N-Q 1 d553628dnq.htm J.P. MORGAN EXCHANGE-TRADED FUND TRUST J.P. Morgan Exchange-Traded Fund Trust

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-Q

 

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS

OF REGISTERED MANAGEMENT INVESTMENT COMPANY

Investment Company Act file number: 811-22903

 

 

J.P. Morgan Exchange-Traded Fund Trust

(Exact name of registrant as specified in charter)

 

 

270 Park Avenue

New York, New York 10017

(Address of principal executive offices) (Zip code)

 

 

Noah Greenhill, Esq.

270 Park Avenue

New York, New York 10017

(Name and Address of Agent for Service)

 

 

With copies to:

 

Elizabeth A. Davin, Esq.   Jon S. Rand Esq.
JPMorgan Chase & Co.   Dechert LLP
1111 Polaris Parkway   1095 Avenue of the Americas
Columbus, OH 43240   New York, NY 10036

 

 

Registrant’s telephone number, including area code: (800) 480-4111

Date of fiscal year end: October 31

Date of reporting period: July 31, 2018

 

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget (“OMB”) control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 450 Fifth Street, NW, Washington, DC 20549-0609. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

ITEM 1. SCHEDULE OF INVESTMENTS.

J.P. Morgan Exchange-Traded Fund Trust

Schedule of Portfolio Investments as of July 31, 2018

(Unaudited)

THE “UNAUDITED CERTIFIED 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. Certified 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.

J.P. Morgan Asset Management is the marketing name for the asset management business of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc.

JPMorgan Distribution Services, Inc.

© JPMorgan Chase & Co., 2018.

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.7%

 

Australia — 1.2%

 

BHP Billiton plc

      88,452        2,035,611  

Rio Tinto plc

      48,600        2,668,185  
     

 

 

  
        4,703,796  
     

 

 

  

Austria — 0.6%

 

ANDRITZ AG

      2,916        165,306  

BAWAG Group AG (a)

      1,701        80,217  

Erste Group Bank AG *

      14,256        615,736  

EVN AG

      1,296        25,779  

IMMOFINANZ AG *

      4,051        106,645  

Lenzing AG

      567        72,006  

Oesterreichische Post AG

      1,215        57,551  

OMV AG

      6,075        343,317  

Raiffeisen Bank International AG

      5,589        186,366  

Strabag SE

      729        29,325  

Telekom Austria AG *

      5,832        50,738  

UNIQA Insurance Group AG

      4,941        49,407  

Verbund AG

      4,941        194,813  

Vienna Insurance Group AG Wiener Versicherung Gruppe

      1,701        48,422  

voestalpine AG

      4,617        231,013  
     

 

 

  
        2,256,641  
     

 

 

  

Belgium — 2.1%

 

Ackermans & van Haaren NV

      891        162,503  

Ageas

      8,100        434,445  

Anheuser-Busch InBev SA/NV

      42,039        4,278,059  

bpost SA

      3,969        62,569  

Colruyt SA

      2,511        150,110  

Elia System Operator SA/NV

      1,458        90,862  

Groupe Bruxelles Lambert SA

      3,321        352,786  

KBC Group NV

      14,337        1,100,631  

Proximus SADP

      6,561        160,804  

Sofina SA

      810        146,789  

Solvay SA

      2,997        410,591  

Telenet Group Holding NV *

      2,106        101,412  

UCB SA

      5,346        459,621  

Umicore SA

      8,748        511,956  
     

 

 

  
        8,423,138  
     

 

 

  

Chile — 0.0% (b)

 

Antofagasta plc

      14,337        188,289  
     

 

 

  

Colombia — 0.0% (b)

 

Millicom International Cellular SA, SDR

      2,592        166,043  
     

 

 

  

Denmark — 2.7%

 

AP Moller - Maersk A/S, Class A

      162        217,979  

AP Moller - Maersk A/S, Class B

      243        348,908  

Carlsberg A/S, Class B

      4,536        547,214  

Chr Hansen Holding A/S

      4,131        427,622  

Coloplast A/S, Class B

      4,941        538,913  

Danske Bank A/S

      29,322        852,113  

DSV A/S

      8,019        671,818  

Genmab A/S *

      2,511        430,226  

GN Store Nord A/S

      5,994        285,926  

H Lundbeck A/S

      2,430        175,862  

Investments

    Shares      Value($)  

Denmark — continued

 

ISS A/S

      7,695        287,432  

Jyske Bank A/S (Registered)

      2,916        165,161  

Novo Nordisk A/S, Class B

      73,872        3,674,933  

Novozymes A/S, Class B

      9,153        481,950  

Orsted A/S(a)

      8,829        544,824  

Pandora A/S

      4,536        322,112  

Rockwool International A/S, Class A

      243        86,942  

Rockwool International A/S, Class B

      324        129,731  

Tryg A/S

      5,022        122,931  

Vestas Wind Systems A/S

      8,586        554,052  

William Demant Holding A/S *

      4,212        201,326  
     

 

 

  
        11,067,975  
     

 

 

  

Finland — 1.8%

 

