NPORT-EX 2 HG_RMN.htm HTML

JPMorgan Research Market Neutral Fund

Schedule of Portfolio Investments as of January 31, 2020

(Unaudited)

 

  

THE “UNAUDITED MUTUAL FUNDS HOLDINGS” LIST (“the List”) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Holdings are available 60 days after the fund’s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security.

 

JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co.

 

JPMorgan Distribution Services, Inc., member FINRA.

 

© J.P. Morgan Chase & Co., 2020.

 

   

 

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JANUARY 31, 2020 (Unaudited)

 

 

Investments

    Shares (000)     Value ($000) 

LONG POSITIONS - 98.6%

 

COMMON STOCKS - 86.6%

 

Aerospace & Defense - 2.5%

 

General Dynamics Corp.(a)

      2       321  

Northrop Grumman Corp.

      1       446  

United Technologies Corp.

      2       348  
    

 

 

 

                   1,115  
    

 

 

 

Auto Components - 0.2%

     

Magna International, Inc. (Canada)

      2       102  
    

 

 

 

Banks - 1.9%

     

Citigroup, Inc.

      8       603  

First Horizon National Corp.

      9       140  

Regions Financial Corp.

      9       139  
    

 

 

 

       882  
    

 

 

 

Beverages - 1.1%

     

Coca-Cola Co. (The)

      6       346  

Constellation Brands, Inc., Class A

      1       171  
    

 

 

 

       517  
    

 

 

 

Biotechnology - 0.8%

     

AbbVie, Inc.

      4       291  

Alexion Pharmaceuticals, Inc.*

      1       95  
    

 

 

 

       386  
    

 

 

 

Building Products - 0.2%

     

Masco Corp.

      2       95  
    

 

 

 

Capital Markets - 1.6%

     

Ameriprise Financial, Inc.

      1       152  

BlackRock, Inc.

      — (b)      66  

Charles Schwab Corp. (The)

      3       136  

Morgan Stanley

      2       123  

State Street Corp.

      2       123  

T. Rowe Price Group, Inc.

      1       145  
    

 

 

 

       745  
    

 

 

 

Chemicals - 3.7%

     

Air Products & Chemicals, Inc.

      1       308  

Celanese Corp.

      2       174  

DuPont de Nemours, Inc.

      4       191  

FMC Corp.

      3       334  

Linde plc (United Kingdom)

      3       677  
    

 

 

 

       1,684  
    

 

 

 

Commercial Services & Supplies - 0.6%

     

Waste Management, Inc.

      2       267  
    

 

 

 

Consumer Finance - 1.0%

     

American Express Co.

      3       326  

Capital One Financial Corp.

      1       127  
    

 

 

 

       453  
    

 

 

 

Containers & Packaging - 0.3%

     

Crown Holdings, Inc.*

      2       145  
    

 

 

 

Electric Utilities - 4.9%

     

American Electric Power Co., Inc.

      1       75  

Edison International

      4       302  

Entergy Corp.

      4       539  

NextEra Energy, Inc.(a)

      3       865  

Xcel Energy, Inc.

      7       452  
    

 

 

 

       2,233  
    

 

 

 

Electrical Equipment - 1.1%

     

AMETEK, Inc.

      1       126  

Eaton Corp. plc

      4       392  
    

 

 

 

       518  
    

 

 

 

Entertainment - 0.5%

     

Electronic Arts, Inc.*

      1       64  

Netflix, Inc.*

      — (b)      143  
    

 

 

 

       207  
    

 

 

 

Equity Real Estate Investment Trusts (REITs) - 2.7%

     

Equinix, Inc.

      — (b)      237  

Invitation Homes, Inc.

      4       131  

Prologis, Inc.

      7       609  

Ventas, Inc.

      2       89  

VICI Properties, Inc.

      5       145  
    

 

 

 

       1,211  
    

 

 

 

Food & Staples Retailing - 0.3%

     

Costco Wholesale Corp.

      — (b)      150  
    

 

 

 

Food Products - 1.1%

     

Conagra Brands, Inc.

