106,000		184,573
Neurocrine Biosciences, Inc.
2.25%, 5/15/2024		198,000		286,360
				2,053,500
Capital Markets - 0.1%
Ares Capital Corp.
3.75%, 2/1/2022		151,000		154,179
4.63%, 3/1/2024		147,000		156,004
				310,183
Communications Equipment - 0.2%
Lumentum Holdings, Inc.
0.25%, 3/15/2024		235,000		331,901
Viavi Solutions, Inc.
1.00%, 3/1/2024		238,000		294,824
				626,725
Construction & Engineering - 0.1%
Dycom Industries, Inc.
0.75%, 9/15/2021		332,000		320,331
Diversified Consumer Services - 0.1%
Chegg, Inc.
0.13%, 3/15/2025(a)		313,000		334,190
Electronic Equipment, Instruments & Components - 0.1%
Vishay Intertechnology, Inc.
2.25%, 6/15/2025		322,000		319,778
Energy Equipment & Services - 0.1%
Ensco Jersey Finance Ltd.
3.00%, 1/31/2024		513,000		330,885
Entertainment - 0.2%
Liberty Media Corp.-Liberty Formula One
1.00%, 1/30/2023		243,000		326,178
Live Nation Entertainment, Inc.
2.50%, 3/15/2023		132,000		156,981
Zynga, Inc.
0.25%, 6/1/2024(a)		306,000		312,935
				796,094
Equity Real Estate Investment Trusts (REITs) - 0.2%
Colony Capital, Inc.
3.88%, 1/15/2021		412,000		412,000
Extra Space Storage LP
3.13%, 10/1/2035(a)		353,000		429,127
				841,127
Health Care Equipment & Supplies - 0.3%
DexCom, Inc.
0.75%, 5/15/2022		72,000		175,455
0.75%, 12/1/2023		107,000		169,796
Insulet Corp.
1.38%, 11/15/2024		80,000		169,872
0.38%, 9/1/2026(a)		149,000		167,047
NuVasive, Inc.
2.25%, 3/15/2021		384,000		504,615
				1,186,785
Health Care Providers & Services - 0.1%
Anthem, Inc.
2.75%, 10/15/2042		77,000		284,130
Hotels, Restaurants & Leisure - 0.1%
Caesars Entertainment Corp.
5.00%, 10/1/2024		169,317		326,570
Interactive Media & Services - 0.3%
Momo, Inc. (China)
1.25%, 7/1/2025		327,000		300,586
Snap, Inc.
0.75%, 8/1/2026(a)		314,000		349,504
Twitter, Inc.
1.00%, 9/15/2021		163,000		159,198
0.25%, 6/15/2024		167,000		164,013
				973,301

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

Investments	Principal Amount		Value
Internet & Direct Marketing Retail - 0.3%
Booking Holdings, Inc.
0.35%, 6/15/2020		182,000		252,901
0.90%, 9/15/2021		182,000		200,309
Etsy, Inc.
0.13%, 10/1/2026(a)		363,000		339,099
MercadoLibre, Inc. (Argentina)
2.00%, 8/15/2028		218,000		366,708
				1,159,017
IT Services - 0.3%
Akamai Technologies, Inc.
0.13%, 5/1/2025		140,000		161,333
0.38%, 9/1/2027(a)		159,000		162,902
Euronet Worldwide, Inc.
0.75%, 3/15/2049(a)		187,000		223,249
KBR, Inc.
2.50%, 11/1/2023		241,000		294,704
Okta, Inc.
0.13%, 9/1/2025(a)		317,000		320,487
				1,162,675
Life Sciences Tools & Services - 0.1%
Illumina, Inc.
0.50%, 6/15/2021		206,000		256,212
8/15/2023		145,000		152,250
				408,462
Machinery - 0.1%
Fortive Corp.
0.88%, 2/15/2022(a)		319,000		321,080
Media - 0.4%
Liberty Interactive LLC
1.75%, 9/30/2046(a)		218,000		341,103
Liberty Media Corp.
1.38%, 10/15/2023		239,000		322,081
2.13%, 3/31/2048(a)		405,000		425,170
2.25%, 12/1/2048(a)		137,000		156,824
				1,245,178
Oil, Gas & Consumable Fuels - 0.1%
Cheniere Energy, Inc.
4.25%, 3/15/2045		401,000		312,959
Pharmaceuticals - 0.3%
Horizon Pharma Investment Ltd.
2.50%, 3/15/2022		257,000		327,354
Jazz Investments I Ltd.
1.88%, 8/15/2021		200,000		203,246
Supernus Pharmaceuticals, Inc.
0.63%, 4/1/2023		397,000		360,916
				891,516
Semiconductors & Semiconductor Equipment - 0.6%
Advanced Micro Devices, Inc.
2.13%, 9/1/2026		61,000		361,216
Microchip Technology, Inc.
1.63%, 2/15/2025		56,000		111,989
1.63%, 2/15/2027		78,000		104,922
2.25%, 2/15/2037		75,000		101,399
ON Semiconductor Corp.
1.00%, 12/1/2020		157,000		204,846
1.63%, 10/15/2023		160,000		213,576
Silicon Laboratories, Inc.
1.38%, 3/1/2022		251,000		301,827
Synaptics, Inc.
0.50%, 6/15/2022		438,000		491,034
Teradyne, Inc.
1.25%, 12/15/2023		151,000		321,814
				2,212,623
Software - 1.4%
Atlassian, Inc.
0.63%, 5/1/2023		193,000		358,197
Coupa Software, Inc.
0.13%, 6/15/2025(a)		269,000		337,931
Guidewire Software, Inc.
1.25%, 3/15/2025		257,000		306,064
j2 Global, Inc.
1.75%, 11/1/2026(a)		162,000		166,455
3.25%, 6/15/2029		210,000		309,750
New Relic, Inc.
0.50%, 5/1/2023		326,000		318,899
Nuance Communications, Inc.
1.25%, 4/1/2025		149,000		171,695
1.00%, 12/15/2035		162,000		167,645
Palo Alto Networks, Inc.
0.75%, 7/1/2023		386,000		428,855
Proofpoint, Inc.
0.25%, 8/15/2024(a)		303,000		323,542
RingCentral, Inc.
3/15/2023		147,000		371,205
ServiceNow, Inc.
6/1/2022		152,000		380,285
Splunk, Inc.
0.50%, 9/15/2023		144,000		175,505
1.13%, 9/15/2025		141,000		177,572
Verint Systems, Inc.
1.50%, 6/1/2021		307,000		335,484
Workday, Inc.
0.25%, 10/1/2022		244,000		334,546
Zendesk, Inc.
0.25%, 3/15/2023		230,000		341,937
				5,005,567
Technology Hardware, Storage & Peripherals - 0.1%
Western Digital Corp.
1.50%, 2/1/2024(b)		332,000		332,622
Transportation Infrastructure - 0.1%
Macquarie Infrastructure Corp.
2.00%, 10/1/2023		439,000		420,913
TOTAL CONVERTIBLE BONDS (Cost $20,066,681)				22,176,211
Investments	Shares		Value
CONVERTIBLE PREFERRED STOCKS - 0.9%
Chemicals - 0.1%
International Flavors & Fragrances, Inc.
6.00%, 9/15/2021 ($50 par value)		6,300		306,873
Electric Utilities - 0.2%
NextEra Energy, Inc.

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

(Amounts in U.S. Dollar, unless otherwise noted)

Investments	Shares		Value
4.87%, 9/1/2022 ($50 par value)		6,300		344,169
Southern Co. (The)
Series 2019, 6.75%, 8/1/2022 ($50 par value)		6,000		340,740
				684,909
Health Care Equipment & Supplies - 0.1%
Becton Dickinson and Co.
Series A, 6.13%, 5/1/2020 ($50 par value)		5,300		347,415
Machinery - 0.2%
Colfax Corp.
5.75%, 1/15/2022 ($100 par value)		2,200		334,290
Stanley Black & Decker, Inc.
5.38%, 5/15/2020 ($100 par value)		3,000		313,650
5.25%, 11/15/2022 ($100 par value)		1,500		157,485
				805,425
Multi-Utilities - 0.2%
CenterPoint Energy, Inc.
Series B, 7.00%, 9/1/2021 ($50 par value)		7,499		360,402
Sempra Energy
Series A, 6.00%, 1/15/2021 ($100 par value)		1,400		177,254
Series B, 6.75%, 7/15/2021 ($100 par value)		2,700		337,608
				875,264
Water Utilities - 0.1%
Aqua America, Inc.
6.00%, 4/30/2022 ($50 par value)		5,400		366,282
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $3,158,773)				3,386,168
Investments	Shares		Value
PREFERRED STOCKS - 0.1%
Multi-Utilities - 0.1%
Dominion Energy, Inc.,
Series A, 7.25%, 6/1/2022 ($100 par value) (Cost $321,575)		3,000		329,190
Investments	Principal Amount		Value
SHORT-TERM INVESTMENTS - 46.3%
FOREIGN GOVERNMENT TREASURY BILLS - 2.0%
Japan Treasury Bills (Japan) (0.26)%, 3/10/2020(c)(Cost $7,137,932) JPY		771,500,000		7,120,913
Investments	Shares		Value
INVESTMENT COMPANIES - 44.3%
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.67%(d)(e)		114,093,560		114,139,197
Investments	Shares		Value
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.46%(d)(e)		42,411,109		42,411,109
				156,550,306
TOTAL INVESTMENT COMPANIES (Cost $156,530,544)				156,550,306
TOTAL SHORT-TERM INVESTMENTS (Cost $163,668,476)				163,671,219
Total Investments - 93.7% (Cost $321,280,545)				331,307,635
Other Assets Less Liabilities - 6.3%				22,385,738
Net Assets - 100.0%				353,693,373

Percentages indicated are based on net assets.

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

Abbreviations
JPY	Japanese Yen
(a)	Securities exempt from registration under Rule 144A or section 4(a)(2), of the Securities Act of 1933, as amended.
(b)	Step bond. Interest rate is a fixed rate for an initial period that either resets at a specific date or may reset in the future contingent upon a predetermined trigger. The interest rate shown is the current rate as of January 31, 2020.
(c)	The rate shown is the effective yield as of January 31, 2020.
(d)	Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(e)	The rate shown is the current yield as of January 31, 2020.
*	Non-income producing security.

Futures contracts outstanding as of January 31, 2020:

Description	Number of Contracts		Expiration Date	Trading Currency	Notional Amount ($)		Value and Unrealized Appreciation (Depreciation) ($)
Long Contracts
IBEX 35 Index		30	02/2020	EUR		3,116,682		(60,104)
LME Nickel Base Metal		15	02/2020	USD		1,150,785		(52,230)
LME Zinc Base Metal		65	02/2020	USD		3,589,625		(111,377)
Sugar No. 11		31	02/2020	USD		507,259		20,929
WTI Crude Oil		79	02/2020	USD		4,078,770		(632,048)
Australia 10 Year Bond		346	03/2020	AUD		34,252,449		691,503
Australia 3 Year Bond		33	03/2020	AUD		2,562,077		3,141
CAC 40 10 Euro Index		44	03/2020	EUR		2,819,706		(121,480)
Cocoa		63	03/2020	USD		1,749,510		315,350
Coffee ‘C’		17	03/2020	USD		654,394		(111,014)
Copper		2	03/2020	USD		125,775		(14,730)
Cotton No. 2		13	03/2020	USD		438,750		(16,054)
DAX Index		8	03/2020	EUR		2,871,946		(74,468)
EURO STOXX 50 Index		74	03/2020	EUR		2,975,935		(91,061)
Feeder Cattle		67	03/2020	USD		4,558,513		(339,560)
FTSE 100 Index		27	03/2020	GBP		2,565,013		(115,135)
FTSE/MIB Index		21	03/2020	EUR		2,698,934		(46,513)
LME Aluminum Base Metal		17	03/2020	USD		727,175		(45,680)
LME Nickel Base Metal		5	03/2020	USD		384,375		(36,180)
LME Zinc Base Metal		48	03/2020	USD		2,646,000		(222,445)
Natural Gas		32	03/2020	USD		603,200		(81,985)
Silver		11	03/2020	USD		991,100		23,046
SPI 200 Index		27	03/2020	AUD		3,103,421		40,045
TOPIX Index		22	03/2020	JPY		3,344,881		(145,393)
U.S. Treasury 5 Year Note		26	03/2020	USD		3,129,344		33,555
U.S. Treasury 10 Year Note		237	03/2020	USD		31,221,047		612,150
U.S. Treasury Long Bond		3	03/2020	USD		491,344		12,767
Wheat		61	03/2020	USD		1,688,938		25,033
WTI Crude Oil		33	03/2020	USD		1,707,750		(334,146)
100 oz Gold		35	04/2020	USD		5,569,900		50,098
Live Cattle		53	04/2020	USD		2,537,110		(155,216)
Copper		40	05/2020	USD		2,518,500		(287,617)
Silver		24	05/2020	USD		2,171,400		(47,463)
Live Cattle		69	06/2020	USD		3,079,470		(208,114)
Cocoa		49	07/2020	USD		1,377,390		137,143

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

Description	Number of Contracts		Expiration Date	Trading Currency	Notional Amount ($)		Value and Unrealized Appreciation (Depreciation) ($)
								(1,385,253)
Short Contracts
Hang Seng Index		(1)	02/2020	HKD		(167,269)		6,730
LME Aluminum Base Metal		(72)	02/2020	USD		(3,066,300)		144,846
Natural Gas		(53)	02/2020	USD		(974,670)		92,711
Canada 10 Year Bond		(82)	03/2020	CAD		(8,805,365)		(182,454)
Corn		(89)	03/2020	USD		(1,696,562)		45,138
Euro-Bobl		(37)	03/2020	EUR		(5,538,063)		(33,911)
Euro-Bund		(37)	03/2020	EUR		(7,182,740)		(120,165)
Euro-Buxl		(1)	03/2020	EUR		(233,899)		(10,543)
Euro-Schatz		(416)	03/2020	EUR		(51,712,074)		(67,164)
Japan 10 Year Bond		(15)	03/2020	JPY		(21,160,999)		(108,676)
LME Aluminum Base Metal		(83)	03/2020	USD		(3,550,325)		198,316
LME Nickel Base Metal		(6)	03/2020	USD		(461,250)		37,127
LME Zinc Base Metal		(20)	03/2020	USD		(1,102,500)		88,723
Long Gilt		(135)	03/2020	GBP		(24,055,417)		(591,238)
Russell 2000 E-Mini Index		(187)	03/2020	USD		(15,096,510)		386,580
S&P 500 E-Mini Index		(417)	03/2020	USD		(67,241,250)		(517,042)
Soybean		(13)	03/2020	USD		(567,125)		44,737
U.S. Treasury 2 Year Note		(12)	03/2020	USD		(2,596,594)		(8,931)
Feeder Cattle		(23)	04/2020	USD		(1,581,538)		64,332
Lean Hogs		(170)	04/2020	USD		(4,188,800)		935,809
Coffee ‘C’		(65)	05/2020	USD		(2,556,937)		182,655
Corn		(339)	05/2020	USD		(6,551,175)		85,325
Cotton No. 2		(152)	05/2020	USD		(5,191,560)		100,372
Lean Hogs		(45)	06/2020	USD		(1,383,300)		191,467
Coffee ‘C’		(42)	07/2020	USD		(1,687,613)		270,886
Corn		(133)	07/2020	USD		(2,600,150)		36,270
								1,271,900
								(113,353)

Abbreviations
AUD	Australian Dollar
CAC	Continuous Assisted Quotation
CAD	Canadian Dollar
DAX	Deutscher Aktien Index
EUR	Euro
FTSE	Financial Times and the London Stock Exchange
GBP	British Pound
HKD	Hong Kong Dollar
IBEX	International Business Exchange
JPY	Japanese Yen
LME	London Metal Exchange
MIB	Milan, Italian Stock Exchange
S&P	Standard & Poor’s
SPI	Australian Securities Exchange
TOPIX	Tokyo Stock Price Index
USD	United States Dollar
WTI	West Texas Intermediate

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

Forward foreign currency exchange contracts outstanding as of January 31, 2020:

