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JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited)

 

Investments

    Shares (000)      Value ($000)  

COMMON STOCKS — 96.4%

 

Aerospace & Defense — 1.0%

 

General Dynamics Corp. (a)

      135        18,644  

Northrop Grumman Corp.

      145        45,872  

Raytheon Technologies Corp.

      909        52,281  
     

 

 

  
        116,797  
     

 

 

  

Airlines — 0.3%

      

Delta Air Lines, Inc.

      386        11,805  

Southwest Airlines Co.

      501        18,773  
     

 

 

  
        30,578  
     

 

 

  

Auto Components — 0.1%

      

Magna International, Inc. (Canada)

      367        16,782  
     

 

 

  

Automobiles — 0.2%

      

General Motors Co.

      710        20,997  
     

 

 

  

Banks — 2.9%

      

Bank of America Corp. (a)

      2,141        51,566  

Citigroup, Inc.

      2,416        104,161  

Citizens Financial Group, Inc.

      882        22,284  

KeyCorp

      3,018        35,999  

Regions Financial Corp.

      2,328        26,845  

Truist Financial Corp.

      409        15,546  

US Bancorp

      714        25,579  

Wells Fargo & Co.

      2,447        57,529  
     

 

 

  
        339,509  
     

 

 

  

Beverages — 1.2%

      

Coca-Cola Co. (The) (a)

      1,590        78,488  

Constellation Brands, Inc., Class A

      308        58,276  
     

 

 

  
        136,764  
     

 

 

  

Biotechnology — 2.6%

      

AbbVie, Inc.

      1,366        119,650  

Alexion Pharmaceuticals, Inc. *

      351        40,195  

Amgen, Inc. (a)

      75        19,019  

Biogen, Inc. * (a)

      110        31,251  

Regeneron Pharmaceuticals, Inc. *

      74        41,514  

Vertex Pharmaceuticals, Inc.*

      184        49,976  
     

 

 

  
        301,605  
     

 

 

  

Building Products — 0.9%

      

Carrier Global Corp.

      1,008        30,800  

Masco Corp.

      696        38,374  

Trane Technologies plc

      313        38,001  
     

 

 

  
        107,175  
     

 

 

  

Capital Markets — 2.8%

      

BlackRock, Inc.

      126        71,048  

Goldman Sachs Group, Inc. (The)

      133        26,804  

Intercontinental Exchange, Inc.

      277        27,734  

MarketAxess Holdings, Inc.

      31        14,848  

Morgan Stanley

      1,408        68,061  

MSCI, Inc.

      45        15,886  

S&P Global, Inc.

      207        74,684  

State Street Corp.

      434        25,742  

T. Rowe Price Group, Inc.

      82        10,571  
     

 

 

  
        335,378  
     

 

 

  

Chemicals — 1.7%

      

Air Products and Chemicals, Inc.

      88        26,202  

Celanese Corp.

      227        24,403  

Dow, Inc.

      539        25,340  

DuPont de Nemours, Inc.

      422        23,439  

Eastman Chemical Co.

      601        46,948  

Linde plc (United Kingdom)

      153        36,545  

LyondellBasell Industries NV, Class A

      204        14,348  
     

 

 

  
        197,225  
     

 

 

  

Commercial Services & Supplies — 0.1%

      

Cintas Corp. (a)

      43        14,188  
     

 

 

  

Communications Equipment — 0.4%

      

Cisco Systems, Inc.

      897        35,322  

Motorola Solutions, Inc.

      40        6,249  
     

 

 

  
        41,571  
     

 

 

  

Consumer Finance — 0.4%

      

Capital One Financial Corp.

      626        44,975  
     

 

 

  

Containers & Packaging — 0.6%

      

Avery Dennison Corp.

      201        25,641  

Crown Holdings, Inc. * (a)

      293        22,508  

Packaging Corp. of America

      80        8,746  

Westrock Co.

      417        14,489  
     

 

 

  
        71,384  
     

 

 

  

Diversified Consumer Services — 0.0% (b)

      

H&R Block, Inc.

      159        2,598  
     

 

 

  

Diversified Financial Services — 1.7%

      

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

      883        188,002  

Voya Financial, Inc.

      150        7,198  
     

 

 

  
        195,200  
     

 

 

  

Diversified Telecommunication Services — 1.1%

      

Verizon Communications, Inc. (a)

      2,114        125,782  
     

 

 

  

Electric Utilities — 1.7%

      

Entergy Corp.

      603        59,377  

FirstEnergy Corp.

      230        6,604  

NextEra Energy, Inc. (a)

      427        118,546  

Xcel Energy, Inc. (a)

      299        20,625  
     

 

 

  
        205,152  
     

 

 

  

Electrical Equipment — 0.9%

      

Eaton Corp. plc

      796        81,255  

Emerson Electric Co.