      3       100  

Mondelez International, Inc., Class A

      7       378  
    

 

 

 

       478  
    

 

 

 

Health Care Equipment & Supplies - 2.5%

     

Baxter International, Inc.

      2       213  

Boston Scientific Corp.*

      8       338  

Intuitive Surgical, Inc.*

      — (b)      164  

Medtronic plc

      1       86  

Zimmer Biomet Holdings, Inc.

      2       344  
    

 

 

 

       1,145  
    

 

 

 

Health Care Providers & Services - 3.3%

     

Cigna Corp.

      3       592  

HCA Healthcare, Inc.

      2       324  

McKesson Corp.

      2       268  

UnitedHealth Group, Inc.(a)

      1       295  
    

 

 

 

       1,479  
    

 

 

 

Hotels, Restaurants & Leisure - 1.6%

     

Hilton Worldwide Holdings, Inc.

      1       132  

Royal Caribbean Cruises Ltd.

      1       65  

Yum! Brands, Inc.

      5       522  
    

 

 

 

       719  
    

 

 

 

Household Durables - 0.9%

     

DR Horton, Inc.

      2       113  

Lennar Corp., Class A

      4       289  
    

 

 

 

       402  
    

 

 

 

Household Products - 0.5%

     

Procter & Gamble Co. (The)

      2       211  
    

 

 

 

Industrial Conglomerates - 0.7%

     

Honeywell International, Inc.

      2       314  
    

 

 

 

Insurance - 1.4%

     

American International Group, Inc.

      1       53  

Aon plc

      — (b)      70  

Progressive Corp. (The)

      5       372  

Prudential Financial, Inc.

      1       64  

RenaissanceRe Holdings Ltd. (Bermuda)

      — (b)      67  
    

 

 

 

       626  
    

 

 

 

Interactive Media & Services - 4.1%

     

Alphabet, Inc., Class C*(a)

      1       1,351  

Facebook, Inc., Class A*

      1       240  

Snap, Inc., Class A*

      15       277  
    

 

 

 

                   1,868  
    

 

 

 

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Shares (000)     Value ($000) 

Internet & Direct Marketing Retail - 2.6%

     

Amazon.com, Inc.*(a)

      1       1,165  
    

 

 

 

IT Services - 7.5%

     

Automatic Data Processing, Inc.(a)

      2       322  

Fidelity National Information Services, Inc.

      4       626  

Fiserv, Inc.*

      7       831  

International Business Machines Corp.

      1       86  

Leidos Holdings, Inc.

      5       499  

Mastercard, Inc., Class A(a)

      2       569  

PayPal Holdings, Inc.*

      2       174  

WEX, Inc.*

      2       326  
    

 

 

 

       3,433  
    

 

 

 

Life Sciences Tools & Services - 0.6%

     

Thermo Fisher Scientific, Inc.

      1       253  
    

 

 

 

Machinery - 3.3%

     

Gardner Denver Holdings, Inc.*

      2       68  

Ingersoll-Rand plc

      6       778  

Parker-Hannifin Corp.

      1       127  

Stanley Black & Decker, Inc.

      3       512  
    

 

 

 

       1,485  
    

 

 

 

Media - 2.3%

     

Altice USA, Inc., Class A*

      9       248  

Charter Communications, Inc., Class A*

      1       400  

Comcast Corp., Class A

      4       175  

Discovery, Inc., Class A*

      7       212  
    

 

 

 

       1,035  
    

 

 

 

Multiline Retail - 0.2%

     

Dollar General Corp.

      1       112  
    

 

 

 

Multi-Utilities - 0.6%

     

CMS Energy Corp.

      2       129  

Sempra Energy

      1       127  
    

 

 

 

       256  
    

 

 

 

Oil, Gas & Consumable Fuels - 5.8%

     

Chevron Corp.

      4       457  

ConocoPhillips

      5       323  

Diamondback Energy, Inc.

      6       412  

Marathon Petroleum Corp.

      6       311  

ONEOK, Inc.

      3       195  

Parsley Energy, Inc., Class A

      10       161  

Pioneer Natural Resources Co.(a)

      3       355  

TC Energy Corp. (Canada)

      7       406  
    

 

 

 

       2,620  
    

 

 

 

Personal Products - 0.1%

     

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

      — (b)      67  
    

 

 

 

Pharmaceuticals - 1.0%

     

Bristol-Myers Squibb Co.