Currency Purchased		Currency Sold		Counterparty	Settlement Date		Unrealized Appreciation (Depreciation) ($)
GBP	214,605	USD	280,289	Barclays Bank plc		2/18/2020		3,200
GBP	142,037	USD	184,847	BNP Paribas		2/18/2020		2,782
INR	277,146,340	USD	3,843,969	Merrill Lynch International**		2/18/2020		21,784
JPY	36,303,183	USD	332,044	State Street Corp.		2/18/2020		3,250
MXN	72,821,551	USD	3,832,199	Citibank, NA		2/18/2020		13,908
NZD	314,461	AUD	302,469	State Street Corp.		2/18/2020		781
USD	14,930,375	AUD	21,641,016	BNP Paribas		2/18/2020		440,520
USD	6,628,049	CAD	8,598,449	BNP Paribas		2/18/2020		131,000
USD	805,042	EUR	716,437	BNP Paribas		2/18/2020		9,813
USD	23,359,272	EUR	20,834,959	State Street Corp.		2/18/2020		232,957
USD	3,864,001	HUF	1,141,075,378	Citibank, NA		2/18/2020		110,937
USD	23,900,944	JPY	2,586,340,256	TD Bank Financial Group		2/18/2020		13,668
USD	3,871,326	KRW	4,504,829,808	Merrill Lynch International**		2/18/2020		107,090
USD	183,767	NOK	1,638,048	Barclays Bank plc		2/18/2020		5,668
USD	22,141,960	NOK	194,455,656	BNP Paribas		2/18/2020		999,584
USD	224,086	NOK	2,013,487	Goldman Sachs International		2/18/2020		5,168
USD	217,669	NOK	1,936,200	State Street Corp.		2/18/2020		7,154
USD	3,872,615	PLN	14,666,416	HSBC Bank, NA		2/18/2020		87,045
USD	3,874,206	TWD	115,989,861	Barclays Bank plc**		2/18/2020		54,288
USD	7,224,534	JPY	771,500,000	Standard Chartered Bank		3/10/2020		91,319
CAD	1,172,373	USD	885,156	HSBC Bank, NA		3/16/2020		688
JPY	30,076,366	USD	276,906	BNP Paribas		3/16/2020		1,280
Total unrealized appreciation								2,343,884
AUD	1,417,378	USD	956,470	Royal Bank of Canada		2/18/2020		(7,458	)
CAD	2,092,676	USD	1,609,502	Barclays Bank plc		2/18/2020		(28,261	)
CAD	16,732,964	USD	12,895,084	BNP Paribas		2/18/2020		(251,538	)
NZD	378,896	AUD	366,307	State Street Corp.		2/18/2020		(304	)
NZD	276,687	JPY	20,093,566	Citibank, NA		2/18/2020		(6,704	)
NZD	276,414	JPY	20,029,546	State Street Corp.		2/18/2020		(6,288	)
NZD	53,966,786	USD	35,916,137	Merrill Lynch International		2/18/2020		(1,026,352	)
RON	16,518,031	USD	3,859,105	Barclays Bank plc		2/18/2020		(26,376	)
RUB	239,047,050	USD	3,858,809	Merrill Lynch International**		2/18/2020		(125,567	)
SEK	1,864,469	EUR	176,548	Barclays Bank plc		2/18/2020		(2,165	)
SEK	85,719,730	USD	9,138,882	TD Bank Financial Group		2/18/2020		(228,907	)
USD	9,948,798	CHF	9,631,665	Barclays Bank plc		2/18/2020		(60,320	)
USD	181,203	EUR	164,075	HSBC Bank, NA		2/18/2020		(915	)
USD	1,544,623	GBP	1,188,103	Barclays Bank plc		2/18/2020		(24,834	)
USD	3,925,407	GBP	2,974,663	BNP Paribas		2/18/2020		(4,055	)
USD	185,756	GBP	142,037	Standard Chartered Bank		2/18/2020		(1,873	)
USD	280,503	GBP	214,605	TD Bank Financial Group		2/18/2020		(2,986	)
USD	3,874,570	ILS	13,409,295	Merrill Lynch International		2/18/2020		(13,409	)
USD	381,268	NOK	3,517,310	HSBC Bank, NA		2/18/2020		(1,155	)
ZAR	54,971,315	USD	3,848,213	Merrill Lynch International		2/18/2020		(192,183	)
USD	1,635,130	JPY	177,601,317	Goldman Sachs International		3/16/2020		(7,559	)
Total unrealized depreciation								(2,019,209	)
Net unrealized appreciation								324,675

Abbreviations
AUD	Australian Dollar
CAD	Canadian Dollar
CHF	Swiss Franc
EUR	Euro
GBP	British Pound
HUF	Hungarian Forint
ILS	Israeli Shekel
INR	Indian Rupee
JPY	Japanese Yen
KRW	Korean Republic Won
MXN	Mexican Peso
NOK	Norwegian Krone

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

NZD	New Zealand Dollar
PLN	Polish Zloty
RON	Romanian Leu
RUB	Russian Ruble
SEK	Swedish Krona
TWD	Taiwan Dollar
USD	United States Dollar
ZAR	South African Rand

**                Non-deliverable forward.

Over-the-Counter (“OTC”) Total return swap contracts outstanding as of January 31, 2020:

Reference Entity

Payments Made by Fund

Payments Received by Fund

Frequency of Payments Made/Received

Counterparty

Maturity Date

Notional Amount

Upfront Payments(Receipts) ($)

Value and Unrealized Appreciation (Depreciation) ($)

Media General, Inc., CVR‡

Total appreciation of the position at maturity

Total depreciation of the position at maturity

At Termination

Union Bank of Switzerland AG

3/12/2021

USD 48,548

—

—

—

—

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

OTC Total Return Basket Swaps Outstanding at January 31, 2020

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Bank of America   NA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in GBP based on the local currencies of the positions within the swaps.	12/31/2020		$6,043,900		$	(12,369)		$—	$	(12,369)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Aerospace & Defense
Meggitt plc		57,763		513,865		(1,456)		(0.0)(a)
Airlines
Wizz Air Holdings plc*(b)		9,317		513,573		(1,558)		(0.0)(a)
Capital Markets
3i Group plc		19,027		276,782		(726)		(0.0)(a)
Construction Materials
Rhi Magnesita NV		10,497		441,823		(906)		(0.0)(a)
Distributors
Inchcape plc		63,145		547,826		–		0.0
Energy Equipment & Services
Petrofac Ltd.		109,943		505,735		(1,233)		(0.0)(a)
Health Care Equipment & Supplies
Smith & Nephew plc		22,003		529,412		(1,277)		(0.0)(a)
Hotels, Restaurants & Leisure
Greggs plc		19,599		583,346		–		0.0
Household Durables
Berkeley Group Holdings plc		5,884		407,138		–		0.0
Redrow plc		53,999		566,880		–		0.0
Taylor Wimpey plc		211,300		600,176		–		0.0
Vistry Group plc		32,144		585,757		–		0.0
		303,327		2,159,951		–		0.0
Interactive Media & Services
Auto Trader Group plc(b)		75,861		559,762		(3,218)		(0.0)(a)
Metals & Mining
Rio Tinto plc		8,984		480,413		(4,087)		(0.0)(a)
Oil, Gas & Consumable Fuels
Royal Dutch Shell plc		17,480		459,315		(2,332)		(0.0)(a)
Tullow Oil plc		194,677		129,138		(1,557)		(0.0)(a)
		212,157		588,453		(3,889)		(0.0)(a)
Personal Products
Unilever plc		8,344		497,731		(1,781)		(0.0)(a)
Software
Avast plc(b)		92,206		517,872		400		0.0(a)
AVEVA Group plc		9,510		616,673		(927)		(0.0)(a)
		101,716		1,134,545		(527)		(0.0)(a)
Trading Companies & Distributors
Travis Perkins plc		24,563		501,748		(1,489)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		1,046,246		9,834,965		(22,147)		0.0(a)
Short Positions
Common Stocks
Capital Markets
Standard Life Aberdeen plc		(107,463)		(426,996)		847		0.0(a)
Chemicals
Johnson Matthey plc		(12,299)		(421,684)		1,389		0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Electrical Equipment
Melrose Industries plc		(41,132	)		(126,057	)		606			0.0(a)
Health Care Providers & Services
NMC Health plc		(19,795	)		(336,639	)		1,081			0.0(a)
Hotels, Restaurants & Leisure
TUI AG		(31,879	)		(326,616	)		1,061			0.0(a)
Insurance
Beazley plc		(57,347	)		(409,268	)		792			0.0(a)
Machinery
IMI plc		(26,844	)		(390,198	)		1,142			0.0(a)
Weir Group plc (The)		(20,250	)		(359,362	)		1,095			0.0(a)
		(47,094	)		(749,560	)		2,237			0.0(a)
Metals & Mining
Fresnillo plc		(26,214	)		(228,982	)		311			0.0(a)
Multiline Retail
B&M European Value Retail SA		(53,437	)		(256,229	)		411			0.0(a)
Professional Services
Capita plc*		(41,824	)		(80,330	)		–			0.0
Real Estate Management & Development
Capital & Counties Properties plc		(133,597	)		(428,704	)		1,043			0.0(a)
Total Short Positions of Total Return Basket Swap		(572,081	)		(3,791,065	)		9,778			0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		474,165			6,043,900			(12,369	)		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Bank of America NA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in USD based on the local currencies of the positions within the swaps.	3/31/2020 –12/31/2020		$57,679,785		$–		$—		$–