      428        28,069  
     

 

 

  
        109,324  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.2%

      

TE Connectivity Ltd.

      199        19,467  
     

 

 

  

Entertainment — 1.3%

      

Electronic Arts, Inc. *

      131        17,044  

Netflix, Inc. * (a)

      271        135,703  
     

 

 

  
        152,747  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.8%

      

Camden Property Trust

      289        25,689  

Equinix, Inc.

      81        61,380  

Equity LifeStyle Properties, Inc.

      167        10,266  

Mid-America Apartment Communities, Inc.

      180        20,867  

Prologis, Inc.

      660        66,436  

Realty Income Corp.

      86        5,216  

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

Investments

    Shares (000)      Value ($000)  

Sun Communities, Inc.

      55        7,747  

UDR, Inc.

      120        3,897  

Ventas, Inc.

      316        13,276  
     

 

 

  
        214,774  
     

 

 

  

Food & Staples Retailing — 0.6%

      

Costco Wholesale Corp.

      142        50,462  

Kroger Co. (The)

      568        19,254  
     

 

 

  
        69,716  
     

 

 

  

Food Products — 0.7%

      

Conagra Brands, Inc.

      201        7,170  

Mondelez International, Inc., Class A (a)

      1,387        79,672  
     

 

 

  
        86,842  
     

 

 

  

Health Care Equipment & Supplies — 3.0%

      

ABIOMED, Inc. *

      18        5,023  

Baxter International, Inc.

      674        54,208  

Becton Dickinson and Co.

      152        35,283  

Boston Scientific Corp. * (a)

      1,001        38,239  

DexCom, Inc. *

      38        15,729  

Edwards Lifesciences Corp. *

      148        11,850  

Intuitive Surgical, Inc. * (a)

      32        22,793  

Medtronic plc (a)

      923        95,935  

Zimmer Biomet Holdings, Inc. (a)

      512        69,738  
     

 

 

  
        348,798  
     

 

 

  

Health Care Providers & Services — 2.7%

      

Anthem, Inc. (a)

      143        38,335  

Centene Corp. *

      131        7,653  

Cigna Corp. (a)

      348        58,944  

DaVita, Inc. *

      5        448  

McKesson Corp.

      423        62,949  

UnitedHealth Group, Inc. (a)

      481        150,006  
     

 

 

  
        318,335  
     

 

 

  

Hotels, Restaurants & Leisure — 0.5%

      

Hilton Worldwide Holdings, Inc.

      308        26,309  

Yum! Brands, Inc.

      411        37,525  
     

 

 

  
        63,834  
     

 

 

  

Household Durables — 0.4%

      

Lennar Corp., Class A

      604        49,355  
     

 

 

  

Household Products — 1.9%

      

Kimberly-Clark Corp.

      395        58,299  

Procter & Gamble Co. (The) (a)

      1,226        170,435  
     

 

 

  
        228,734  
     

 

 

  

Industrial Conglomerates — 1.1%

      

Honeywell International, Inc. (a)

      771        126,976  
     

 

 

  

Insurance — 1.7%

      

Allstate Corp. (The) (a)

      621        58,479  

American International Group, Inc.

      353        9,706  

Chubb Ltd.

      271        31,480  

Hartford Financial Services Group, Inc. (The)

      426        15,693  

Marsh & McLennan Cos., Inc.

      207        23,755  

MetLife, Inc.

      129        4,798  

Progressive Corp. (The)

      654        61,949  
     

 

 

  
        205,860  
     

 

 

  

Interactive Media & Services — 5.5%

      

Alphabet, Inc., Class A * (a)

      155        226,469  

Alphabet, Inc., Class C * (a)

      124        182,057  

Facebook, Inc., Class A * (a)

      931        243,930  
     

 

 

  
        652,456  
     

 

 

  

Internet & Direct Marketing Retail — 5.5%

      

Amazon.com, Inc. * (a)

      189        595,677  

Booking Holdings, Inc. * (a)

      28        47,305  
     

 

 

  
        642,982  
     

 

 

  

IT Services — 6.1%

      

Accenture plc, Class A

      424        95,873  

Automatic Data Processing, Inc. (a)

      199        27,818  

Booz Allen Hamilton Holding Corp.

      135        11,235  

FleetCor Technologies, Inc. *

      35        8,278  

International Business Machines Corp.

      537        65,356  

Leidos Holdings, Inc.