      6       357  

Eli Lilly & Co.

      1       107  
    

 

 

 

       464  
    

 

 

 

Road & Rail - 5.8%

     

Kansas City Southern

      4       685  

Lyft, Inc., Class A*

      2       88  

Norfolk Southern Corp.(a)

      7       1,504  

Union Pacific Corp.

      2       381  
    

 

 

 

       2,658  
    

 

 

 

Semiconductors & Semiconductor Equipment - 6.5%

     

Advanced Micro Devices, Inc.*

      9       406  

Analog Devices, Inc.

      2       246  

ASML Holding NV (Registered), NYRS (Netherlands)

      — (b)      109  

Lam Research Corp.

      — (b)      136  

Micron Technology, Inc.*

      3       164  

NVIDIA Corp.(a)

      2       498  

NXP Semiconductors NV (Netherlands)

      4       445  

ON Semiconductor Corp.*

      5       115  

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

      6       334  

Teradyne, Inc.

      2       160  

Texas Instruments, Inc.(a)

      3       365  
    

 

 

 

       2,978  
    

 

 

 

Software - 5.3%

     

Intuit, Inc.

      2       461  

Microsoft Corp.(a)

      5       829  

salesforce.com, Inc.*

      3       550  

ServiceNow, Inc.*

      1       298  

VMware, Inc., Class A*

      2       262  
    

 

 

 

       2,400  
    

 

 

 

Specialty Retail - 4.3%

     

AutoZone, Inc.*

      — (b)      287  

Best Buy Co., Inc.

      3       238  

Home Depot, Inc. (The)

      1       212  

Lowe’s Cos., Inc.

      3       376  

O’Reilly Automotive, Inc.*

      1       403  

Ross Stores, Inc.

      1       94  

TJX Cos., Inc. (The)

      6       354  
    

 

 

 

       1,964  
    

 

 

 

Textiles, Apparel & Luxury Goods - 0.9%

     

NIKE, Inc., Class B

      4       401  
    

 

 

 

Tobacco - 0.3%

     

Philip Morris International, Inc.

      2       150  
    

 

 

 

TOTAL COMMON STOCKS

(Cost $28,933)

 

 

     39,393  
    

 

 

 

Investments

    No. of
Rights (000)		     Value ($000)

RIGHTS - 0.0%(c)

 

Pharmaceuticals - 0.0%(c)

     

Bristol-Myers Squibb Co., CVR, expiring 12/31/2020* (Cost $13)

      6       21  
    

 

 

 

Investments

    Shares (000)     Value ($000)

SHORT-TERM INVESTMENTS - 12.0%

 

INVESTMENT COMPANIES - 12.0%

 

JPMorgan Prime Money Market Fund Class Institutional Shares, 1.67%(d)(e)
(Cost $5,470)

      5,469       5,471  
    

 

 

 

TOTAL LONG POSITIONS

(Cost $34,416)

 

 

                 44,885  
    

 

 

 

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2019 (Unaudited) (continued)

 

Investments

    Shares (000)     Value ($000) 

SHORT POSITIONS - (83.4)%

 

COMMON STOCKS - (83.4)%

 

Aerospace & Defense - (2.6)%

     

Boeing Co. (The)

      (1 )      (388 ) 

Huntington Ingalls Industries, Inc.

      (3 )      (776 ) 
    

 

 

 

       (1,164 ) 
    

 

 

 

Air Freight & Logistics - (2.3)%

 

CH Robinson Worldwide, Inc.

      (5 )      (344 ) 

Expeditors International of Washington, Inc.

      (6 )      (444 ) 

United Parcel Service, Inc., Class B

      (2 )      (248 ) 
    

 

 

 

       (1,036 ) 
    

 

 

 

Auto Components - (1.1)%

 

Autoliv, Inc. (Sweden)

      (6 )      (488 ) 
    

 

 

 

Automobiles - (0.7)%

 

General Motors Co.

      (6 )      (216 ) 

Harley-Davidson, Inc.