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Air Freight & Logistics
United Parcel Service, Inc.		3,816		395,032		–		0.0
Airlines
Delta Air Lines, Inc.		8,854		493,522		–		0.0
Southwest Airlines Co.		8,140		447,537		–		0.0
		16,994		941,059		–		0.0
Banks
First Horizon National Corp.		30,872		493,952		–		0.0
Beverages
Coca-Cola European Partners plc		9,118		479,698		–		0.0
Molson Coors Beverage Co.		9,204		511,558		–		0.0
		18,322		991,256		–		0.0
Building Products
American Woodmark Corp.*		4,750		520,837		–		0.0
Gibraltar Industries, Inc.*		8,961		488,554		–		0.0
		13,711		1,009,391		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Capital Markets
Federated Investors, Inc.		15,413		558,413		–		0.0
Legg Mason, Inc.		15,845		620,332		–		0.0
		31,258		1,178,745		–		0.0
Chemicals
Celanese Corp.		4,039		418,036		–		0.0
CF Industries Holdings, Inc.		11,743		473,008		–		0.0
Huntsman Corp.		2,167		44,554		–		0.0
Kronos Worldwide, Inc.		42,100		456,364		–		0.0
		60,049		1,391,962		–		0.0
Commercial Services & Supplies
ABM Industries, Inc.		12,986		495,286		–		0.0
Deluxe Corp.		5,405		260,521		–		0.0
HNI Corp.		11,820		425,166		–		0.0
MSA Safety, Inc.		3,719		504,296		–		0.0
Tetra Tech, Inc.		6,349		543,474		–		0.0
		40,279		2,228,743		–		0.0
Communications Equipment
Acacia Communications, Inc.*		11,847		812,112		–		0.0
Cisco Systems, Inc.		1,186		54,520		–		0.0
Juniper Networks, Inc.		23,513		539,388		–		0.0
NetScout Systems, Inc.*		22,332		574,156		–		0.0
		58,878		1,980,176		–		0.0
Construction & Engineering
MasTec, Inc.*		6,618		382,190		–		0.0
Consumer Finance
Ally Financial, Inc.		16,755		536,663		–		0.0
Encore Capital Group, Inc.*		14,491		491,969		–		0.0
OneMain Holdings, Inc.		12,534		531,066		–		0.0
		43,780		1,559,698		–		0.0
Containers & Packaging
International Paper Co.		11,354		462,335		–		0.0
Silgan Holdings, Inc.		16,959		523,355		–		0.0
Sonoco Products Co.		7,971		455,463		–		0.0
		36,284		1,441,153		–		0.0
Distributors
Core-Mark Holding Co., Inc.		21,088		494,303		–		0.0
Diversified Consumer Services
H&R Block, Inc.		2,973		68,974		–		0.0
K12, Inc.*		23,093		372,721		–		0.0
		26,066		441,695		–		0.0
Diversified Telecommunication Services
CenturyLink, Inc.		35,408		483,673		–		0.0
Verizon Communications, Inc.		8,766		521,051		–		0.0
		44,174		1,004,724		–		0.0
Electric Utilities
Exelon Corp.		12,388		589,545		–		0.0
OGE Energy Corp.		11,959		548,320		–		0.0
		24,347		1,137,865		–		0.0
Electrical Equipment
Atkore International Group, Inc.*		12,440		493,868		–		0.0
Generac Holdings, Inc.*		4,992		517,121		–		0.0
nVent Electric plc		4,580		114,042		–		0.0
		22,012		1,125,031		–		0.0
Electronic Equipment, Instruments & Components
CDW Corp.		3,896		508,233		–		0.0
Fabrinet*		8,905		561,371		–		0.0
Insight Enterprises, Inc.*		7,527		495,804		–		0.0
Tech Data Corp.*		4,938		710,776		–		0.0
Zebra Technologies Corp.*		273		65,252		–		0.0
		25,539		2,341,436		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Energy Equipment & Services
Helix Energy Solutions Group, Inc.*		50,286		419,385		–		0.0
ProPetro Holding Corp.*		42,666		415,567		–		0.0
		92,952		834,952		–		0.0
Food Products
B&G Foods, Inc.		28,297		454,450		–		0.0
General Mills, Inc.		9,869		515,359		–		0.0
Hershey Co. (The)		3,293		510,975		–		0.0
Hostess Brands, Inc.*		41,646		558,889		–		0.0
Ingredion, Inc.		965		84,920		–		0.0
Mondelez International, Inc.		9,483		544,135		–		0.0
TreeHouse Foods, Inc.*		9,682		431,817		–		0.0
Tyson Foods, Inc.		5,931		490,078		–		0.0
		109,166		3,590,623		–		0.0
Health Care Equipment & Supplies
Abbott Laboratories		6,884		599,872		–		0.0
Baxter International, Inc.		5,897		526,130		–		0.0
DENTSPLY SIRONA, Inc.		10,446		584,976		–		0.0
Hill-Rom Holdings, Inc.		5,160		549,488		–		0.0
Hologic, Inc.*		10,499		561,907		–		0.0
Integer Holdings Corp.*		7,835		669,109		–		0.0
Medtronic plc		4,764		549,956		–		0.0
		51,485		4,041,438		–		0.0
Health Care Providers & Services
Ensign Group, Inc. (The)		12,509		565,407		–		0.0
Premier, Inc.*		14,199		493,699		–		0.0
Quest Diagnostics, Inc.		5,144		569,286		–		0.0
UnitedHealth Group, Inc.		550		149,848		–		0.0
Universal Health Services, Inc.		4,073		558,449		–		0.0
US Physical Therapy, Inc.		3,813		446,655		–		0.0
		40,288		2,783,344		–		0.0
Health Care Technology
Cerner Corp.		7,277		522,707		–		0.0
Household Durables
Garmin Ltd.		5,372		520,815		–		0.0
La-Z-Boy, Inc.		14,578		446,670		–		0.0
Meritage Homes Corp.*		7,827		555,404		–		0.0
TRI Pointe Group, Inc.*		37,048		602,401		–		0.0
Whirlpool Corp.		3,478		508,379		–		0.0
		68,303		2,633,669		–		0.0
Household Products
Church & Dwight Co., Inc.		6,983		518,278		–		0.0
Kimberly-Clark Corp.		3,849		551,331		–		0.0
Procter & Gamble Co. (The)		4,649		579,359		–		0.0
		15,481		1,648,968		–		0.0
Independent Power and Renewable Electricity Producers
Atlantica Yield plc		21,218		609,487		–		0.0
Insurance
MetLife, Inc.		10,623		528,069		–		0.0
Interactive Media & Services
Facebook, Inc.*		2,724		550,003		–		0.0
IT Services
Accenture plc		2,751		564,533		–		0.0
Automatic Data Processing, Inc.		3,060		524,453		–		0.0
CSG Systems International, Inc.		10,726		534,369		–		0.0
Euronet Worldwide, Inc.*		4,049		638,284		–		0.0
EVERTEC, Inc.		16,030		538,127		–		0.0
ManTech International Corp.		6,591		529,125		–		0.0
MAXIMUS, Inc.		6,530		468,528		–		0.0
PayPal Holdings, Inc.*		4,940		562,617		–		0.0
Perficient, Inc.*		11,507		571,898		–		0.0
		66,184		4,931,934		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Life Sciences Tools & Services
Charles River Laboratories International, Inc.*		3,741		578,284		–		0.0
Medpace Holdings, Inc.*		6,340		542,387		–		0.0
Thermo Fisher Scientific, Inc.		1,949		610,407		–		0.0
		12,030		1,731,078		–		0.0
Machinery
AGCO Corp.		6,868		481,721		–		0.0
Federal Signal Corp.		16,217		521,539		–		0.0
ITT, Inc.		8,143		546,232		–		0.0
Oshkosh Corp.		5,108		439,492		–		0.0
Parker-Hannifin Corp.		2,366		463,003		–		0.0
Snap-on, Inc.		2,812		448,880		–		0.0
Watts Water Technologies, Inc.		5,749		573,233		–		0.0
		47,263		3,474,100		–		0.0
Media
Cable One, Inc.		358		610,043		–		0.0
Comcast Corp.		11,078		478,459		–		0.0
Liberty Global plc*		25,086		488,675		–		0.0
Nexstar Media Group, Inc.		5,126		621,015		–		0.0
Omnicom Group, Inc.		372		28,015		–		0.0
Sinclair Broadcast Group, Inc.		4,062		121,535		–		0.0
TEGNA, Inc.		34,183		577,693		–		0.0
		80,265		2,925,435		–		0.0
Metals & Mining
Royal Gold, Inc.		4,118		474,888		–		0.0
Schnitzer Steel Industries, Inc.		942		15,147		–		0.0
Steel Dynamics, Inc.		3,675		109,809		–		0.0
		8,735		599,844		–		0.0
Multiline Retail
Kohl’s Corp.		9,238		394,925		–		0.0
Nordstrom, Inc.		13,472		496,578		–		0.0
		22,710		891,503		–		0.0
Multi-Utilities
CenterPoint Energy, Inc.		17,868		473,144		–		0.0
NorthWestern Corp.		7,044		542,177		–		0.0
		24,912		1,015,321		–		0.0
Oil, Gas & Consumable Fuels
Chevron Corp.		4,509		483,094		–		0.0
ConocoPhillips		7,371		438,059		–		0.0
CVR Energy, Inc.		11,061		382,821		–		0.0
Delek US Holdings, Inc.		14,253		391,387		–		0.0
Devon Energy Corp.		18,554		402,993		–		0.0
Exxon Mobil Corp.		7,428		461,427		–		0.0
HollyFrontier Corp.		232		10,421		–		0.0
Marathon Oil Corp.		23,713		269,617		–		0.0
Renewable Energy Group, Inc.*		16,806		441,662		–		0.0
Valero Energy Corp.		5,192		437,738		–		0.0
		109,119		3,719,219		–		0.0
Paper & Forest Products
Domtar Corp.		13,144		457,674		–		0.0
Personal Products
Estee Lauder Cos., Inc. (The)		2,856		557,377		–		0.0
Medifast, Inc.		4,855		469,139		–		0.0
		7,711		1,026,516		–		0.0
Pharmaceuticals
Eli Lilly & Co.		4,523		631,592		–		0.0
Jazz Pharmaceuticals plc*		1,666		238,821		–		0.0
Johnson & Johnson		462		68,778		–		0.0
Merck & Co., Inc.		6,161		526,396		–		0.0
Pfizer, Inc.		2,302		85,726		–		0.0
		15,114		1,551,313		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Professional Services
Korn Ferry		7,830			320,874			–		0.0
ManpowerGroup, Inc.		5,680			519,663			–		0.0
Robert Half International, Inc.		4,429			257,635			–		0.0
		17,939			1,098,172			–		0.0
Road & Rail
ArcBest Corp.		15,140			337,773			–		0.0
CSX Corp.		6,365			485,904			–		0.0
Schneider National, Inc.		22,524			501,610			–		0.0
		44,029			1,325,287			–		0.0
Semiconductors & Semiconductor Equipment
Cirrus Logic, Inc.*		7,430			570,698			–		0.0
Intel Corp.		556			35,545			–		0.0
Kulicke & Soffa Industries, Inc.		23,205			600,778			–		0.0
Mellanox Technologies Ltd.*		6,133			741,480			–		0.0
MKS Instruments, Inc.		2,908			304,817			–		0.0
Qorvo, Inc.*		5,097			539,568			–		0.0
Rambus, Inc.*		37,945			602,187			–		0.0
SolarEdge Technologies, Inc.*		5,248			513,569			–		0.0
		88,522			3,908,642			–		0.0
Software
Cadence Design Systems, Inc.*		7,630			550,199			–		0.0
Check Point Software Technologies Ltd.*		4,926			563,091			–		0.0
Citrix Systems, Inc.		4,690			568,522			–		0.0
CyberArk Software Ltd.*		4,594			635,029			–		0.0
Intuit, Inc.		1,864			522,628			–		0.0
LogMeIn, Inc.		7,726			664,204			–		0.0
Microsoft Corp.		3,843			654,194			–		0.0
Oracle Corp.		3,193			167,473			–		0.0
		38,466			4,325,340			–		0.0
Specialty Retail
Abercrombie & Fitch Co.		29,763			486,923			–		0.0
American Eagle Outfitters, Inc.		13,813			198,907			–		0.0
Best Buy Co., Inc.		3,748			317,418			–		0.0
Foot Locker, Inc.		11,332			430,276			–		0.0
Genesco, Inc.*		11,318			445,024			–		0.0
Office Depot, Inc.		204,604			454,221			–		0.0
Rent-A-Center, Inc.		19,063			555,305			–		0.0
Signet Jewelers Ltd.		31,916			775,878			–		0.0
Williams-Sonoma, Inc.		2,694			188,795			–		0.0
		328,251			3,852,747			–		0.0
Technology Hardware, Storage & Peripherals
Apple, Inc.		899			278,250			–		0.0
Seagate Technology plc		9,387			534,965			–		0.0
		10,286			813,215			–		0.0
Textiles, Apparel & Luxury Goods
Deckers Outdoor Corp.*		3,177			606,521			–		0.0
Ralph Lauren Corp.		964			109,414			–		0.0
Steven Madden Ltd.		14,209			547,899			–		0.0
		18,350			1,263,834			–		0.0
Thrifts & Mortgage Finance
Radian Group, Inc.		22,113			541,547			–		0.0
Trading Companies & Distributors
BMC Stock Holdings, Inc.*		16,785			489,870			–		0.0
Total Long Positions of Total Return Basket Swap		1,935,532			78,224,262			–		0.0
Short Positions
Common Stocks
Aerospace & Defense
Cubic Corp.		(2,537	)		(165,641	)		–		0.0
Auto Components
Cooper-Standard Holdings, Inc.*		(10,564	)		(280,157	)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Beverages
MGP Ingredients, Inc.		(6,437	)		(219,244	)		–		0.0
National Beverage Corp.*		(9,280	)		(398,205	)		–		0.0
		(15,717	)		(617,449	)		–		0.0
Chemicals
DuPont de Nemours, Inc.		(6,818	)		(348,945	)		–		0.0
RPM International, Inc.		(5,846	)		(417,229	)		–		0.0
Sensient Technologies Corp.		(5,533	)		(330,597	)		–		0.0
		(18,197	)		(1,096,771	)		–		0.0
Communications Equipment
Infinera Corp.*		(22,405	)		(165,125	)		–		0.0
NETGEAR, Inc.*		(14,782	)		(380,193	)		–		0.0
ViaSat, Inc.*		(4,332	)		(275,732	)		–		0.0
		(41,519	)		(821,050	)		–		0.0
Construction & Engineering
Dycom Industries, Inc.*		(5,804	)		(234,598	)		–		0.0
Granite Construction, Inc.		(8,609	)		(233,562	)		–		0.0
		(14,413	)		(468,160	)		–		0.0
Construction Materials
Martin Marietta Materials, Inc.		(266	)		(70,171	)		–		0.0
Diversified Telecommunication Services
ORBCOMM, Inc.*		(51,641	)		(185,391	)		–		0.0
Electronic Equipment, Instruments & Components
nLight, Inc.*		(22,834	)		(401,193	)		–		0.0
Rogers Corp.*		(2,541	)		(299,203	)		–		0.0
		(25,375	)		(700,396	)		–		0.0
Energy Equipment & Services
Core Laboratories NV		(6,345	)		(222,900	)		–		0.0
Diamond Offshore Drilling, Inc.*		(52,349	)		(242,376	)		–		0.0
Oceaneering International, Inc.*		(19,420	)		(241,002	)		–		0.0
Oil States International, Inc.*		(22,423	)		(241,720	)		–		0.0
		(100,537	)		(947,998	)		–		0.0
Entertainment
Netflix, Inc.*		(719	)		(248,120	)		–		0.0
Food Products
Hain Celestial Group, Inc. (The)*		(2,164	)		(52,390	)		–		0.0
Kraft Heinz Co. (The)		(4,423	)		(129,152	)		–		0.0
		(6,587	)		(181,542	)		–		0.0
Health Care Equipment & Supplies
Cerus Corp.*		(40,145	)		(160,981	)		–		0.0
Penumbra, Inc.*		(2,854	)		(500,763	)		–		0.0
ViewRay, Inc.*		(30,868	)		(96,308	)		–		0.0
		(73,867	)		(758,052	)		–		0.0
Health Care Providers & Services
Guardant Health, Inc.*		(4,730	)		(359,669	)		–		0.0
PetIQ, Inc.*		(4,311	)		(128,252	)		–		0.0
		(9,041	)		(487,921	)		–		0.0
Health Care Technology
Evolent Health, Inc.*		(8,088	)		(81,527	)		–		0.0
Tabula Rasa HealthCare, Inc.*		(7,822	)		(454,223	)		–		0.0
Teladoc Health, Inc.*		(5,305	)		(539,572	)		–		0.0
		(21,215	)		(1,075,322	)		–		0.0
Hotels, Restaurants & Leisure
Red Rock Resorts, Inc.		(15,580	)		(381,866	)		–		0.0
Household Durables
iRobot Corp.*		(2,916	)		(137,198	)		–		0.0
Insurance
Markel Corp.*		(319	)		(374,177	)		–		0.0
Interactive Media & Services
Snap, Inc.*		(13,068	)		(240,190	)		–		0.0
TrueCar, Inc.*		(19,274	)		(71,314	)		–		0.0
		(32,342	)		(311,504	)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Internet & Direct Marketing Retail
Wayfair, Inc.*		(1,888	)		(176,906	)		–		0.0
IT Services
MongoDB, Inc.*		(2,586	)		(423,871	)		–		0.0
Life Sciences Tools & Services
NanoString Technologies, Inc.*		(17,545	)		(476,698	)		–		0.0
Machinery
Welbilt, Inc.*		(20,970	)		(316,437	)		–		0.0
Media
Liberty Broadband Corp.*		(2,388	)		(317,437	)		–		0.0
Metals & Mining
Alcoa Corp.*		(18,568	)		(259,024	)		–		0.0
Coeur Mining, Inc.*		(57,381	)		(346,007	)		–		0.0
United States Steel Corp.		(25,124	)		(227,875	)		–		0.0
		(101,073	)		(832,906	)		–		0.0
Multi-Utilities
Consolidated Edison, Inc.		(4,539	)		(426,666	)		–		0.0
NiSource, Inc.		(6,137	)		(179,876	)		–		0.0
		(10,676	)		(606,542	)		–		0.0
Oil, Gas & Consumable Fuels
Antero Resources Corp.*		(98,824	)		(182,824	)		–		0.0
Centennial Resource Development, Inc.*		(1,648	)		(5,372	)		–		0.0
Matador Resources Co.*		(8,594	)		(126,074	)		–		0.0
Parsley Energy, Inc.		(9,740	)		(162,074	)		–		0.0
WPX Energy, Inc.*		(2,602	)		(31,094	)		–		0.0
		(121,408	)		(507,438	)		–		0.0
Pharmaceuticals
Aerie Pharmaceuticals, Inc.*		(4,691	)		(96,072	)		–		0.0
Theravance Biopharma, Inc.*		(10,184	)		(283,930	)		–		0.0
WaVe Life Sciences Ltd.*		(6,890	)		(48,919	)		–		0.0
		(21,765	)		(428,921	)		–		0.0
Professional Services
TransUnion		(5,461	)		(500,774	)		–		0.0
TriNet Group, Inc.*		(5,789	)		(330,320	)		–		0.0
		(11,250	)		(831,094	)		–		0.0
Semiconductors & Semiconductor Equipment
Advanced Micro Devices, Inc.*		(9,091	)		(427,277	)		–		0.0
Impinj, Inc.*		(12,201	)		(392,628	)		–		0.0
		(21,292	)		(819,905	)		–		0.0
Software
2U, Inc.*		(13,059	)		(258,699	)		–		0.0
Benefitfocus, Inc.*		(10,228	)		(189,218	)		–		0.0
Coupa Software, Inc.*		(2,931	)		(472,330	)		–		0.0
FireEye, Inc.*		(15,557	)		(248,601	)		–		0.0
LivePerson, Inc.*		(12,017	)		(492,817	)		–		0.0
New Relic, Inc.*		(5,194	)		(342,856	)		–		0.0
Nutanix, Inc.*		(8,104	)		(263,137	)		–		0.0
PROS Holdings, Inc.*		(6,152	)		(369,120	)		–		0.0
Q2 Holdings, Inc.*		(4,318	)		(376,486	)		–		0.0
Varonis Systems, Inc.*		(6,595	)		(551,738	)		–		0.0
		(84,155	)		(3,565,002	)		–		0.0
Specialty Retail
CarMax, Inc.*		(700	)		(67,928	)		–		0.0
Carvana Co.*		(4,764	)		(377,547	)		–		0.0
		(5,464	)		(445,475	)		–		0.0
Technology Hardware, Storage & Peripherals
3D Systems Corp.*		(39,605	)		(431,298	)		–		0.0
Trading Companies & Distributors
SiteOne Landscape Supply, Inc.*		(2,993	)		(288,974	)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Water Utilities
Aqua America, Inc.		(7,470	)		(387,992	)		–		0.0
California Water Service Group		(7,205	)		(378,695	)		–		0.0
		(14,675	)		(766,687	)		–		0.0
Total Short Positions of Total Return Basket Swap		(923,085	)		(20,544,477	)		–		0.0
Total of Long and Short Positions of Total Return Basket Swap		1,012,447			57,679,785			–		0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Bank of America  NA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BA on long positions and short positions respectively, which is denominated in CAD based on the local currencies of the positions within the swaps.	12/31/2020	$(5,921,558)	$—	$—	$—

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Food & Staples Retailing
Empire Co. Ltd.		20,829			483,187			–		0.0
Insurance
iA Financial Corp., Inc.		10,301			566,890			–		0.0
Oil, Gas & Consumable Fuels
Parex Resources, Inc.*		25,832			408,932			–		0.0
Whitecap Resources, Inc.		113,652			413,936			–		0.0
		139,484			822,868			–		0.0
Road & Rail
TFI International, Inc.		17,109			547,891			–		0.0
Total Long Positions of Total Return Basket Swap		187,723			2,420,836			–		0.0
Short Positions
Common Stocks
Aerospace & Defense
Bombardier, Inc.*		(251,349	)		(233,610	)		–		0.0
CAE, Inc.		(17,420	)		(516,650	)		–		0.0
		(268,769	)		(750,260	)		–		0.0
Construction & Engineering
SNC-Lavalin Group, Inc.		(19,754	)		(454,369	)		–		0.0
Diversified Financial Services
Onex Corp.		(8,145	)		(522,526	)		–		0.0
Food Products
Premium Brands Holdings Corp.		(5,687	)		(418,768	)		–		0.0
Saputo, Inc.		(16,349	)		(502,305	)		–		0.0
		(22,036	)		(921,073	)		–		0.0
Metals & Mining
Agnico Eagle Mines Ltd.		(7,685	)		(475,014	)		–		0.0
First Quantum Minerals Ltd.		(46,603	)		(364,823	)		–		0.0
Franco-Nevada Corp.		(3,867	)		(439,559	)		–		0.0
Kinross Gold Corp.*		(101,966	)		(516,996	)		–		0.0
Lundin Mining Corp.		(76,561	)		(401,491	)		–		0.0
Pan American Silver Corp.		(18,814	)		(432,463	)		–		0.0
Yamana Gold, Inc.		(131,312	)		(534,813	)		–		0.0
		(386,808	)		(3,165,159	)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Multi-Utilities
Atco Ltd.		(11,779	)		(459,447	)		–		0.0
Oil, Gas & Consumable Fuels
Keyera Corp.		(17,294	)		(451,233	)		–		0.0
MEG Energy Corp.*		(67,764	)		(346,142	)		–		0.0
Vermilion Energy, Inc.		(24,361	)		(351,591	)		–		0.0
		(109,419	)		(1,148,966	)		–		0.0
Software
BlackBerry Ltd.*		(77,875	)		(474,288	)		–		0.0
Wireless Telecommunication Services
Rogers Communications, Inc.		(8,914	)		(446,306	)		–		0.0
Total Short Positions of Total Return Basket Swap		(913,499	)		(8,342,394	)		–		0.0
Total of Long and Short Positions of Total Return Basket Swap		(725,776	)		(5,921,558	)		–		0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Bank of America NA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month EURIBOR on long positions and short positions respectively, which is denominated in EUR based on the local currencies of the positions within the swaps.	12/31/2020	$(1,106,906)	$(161)	$—	$(161)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Automobiles
Peugeot SA		6,388		131,530		(314	)		(0.0)(a)
Chemicals
Covestro AG(b)		9,231		389,020		(1,546	)		(0.0)(a)
Commercial Services & Supplies
Edenred		10,445		564,047		(1,138	)		(0.0)(a)
Construction & Engineering
Koninklijke BAM Groep NV		148,259		408,219		(1,532	)		(0.0)(a)
Construction Materials
Imerys SA		12,992		560,850		(2,245	)		(0.0)(a)
Diversified Telecommunication Services
Telefonica SA		74,330		502,747		(853	)		(0.0)(a)
Electric Utilities
Enel SpA		31,547		274,974		150			0.0(a)
Iberdrola SA		54,386		595,056		(271	)		(0.0)(a)
		85,933		870,030		(121	)		(0.0)(a)
Food & Staples Retailing
Kesko OYJ		8,040		543,552		(727	)		(0.0)(a)
Food Products
Danone SA		6,970		557,770		(1,887	)		(0.0)(a)
Gas Utilities
Italgas SpA		75,999		505,184		(199	)		(0.0)(a)
Snam SpA		87,632		469,678		(422	)		(0.0)(a)
		163,631		974,862		(621	)		(0.0)(a)
Health Care Equipment & Supplies
Koninklijke Philips NV		439		20,105		(51	)		(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Insurance
ASR Nederland NV		1,516			56,409			(151	)		(0.0)(a)
Unipol Gruppo SpA		98,449			501,265			(1,313	)		(0.0)(a)
		99,965			557,674			(1,464	)		(0.0)(a)
Machinery
Valmet OYJ		20,076			434,279			(1,898	)		(0.0)(a)
Media
ProSiebenSat.1 Media SE		16,459			218,772			–			0.0
Publicis Groupe SA		11,503			509,919			(760	)		(0.0)(a)
		27,962			728,691			(760	)		(0.0)(a)
Oil, Gas & Consumable Fuels
Neste OYJ		586			23,319			–			0.0
Semiconductors & Semiconductor Equipment
Dialog Semiconductor plc*		11,040			484,953			(3,212	)		(0.0)(a)
Siltronic AG		2,653			284,182			(3,223	)		(0.0)(a)
		13,693			769,135			(6,435	)		(0.0)(a)
Software
Software AG		15,616			520,599			(1,566	)		(0.0)(a)
Textiles, Apparel & Luxury Goods
adidas AG		1,659			524,434			(1,414	)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		706,215			9,080,863			(24,572	)		0.0(a)
Short Positions
Common Stocks
Air Freight & Logistics
PostNL NV		(176,856	)		(327,067	)		–			0.0
Banks
Banco BPM SpA*		(189,320	)		(387,089	)		1,347			0.0(a)
Banco de Sabadell SA		(377,103	)		(339,788	)		648			0.0(a)
Bankia SA		(65,574	)		(119,169	)		209			0.0(a)
		(631,997	)		(846,046	)		2,204			0.0(a)
Beverages
Remy Cointreau SA		(3,178	)		(334,686	)		852			0.0(a)
Chemicals
BASF SE		(5,695	)		(384,394	)		1,327			0.0(a)
Umicore SA		(8,563	)		(394,269	)		512			0.0(a)
		(14,258	)		(778,663	)		1,839			0.0(a)
Containers & Packaging
Huhtamaki OYJ		(9,931	)		(441,388	)		1,264			0.0(a)
Diversified Financial Services
Groupe Bruxelles Lambert SA		(4,199	)		(421,973	)		501			0.0(a)
Wendel SA		(2,128	)		(283,908	)		715			0.0(a)
		(6,327	)		(705,881	)		1,216			0.0(a)
Diversified Telecommunication Services
Cellnex Telecom SA(b)		(10,427	)		(518,589	)		869			0.0(a)
Iliad SA		(2,379	)		(312,223	)		(7,390	)		(0.0)(a)
United Internet AG (Registered)		(719	)		(23,244	)		120			0.0(a)
		(13,525	)		(854,056	)		(6,401	)		(0.0)(a)
Energy Equipment & Services
Tenaris SA		(29,171	)		(301,470	)		310			0.0(a)
Food & Staples Retailing
Jeronimo Martins SGPS SA		(643	)		(11,065	)		21			0.0(a)
Gas Utilities
Rubis SCA		(7,422	)		(458,439	)		1,283			0.0(a)
Health Care Providers & Services
Orpea		(306	)		(39,840	)		70			0.0(a)
Hotels, Restaurants & Leisure
Autogrill SpA		(43,796	)		(425,749	)		226			0.0(a)
Flutter Entertainment plc		(2,991	)		(339,288	)		722			0.0(a)
		(46,787	)		(765,037	)		948			0.0(a)
Industrial Conglomerates
Rheinmetall AG		(3,447	)		(368,641	)		1,109			0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Internet & Direct Marketing Retail
Delivery Hero SE*(b)		(5,812	)		(447,196	)		1,560			0.0(a)
Zalando SE*(b)		(8,691	)		(416,125	)		2,487			0.0(a)
		(14,503	)		(863,321	)		4,047			0.0(a)
Life Sciences Tools & Services
Eurofins Scientific SE		(803	)		(431,897	)		918			0.0(a)
Machinery
ANDRITZ AG		(897	)		(35,294	)		82			0.0(a)
Wartsila OYJ Abp		(1,723	)		(21,163	)		–			0.0
		(2,620	)		(56,457	)		82			0.0(a)
Media
RTL Group SA		(9,193	)		(417,710	)		1,325			0.0(a)
Metals & Mining
ArcelorMittal SA		(23,391	)		(343,567	)		2,911			0.0(a)
thyssenkrupp AG		(22,106	)		(271,817	)		1,912			0.0(a)
		(45,497	)		(615,384	)		4,823			0.0(a)
Semiconductors & Semiconductor Equipment
Infineon Technologies AG		(20,958	)		(450,240	)		4,774			0.0(a)
SOITEC*		(1,532	)		(144,004	)		1,181			0.0(a)
		(22,490	)		(594,244	)		5,955			0.0(a)
Textiles, Apparel & Luxury Goods
Puma SE		(5,682	)		(454,974	)		1,264			0.0(a)
Transportation Infrastructure
Aeroports de Paris		(2,030	)		(384,077	)		908			0.0(a)
Getlink SE		(7,790	)		(137,426	)		374			0.0(a)
		(9,820	)		(521,503	)		1,282			0.0(a)
Total Short Positions of Total Return Basket Swap		(1,054,456	)		(10,187,769	)		24,411			0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		(348,241	)		(1,106,906	)		(161	)		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Bank of America   NA	The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month LIBOR on short positions, which is denominated in JPY based on the local currencies of the positions within the swaps.	12/29/2020	$(6,211,413)	$157,908	$—	$	157,908