      473        42,159  

Mastercard, Inc., Class A (a)

      620        209,729  

PayPal Holdings, Inc. * (a)

      731        144,092  

Visa, Inc., Class A (a)

      561        112,224  
     

 

 

  
        716,764  
     

 

 

  

Life Sciences Tools & Services — 1.5%

      

Illumina, Inc. *

      93        28,662  

Thermo Fisher Scientific, Inc. (a)

      313        138,245  

Waters Corp. *

      28        5,479  
     

 

 

  
        172,386  
     

 

 

  

Machinery — 1.8%

      

Cummins, Inc. (a)

      226        47,823  

Deere & Co.

      151        33,377  

Parker-Hannifin Corp.

      271        54,803  

Snap-on, Inc.

      118        17,288  

Stanley Black & Decker, Inc.

      369        59,853  
     

 

 

  
        213,144  
     

 

 

  

Media — 2.4%

      

Altice USA, Inc., Class A * (a)

      425        11,040  

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

      184        114,794  

Comcast Corp., Class A (a)

      2,465        114,039  

Discovery, Inc., Class A *

      867        18,874  

Discovery, Inc., Class C *

      1,247        24,444  
     

 

 

  
        283,191  
     

 

 

  

Metals & Mining — 0.2%

      

Newmont Corp.

      322        20,404  
     

 

 

  

Multiline Retail — 0.8%

      

Dollar Tree, Inc. *

      284        25,920  

Target Corp.

      453        71,383  
     

 

 

  
        97,303  
     

 

 

  

Multi-Utilities — 1.1%

      

Ameren Corp.

      235        18,584  

CMS Energy Corp.

      454        27,861  

DTE Energy Co.

      239        27,488  

Public Service Enterprise Group, Inc.

      715        39,233  

Sempra Energy

      121        14,281  
     

 

 

  
        127,447  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.0%

      

Cabot Oil & Gas Corp.

      193        3,353  

Cheniere Energy, Inc. *

      246        11,404  

Chevron Corp. (a)

      996        71,696  

Diamondback Energy, Inc.

      348        10,492  

EOG Resources, Inc. (a)

      944        33,929  

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

Investments

    Shares (000)      Value ($000)  

Exxon Mobil Corp. (a)

      476        16,354  

Kinder Morgan, Inc.

      888        10,944  

Phillips 66

      583        30,211  

Pioneer Natural Resources Co. (a)

      439        37,746  

Williams Cos., Inc. (The)

      491        9,650  
     

 

 

  
        235,779  
     

 

 

  

Personal Products — 0.2%

      

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

      116        25,208  
     

 

 

  

Pharmaceuticals — 3.9%

      

Bristol-Myers Squibb Co. (a)

      1,844        111,201  

Eli Lilly and Co. (a)

      621        91,971  

Johnson & Johnson (a)

      688        102,490  

Merck & Co., Inc. (a)

      1,693        140,400  

Pfizer, Inc.

      520        19,088  
     

 

 

  
        465,150  
     

 

 

  

Professional Services — 0.1%

      

Verisk Analytics, Inc.

      66        12,257  
     

 

 

  

Road & Rail — 1.3%

      

CSX Corp.

      572        44,442  

Lyft, Inc., Class A *

      185        5,109  

Norfolk Southern Corp. (a)

      423        90,564  

Union Pacific Corp. (a)

      80        15,803  
     

 

 

  
        155,918  
     

 

 

  

Semiconductors & Semiconductor Equipment — 5.4%

      

Advanced Micro Devices, Inc. * (a)

      746        61,168  

Analog Devices, Inc.

      621        72,448  

Applied Materials, Inc.

      966        57,421  

Intel Corp.

      513        26,556  

Lam Research Corp.

      137        45,351  

Microchip Technology, Inc.

      217        22,292  

Micron Technology, Inc. *

      656        30,785  

NVIDIA Corp. (a)

      207        112,054  

NXP Semiconductors NV (Netherlands)

      404        50,404  

Qorvo, Inc. *

      234        30,138  

QUALCOMM, Inc.

      162        19,086  

Texas Instruments, Inc. (a)

      794        113,364  
     

 

 

  
        641,067  
     

 

 

  

Software — 8.7%

      

Fortinet, Inc. *

      58        6,799  

Intuit, Inc. (a)

      259        84,469  

Microsoft Corp. (a)

      3,608        758,950  

salesforce.com, Inc. * (a)

      601        151,136  

Workday, Inc., Class A *

      124        26,572  
     

 

 

  
        1,027,926  
     

 

 

  

Specialty Retail — 3.6%

      

AutoZone, Inc. * (a)

      44        51,916  

Best Buy Co., Inc. (a)

      626        69,683  

Home Depot, Inc. (The) (a)

      472        131,047  

Lowe’s Cos., Inc. (a)

      707        117,303  

Ross Stores, Inc. (a)

      19        1,741  

TJX Cos., Inc. (The)

      866        48,198  
     

 

 

  
        419,888  
     

 

 

  

Technology Hardware, Storage & Peripherals — 7.0%

      

Apple, Inc.