      (3 )      (111 ) 
    

 

 

 

       (327 ) 
    

 

 

 

Banks - (3.4)%

 

Associated Banc-Corp.

      (12 )      (245 ) 

BancorpSouth Bank

      (6 )      (176 ) 

Bank of Hawaii Corp.

      (2 )      (183 ) 

Commerce Bancshares, Inc.

      (4 )      (275 ) 

People’s United Financial, Inc.

      (15 )      (234 ) 

PNC Financial Services Group, Inc. (The)

      (1 )      (158 ) 

US Bancorp

      (5 )      (258 ) 
    

 

 

 

       (1,529 ) 
    

 

 

 

Beverages - (0.5)%

 

Brown-Forman Corp., Class B

      (3 )      (234 ) 
    

 

 

 

Biotechnology - (1.4)%

 

Amgen, Inc.

      (2 )      (454 ) 

Gilead Sciences, Inc.

      (3 )      (196 ) 
    

 

 

 

       (650 ) 
    

 

 

 

Building Products - (1.4)%

 

Johnson Controls International plc

      (8 )      (326 ) 

Lennox International, Inc.

      (1 )      (308 ) 
    

 

 

 

       (634 ) 
    

 

 

 

Capital Markets - (1.5)%

 

Bank of New York Mellon Corp. (The)

      (5 )      (245 ) 

Franklin Resources, Inc.

      (7 )      (173 ) 

Invesco Ltd.

      (4 )      (64 ) 

Waddell & Reed Financial, Inc., Class A

      (14 )      (224 ) 
    

 

 

 

       (706 ) 
    

 

 

 

Chemicals - (2.0)%

 

Albemarle Corp.

      (5 )      (429 ) 

Ecolab, Inc.

      (1 )      (268 ) 

LyondellBasell Industries NV, Class A

      (3 )      (195 ) 
    

 

 

 

       (892 ) 
    

 

 

 

Communications Equipment - (2.0)%

 

Cisco Systems, Inc.

      (14 )      (661 ) 

Juniper Networks, Inc.

      (12 )      (266 ) 
    

 

 

 

       (927 ) 
    

 

 

 

Consumer Finance - (0.3)%

 

Discover Financial Services

      (2 )      (119 ) 
    

 

 

 

Containers & Packaging - (1.9)%

 

Avery Dennison Corp.

      (1 )      (72 ) 

International Paper Co.

      (11 )      (443 ) 

Sealed Air Corp.

      (4 )      (129 ) 

Sonoco Products Co.

      (4 )      (239 ) 
    

 

 

 

       (883 ) 
    

 

 

 

Diversified Telecommunication Services - (1.5)%

 

AT&T, Inc.

      (18 )      (694 ) 
    

 

 

 

Electric Utilities - (2.5)%

 

Duke Energy Corp.

      (7 )      (687 ) 

Eversource Energy

      (2 )      (146 ) 

Pinnacle West Capital Corp.

      (3 )      (290 ) 
    

 

 

 

       (1,123 ) 
    

 

 

 

Electrical Equipment - (1.4)%

 

Acuity Brands, Inc.

      (3 )      (403 ) 

Hubbell, Inc.

      (2 )      (226 ) 
    

 

 

 

       (629 ) 
    

 

 

 

Electronic Equipment, Instruments & Components - (0.1)%

 

Amphenol Corp., Class A

      (1 )      (51 ) 
    

 

 

 

Energy Equipment & Services - (2.1)%

 

Baker Hughes Co.

      (3 )      (68 ) 

Halliburton Co.

      (26 )      (577 ) 

National Oilwell Varco, Inc.

      (4 )      (82 ) 

Schlumberger Ltd.

      (7 )      (221 ) 
    

 

 

 

       (948 ) 
    

 

 

 

Entertainment - (3.5)%

 

Activision Blizzard, Inc.

      (5 )      (293 ) 

Cinemark Holdings, Inc.