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Short Positions
Common Stocks
Auto Components
Toyo Tire Corp.		(4,000	)		(50,001	)		1,053		0.0(a)
Building Products
TOTO Ltd.		(1,800	)		(73,142	)		2,028		0.0(a)
Chemicals
JSR Corp.		(5,200	)		(92,617	)		2,691		0.0(a)
Toray Industries, Inc.		(56,400	)		(369,043	)		8,432		0.0(a)
		(61,600	)		(461,660	)		11,123		0.0(a)
Electrical Equipment
Fujikura Ltd.		(3,100	)		(11,362	)		396		0.0(a)
Nidec Corp.		(3,000	)		(377,312	)		11,410		0.0(a)
		(6,100	)		(388,674	)		11,806		0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Electronic Equipment, Instruments & Components
Murata Manufacturing Co. Ltd.		(7,600)		(430,272)		13,572		0.0(a)
TDK Corp.		(4,100)		(434,090)		15,054		0.0(a)
		(11,700)		(864,362)		28,626		0.0(a)
Food & Staples Retailing
Aeon Co. Ltd.		(20,500)		(419,297)		7,050		0.0(a)
Hotels, Restaurants & Leisure
HIS Co. Ltd.		(10,600)		(243,524)		3,488		0.0(a)
Kyoritsu Maintenance Co. Ltd.		(7,000)		(280,118)		4,779		0.0(a)
		(17,600)		(523,642)		8,267		0.0(a)
Household Durables
Panasonic Corp.		(45,900)		(456,155)		10,660		0.0(a)
Sharp Corp.		(10,000)		(135,652)		4,813		0.0(a)
		(55,900)		(591,807)		15,473		0.0(a)
Machinery
FANUC Corp.		(2,200)		(400,686)		11,884		0.0(a)
Komatsu Ltd.		(15,800)		(349,354)		10,376		0.0(a)
Makita Corp.		(11,300)		(432,220)		11,521		0.0(a)
MISUMI Group, Inc.		(2,700)		(66,996)		2,052		0.0(a)
Nabtesco Corp.		(1,600)		(45,848)		1,848		0.0(a)
SMC Corp.		(900)		(388,503)		12,097		0.0(a)
Yaskawa Electric Corp.		(100)		(3,423)		153		0.0(a)
		(34,600)		(1,687,030)		49,931		0.0(a)
Metals & Mining
Hitachi Metals Ltd.		(2,300)		(35,350)		778		0.0(a)
Personal Products
Shiseido Co. Ltd.		(5,400)		(347,655)		5,534		0.0(a)
Pharmaceuticals
Takeda Pharmaceutical Co. Ltd.		(11,300)		(433,959)		6,862		0.0(a)
Semiconductors & Semiconductor Equipment
Rohm Co. Ltd.		(2,500)		(179,839)		5,893		0.0(a)
Technology Hardware, Storage & Peripherals
Seiko Epson Corp.		(10,600)		(154,995)		3,484		0.0(a)
Total Short Positions of Total Return Basket Swap		(245,900)		(6,211,413)		157,908		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Bank of America   NA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBR on long positions and short positions respectively, which is denominated in AUD based on the local currencies of the positions within the swaps.	12/29/2020	$1,087,796	$(6,546)	$—	$	(6,546)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Food & Staples Retailing
Metcash Ltd.		32,805		56,849		(685)		(0.0)(a)
Metals & Mining
Alumina Ltd.		360,827		519,678		(6,874)		(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Oil, Gas & Consumable Fuels
Beach Energy Ltd.		261,375			455,931			(11,224	)		(0.0)(a)
Santos Ltd.		81,242			466,282			(6,310	)		(0.0)(a)
Woodside Petroleum Ltd.		21,492			492,393			(7,258	)		(0.0)(a)
		364,109			1,414,606			(24,792	)		(0.0)(a)
Specialty Retail
JB Hi-Fi Ltd.		22,277			585,842			(5,577	)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		780,018			2,576,975			(37,928	)		0.0(a)
Short Positions
Common Stocks
Chemicals
Nufarm Ltd.*		(85,024	)		(310,118	)		4,622			0.0(a)
Food Products
Costa Group Holdings Ltd.		(86,582	)		(157,581	)		2,383			0.0(a)
Hotels, Restaurants & Leisure
Domino’s Pizza Enterprises Ltd.		(1,115	)		(40,535	)		434			0.0(a)
IT Services
Afterpay Ltd.*		(20,650	)		(515,671	)		17,210			0.0(a)
NEXTDC Ltd.*		(25,324	)		(126,664	)		2,001			0.0(a)
		(45,974	)		(642,335	)		19,211			0.0(a)
Oil, Gas & Consumable Fuels
Oil Search Ltd.		(70,844	)		(338,610	)		4,732			0.0(a)
Total Short Positions of Total Return Basket Swap		(289,539	)		(1,489,179	)		31,382			0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		490,479			1,087,796			(6,546	)		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Bank of America   NA	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, which is denominated in CHF based on the local currencies of the positions within the swaps.	12/30/2020	$2,728,871	$(4,037)	$—	$(4,037)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Diversified Telecommunication Services
Sunrise Communications Group AG*(b)		6,647		548,933		(1,073	)		(0.0)(a)
Electronic Equipment, Instruments & Components
Landis+Gyr Group AG*		6,142		562,880		(1,455	)		(0.0)(a)
Health Care Equipment & Supplies
Sonova Holding AG (Registered)		2,708		679,089		(722	)		(0.0)(a)
Pharmaceuticals
Novartis AG (Registered)		6,442		608,564		(1,192	)		(0.0)(a)
Roche Holding AG		186		61,658		(136	)		(0.0)(a)
		6,628		670,222		(1,328	)		(0.0)(a)
Professional Services
Adecco Group AG (Registered)		7,712		451,832		(2,145	)		(0.0)(a)
Real Estate Management & Development
PSP Swiss Property AG (Registered)		4,424		668,940		(723	)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		34,261		3,581,896		(7,446	)		0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Short Positions
Common Stocks
Chemicals
Givaudan SA (Registered)		(146)		(481,723)		295		0.0	(a)
Semiconductors & Semiconductor Equipment
ams AG*		(9,137)		(371,302)		3,114		0.0	(a)
Total Short Positions of Total Return Basket Swap		(9,283)		(853,025)		3,409		0.0	(a)
Total of Long and Short Positions of Total Return Basket Swap		24,978		2,728,871		(4,037)		0.0	(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Bank of America   NA	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, which is denominated in GBP based on the local currencies of the positions within the swaps.	12/31/2020 – 1/29/2021		$634,981		$267		$—		$267

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Capital Markets
Sole Realisation Co. plc*‡		5,123		271		267		0.0	(a)
Hotels, Restaurants & Leisure
EI Group plc*		169,127		634,710		–		0.0
Total Long Positions of Total Return Basket Swap		174,250		634,981		267		0.0	(a)

COUNTERPARTY

DESCRIPTION

TERMINATION DATE

NOTIONAL VALUE(1)

NET UNREALIZED APPRECIATION (DEPRECIATION)(2)

NET CASH AND OTHER RECEIVABLES (PAYABLES)

VALUE

Bank of America   NA

The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month EURIBOR on long positions and short positions respectively, which is denominated in EUR based on the local currencies of the positions within the swaps.

7/31/2020 – 12/31/2020

$

(16,167)

$65,502

$—

$65,502

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Real Estate Management & Development
TLG Immobilien AG*		65,618		2,197,764		65,496		0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Short Positions
Common Stocks
Real Estate Management & Development
Aroundtown SA		(233,862)		(2,213,931)		6		0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		(168,244)		(16,167)		65,502		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one day LIBOR on long positions, plus or minus a specified spread of 0.18%, which is denominated in JPY based on the local currencies of the positions within the swaps.	10/30/2020		$5,429,661		$(70,499	)		$—		$(70,499)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Chemicals
Hitachi Chemical Co. Ltd.		129,700		5,429,661		(70,499	)		(0.0)(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.15)% to 0.18%), which is denominated in USD based on the local currencies of the positions within the swaps.	1/18/2021		$9,817,768		$306,541		$—		$306,541

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Diversified Telecommunication Services
Cincinnati Bell, Inc.*		120,965		1,658,430		264,913		0.1
Oil, Gas & Consumable Fuels
Tallgrass Energy LP		174,578		3,894,835		6,983		0.0(a)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Software
LogMeIn, Inc.		55,098			4,736,775			(20,937	)		(0.0)(a)
TiVo Corp.*		223,386			1,626,250			(276,999	)		(0.1)
		278,484			6,363,025			(297,936	)		(0.1)
Total Long Positions of Total Return Basket Swap		574,027			11,916,290			(26,040	)		0.0(a)
Short Positions
Common Stocks
Semiconductors & Semiconductor Equipment
Xperi Corp.		(130,424	)		(2,098,522	)		332,581			0.1
Total of Long and Short Positions of Total Return Basket Swap		443,603			9,817,768			306,541			0.1

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)			NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (5.70)% to 0.18%), which is denominated in USD based on the local currencies of the positions within the swaps.	2/8/2021		$8,431,124		$(464,229	)		$—		$(464,229)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Automobiles
Winnebago Industries, Inc.		10,348		566,656		(2,484	)		(0.0)(a)
Building Products
Builders FirstSource, Inc.*		21,303		528,208		(49,742	)		(0.0)(a)
Capital Markets
Artisan Partners Asset Management, Inc.		16,542		552,503		(15,384	)		(0.0)(a)
Chemicals
LyondellBasell Industries NV		5,869		456,960		(67,670	)		(0.0)(a)
Trinseo SA		15,016		431,260		(80,485	)		(0.1)
		20,885		888,220		(148,155	)		(0.1)
Commercial Services & Supplies
Herman Miller, Inc.		3,032		117,187		(7,080	)		(0.0)(a)
Construction & Engineering
MasTec, Inc.*		1,810		104,527		(10,081	)		(0.0)(a)
Diversified Financial Services
Equitable Holdings, Inc.		22,047		529,569		(35,275	)		(0.0)(a)
Electronic Equipment, Instruments & Components
Jabil, Inc.		12,962		504,092		(50,811	)		(0.0)(a)
Food & Staples Retailing
Walmart, Inc.		4,557		521,731		(5,013	)		(0.0)(a)
Food Products
John B Sanfilippo & Son, Inc.		6,004		506,137		(36,144	)		(0.0)(a)
Hotels, Restaurants & Leisure
Darden Restaurants, Inc.		4,781		556,652		8,988			0.0(a)
Wyndham Destinations, Inc.		10,443		506,799		(35,088	)		(0.0)(a)
		15,224		1,063,451		(26,100	)		(0.0)(a)
Household Durables
KB Home		15,390		577,895		(4,464	)		(0.0)(a)
Metals & Mining
Reliance Steel & Aluminum Co.		4,522		519,126		(9,722	)		(0.0)(a)
Oil, Gas & Consumable Fuels
PBF Energy, Inc.		16,070		438,711		(42,103	)		(0.0)(a)
Pharmaceuticals
Prestige Consumer Healthcare, Inc.*		13,355		541,679		(15,759	)		(0.0)(a)
Road & Rail
ArcBest Corp.		4,348		97,004		(21,870	)		(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Semiconductors & Semiconductor Equipment
Applied Materials, Inc.		8,778			509,036			(45,734	)		(0.0)(a)
Skyworks Solutions, Inc.		4,528			512,343			(48,223	)		(0.0)(a)
		13,306			1,021,379			(93,957	)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		201,705			9,078,075			(574,144	)		(0.1)
Short Positions
Common Stocks
Food Products
Beyond Meat, Inc.*		(5,859	)		(646,951	)		109,915			0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		195,846			8,431,124			(464,229	)		(0.1)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one day LIBOR on long positions, plus or minus a specified spread of 0.18%, which is denominated in JPY based on the local currencies of the positions within the swaps.		10/30/2020	$3,121,498	$(227,794)	$—	$(227,794)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Construction & Engineering
Kyudenko Corp.		4,400		126,986		(6,402	)	(0.0)(a)
Food & Staples Retailing
Sundrug Co. Ltd.		14,800		501,544		(41,881	)	(0.0)(a)
Health Care Providers & Services
Suzuken Co. Ltd.		4,000		153,360		(9,751	)	(0.0)(a)
Hotels, Restaurants & Leisure
Round One Corp.		14,000		130,419		(8,563	)	(0.0)(a)
Household Durables
Sony Corp.		7,800		545,430		(29,681	)	(0.0)(a)
Machinery
JTEKT Corp.		10,500		111,342		(15,028	)	(0.0)(a)
Real Estate Management & Development
Nomura Real Estate Holdings, Inc.*		22,100		544,235		(24,170	)	(0.0)(a)
Semiconductors & Semiconductor Equipment
Optorun Co. Ltd.		19,500		510,328		(62,907	)	(0.1)
Specialty Retail
K’s Holdings Corp.*		41,000		497,854		(29,411	)	(0.0)(a)
Total Long Positions of Total Return Basket Swap		138,100		3,121,498		(227,794	)	(0.1)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one day LIBOR on long positions, plus or minus a specified spread of 0.18%, which is denominated in GBP based on the local currencies of the positions within the swaps.		11/12/2020	$274,424	$(19,675)	$—	$(19,675)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Oil, Gas & Consumable Fuels
Tullow Oil plc		413,699		274,424		(19,675	)	(0.0)(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one day EURIBOR on short positions, plus or minus a specified spread of (0.15)%, which is denominated in EUR based on the local currencies of the positions within the swaps.		11/12/2020	$(1,290,796)	$92,366	$—	$92,366

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Short Positions
Common Stocks
Machinery
Konecranes OYJ		(14,217	)		(428,542	)		31,808	0.0(a)
Media
Lagardere SCA		(20,707	)		(393,052	)		50,654	0.0(a)
Oil, Gas & Consumable Fuels
Koninklijke Vopak NV		(7,180	)		(384,462	)		7,893	0.0(a)
Wireless Telecommunication Services
1&1 Drillisch AG		(3,448	)		(84,740	)		2,011	0.0(a)
Total Short Positions of Total Return Basket Swap		(45,552	)		(1,290,796	)		92,366	0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one day BBSW on long positions, plus or minus a specified spread of 0.18%, which is denominated in AUD based on the local currencies of the positions within the swaps.		10/30/2020		$491,755	$(56,653)	$—		$(56,653)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Metals & Mining
Independence Group NL*		121,760		491,755		(56,653	)	(0.0)(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Barclays Bank plc	The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one day LIBOR on short positions, plus or minus a specified spread of (0.15)%, which is denominated in CHF based on the local currencies of the positions within the swaps.		11/12/2020		$	(416,129)	$48,980	$—		$48,980