      6,942        803,907  

HP, Inc.

      1,360        25,819  
     

 

 

  
        829,726  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.0%

      

Carter’s, Inc.

      303        26,277  

NIKE, Inc., Class B

      701        87,950  
     

 

 

  
        114,227  
     

 

 

  

Tobacco — 1.2%

      

Altria Group, Inc. (a)

      1,635        63,165  

Philip Morris International, Inc.

      1,067        80,028  
     

 

 

  
        143,193  
     

 

 

  

Wireless Telecommunication Services — 0.6%

      

T-Mobile US, Inc. *

      597        68,227  
     

 

 

  

TOTAL COMMON STOCKS

(Cost $9,068,771)

         11,363,065  
     

 

 

  
     No. of
Contracts		         

OPTIONS PURCHASED — 3.4%

      

PUT OPTIONS PURCHASED — 3.4%

      

Index Funds — 3.4%

      

S&P 500 Index

      

12/31/2020 at USD 3,180.00, European Style Notional Amount: USD 11,235,783 Exchange-Traded * (Cost $388,659)

      33,410        401,922  
     

 

 

  
     Shares (000)         

SHORT-TERM INVESTMENTS — 3.1%

      

INVESTMENT COMPANIES — 3.1%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (c)(d)(Cost $370,795)

      370,795        370,795  
     

 

 

  
Total Investments — 102.9%
(Cost $9,828,225)		         12,135,782  

Liabilities in Excess of Other Assets — (2.9)%

 

      (341,053 ) 
     

 

 

  

Net Assets — 100.0%

 

      11,794,729  
     

 

 

  

 

Percentages indicated are based on net assets.

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

Abbreviations

 

USD    United States Dollar
(a)    All or a portion of the security is segregated for options written.
(b)    Amount rounds to less than 0.1% of net assets.
(c)    Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc.
(d)    The rate shown is the current yield as of September 30, 2020.
*    Non-income producing security.

Futures contracts outstanding as of September 30, 2020 (amounts in thousands, except number of contracts):

 

Description

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

Long Contracts

 

S&P 500 E-Mini Index

      1,183        12/2020        USD        198,123        4,414  
              

 

 

  

 

Abbreviations
USD    United States Dollar

Written Call Options Contracts as of September 30, 2020 (amounts in thousands, except number of contracts):

 

Description

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

S&P 500 Index

      Exchange-Traded        33,410        USD 11,235,783        USD 3,510.00        12/31/2020        (310,713 ) 
                 

 

 

  

Written Put Options Contracts as of September 30, 2020 (amounts in thousands, except number of contracts):

 

Description

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

S&P 500 Index

      Exchange-Traded        33,410        USD 11,235,783        USD 2,675.00        12/31/2020        (101,566 ) 
                 

 

 

  

Total Written Options Contracts (Premiums Received $397,846)

 

      (412,279 ) 
                 

 

 

  

 

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.

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

JPMorgan Hedged Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF SEPTEMBER 30, 2020 (Unaudited) (continued)

 

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)

   $ 12,135,782     $ —       $ —       $ 12,135,782  
 

 

 

    

 

 

    

 

 

    

 

 

  

Appreciation in Other Financial Instruments

        

Futures Contracts (a)

   $ 4,414     $ —       $ —       $ 4,414  
 

 

 

    

 

 

    

 

 

    

 

 

  

Depreciation in Other Financial Instruments

        

Options Written (a)

        

Call Options Written

   $ (310,713 )    $ —       $ —       $ (310,713 ) 

Put Options Written

     (101,566 )      —         —         (101,566 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

Total Depreciation in Other Financial Instruments

   $ (412,279 )    $ —       $ —       $ (412,279 ) 
 

 

 

    

 

 

    

 

 

    

 

 

  

 

(a)

Please refer to the SOI for specifics of portfolio holdings.

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

 

For the period ended September 30, 2020

  

Security Description

    Value at
June 30,
2020		      Purchases
at Cost		      Proceeds
from Sales		      Net
Realized
Gain (Loss)		      Change in
Unrealized
Appreciation/
(Depreciation)		      Value at
September 30,
2020		      Shares at
September 30,
2020		      Dividend
Income		      Capital Gain
Distributions		  

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (a) (b)

    $ 456,381      $ 2,065,312      $ 2,150,898      $ —        $ —        $ 370,795        370,795      $ 16      $ —    
  

 

 

     

 

 

     

 

 

     

 

 

     

 

 

     

 

 

        

 

 

     

 

 

  

 

(a)

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

(b)

The rate shown is the current yield as of September 30, 2020.