      (16 )      (493 ) 

Spotify Technology SA*

      (3 )      (375 ) 

Take-Two Interactive Software, Inc.*

      (3 )      (359 ) 

Walt Disney Co. (The)

      — (b)      (66 ) 
    

 

 

 

       (1,586 ) 
    

 

 

 

Equity Real Estate Investment Trusts (REITs) - (2.6)%

 

Apartment Investment & Management Co., Class A

      (2 )      (128 ) 

Apple Hospitality REIT, Inc.

      (5 )      (78 ) 

Iron Mountain, Inc.

      (3 )      (80 ) 

Macerich Co. (The)

      (5 )      (121 ) 

Realty Income Corp.

      (4 )      (321 ) 

Regency Centers Corp.

      (2 )      (100 ) 

Simon Property Group, Inc.

      (3 )      (339 ) 
    

 

 

 

       (1,167 ) 
    

 

 

 

Food & Staples Retailing - (2.2)%

 

Kroger Co. (The)

      (19 )      (511 ) 

Sysco Corp.

      (1 )      (93 ) 

Walgreens Boots Alliance, Inc.

      (8 )      (419 ) 
    

 

 

 

       (1,023 ) 
    

 

 

 

Food Products - (1.2)%

 

Campbell Soup Co.

      (6 )      (268 ) 

Kellogg Co.

      (4 )      (263 ) 
    

 

 

 

       (531 ) 
    

 

 

 

Health Care Equipment & Supplies - (0.7)%

 

Dentsply Sirona, Inc.

      (3 )      (157 ) 

Stryker Corp.

      (1 )      (149 ) 
    

 

 

 

       (306 ) 
    

 

 

 

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Shares (000)     Value ($000)  

Health Care Providers & Services - (3.1)%

     

AmerisourceBergen Corp.

      (6 )      (483 ) 

Cardinal Health, Inc.

      (3 )      (177 ) 

Henry Schein, Inc.*

      (9 )      (627 ) 

Patterson Cos., Inc.

      (7 )      (143 ) 
    

 

 

  
       (1,430 ) 
    

 

 

  

Health Care Technology - (0.8)%

     

Cerner Corp.

      (5 )      (352 ) 
    

 

 

  

Hotels, Restaurants & Leisure - (1.3)%

     

Chipotle Mexican Grill, Inc.*

      (1 )      (470 ) 

Marriott International, Inc., Class A

      — (b)      (61 ) 

Starbucks Corp.

      (1 )      (86 ) 
    

 

 

  
       (617 ) 
    

 

 

  

Household Durables - (0.6)%

     

PulteGroup, Inc.

      (2 )      (74 ) 

Toll Brothers, Inc.

      (5 )      (216 ) 
    

 

 

  
       (290 ) 
    

 

 

  

Household Products - (1.5)%

     

Clorox Co. (The)

      (3 )      (459 ) 

Colgate-Palmolive Co.

      (3 )      (225 ) 
    

 

 

  
       (684 ) 
    

 

 

  

Industrial Conglomerates - (0.4)%

     

3M Co.

      (1 )      (181 ) 
    

 

 

  

Insurance - (2.2)%

     

Aflac, Inc.

      (5 )      (248 ) 

Everest Re Group Ltd.

      (1 )      (155 ) 

Principal Financial Group, Inc.

      (4 )      (198 ) 

Travelers Cos., Inc. (The)

      (3 )      (341 ) 

Unum Group

      (3 )      (80 ) 
    

 

 

  
       (1,022 ) 
    

 

 

  

Internet & Direct Marketing Retail - (0.8)%

     

eBay, Inc.

      (11 )      (370 ) 
    

 

 

  

IT Services - (3.0)%

     

Infosys Ltd., ADR (India)

      (15 )      (166 ) 

Jack Henry & Associates, Inc.

      (2 )      (305 ) 

Paychex, Inc.

      (4 )      (384 ) 

Western Union Co. (The)

      (19 )      (507 ) 
    

 

 

  
       (1,362 ) 
    

 

 

  

Leisure Products - (0.4)%

     

Mattel, Inc.*

      (14 )      (201 ) 
    

 

 

  

Life Sciences Tools & Services - (1.7)%

     

Mettler-Toledo International, Inc.*

      — (b)      (198 ) 

Waters Corp.*

      (3 )      (576 ) 
    

 

 

  
       (774 ) 
    

 

 

  

Machinery - (1.8)%

     

Donaldson Co., Inc.