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Short Positions
Common Stocks
Textiles, Apparel & Luxury Goods
Cie Financiere Richemont SA (Registered)		(5,730	)		(416,129	)		48,980	0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.23%), which is denominated in JPY based on the local currencies of the positions within the swaps.	3/10/2021 – 9/2/2022		$8,373,604	$(77,359)	$—		$(77,359)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Auto Components
Keihin Corp.		38,900		909,306		(17,286	)	(0.0)(a)
Nissin Kogyo Co. Ltd.*		45,300		915,770		(18,617	)	(0.0)(a)
Showa Corp.		44,400		916,290		(19,612	)	(0.0)(a)
		128,600		2,741,366		(55,515	)	(0.0)(a)
Interactive Media & Services
LINE Corp.*		114,300		5,632,238		(21,844	)	(0.0)(a)
Total Long Positions of Total Return Basket Swap		242,900		8,373,604		(77,359	)	0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in USD based on the local currencies of the positions within the swaps.		3/12/2021		$61,986,658	$—	$—		$–

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Auto Components
Delphi Technologies plc*		244,111		3,744,663		–	0.0
Banks
Carolina Financial Corp.		11,699		448,656		–	0.0
Franklin Financial Network, Inc.*		7,709		284,231		–	0.0
		19,408		732,887		–	0.0
Biotechnology
Ironwood Pharmaceuticals, Inc.*		24,200		292,336		–	0.0
Building Products
Apogee Enterprises, Inc.		8,100		257,742		–	0.0
Continental Building Products, Inc.*		86,115		3,185,394		–	0.0
		94,215		3,443,136		–	0.0
Capital Markets
TD Ameritrade Holding Corp.		105,373		5,003,110		–	0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Commercial Services & Supplies
Advanced Disposal Services, Inc.*		125,785			4,144,616			–	0.0
Construction & Engineering
AECOM*		33,200			1,601,236			–	0.0
Construction Materials
Eagle Materials, Inc.		13,400			1,221,678			–	0.0
Diversified Consumer Services
Regis Corp.*		46,255			717,878			–	0.0
Electronic Equipment, Instruments & Components
Anixter International, Inc.*		5,618			548,317			–	0.0
AVX Corp.		67,135			1,360,826			–	0.0
Fitbit, Inc.*		618,279			4,031,179			–	0.0
KEMET Corp.		157,237			4,094,452			–	0.0
Tech Data Corp.*		36,168			5,206,022			–	0.0
		884,437			15,240,796			–	0.0
Health Care Equipment & Supplies
Wright Medical Group NV*		187,165			5,641,153			–	0.0
Health Care Providers & Services
Centene Corp.*		750			47,107			–	0.0
Hotels, Restaurants & Leisure
Caesars Entertainment Corp.*		490,004			6,698,355			–	0.0
Hilton Grand Vacations, Inc.*		21,410			683,193			–	0.0
		511,414			7,381,548			–	0.0
Household Durables
William Lyon Homes*		87,737			2,034,621			–	0.0
Independent Power and Renewable Electricity Producers
Pattern Energy Group, Inc.		199,243			5,361,629			–	0.0
Leisure Products
Callaway Golf Co.		14,700			314,874			–	0.0
Life Sciences Tools & Services
Waters Corp.*		3,220			720,604			–	0.0
Machinery
WABCO Holdings, Inc.*		48,270			6,547,825			–	0.0
Oil, Gas & Consumable Fuels
Devon Energy Corp.		28,497			618,955			–	0.0
Marathon Petroleum Corp.		16,700			910,150			–	0.0
		45,197			1,529,105			–	0.0
Pharmaceuticals
Allergan plc		34,208			6,384,581			–	0.0
Semiconductors & Semiconductor Equipment
SunPower Corp.*		100,777			858,620			–	0.0
Specialty Retail
Asbury Automotive Group, Inc.*		4,900			472,605			–	0.0
Technology Hardware, Storage & Peripherals
HP, Inc.		136,409			2,908,240			–	0.0
Trading Companies & Distributors
Aircastle Ltd.		73,070			2,344,816			–	0.0
Total Long Positions of Total Return Basket Swap		3,037,444			78,689,664			–	0.0
Short Positions
Common Stocks
Auto Components
BorgWarner, Inc.		(109,572	)		(3,757,224	)		–	0.0
Banks
FB Financial Corp.*		(6,860	)		(244,559	)		–	0.0
United Bankshares, Inc.		(13,087	)		(448,884	)		–	0.0
		(19,947	)		(693,443	)		–	0.0
Biotechnology
AbbVie, Inc.		(29,328	)		(2,376,154	)		–	0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Capital Markets
Charles Schwab Corp. (The)		(103,154	)		(4,698,665	)		–	0.0
Hotels, Restaurants & Leisure
Eldorado Resorts, Inc.*		(43,610	)		(2,607,006	)		–	0.0
Household Durables
Taylor Morrison Home Corp.*		(69,487	)		(1,798,323	)		–	0.0
Semiconductors & Semiconductor Equipment
Xperi Corp.		(7,092	)		(114,110	)		–	0.0
Technology Hardware, Storage & Peripherals
Xerox Holdings Corp.		(18,501	)		(658,081	)		–	0.0
Total Short Positions of Total Return Basket Swap		(400,691	)		(16,703,006	)		–	0.0
Total of Long and Short Positions of Total Return Basket Swap		2,636,753			61,986,658			–	0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month LIBOR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in EUR based on the local currencies of the positions within the swaps.	3/12/2021		$3,351,014	$(12,658)	$—		$(12,658)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
IT Services
Altran Technologies SA		207,026		3,351,014		(12,658	)	(0.0)(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBSW on long positions, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in AUD based on the local currencies of the positions within the swaps.	3/12/2021		$1,351,342	$(12,443)	$—		$(12,443	)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Oil, Gas & Consumable Fuels
Caltex Australia Ltd.		59,259		1,351,342		(12,443	)	(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in CAD based on the local currencies of the positions within the swaps.	3/12/2021	$871,648	$–	$—		$–

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Metals & Mining
Detour Gold Corp.*		311,698			5,582,018			–	0.0
Multiline Retail
Hudson’s Bay Co.		95,091			785,359			–	0.0
Total Long Positions of Total Return Basket Swap		406,789			6,367,377			–	0.0
Short Positions
Common Stocks
Metals & Mining
Kirkland Lake Gold Ltd.		(134,016	)		(5,495,729	)		–	0.0
Total of Long and Short Positions of Total Return Basket Swap		272,773			871,648			–	0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in EUR based on the local currencies of the positions within the swaps.	3/12/2021	$8,553,265	$(22,108)	$—	$	(22,108)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Air Freight & Logistics
Deutsche Post AG		12,992		453,290		(1,668	)	(0.0)(a)
Auto Components
Faurecia SE		10,350		493,142		(2,392	)	(0.0)(a)
Automobiles
Peugeot SA		14,627		301,174		(719	)	(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Chemicals
Air Liquide SA		3,829		553,634		(1,603	)		(0.0)(a)
Covestro AG(b)		2,048		86,308		(343	)		(0.0)(a)
Koninklijke DSM NV		4,228		514,571		(2,633	)		(0.0)(a)
		10,105		1,154,513		(4,579	)		(0.0)(a)
Commercial Services & Supplies
SPIE SA		22,796		441,594		(1,850	)		(0.0)(a)
Construction & Engineering
Eiffage SA		5,021		582,003		(1,301	)		(0.0)(a)
Koninklijke BAM Groep NV		16,592		45,685		(172	)		(0.0)(a)
Vinci SA		4,823		534,336		(1,628	)		(0.0)(a)
		26,436		1,162,024		(3,101	)		(0.0)(a)
Construction Materials
Buzzi Unicem SpA		21,353		498,666		(1,014	)		(0.0)(a)
HeidelbergCement AG		6,933		467,570		(3,615	)		(0.0)(a)
		28,286		966,236		(4,629	)		(0.0)(a)
Electric Utilities
EDP - Energias de Portugal SA		138,446		694,298		(333	)		(0.0)(a)
Enel SpA		41,381		360,690		196			0.0(a)
		179,827		1,054,988		(137	)		(0.0)(a)
Electrical Equipment
Signify NV(b)		17,785		592,718		(1,383	)		(0.0)(a)
Energy Equipment & Services
SBM Offshore NV		28,544		491,059		(728	)		(0.0)(a)
Entertainment
Bollore SA		120,348		489,009		(1,367	)		(0.0)(a)
Food & Staples Retailing
METRO AG		32,434		451,286		(1,767	)		(0.0)(a)
Gas Utilities
Enagas SA		20,528		553,103		(580	)		(0.0)(a)
Snam SpA		31,036		166,343		(149	)		(0.0)(a)
		51,564		719,446		(729	)		(0.0)(a)
Health Care Equipment & Supplies
Koninklijke Philips NV		11,484		525,938		(1,346	)		(0.0)(a)
Independent Power and Renewable Electricity Producers
Uniper SE		16,191		530,428		(1,268	)		(0.0)(a)
Insurance
Ageas		9,760		538,182		(545	)		(0.0)(a)
ASR Nederland NV		13,410		498,974		(1,332	)		(0.0)(a)
UnipolSai Assicurazioni SpA		189,768		508,117		(1,202	)		(0.0)(a)
		212,938		1,545,273		(3,079	)		(0.0)(a)
Machinery
Alstom SA		11,024		584,275		(1,847	)		(0.0)(a)
Kone OYJ		7,473		482,855		–			0.0
		18,497		1,067,130		(1,847	)		(0.0)(a)
Media
ProSiebenSat.1 Media SE		17,946		238,538		–			0.0
Multi-Utilities
A2A SpA		292,670		584,654		(411	)		(0.0)(a)
Engie SA		33,565		577,765		(1,460	)		(0.0)(a)
Hera SpA		131,197		596,737		(121	)		(0.0)(a)
RWE AG		20,545		712,238		(1,858	)		(0.0)(a)
		477,977		2,471,394		(3,850	)		(0.0)(a)
Oil, Gas & Consumable Fuels
Eni SpA		33,528		469,647		(1,031	)		(0.0)(a)
Neste OYJ		14,740		586,544		–			0.0
OMV AG		10,240		508,868		(2,069	)		(0.0)(a)
Repsol SA		32,046		441,042		(1,972	)		(0.0)(a)
		90,554		2,006,101		(5,072	)		(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Pharmaceuticals
Ipsen SA		6,208			460,696			(598	)		(0.0)(a)
Merck KGaA		4,835			619,990			(1,496	)		(0.0)(a)
UCB SA		6,479			596,212			(762	)		(0.0)(a)
		17,522			1,676,898			(2,856	)		(0.0)(a)
Professional Services
Randstad NV		8,252			473,962			(1,569	)		(0.0)(a)
Semiconductors & Semiconductor Equipment
Siltronic AG		3,087			330,671			(3,750	)		(0.0)(a)
Thrifts & Mortgage Finance
Deutsche Pfandbriefbank AG(b)		35,691			574,859			(2,263	)		(0.0)(a)
Transportation Infrastructure
Aena SME SA(b)		2,689			497,681			(800	)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		1,468,922			20,709,352			(52,749	)		0.0(a)
Short Positions
Common Stocks
Automobiles
Daimler AG (Registered)		(7,256	)		(336,004	)		412			0.0(a)
Banks
Banco Espirito Santo SA (Registered)*‡		(35,937	)		–			–			0.0
Bankia SA		(148,890	)		(270,582	)		473			0.0(a)
		(184,827	)		(270,582	)		473			0.0(a)
Capital Markets
Deutsche Bank AG (Registered)		(56,445	)		(516,413	)		2,168			0.0(a)
Chemicals
Umicore SA		(1,541	)		(70,953	)		92			0.0(a)
Wacker Chemie AG		(5,722	)		(410,646	)		2,605			0.0(a)
		(7,263	)		(481,599	)		2,697			0.0(a)
Construction & Engineering
Ferrovial SA		(15,841	)		(503,196	)		316			0.0(a)
Diversified Financial Services
Wendel SA		(838	)		(111,802	)		282			0.0(a)
Diversified Telecommunication Services
Iliad SA		(990	)		(129,929	)		(2,855	)		(0.0)(a)
United Internet AG (Registered)		(11,458	)		(370,421	)		1,908			0.0(a)
		(12,448	)		(500,350	)		(947	)		(0.0)(a)
Electric Utilities
Electricite de France SA		(38,472	)		(474,948	)		1,007			0.0(a)
Energy Equipment & Services
Tenaris SA		(9,722	)		(100,473	)		103			0.0(a)
Food & Staples Retailing
Jeronimo Martins SGPS SA		(28,565	)		(491,544	)		922			0.0(a)
Food Products
Kerry Group plc		(3,377	)		(431,829	)		–			0.0
Viscofan SA		(9,078	)		(483,259	)		807			0.0(a)
		(12,455	)		(915,088	)		807			0.0(a)
Health Care Providers & Services
Orpea		(3,118	)		(405,946	)		717			0.0(a)
Hotels, Restaurants & Leisure
Accor SA		(10,015	)		(410,016	)		1,281			0.0(a)
Flutter Entertainment plc		(1,157	)		(131,246	)		279			0.0(a)
		(11,172	)		(541,262	)		1,560			0.0(a)
Insurance
SCOR SE		(10,767	)		(457,629	)		1,269			0.0(a)
Internet & Direct Marketing Retail
Prosus NV*		(6,217	)		(448,455	)		1,303			0.0(a)
Rocket Internet SE*(b)		(16,226	)		(380,064	)		–			0.0
		(22,443	)		(828,519	)		1,303			0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Machinery
ANDRITZ AG		(7,414	)		(291,712	)		680			0.0(a)
Knorr-Bremse AG		(3,864	)		(422,152	)		–			0.0
Wartsila OYJ Abp		(39,888	)		(489,933	)		–			0.0
		(51,166	)		(1,203,797	)		680			0.0(a)
Media
Altice Europe NV*		(71,370	)		(458,707	)		1,646			0.0(a)
Metals & Mining
ArcelorMittal SA		(1,602	)		(23,530	)		199			0.0(a)
Aurubis AG		(8,336	)		(453,551	)		2,322			0.0(a)
Outokumpu OYJ		(124,826	)		(428,791	)		1,752			0.0(a)
thyssenkrupp AG		(6,527	)		(80,257	)		565			0.0(a)
		(141,291	)		(986,129	)		4,838			0.0(a)
Paper & Forest Products
Ence Energia y Celulosa SA		(111,592	)		(451,430	)		1,041			0.0(a)
Professional Services
Teleperformance		(1,657	)		(415,738	)		1,052			0.0(a)
Semiconductors & Semiconductor Equipment
AIXTRON SE*		(39,347	)		(412,991	)		4,710			0.0(a)
SOITEC*		(2,178	)		(204,727	)		1,678			0.0(a)
		(41,525	)		(617,718	)		6,388			0.0(a)
Trading Companies & Distributors
IMCD NV		(4,855	)		(419,223	)		1,033			0.0(a)
Transportation Infrastructure
Getlink SE		(18,190	)		(320,895	)		874			0.0(a)
Wireless Telecommunication Services
1&1 Drillisch AG		(14,123	)		(347,095	)		–			0.0
Total Short Positions of Total Return Basket Swap		(877,401	)		(12,156,087	)		30,641			0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		591,521			8,553,265			(22,108	)		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE		NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in GBP based on the local currencies of the positions within the swaps.		3/12/2021		$(4,319,855)		$7,165		$—		$7,165

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Capital Markets
3i Group plc		18,275		265,842		(697)		(0.0)(a)
Food Products
Tate & Lyle plc		53,128		555,374		(819)		(0.0)(a)
Household Durables
Berkeley Group Holdings plc		2,970		205,507		–		0.0
Metals & Mining
Rio Tinto plc		1,683		89,997		(766)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		76,056		1,116,720		(2,282)		0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Short Positions
Common Stocks
Capital Markets
Hargreaves Lansdown plc		(18,626	)		(422,802	)		1,473		0.0(a)
IG Group Holdings plc		(54,301	)		(475,974	)		–		0.0
		(72,927	)		(898,776	)		1,473		0.0(a)
Diversified Telecommunication Services
BT Group plc		(201,400	)		(427,965	)		–		0.0
Electrical Equipment
Melrose Industries plc		(92,906	)		(284,728	)		1,367		0.0(a)
Food & Staples Retailing
J Sainsbury plc		(174,492	)		(465,415	)		948		0.0(a)
Hotels, Restaurants & Leisure
SSP Group plc		(52,861	)		(448,643	)		888		0.0(a)
Whitbread plc		(6,981	)		(411,522	)		541		0.0(a)
		(59,842	)		(860,165	)		1,429		0.0(a)
Insurance
Hiscox Ltd.		(23,023	)		(398,318	)		859		0.0(a)
Metals & Mining
Fresnillo plc		(20,070	)		(175,314	)		238		0.0(a)
Multiline Retail
B&M European Value Retail SA		(34,826	)		(166,989	)		268		0.0(a)
Paper & Forest Products
Mondi plc		(19,406	)		(394,849	)		1,323		0.0(a)
Professional Services
Capita plc*		(152,991	)		(293,845	)		–		0.0
Water Utilities
Pennon Group plc		(37,166	)		(542,484	)		1,542		0.0(a)
Severn Trent plc		(15,496	)		(527,727	)		–		0.0
		(52,662	)		(1,070,211	)		1,542		0.0(a)
Total Short Positions of Total Return Basket Swap		(904,545	)		(5,436,575	)		9,447		0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		(828,489	)		(4,319,855	)		7,165		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Union Bank of Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in USD based on the local currencies of the positions within the swaps.	3/12/2021	$	(61,823,509	)		$–		$—		$–

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Banks
Popular, Inc.		10,500		587,580		–		0.0
Commercial Services & Supplies
Deluxe Corp.		1,362		65,648		–		0.0
Communications Equipment
Cisco Systems, Inc.		1,808		83,114		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL         VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Consumer Finance
Santander Consumer USA Holdings, Inc.		20,543			546,855			–	0.0
Electrical Equipment
nVent Electric plc		18,525			461,272			–	0.0
Electronic Equipment, Instruments & Components
Zebra Technologies Corp.*		1,892			452,226			–	0.0
Health Care Providers & Services
Chemed Corp.		770			359,621			–	0.0
UnitedHealth Group, Inc.		736			200,523			–	0.0
		1,506			560,144			–	0.0
IT Services
Mastercard, Inc.		1,917			605,657			–	0.0
Oil, Gas & Consumable Fuels
Marathon Oil Corp.		19,748			224,535			–	0.0
Pharmaceuticals
Jazz Pharmaceuticals plc*		2,302			329,992			–	0.0
Johnson & Johnson		2,550			379,618			–	0.0
		4,852			709,610			–	0.0
Professional Services
Korn Ferry		6,378			261,370			–	0.0
Robert Half International, Inc.		3,638			211,623			–	0.0
		10,016			472,993			–	0.0
Semiconductors & Semiconductor Equipment
Intel Corp.		8,401			537,076			–	0.0
Specialty Retail
Williams-Sonoma, Inc.		4,757			333,371			–	0.0
Technology Hardware, Storage & Peripherals
Apple, Inc.		448			138,660			–	0.0
Trading Companies & Distributors
MSC Industrial Direct Co., Inc.		6,212			422,851			–	0.0
Total Long Positions of Total Return Basket Swap		112,487			6,201,592			–	0.0
Short Positions
Common Stocks
Aerospace & Defense
AeroVironment, Inc.*		(6,306	)		(420,043	)		–	0.0
Cubic Corp.		(3,455	)		(225,577	)		–	0.0
Kratos Defense & Security Solutions, Inc.*		(20,363	)		(373,457	)		–	0.0
		(30,124	)		(1,019,077	)		–	0.0
Air Freight & Logistics
Air Transport Services Group, Inc.*		(16,165	)		(338,980	)		–	0.0
Atlas Air Worldwide Holdings, Inc.*		(14,753	)		(329,730	)		–	0.0
FedEx Corp.		(2,383	)		(344,677	)		–	0.0
		(33,301	)		(1,013,387	)		–	0.0
Airlines
American Airlines Group, Inc.		(15,980	)		(428,903	)		–	0.0
Spirit Airlines, Inc.*		(9,991	)		(410,331	)		–	0.0
		(25,971	)		(839,234	)		–	0.0
Auto Components
Autoliv, Inc.		(5,670	)		(434,492	)		–	0.0
Cooper-Standard Holdings, Inc.*		(1,072	)		(28,430	)		–	0.0
Dorman Products, Inc.*		(5,813	)		(405,747	)		–	0.0
Veoneer, Inc.*		(24,490	)		(319,105	)		–	0.0
		(37,045	)		(1,187,774	)		–	0.0
Banks
First Republic Bank		(3,909	)		(433,430	)		–	0.0
Webster Financial Corp.		(8,912	)		(399,792	)		–	0.0
		(12,821	)		(833,222	)		–	0.0
Beverages
Coca-Cola Consolidated, Inc.		(1,586	)		(429,505	)		–	0.0
MGP Ingredients, Inc.		(1,792	)		(61,035	)		–	0.0
		(3,378	)		(490,540	)		–	0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL         VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Capital Markets
Charles Schwab Corp. (The)		(9,896	)		(450,763	)		–		0.0
Interactive Brokers Group, Inc.		(9,768	)		(459,096	)		–		0.0
PJT Partners, Inc.		(10,674	)		(491,218	)		–		0.0
WisdomTree Investments, Inc.		(81,759	)		(344,205	)		–		0.0
		(112,097	)		(1,745,282	)		–		0.0
Chemicals
Albemarle Corp.		(6,156	)		(494,204	)		–		0.0
Element Solutions, Inc.*		(39,828	)		(465,988	)		–		0.0
International Flavors & Fragrances, Inc.		(3,692	)		(484,058	)		–		0.0
Mosaic Co. (The)		(20,727	)		(411,224	)		–		0.0
Orion Engineered Carbons SA		(23,986	)		(376,580	)		–		0.0
RPM International, Inc.		(722	)		(51,529	)		–		0.0
WR Grace & Co.		(6,376	)		(429,487	)		–		0.0
		(101,487	)		(2,713,070	)		–		0.0
Commercial Services & Supplies
Brink’s Co. (The)		(4,676	)		(393,672	)		–		0.0
Stericycle, Inc.*		(6,276	)		(393,380	)		–		0.0
US Ecology, Inc.		(6,425	)		(347,014	)		–		0.0
		(17,377	)		(1,134,066	)		–		0.0
Communications Equipment
Infinera Corp.*		(32,076	)		(236,400	)		–		0.0
ViaSat, Inc.*		(2,434	)		(154,924	)		–		0.0
		(34,510	)		(391,324	)		–		0.0
Construction & Engineering
Dycom Industries, Inc.*		(2,698	)		(109,053	)		–		0.0
Granite Construction, Inc.		(6,509	)		(176,589	)		–		0.0
Tutor Perini Corp.*		(36,335	)		(409,132	)		–		0.0
WillScot Corp.*		(26,381	)		(497,282	)		–		0.0
		(71,923	)		(1,192,056	)		–		0.0
Construction Materials
Martin Marietta Materials, Inc.		(1,496	)		(394,645	)		–		0.0
Summit Materials, Inc.*		(17,462	)		(383,640	)		–		0.0
		(18,958	)		(778,285	)		–		0.0
Consumer Finance
Green Dot Corp.*		(20,704	)		(622,777	)		–		0.0
LendingClub Corp.*		(29,842	)		(349,748	)		–		0.0
		(50,546	)		(972,525	)		–		0.0
Containers & Packaging
AptarGroup, Inc.		(3,231	)		(373,213	)		–		0.0
Graphic Packaging Holding Co.		(28,457	)		(444,783	)		–		0.0
		(31,688	)		(817,996	)		–		0.0
Diversified Consumer Services
Chegg, Inc.*		(11,533	)		(475,506	)		–		0.0
Grand Canyon Education, Inc.*		(4,786	)		(374,648	)		–		0.0
		(16,319	)		(850,154	)		–		0.0
Diversified Telecommunication Services
Iridium Communications, Inc.*		(18,910	)		(483,150	)		–		0.0
Electric Utilities
Eversource Energy		(5,399	)		(499,084	)		–		0.0
Electrical Equipment
GrafTech International Ltd.		(39,344	)		(422,161	)		–		0.0
Sunrun, Inc.*		(29,619	)		(504,412	)		–		0.0
TPI Composites, Inc.*		(25,160	)		(522,070	)		–		0.0
Vicor Corp.*		(10,361	)		(518,568	)		–		0.0
		(104,484	)		(1,967,211	)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Electronic Equipment, Instruments & Components
Flex Ltd.*		(41,973)		(551,945)		–		0.0
II-VI, Inc.*		(12,882)		(433,479)		–		0.0
Itron, Inc.*		(6,094)		(498,185)		–		0.0
nLight, Inc.*		(3,132)		(55,029)		–		0.0
Rogers Corp.*		(663)		(78,068)		–		0.0
Trimble, Inc.*		(10,644)		(452,583)		–		0.0
		(75,388)		(2,069,289)		–		0.0
Energy Equipment & Services
Core Laboratories NV		(3,426)		(120,355)		–		0.0
Forum Energy Technologies, Inc.*		(72,910)		(77,285)		–		0.0
Nabors Industries Ltd.		(127,611)		(264,155)		–		0.0
Oceaneering International, Inc.*		(11,692)		(145,098)		–		0.0
Oil States International, Inc.*		(1,711)		(18,444)		–		0.0
Valaris plc		(53,830)		(275,071)		–		0.0
		(271,180)		(900,408)		–		0.0
Entertainment
Netflix, Inc.*		(746)		(257,437)		–		0.0
Spotify Technology SA*		(2,892)		(408,640)		–		0.0
		(3,638)		(666,077)		–		0.0
Food & Staples Retailing
PriceSmart, Inc.		(5,762)		(352,980)		–		0.0
Food Products
Archer-Daniels-Midland Co.		(9,973)		(446,392)		–		0.0
Cal-Maine Foods, Inc.		(10,152)		(362,325)		–		0.0
Hain Celestial Group, Inc. (The)*		(14,506)		(351,190)		–		0.0
Kraft Heinz Co. (The)		(8,687)		(253,660)		–		0.0
		(43,318)		(1,413,567)		–		0.0
Gas Utilities
South Jersey Industries, Inc.		(14,762)		(454,670)		–		0.0
Southwest Gas Holdings, Inc.		(5,791)		(437,278)		–		0.0
		(20,553)		(891,948)		–		0.0
Health Care Equipment & Supplies
ABIOMED, Inc.*		(2,649)		(493,482)		–		0.0
AtriCure, Inc.*		(15,425)		(600,033)		–		0.0
Avanos Medical, Inc.*		(13,238)		(364,575)		–		0.0
Axogen, Inc.*		(25,221)		(311,732)		–		0.0
Cardiovascular Systems, Inc.*		(9,128)		(414,320)		–		0.0
Cerus Corp.*		(64,273)		(257,735)		–		0.0
CryoLife, Inc.*		(16,125)		(479,557)		–		0.0
Insulet Corp.*		(2,510)		(487,040)		–		0.0
iRhythm Technologies, Inc.*		(5,693)		(487,492)		–		0.0
Merit Medical Systems, Inc.*		(14,317)		(521,425)		–		0.0
Nevro Corp.*		(4,096)		(544,399)		–		0.0
Penumbra, Inc.*		(57)		(10,001)		–		0.0
Tactile Systems Technology, Inc.*		(6,586)		(370,067)		–		0.0
ViewRay, Inc.*		(79,316)		(247,466)		–		0.0
		(258,634)		(5,589,324)		–		0.0
Health Care Providers & Services
Brookdale Senior Living, Inc.*		(49,969)		(329,296)		–		0.0
Guardant Health, Inc.*		(1,074)		(81,667)		–		0.0
PetIQ, Inc.*		(11,774)		(350,276)		–		0.0
		(62,817)		(761,239)		–		0.0
Health Care Technology
Evolent Health, Inc.*		(38,197)		(385,026)		–		0.0
Inspire Medical Systems, Inc.*		(6,741)		(504,227)		–		0.0
Teladoc Health, Inc.*		(495)		(50,346)		–		0.0
Vocera Communications, Inc.*		(19,219)		(423,395)		–		0.0
		(64,652)		(1,362,994)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Hotels, Restaurants & Leisure
International Game Technology plc		(32,417)		(437,305)		–		0.0
Red Rock Resorts, Inc.		(5,941)		(145,614)		–		0.0
Scientific Games Corp.*		(15,207)		(377,742)		–		0.0
Shake Shack, Inc.*		(7,304)		(492,655)		–		0.0
		(60,869)		(1,453,316)		–		0.0
Household Durables
Cavco Industries, Inc.*		(2,315)		(518,606)		–		0.0
iRobot Corp.*		(5,291)		(248,942)		–		0.0
LGI Homes, Inc.*		(6,273)		(500,209)		–		0.0
Mohawk Industries, Inc.*		(3,118)		(410,578)		–		0.0
Tupperware Brands Corp.		(28,923)		(181,058)		–		0.0
		(45,920)		(1,859,393)		–		0.0
Household Products
Energizer Holdings, Inc.		(9,093)		(420,642)		–		0.0
Independent Power and Renewable Electricity Producers
Ormat Technologies, Inc.		(6,191)		(490,699)		–		0.0
Insurance
Markel Corp.*		(104)		(121,989)		–		0.0
Interactive Media & Services
Cargurus, Inc.*		(11,261)		(401,455)		–		0.0
Eventbrite, Inc.*		(20,372)		(430,868)		–		0.0
Pinterest, Inc.*		(24,065)		(530,152)		–		0.0
Snap, Inc.*		(13,816)		(253,938)		–		0.0
TrueCar, Inc.*		(73,354)		(271,410)		–		0.0
Zillow Group, Inc.*		(11,349)		(524,437)		–		0.0
		(154,217)		(2,412,260)		–		0.0
Internet & Direct Marketing Retail
Farfetch Ltd.*		(39,101)		(477,032)		–		0.0
Wayfair, Inc.*		(2,761)		(258,706)		–		0.0
		(41,862)		(735,738)		–		0.0
IT Services
MongoDB, Inc.*		(785)		(128,669)		–		0.0
Twilio, Inc.*		(4,440)		(552,070)		–		0.0
		(5,225)		(680,739)		–		0.0
Life Sciences Tools & Services
NanoString Technologies, Inc.*		(684)		(18,584)		–		0.0
Machinery
Astec Industries, Inc.		(10,032)		(413,720)		–		0.0
Deere & Co.		(2,472)		(392,010)		–		0.0
Enerpac Tool Group Corp.		(17,033)		(393,632)		–		0.0
Evoqua Water Technologies Corp.*		(22,439)		(448,107)		–		0.0
Flowserve Corp.		(7,935)		(370,406)		–		0.0
Lindsay Corp.*		(4,608)		(460,938)		–		0.0
Proto Labs, Inc.*		(4,282)		(443,187)		–		0.0
Welbilt, Inc.*		(7,499)		(113,160)		–		0.0
Westinghouse Air Brake Technologies Corp.		(5,561)		(410,735)		–		0.0
		(81,861)		(3,445,895)		–		0.0
Marine
Kirby Corp.*		(5,330)		(390,636)		–		0.0
Media
Liberty Broadband Corp.*		(1,379)		(183,310)		–		0.0
Liberty Latin America Ltd.*		(26,380)		(444,503)		–		0.0
		(27,759)		(627,813)		–		0.0
Metals & Mining
Century Aluminum Co.*		(60,159)		(318,241)		–		0.0
Constellium SE*		(30,792)		(349,797)		–		0.0
Hecla Mining Co.		(131,892)		(399,633)		–		0.0
United States Steel Corp.		(10,082)		(91,444)		–		0.0
		(232,925)		(1,159,115)		–		0.0
Multiline Retail
Ollie’s Bargain Outlet Holdings, Inc.*		(7,182)		(380,933)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Multi-Utilities
NiSource, Inc.		(7,548)		(221,232)		–		0.0
Public Service Enterprise Group, Inc.		(7,021)		(415,643)		–		0.0
Sempra Energy		(2,899)		(465,695)		–		0.0
		(17,468)		(1,102,570)		–		0.0
Oil, Gas & Consumable Fuels
Antero Resources Corp.*		(58,544)		(108,306)		–		0.0
Apache Corp.		(17,857)		(489,996)		–		0.0
Brigham Minerals, Inc.		(18,981)		(322,867)		–		0.0
Centennial Resource Development, Inc.*		(81,738)		(266,466)		–		0.0
Cheniere Energy, Inc.*		(6,377)		(377,773)		–		0.0
Chesapeake Energy Corp.*		(433,646)		(221,940)		–		0.0
Concho Resources, Inc.		(4,428)		(335,554)		–		0.0
Golar LNG Ltd.		(27,255)		(262,193)		–		0.0
Kosmos Energy Ltd.		(59,642)		(304,771)		–		0.0
Matador Resources Co.*		(12,166)		(178,475)		–		0.0
Noble Energy, Inc.		(16,846)		(333,045)		–		0.0
Oasis Petroleum, Inc.*		(116,111)		(261,250)		–		0.0
Parsley Energy, Inc.		(10,659)		(177,366)		–		0.0
SM Energy Co.		(33,763)		(309,944)		–		0.0
Targa Resources Corp.		(10,389)		(379,199)		–		0.0
WPX Energy, Inc.*		(25,806)		(308,382)		–		0.0
		(934,208)		(4,637,527)		–		0.0
Pharmaceuticals
Aerie Pharmaceuticals, Inc.*		(16,337)		(334,582)		–		0.0
Amneal Pharmaceuticals, Inc.*		(93,610)		(420,309)		–		0.0
Catalent, Inc.*		(7,893)		(482,262)		–		0.0
Intersect ENT, Inc.*		(20,557)		(531,193)		–		0.0
MyoKardia, Inc.*		(6,141)		(417,772)		–		0.0
Reata Pharmaceuticals, Inc.*		(2,033)		(444,800)		–		0.0
Revance Therapeutics, Inc.*		(28,028)		(626,986)		–		0.0
Theravance Biopharma, Inc.*		(8,357)		(232,993)		–		0.0
WaVe Life Sciences Ltd.*		(8,998)		(63,886)		–		0.0
Zogenix, Inc.*		(10,331)		(520,373)		–		0.0
		(202,285)		(4,075,156)		–		0.0
Professional Services
CoStar Group, Inc.*		(691)		(451,216)		–		0.0
TriNet Group, Inc.*		(1,735)		(98,999)		–		0.0
		(2,426)		(550,215)		–		0.0
Road & Rail
AMERCO		(1,008)		(374,240)		–		0.0
Avis Budget Group, Inc.*		(12,621)		(413,969)		–		0.0
		(13,629)		(788,209)		–		0.0
Semiconductors & Semiconductor Equipment
Ambarella, Inc.*		(8,431)		(498,609)		–		0.0
Cohu, Inc.		(21,868)		(489,187)		–		0.0
Cree, Inc.*		(9,418)		(437,843)		–		0.0
Impinj, Inc.*		(4,267)		(137,312)		–		0.0
MACOM Technology Solutions Holdings, Inc.*		(18,271)		(519,262)		–		0.0
Photronics, Inc.*		(28,691)		(366,671)		–		0.0
Silicon Laboratories, Inc.*		(4,549)		(447,212)		–		0.0
		(95,495)		(2,896,096)		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Software
2U, Inc.*		(5,978)		(118,424)		–		0.0
Appian Corp.*		(10,584)		(540,207)		–		0.0
Autodesk, Inc.*		(2,389)		(470,275)		–		0.0
Benefitfocus, Inc.*		(10,602)		(196,137)		–		0.0
Elastic NV*		(5,528)		(358,657)		–		0.0
FireEye, Inc.*		(14,164)		(226,341)		–		0.0
New Relic, Inc.*		(2,554)		(168,589)		–		0.0
Nutanix, Inc.*		(5,512)		(178,975)		–		0.0
Pluralsight, Inc.*		(24,296)		(471,099)		–		0.0
PROS Holdings, Inc.*		(1,786)		(107,160)		–		0.0
Q2 Holdings, Inc.*		(837)		(72,978)		–		0.0
Tenable Holdings, Inc.*		(17,895)		(487,639)		–		0.0
Yext, Inc.*		(30,132)		(450,172)		–		0.0
		(132,257)		(3,846,653)		–		0.0
Specialty Retail
At Home Group, Inc.*		(49,864)		(282,230)		–		0.0
CarMax, Inc.*		(3,878)		(376,321)		–		0.0
Floor & Decor Holdings, Inc.*		(9,584)		(472,587)		–		0.0
National Vision Holdings, Inc.*		(15,971)		(544,931)		–		0.0
		(79,297)		(1,676,069)		–		0.0
Technology Hardware, Storage & Peripherals
3D Systems Corp.*		(6,063)		(66,026)		–		0.0
Pure Storage, Inc.*		(25,018)		(445,320)		–		0.0
		(31,081)		(511,346)		–		0.0
Trading Companies & Distributors
SiteOne Landscape Supply, Inc.*		(1,228)		(118,563)		–		0.0
Water Utilities
Aqua America, Inc.		(2,201)		(114,320)		–		0.0
California Water Service Group		(2,032)		(106,802)		–		0.0
SJW Group		(6,388)		(468,560)		–		0.0
		(10,621)		(689,682)		–		0.0
Total Short Positions of Total Return Basket Swap		(3,731,497)		(68,025,101)		–		0.0
Total of Long and Short Positions of Total Return Basket Swap		(3,619,010)		(61,823,509)		–		0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in CAD based on the local currencies of the positions within the swaps.	3/12/2021	$4,727,854	$—	$—		$–