      (9 )      (442 ) 

Illinois Tool Works, Inc.

      (2 )      (360 ) 
    

 

 

  
       (802 ) 
    

 

 

  

Media - (3.6)%

     

AMC Networks, Inc., Class A*

      (3 )      (93 ) 

Fox Corp., Class A

      (7 )      (254 ) 

Interpublic Group of Cos., Inc. (The)

      (14 )      (324 ) 

Omnicom Group, Inc.

      (11 )      (812 ) 

Sirius XM Holdings, Inc.

      (20 )      (143 ) 
    

 

 

  
       (1,626 ) 
    

 

 

  

Multiline Retail - (1.2)%

     

Kohl’s Corp.

      (9 )      (376 ) 

Macy’s, Inc.

      (11 )      (169 ) 
    

 

 

  
       (545 ) 
    

 

 

  

Multi-Utilities - (2.7)%

     

Dominion Energy, Inc.

      (9 )      (810 ) 

DTE Energy Co.

      (2 )      (268 ) 

Public Service Enterprise Group, Inc.

      (3 )      (164 ) 
    

 

 

  
       (1,242 ) 
    

 

 

  

Oil, Gas & Consumable Fuels - (5.2)%

     

Apache Corp.

      (7 )      (190 ) 

Cabot Oil & Gas Corp.

      (4 )      (58 ) 

Devon Energy Corp.

      (9 )      (204 ) 

Enbridge, Inc. (Canada)

      (15 )      (595 ) 

Exxon Mobil Corp.

      (7 )      (453 ) 

Hess Corp.

      (2 )      (120 ) 

HollyFrontier Corp.

      (5 )      (216 ) 

Kinder Morgan, Inc.

      (3 )      (61 ) 

Marathon Oil Corp.

      (16 )      (185 ) 

Occidental Petroleum Corp.

      (4 )      (164 ) 

Range Resources Corp.

      (16 )      (47 ) 

Valero Energy Corp.

      (1 )      (55 ) 
    

 

 

  
       (2,348 ) 
    

 

 

  

Paper & Forest Products - (0.3)%

     

Domtar Corp.

      (4 )      (131 ) 
    

 

 

  

Personal Products - (0.3)%

     

Coty, Inc., Class A

      (13 )      (131 ) 
    

 

 

  

Professional Services - (1.6)%

     

Equifax, Inc.

      (1 )      (135 ) 

Robert Half International, Inc.

      (10 )      (579 ) 
    

 

 

  
       (714 ) 
    

 

 

  

Road & Rail - (2.3)%

     

Heartland Express, Inc.

      (28 )      (514 ) 

JB Hunt Transport Services, Inc.

      (1 )      (146 ) 

Knight-Swift Transportation Holdings, Inc.

      (2 )      (90 ) 

Schneider National, Inc., Class B

      (7 )      (153 ) 

Werner Enterprises, Inc.

      (4 )      (144 ) 
    

 

 

  
       (1,047 ) 
    

 

 

  

Semiconductors & Semiconductor Equipment - (1.9)%

     

Intel Corp.

      (5 )      (351 ) 

QUALCOMM, Inc.

      (4 )      (356 ) 

Universal Display Corp.

      (1 )      (169 ) 
    

 

 

  
       (876 ) 
    

 

 

  

Software - (1.8)%

     

Citrix Systems, Inc.

      (1 )      (154 ) 

Oracle Corp.

      (7 )      (345 ) 

Splunk, Inc.*

      (2 )      (266 ) 

Teradata Corp.*

      (3 )      (62 ) 
    

 

 

  
       (827 ) 
    

 

 

  

Specialty Retail - (1.5)%

     

Ascena Retail Group, Inc.*

      (5 )      (23 ) 

Bed Bath & Beyond, Inc.

      (13 )      (192 ) 

CarMax, Inc.*

      (1 )      (76 ) 

Gap, Inc. (The)

      (5 )      (79 ) 

Williams-Sonoma, Inc.