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Airlines
Air Canada*		14,434		483,496		–		0.0
Food & Staples Retailing
Alimentation Couche-Tard, Inc.		19,934		666,224		–		0.0

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
IT Services
CGI, Inc.*		6,684			511,780			–		0.0
Metals & Mining
B2Gold Corp.		150,769			652,793			–		0.0
Oil, Gas & Consumable Fuels
Canadian Natural Resources Ltd.		15,119			425,215			–		0.0
Gibson Energy, Inc.		23,736			476,370			–		0.0
Imperial Oil Ltd.		19,526			462,994			–		0.0
Suncor Energy, Inc.		16,302			498,274			–		0.0
		74,683			1,862,853			–		0.0
Software
Open Text Corp.		12,144			546,544			–		0.0
Textiles, Apparel & Luxury Goods
Gildan Activewear, Inc.		19,518			540,823			–		0.0
Total Long Positions of Total Return Basket Swap		298,166			5,264,513			–		0.0
Short Positions
Common Stocks
Metals & Mining
Franco-Nevada Corp.		(843	)		(95,823	)		–		0.0
Multi-Utilities
Canadian Utilities Ltd.		(14,405	)		(440,836	)		–		0.0
Total Short Positions of Total Return Basket Swap		(15,248	)		(536,659	)		–		0.0
Total of Long and Short Positions of Total Return Basket Swap		282,918			4,727,854			–		0.0

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)	NET UNREALIZED APPRECIATION (DEPRECIATION)(2)	NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.15%), which is denominated in CHF based on the local currencies of the positions within the swaps.	3/12/2021	$162,775	$737	$—	$737

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Insurance
Zurich Insurance Group AG		1,362			565,390			(1,214	)		(0.0)(a)
Pharmaceuticals
Roche Holding AG		1,808			599,340			(1,325	)		(0.0)(a)
Total Long Positions of Total Return Basket Swap		3,170			1,164,730			(2,539	)		0.0(a)
Short Positions
Common Stocks
Electrical Equipment
ABB Ltd. (Registered)		(21,402	)		(498,280	)		1,885			0.0(a)
Marine
Kuehne + Nagel International AG (Registered)		(2,786	)		(450,278	)		943			0.0(a)
Semiconductors & Semiconductor Equipment
ams AG*		(1,314	)		(53,397	)		448			0.0(a)
Total Short Positions of Total Return Basket Swap		(25,502	)		(1,001,955	)		3,276			0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Total of Long and Short Positions of Total Return Basket Swap		(22,332	)		162,775		737		0.0(a)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)	VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in JPY based on the local currencies of the positions within the swaps.	3/12/2021		$4,551,929		$(30,379)	$—		$(30,379)

REFERENCE ENTITY	SHARES		NOTIONAL VALUE($)(1)		NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Airlines
Japan Airlines Co. Ltd.		18,100		509,161		(7,838	)		(0.0)(a)
Auto Components
Yokohama Rubber Co. Ltd. (The)		22,900		389,236		(9,989	)		(0.0)(a)
Beverages
Asahi Group Holdings Ltd.		12,800		593,383		(7,427	)		(0.0)(a)
Suntory Beverage & Food Ltd.		13,800		584,268		(7,315	)		(0.0)(a)
		26,600		1,177,651		(14,742	)		(0.0)(a)
Chemicals
Kureha Corp.		9,000		504,823		(10,151	)		(0.0)(a)
Mitsui Chemicals, Inc.		22,300		489,736		(15,515	)		(0.1)
NOF Corp.		15,800		514,325		(14,261	)		(0.0)(a)
Showa Denko KK		18,500		442,384		(14,332	)		(0.0)(a)
Teijin Ltd.		25,200		450,546		(8,778	)		(0.0)(a)
Tokuyama Corp.		13,100		332,229		(10,761	)		(0.0)(a)
Zeon Corp.		39,500		419,444		(12,175	)		(0.0)(a)
		143,400		3,153,487		(85,973	)		(0.1)
Construction & Engineering
Hazama Ando Corp.		57,600		471,302		(10,315	)		(0.0)(a)
Kyowa Exeo Corp.		18,700		466,823		(8,637	)		(0.0)(a)
Kyudenko Corp.		13,800		398,275		(8,001	)		(0.0)(a)
		90,100		1,336,400		(26,953	)		(0.0)(a)
Construction Materials
Taiheiyo Cement Corp.		18,600		500,617		(11,611	)		(0.0)(a)
Diversified Financial Services
Mitsubishi UFJ Lease & Finance Co. Ltd.		89,000		557,461		(12,573	)		(0.0)(a)
Diversified Telecommunication Services
Nippon Telegraph & Telephone Corp.		23,800		606,830		(5,221	)		(0.0)(a)
Electrical Equipment
Fuji Electric Co. Ltd.		14,600		427,517		(15,785	)		(0.0)(a)
Electronic Equipment, Instruments & Components
Hitachi Ltd.		13,900		529,416		(13,217	)		(0.0)(a)
Japan Aviation Electronics Industry Ltd.		26,500		469,764		(13,010	)		(0.0)(a)
		40,400		999,180		(26,227	)		(0.0)(a)
Entertainment
Capcom Co. Ltd.		20,400		577,203		(8,317	)		(0.0)(a)
GungHo Online Entertainment, Inc.		23,920		435,159		(7,677	)		(0.0)(a)
		44,320		1,012,362		(15,994	)		(0.0)(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Health Care Equipment & Supplies
Hoya Corp.		6,200			593,374			(13,151	)		(0.0)(a)
Health Care Providers & Services
Alfresa Holdings Corp.		27,100			544,499			(12,482	)		(0.0)(a)
Ship Healthcare Holdings, Inc.		11,800			529,073			(8,900	)		(0.0)(a)
Suzuken Co. Ltd.		9,400			360,395			(6,999	)		(0.0)(a)
		48,300			1,433,967			(28,381	)		(0.0)(a)
Hotels, Restaurants & Leisure
Round One Corp.		41,800			389,396			(5,246	)		(0.0)(a)
Sushiro Global Holdings Ltd.		7,100			595,817			(5,051	)		(0.0)(a)
		48,900			985,213			(10,297	)		(0.0)(a)
Household Durables
Sekisui House Ltd.		24,600			528,953			(7,068	)		(0.0)(a)
IT Services
NET One Systems Co. Ltd.		19,200			316,563			(6,464	)		(0.0)(a)
Nihon Unisys Ltd.		17,700			539,757			(9,106	)		(0.0)(a)
TIS, Inc.		10,000			600,763			(7,422	)		(0.0)(a)
		46,900			1,457,083			(22,992	)		(0.0)(a)
Leisure Products
Bandai Namco Holdings, Inc.		9,200			534,598			(6,933	)		(0.0)(a)
Machinery
Amada Holdings Co. Ltd.		39,400			410,345			(12,545	)		(0.0)(a)
DMG Mori Co. Ltd.		18,000			247,956			(10,029	)		(0.0)(a)
Ebara Corp.		15,600			430,279			(12,432	)		(0.0)(a)
MINEBEA MITSUMI, Inc.		23,600			458,454			(17,663	)		(0.0)(a)
Mitsubishi Heavy Industries Ltd.		11,600			423,138			(7,654	)		(0.0)(a)
Shinmaywa Industries Ltd.*		36,500			474,310			(7,056	)		(0.0)(a)
		144,700			2,444,482			(67,379	)		(0.0)(a)
Media
Fuji Media Holdings, Inc.		45,000			611,847			(10,690	)		(0.0)(a)
Metals & Mining
Mitsubishi Materials Corp.		18,700			470,318			(9,975	)		(0.0)(a)
Paper & Forest Products
Oji Holdings Corp.		100,000			508,060			(14,297	)		(0.0)(a)
Pharmaceuticals
Astellas Pharma, Inc.		36,300			641,426			(12,011	)		(0.0)(a)
Kyowa Hakko Kirin Co. Ltd.		23,000			540,713			(8,205	)		(0.0)(a)
Shionogi & Co. Ltd.		9,200			547,162			(10,247	)		(0.0)(a)
		68,500			1,729,301			(30,463	)		(0.0)(a)
Professional Services
Persol Holdings Co. Ltd.		26,100			466,621			(11,516	)		(0.0)(a)
Road & Rail
Sankyu, Inc.		8,600			424,032			(6,940	)		(0.0)(a)
Seino Holdings Co. Ltd.		33,400			426,925			(7,085	)		(0.0)(a)
		42,000			850,957			(14,025	)		(0.0)(a)
Technology Hardware, Storage & Peripherals
Brother Industries Ltd.		25,600			494,396			(16,635	)		(0.0)(a)
FUJIFILM Holdings Corp.		11,300			561,209			(10,700	)		(0.0)(a)
		36,900			1,055,605			(27,335	)		(0.0)(a)
Trading Companies & Distributors
ITOCHU Corp.		21,500			502,261			(7,287	)		(0.0)(a)
Kanamoto Co. Ltd.		20,000			492,401			(10,575	)		(0.0)(a)
		41,500			994,662			(17,862	)		(0.0)(a)
Transportation Infrastructure
Kamigumi Co. Ltd.		22,600			482,908			(5,780	)		(0.0)(a)
Wireless Telecommunication Services
KDDI Corp.		17,800			537,900			557			0.0(a)
Total Long Positions of Total Return Basket Swap		1,279,720			26,355,751			(530,493	)		(0.1)
Short Positions
Common Stocks
Airlines
ANA Holdings, Inc.		(11,200	)		(349,823	)		4,095			0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL         VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)		PERCENTAGE OF NET ASSETS (%)
Auto Components
Toyo Tire Corp.		(24,900	)		(311,259	)		6,555	0.0(a)
Beverages
Coca-Cola Bottlers Japan Holdings, Inc.		(19,100	)		(502,729	)		7,227	0.0(a)
Building Products
TOTO Ltd.		(7,300	)		(296,632	)		8,223	0.0(a)
Capital Markets
Japan Exchange Group, Inc.*		(24,900	)		(446,244	)		9,680	0.0(a)
Chemicals
JSR Corp.		(21,400	)		(381,156	)		11,077	0.0(a)
Kuraray Co. Ltd.		(32,000	)		(384,656	)		9,604	0.0(a)
Taiyo Nippon Sanso Corp.		(18,000	)		(394,541	)		6,972	0.0(a)
		(71,400	)		(1,160,353	)		27,653	0.0(a)
Construction & Engineering
JGC Holdings Corp.		(26,000	)		(373,519	)		9,685	0.0(a)
SHO-BOND Holdings Co. Ltd.		(9,700	)		(396,022	)		7,715	0.0(a)
		(35,700	)		(769,541	)		17,400	0.0(a)
Electric Utilities
Kyushu Electric Power Co., Inc.		(51,100	)		(420,798	)		3,640	0.0(a)
Electrical Equipment
Fujikura Ltd.		(83,200	)		(304,945	)		10,640	0.0(a)
Mabuchi Motor Co. Ltd.		(11,600	)		(422,670	)		11,440	0.0(a)
		(94,800	)		(727,615	)		22,080	0.0(a)
Electronic Equipment, Instruments & Components
Keyence Corp.		(1,400	)		(470,620	)		12,219	0.0(a)
Shimadzu Corp.		(14,600	)		(409,748	)		10,648	0.0(a)
		(16,000	)		(880,368	)		22,867	0.0(a)
Food & Staples Retailing
Cosmos Pharmaceutical Corp.		(2,300	)		(505,127	)		4,733	0.0(a)
Kusuri no Aoki Holdings Co. Ltd.		(6,500	)		(391,372	)		5,749	0.0(a)
		(8,800	)		(896,499	)		10,482	0.0(a)
Food Products
Kikkoman Corp.		(9,100	)		(440,965	)		10,025	0.0(a)
Gas Utilities
Tokyo Gas Co. Ltd.		(18,300	)		(402,344	)		4,341	0.0(a)
Hotels, Restaurants & Leisure
HIS Co. Ltd.		(5,700	)		(130,952	)		1,875	0.0(a)
Kyoritsu Maintenance Co. Ltd.		(2,100	)		(84,035	)		1,434	0.0(a)
Toridoll Holdings Corp.		(19,700	)		(448,580	)		7,763	0.0(a)
Zensho Holdings Co. Ltd.*		(20,700	)		(438,339	)		5,444	0.0(a)
		(48,200	)		(1,101,906	)		16,516	0.0(a)
Household Durables
Sharp Corp.		(18,800	)		(255,025	)		9,048	0.0(a)
Internet & Direct Marketing Retail
Mercari, Inc.*		(20,400	)		(355,270	)		6,773	0.0(a)
IT Services
GMO Payment Gateway, Inc.		(7,000	)		(450,124	)		9,200	0.0(a)
Leisure Products
Sega Sammy Holdings, Inc.		(31,900	)		(434,390	)		6,920	0.0(a)
Machinery
Daifuku Co. Ltd.		(7,300	)		(439,539	)		13,868	0.0(a)
Hino Motors Ltd.		(39,900	)		(373,621	)		7,869	0.0(a)
IHI Corp.		(17,700	)		(419,198	)		10,254	0.0(a)
MISUMI Group, Inc.		(12,300	)		(305,204	)		9,348	0.0(a)
Nabtesco Corp.		(12,800	)		(366,781	)		14,780	0.0(a)
NGK Insulators Ltd.		(22,500	)		(377,251	)		8,357	0.0(a)
NTN Corp.		(116,600	)		(308,983	)		10,617	0.0(a)
Yaskawa Electric Corp.		(12,000	)		(410,781	)		18,364	0.1
		(241,100	)		(3,001,358	)		93,457	0.1

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

REFERENCE ENTITY	SHARES			NOTIONAL         VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Marine
Kawasaki Kisen Kaisha Ltd.*		(23,800	)		(313,826	)		12,132		0.0(a)
Nippon Yusen KK		(23,900	)		(380,582	)		10,712		0.0(a)
		(47,700	)		(694,408	)		22,844		0.0(a)
Media
CyberAgent, Inc.		(12,900	)		(514,055	)		11,564		0.0(a)
Metals & Mining
Hitachi Metals Ltd.		(32,200	)		(494,895	)		10,891		0.0(a)
JFE Holdings, Inc.		(34,300	)		(406,177	)		10,089		0.0(a)
Kobe Steel Ltd.		(72,800	)		(332,441	)		8,195		0.0(a)
Nippon Steel Corp.		(29,200	)		(405,164	)		8,629		0.0(a)
		(168,500	)		(1,638,677	)		37,804		0.0(a)
Multiline Retail
Isetan Mitsukoshi Holdings Ltd.		(46,500	)		(363,029	)		6,465		0.0(a)
Ryohin Keikaku Co. Ltd.		(21,000	)		(351,091	)		5,902		0.0(a)
Takashimaya Co. Ltd.		(37,700	)		(403,101	)		6,413		0.0(a)
		(105,200	)		(1,117,221	)		18,780		0.0(a)
Personal Products
Kose Corp.		(2,700	)		(347,655	)		19,389		0.0(a)
Pharmaceuticals
Sosei Group Corp.*		(21,300	)		(372,231	)		7,553		0.0(a)
Road & Rail
Keisei Electric Railway Co. Ltd.		(9,200	)		(332,829	)		4,249		0.0(a)
Nankai Electric Railway Co. Ltd.		(14,200	)		(366,530	)		4,999		0.0(a)
Odakyu Electric Railway Co. Ltd.		(15,300	)		(339,376	)		4,593		0.0(a)
Tokyu Corp.		(19,600	)		(345,397	)		4,076		0.0(a)
		(58,300	)		(1,384,132	)		17,917		0.0(a)
Semiconductors & Semiconductor Equipment
Disco Corp.		(1,900	)		(437,652	)		15,451		0.0(a)
Rohm Co. Ltd.		(3,500	)		(251,774	)		8,251		0.0(a)
SCREEN Holdings Co. Ltd.*		(6,300	)		(327,213	)		14,664		0.0(a)
		(11,700	)		(1,016,639	)		38,366		0.0(a)
Specialty Retail
Shimamura Co. Ltd.		(5,600	)		(420,746	)		6,147		0.0(a)
Technology Hardware, Storage & Peripherals
Seiko Epson Corp.		(18,900	)		(276,359	)		6,212		0.0(a)
Textiles, Apparel & Luxury Goods
Asics Corp.		(31,100	)		(454,352	)		8,898		0.0(a)
Transportation Infrastructure
Japan Airport Terminal Co. Ltd.		(7,900	)		(364,104	)		8,458		0.0(a)
Total Short Positions of Total Return Basket Swap		(1,251,800	)		(21,803,822	)		500,114		0.1
Total of Long and Short Positions of Total Return Basket Swap		27,920			4,551,929			(30,379	)	0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

COUNTERPARTY	DESCRIPTION	TERMINATION DATE	NOTIONAL VALUE(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)(2)		NET CASH AND OTHER RECEIVABLES (PAYABLES)		VALUE
Union Bank of   Switzerland AG	The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month BBSW on long positions and short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.18%), which is denominated in AUD based on the local currencies of the positions within the swaps.	3/12/2021		$(830,801	)		$9,191		$—		$9,191

REFERENCE ENTITY	SHARES			NOTIONAL VALUE($)(1)			NET UNREALIZED APPRECIATION (DEPRECIATION)($)(2)			PERCENTAGE OF NET ASSETS (%)
Long Positions
Common Stocks
Metals & Mining
Evolution Mining Ltd.		171,097			431,820			6,905		0.0(a)
Fortescue Metals Group Ltd.		82,113			608,279			(17,789	)	(0.0)(a)
Iluka Resources Ltd.		91,656			586,241			(10,125	)	(0.0)(a)
Regis Resources Ltd.		21,666			66,416			1,152		0.0(a)
Rio Tinto Ltd.		7,247			470,246			(8,901	)	(0.0)(a)
		373,779			2,163,002			(28,758	)	(0.0)(a)
Oil, Gas & Consumable Fuels
Woodside Petroleum Ltd.		828			18,970			(280	)	(0.0)(a)
Road & Rail
Aurizon Holdings Ltd.		118,425			424,495			(4,376	)	(0.0)(a)
Total Long Positions of Total Return Basket Swap		493,032			2,606,467			(33,414	)	0.0(a)
Short Positions
Common Stocks
Chemicals
Incitec Pivot Ltd.		(200,895	)		(436,193	)		4,899		0.0(a)
Nufarm Ltd.*		(22,353	)		(81,531	)		1,215		0.0(a)
		(223,248	)		(517,724	)		6,114		0.0(a)
Construction Materials
Adelaide Brighton Ltd.		(203,046	)		(490,339	)		4,406		0.0(a)
Diversified Financial Services
AMP Ltd.		(333,422	)		(402,340	)		4,987		0.0(a)
Food Products
Costa Group Holdings Ltd.		(142,697	)		(259,712	)		3,927		0.0(a)
Hotels, Restaurants & Leisure
Domino’s Pizza Enterprises Ltd.		(12,352	)		(449,042	)		4,812		0.0(a)
IT Services
NEXTDC Ltd.*		(86,594	)		(433,120	)		6,842		0.0(a)
Metals & Mining
Mineral Resources Ltd.		(38,549	)		(433,405	)		6,822		0.0(a)
Oil, Gas & Consumable Fuels
Oil Search Ltd.		(4,204	)		(20,094	)		281		0.0(a)
Transportation Infrastructure
Qube Holdings Ltd.		(189,299	)		(431,492	)		4,414		0.0(a)
Total Short Positions of Total Return Basket Swap		(1,233,411	)		(3,437,268	)		42,605		0.0(a)
Total of Long and Short Positions of Total Return Basket Swap		(740,379	)		(830,801	)		9,191		0.0(a)

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

The following reference rates, and their values as of period-end, are used for security descriptions:	Value
1 day BBSW		0.78	%
1 day CHF LIBOR		(0.78	)
1 day EURIBOR		(0.45	)
1 day GBP LIBOR		0.68
1 day JPY LIBOR		(0.11	)
1 day USD LIBOR		1.57
1 month BBSW		0.80
1 month EURIBOR		(0.45	)
1 month CHF LIBOR		(0.77	)
1 month EUR LIBOR		(0.51	)
1 month GBP LIBOR		0.71
1 month JPY LIBOR		(0.84	)
1 month USD LIBOR		1.66
BA		1.99
BBR		0.75
CDOR		1.99

Summary of total OTC swap contracts outstanding as of January 31, 2020:

	Net Upfront       Payments       (Receipts) ($)	Value ($)
Assets
OTC Total return basket swap contracts outstanding	—		688,657
Liabilities
OTC Total return basket swap contracts outstanding	—		(1,016,910	)

Abbreviations
AUD	Australian Dollar
BA	Banker’s Acceptance Rate
BBR	Bank Bill Rate
BBSW	ASX Australia Bank Bill Swap Rate
CAD	Canadian Dollar
CDOR	Canadian Dollar Offered Rate
CHF	Swiss Franc
CVR	Contingent Value Rights
EUR	Euro
EURIBOR	Euro Interbank Offered Rate
GBP	British Pound
JPY	Japanese Yen
LIBOR	London Interbank Offered Rate
OYJ	Public Limited Company
SCA	Limited partnership with share capital
SGPS	Holding Company
USD	United States Dollar

(a)	Amount rounds to less than 0.1% of net assets.
(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.
(1)	Notional value represents market value, as of January 31, 2020, of these positions based on the securities’ last sale or closing price on the principal exchange on which the securities are traded.
(2)	Unrealized appreciation (depreciation) represents the unrealized gain(loss) of the positions subsequent to the swap reset.
*	Non-income producing security.
‡	Value determined using significant unobservable inputs.

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

Systematic Alpha Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on October 11, 2012 and is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund in order to effect certain investments on behalf of the Fund consistent with the Fund’s investment objectives and policies as described in the Fund’s prospectus. The Consolidated Schedule of Portfolio Investments (“CSOI”) includes positions of the Fund and the Subsidiary. The consolidated financial statements include the accounts of the Fund and the Subsidiary. Subsequent references to the Fund within the Notes to Consolidated Financial Statements collectively refer to the Fund and the Subsidiary. All significant intercompany balances and transactions have been eliminated in consolidation.

A. Valuation of Investments – Investments are valued 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.

A market-based approach is primarily used to value the Fund’s investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Board. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.

Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.

Equities 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.

Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated.

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. Swaps and forward foreign currency exchange contracts are valued utilizing market quotations from approved Pricing Services.

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 Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

The following table represents each valuation input as presented on the CSOI:

	Level 1 Quoted prices			Level 2     Other significant observable         inputs			Level 3 Significant unobservable inputs		Total
Investments in Securities
Common Stocks
Airlines	$	–		$	424,170		$	–	$	424,170
Chemicals		3,244,847			672,986			–		3,917,833
Food & Staples Retailing		–			921,897			–		921,897
Hotels, Restaurants & Leisure		5,340,209			412,158			–		5,752,367
Industrial Conglomerates		–			1,795,238			–		1,795,238
IT Services		1,280,953			620,019			–		1,900,972
Leisure Products		–			507,268			–		507,268
Machinery		7,160,654			517,475			–		7,678,129
Metals & Mining		1,497,112			933,842			–		2,430,954
Professional Services		1,683,645			971,316			–		2,654,961
Real Estate Management & Development		–			4,983,490			–		4,983,490
Road & Rail		–			539,708			–		539,708
Specialty Retail		9,637,013			493,999			–		10,131,012
Other Common Stocks		98,106,848			–			–		98,106,848
Total Common Stocks		127,951,281			13,793,566			–		141,744,847
Convertible Bonds		–			22,176,211			–		22,176,211
Convertible Preferred Stocks		3,386,168			–			–		3,386,168
Preferred Stocks		329,190			–			–		329,190
Short-Term Investments
Investment Companies		156,550,306			–			–		156,550,306
Foreign Government Treasury
Bills		–			7,120,913			–		7,120,913
Total Short-Term Investments		156,550,306			7,120,913			–		163,671,219
Total Investments in Securities	$	288,216,945		$	43,090,690		$	–	$	331,307,635
Appreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts	$	–		$	2,343,884		$	–	$	2,343,884
Futures Contracts		4,830,009			46,775			–		4,876,784
Swaps		–			688,390			267		688,657
Total Appreciation in Other Financial Instruments	$	4,830,009		$	3,079,049		$	267	$	7,909,325
Depreciation in Other Financial Instruments
Forward Foreign Currency Exchange Contracts	$	–		$	(2,019,209	)	$	–	$	(2,019,209	)
Futures Contracts		(4,335,983	)		(654,154	)		–		(4,990,137	)
Swaps		–			(1,016,910	)		–		(1,016,910	)
Total Depreciation in Other Financial Instruments	$	(4,335,983	)	$	(3,690,273	)	$	–	$	(8,026,256	)

There were no transfers into or out of level 3 for the period ended January 31, 2020.

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

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

For the period ended January 31, 2020
Security Description	Value at October 31, 2019		Purchases at Cost		Proceeds from Sales		Net Realized Gain (Loss)		Change in Unrealized Appreciation/ (Depreciation)		Value at January 31, 2020		Shares at January 31, 2020		Dividend Income		Capital Gain Distributions
JPMorgan Prime Money Market Fund Class Institutional Shares, 1.67%(a)(b)	$	101,071,910	$	60,103,004	$	47,036,730	$	628	$	385	$	114,139,197		114,093,560	$	445,718	$	—
JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.46%(a)(b)		45,730,579		7,362,541		10,682,011		—		—		42,411,109		42,411,109		160,482		—
Total	$	146,802,489	$	67,465,545	$	57,718,741	$	628	$	385	$	156,550,306			$	606,200	$	—

(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 January 31, 2020.

C. Derivatives — The Fund used derivative instruments including futures, forward foreign currency exchange contracts and swaps, in connection with its investment strategy. Derivative instruments may be used as substitutes for securities in which the Fund can invest, to hedge portfolio investments or to generate income or gain to the Fund. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.

The Fund may be subject to various risks from the use of derivatives, including the risk that changes in the value of a derivative may not correlate perfectly with the underlying asset, rate or index; counterparty credit risk related to derivatives counterparties’ failure to perform under contract terms; liquidity risk related to the lack of a liquid market for these contracts allowing a Fund to close out its position(s); and documentation risk relating to disagreement over contract terms. Investing in certain derivatives also results in a form of leverage and as such, the Fund’s risk of loss associated with these instruments may exceed their value.

The Fund is party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Fund’s ISDA agreements, which are separately negotiated with each dealer counterparty, may contain provisions allowing, absent other considerations, a counterparty to exercise rights, to the extent not otherwise waived, against the Fund in the event the Fund’s net assets decline over time by a pre-determined percentage or fall below a pre-determined floor. The ISDA agreements may also contain provisions allowing, absent other conditions, the Fund to exercise rights, to the extent not otherwise waived, against a counterparty (e.g., decline in a counterparty’s credit rating below a specified level). Such rights for both a counterparty and the Fund often include the ability to terminate (i.e., close out) open contracts at prices which may favor a counterparty, which could have an adverse effect on the Fund. The ISDA agreements give the Fund and a counterparty the right, upon an event of default, to close out all transactions traded under such agreements and to net amounts owed or due across all transactions and offset such net payable or receivable with collateral posted to a segregated account by one party to the other.

Counterparty credit risk may be mitigated to the extent a counterparty posts collateral for mark to market gains to the Fund.

Notes (1) — (3) below describe the various derivatives used by the Fund.

(1). Futures Contracts — The Fund used index, treasury or other financial futures contracts to manage and hedge interest rate risk associated with portfolio investments and to gain or reduce exposure to positive and negative price fluctuation or a particular countries or regions. The Fund also used futures contracts to lengthen or shorten the duration of the overall investment portfolio. The Fund used commodity futures contracts to obtain long and short exposure to the underlying commodities markets. The purchase of futures contracts will tend to increase the Fund’s exposure to positive and negative price fluctuations in the underlying instrument. The sales of futures contracts will tend to offset both positive and negative market price changes.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in market value on open future contracts are recorded as changes in unrealized appreciation or depreciation. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted.

The Fund may be exposed to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subject the Fund to risk of loss up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade. The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

(2). Forward Foreign Currency Exchange Contracts — The Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of an investment strategy. The Fund also bought forward foreign currency exchange contracts to gain exposure to currencies. Forward foreign currency exchange contracts represent obligations to purchase or sell foreign currency on a specified future date at a price fixed at the time the contracts are entered into. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in U.S. Dollar without the delivery of foreign currency.

The values of the forward foreign currency exchange contracts are adjusted daily based on the applicable exchange rate of the underlying currency. Changes in the value of these contracts are recorded as unrealized appreciation or depreciation until the contract settlement date. When the forward foreign currency exchange contract is closed, the Fund records a realized gain or loss equal to the difference between the value at the time the contract was opened and the value at the time it was closed. The Fund also records a realized gain or loss when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty upon settlement.

The Fund’s forward foreign currency exchange contracts are subject to master netting arrangements (the right to close out all transactions with a counterparty and net amounts owed or due across transactions).

JPMorgan Systematic Alpha Fund

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited) (continued)

The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

(3). Swaps — The Fund engaged in various swap transactions, including total return basket swaps, to manage total return risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are contracts negotiated over-the-counter (“OTC swaps”) between the Fund and a counterparty or are centrally cleared (“centrally cleared swaps”) through a central clearinghouse managed by a Futures Commission Merchant (“FCM”) that exchange investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals.

Upfront payments made and/or received by the Fund are recorded as assets or liabilities, respectively, and amortized over the term of the swap. The value of an OTC swap agreement is recorded at the beginning of the measurement period. Upon entering into a centrally cleared swap, the Fund is required to deposit with the FCM cash or securities, which is referred to as initial margin deposit. Securities deposited as initial margin are designated on the Schedule of Investments, while cash deposited is considered restricted. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as unrealized appreciation/(depreciation). A realized gain or loss is recorded upon payment or receipt of a periodic payment or payment made upon termination of a swap agreement.

The Fund may be required to post or receive collateral based on the net value of the Fund’s outstanding OTC swap contracts with the counterparty in the form of cash or securities. Daily movement of cash collateral is subject to minimum threshold amounts. Collateral posted by the Fund is held in a segregated account at the Fund’s custodian bank. For certain counterparties, cash collateral posted by the Fund is invested in an affiliated money market fund and/or held as restricted cash. Collateral received by the Fund is held in escrow in a segregated account maintained by JPMorgan Chase Bank, N.A, an affiliate of the Fund, which provides collateral management service to the Fund.

The Fund may be subject to various risks from the use of swaps including: (i) the risk that changes in the value of the swap may not correlate perfectly with the underlying instrument; (ii) counterparty credit risk related to the failure, by the counterparty to an over-the-counter derivative, to perform under the terms of the contract; (iii) liquidity risk related to the lack of a liquid market for these contracts allowing the Fund to close out its position(s); and (iv) documentation risk relating to disagreement over contract terms.

The Fund may be required to post or receive collateral for OTC Swaps.

The Fund’s swap contracts (excluding centrally cleared swaps) are subject to master netting arrangements.

Total Return Basket Swaps

The Fund entered into a total return basket swap agreement to obtain exposure to a portfolio of long and short securities. This is a highly specialized activity and a significant aspect of the Fund’s investment strategy.

Under the terms of the agreement, each swap is designed to function as a portfolio of direct investments in long and/or short equity positions. This means that the Fund has the ability to trade in and out of long and short positions within each swap and will receive all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation (depreciation), corporate actions and dividends received and paid, all of which are reflected in each swap value. Each swap value also includes interest charges and credits related to the notional values of the long and short positions and cash balances within each swap. These interest charges and credits are based on defined market rates plus or minus a specified spread and are referred to herein as “financing costs”. Positions within each swap, accrued financing costs and net dividends, are part of the monthly or annual periodic reset.

Each swap involves additional risks than if the Fund had invested in the underlying positions directly including: the risk that changes in the value of each swap may not correlate perfectly with the underlying long and short securities; counterparty risk related to the counterparty’s failure to perform under contract terms; liquidity risk related to the lack of a liquid market for each swap contract, which may limit the ability of the Fund to close out its positions; and, documentation risk relating to disagreement over contract terms. The total return basket swaps consist of securities that are denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities. The Fund’s activities in each total return basket swap are concentrated with two counterparties. Investing in swaps results in a form of leverage (i.e., the Fund’s risk of loss associated with these instruments may exceed their value).

The value of each swap is derived from a combination of (i) the net value of the underlying positions, which are valued daily using the last sale or closing prices on the principal exchange on which the underlying securities are traded; (ii) financing costs; (iii) the value of dividends; (iv) cash balances within the swap; and (v) other factors, as applicable.

The total return basket swap contracts are subject to master netting arrangements. The Fund may be required to post or receive collateral for total return basket swaps.