      (5 )      (318 ) 
    

 

 

  
       (688 ) 
    

 

 

  

Technology Hardware, Storage & Peripherals - (3.0)%

     

Hewlett Packard Enterprise Co.

      (17 )      (232 ) 

HP, Inc.

      (7 )      (152 ) 

NetApp, Inc.

      (6 )      (316 ) 

Seagate Technology plc

      (5 )      (299 ) 

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

Investments

    Shares (000)     Value ($000)  

Western Digital Corp.

      (3 )      (217 ) 

Xerox Holdings Corp.

      (4 )      (133 ) 
    

 

 

  
       (1,349 ) 
    

 

 

  

Textiles, Apparel & Luxury Goods - (0.8)%

     

Canada Goose Holdings, Inc. (Canada)*

      (1 )      (43 ) 

Hanesbrands, Inc.

      (9 )      (129 ) 

VF Corp.

      (2 )      (198 ) 
    

 

 

  
       (370 ) 
    

 

 

  

Trading Companies & Distributors - (0.7)%

     

Fastenal Co.

      (9 )      (323 ) 
    

 

 

  

TOTAL COMMON STOCKS

(Proceeds $(41,602))

        (37,949)  
 

 

 

  

TOTAL SHORT POSITIONS

(Proceeds $(41,602))

        (37,949)  
 

 

 

  
Total Investments - 15.2%
(Cost $(7,186))		        6,936  

Other Assets Less Liabilities - 84.8%

        38,573  
 

 

 

  

Net Assets - 100.0%

                    45,509  
 

 

 

  

                                                                                                              

Percentages indicated are based on net assets.

 

Abbreviations
ADR    American Depositary Receipt
CVR    Contingent Value Rights
NYRS    New York Registry Shares
REIT    Real Estate Investment Trust

 

(a)

All or a portion of this security is segregated as collateral for short sales. The total value of securities segregated as collateral is approximately 7,740,000.

(b)

Amount rounds to less than one thousand.

(c)

Amount rounds to less than 0.1% of net assets.

(d)

Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.

(e)

The rate shown is the current yield as of January 31, 2020.

*

Non-income producing security.

Futures contracts outstanding as of January 31, 2020 (amounts in thousands, except number of contracts):

 

Description    Number of
Contracts		     Expiration
Date		      Trading Currency      Notional
Amount
($)		     Value and
Unrealized
Appreciation
(Depreciation)
($)		  

Short Contracts

 

S&P 500 E-Mini Index

      (10 )      03/2020        USD        (1,613 )                              35  
            

 

 

  

 

Abbreviations
USD    United States Dollar

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.

JPMorgan Research Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

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

 

J.P. Morgan Investment Management Inc. (the “Administrator”) has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Fund’s investments. The Administrator implements the valuation policies of the Fund’s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight including, but not limited to, consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Fund are calculated on a valuation date.

Investments in open-end investment companies (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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

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

The various inputs that are used in determining the valuation of the Fund’s investments are summarized into the three broad levels listed below.

 

  ·  

Level 1 — Unadjusted inputs using quoted prices in active markets for identical investments.

  ·  

Level 2 — Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs.

  ·  

Level 3 — Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund’s assumptions in determining the fair value of investments).

A financial instrument’s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments.

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

 

      
 Level 1
Quoted prices		  
 		    

 Level 2
Other significant observable
inputs
 
 		     
 Level 3
Significant unobservable inputs
 		      Total  
Total Investments in Securities(a)    $                 44,885     $                     –              $                 –              $             44,885   
  

 

 

    

 

 

     

 

 

     

 

 

  
Total Liabilities for Securities Sold Short(a)    $ (37,949 )    $ –              $ –              $ (37,949)   
  

 

 

    

 

 

     

 

 

     

 

 

  
Appreciation in Other Financial Instruments           
Futures Contracts (a)    $ 35     $ –              $ –              $ 35   
  

 

 

    

 

 

     

 

 

     

 

 

  

 

(a)

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

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

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

 

For the period ended 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)

    $ 9,419      $ 15,981      $ 19,929      $ 1      $ (1 )    $ 5,471        5,469      $ 34      $ —  
  

 

 

        

 

 

  
(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.