Amer Sports OYJ *

      4,779        153,237  

Elisa OYJ

      6,318        274,334  

Fortum OYJ

      18,306        459,902  

Huhtamaki OYJ

      4,050        145,448  

Kesko OYJ, Class A

      891        49,281  

Kesko OYJ, Class B

      2,835        159,209  

Kone OYJ, Class B

      17,010        929,865  

Konecranes OYJ

      3,159        122,244  

Metso OYJ

      5,265        192,839  

Neste OYJ

      5,346        440,972  

Nokia OYJ

      236,277        1,282,431  

Nokian Renkaat OYJ

      4,941        214,284  

Orion OYJ, Class A

      1,377        47,903  

Orion OYJ, Class B

      4,293        147,795  

Outokumpu OYJ

      13,284        89,914  

Sampo OYJ, Class A

      19,845        1,007,888  

Stora Enso OYJ, Class R

      23,895        394,326  

UPM-Kymmene OYJ

      22,437        795,900  

Wartsila OYJ Abp

      19,116        413,836  
     

 

 

  
        7,321,608  
     

 

 

  

France — 16.1%

 

Accor SA

      7,614        391,982  

Aeroports de Paris

      1,377        307,818  

Air Liquide SA

      17,982        2,299,073  

Airbus SE

      25,272        3,127,896  

Alstom SA *

      6,804        305,037  

Amundi SA (a)

      2,106        145,112  

Arkema SA

      3,078        385,436  

Atos SE

      3,888        520,982  

AXA SA

      81,405        2,051,176  

BioMerieux

      1,782        148,191  

BNP Paribas SA

      48,114        3,121,147  

Bollore SA

      37,908        176,245  

Bouygues SA

      9,153        401,949  

Bureau Veritas SA

      9,963        256,303  

Capgemini SE

      6,723        860,096  

Carrefour SA

      24,624        441,479  

Casino Guichard Perrachon SA

      2,187        88,797  

Cie de Saint-Gobain

      23,247        1,033,522  

Cie Generale des Etablissements Michelin SCA

      7,533        967,368  

CNP Assurances

      6,561        153,214  

Covivio, REIT

      2,268        236,218  

Credit Agricole SA

      51,354        721,532  
 

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

France — continued

 

Danone SA

      26,487        2,079,555  

Dassault Aviation SA

      81        149,721  

Dassault Systemes SE

      5,751        857,501  

Edenred

      9,234        362,209  

Eiffage SA

      2,916        325,865  

Electricite de France SA

      14,661        219,522  

Engie SA

      67,797        1,094,824  

Essilor International Cie Generale d’Optique SA

      8,424        1,241,395  

Eutelsat Communications SA

      7,290        156,062  

Faurecia SA

      3,078        209,083  

Gecina SA, REIT

      2,025        344,946  

Getlink

      19,683        259,816  

Hermes International

      1,215        768,969  

ICADE, REIT

      1,863        180,378  

Iliad SA

      1,134        179,282  

Imerys SA

      1,539        119,368  

Ipsen SA

      1,458        242,239  

JCDecaux SA

      3,159        103,251  

Kering SA

      3,159        1,678,962  

Klepierre SA, REIT

      8,667        326,409  

Lagardere SCA

      4,941        144,177  

Legrand SA

      11,097        814,496  

L’Oreal SA

      10,287        2,513,848  

LVMH Moet Hennessy Louis Vuitton SE

      11,340        3,951,855  

Natixis SA

      37,989        272,512  

Orange SA

      90,072        1,534,980  

Pernod Ricard SA

      8,910        1,435,560  

Peugeot SA

      23,166        665,373  

Publicis Groupe SA

      8,991        573,774  

Renault SA

      8,019        704,703  

Rexel SA

      12,636        197,625  

Safran SA

      13,689        1,697,487  

Sanofi

      48,114        4,185,740  

Schneider Electric SE

      22,680        1,820,430  

SEB SA

      1,053        200,013  

Societe Generale SA

      31,671        1,412,462  

Sodexo SA

      3,726        412,751  

Suez

      17,739        250,935  

Thales SA

      4,455        584,827  

TOTAL SA

      111,537        7,275,041  

Ubisoft Entertainment SA *

      2,835        312,474  

Unibail-Rodamco-Westfield, REIT

      5,670        1,258,746  

Valeo SA

      10,044        492,169  

Veolia Environnement SA

      23,571        537,861  

Vinci SA

      21,789        2,192,449  

Vivendi SA

      32,157        833,158  
     

 

 

  
        65,315,376  
     

 

 

  

Germany — 14.4%

 

1&1 Drillisch AG

      2,025        120,455  

adidas AG

      7,614        1,683,406  

Allianz SE (Registered)

      18,468        4,086,131  

Aroundtown SA

      27,621        230,421  

BASF SE

      38,475        3,688,157  

Bayer AG (Registered)

      37,665        4,193,138  

Bayerische Motoren Werke AG

      13,608        1,315,626  

Bayerische Motoren Werke AG (Preference)

      2,268        187,810  

Investments

    Shares      Value($)  

Germany — continued

 

Beiersdorf AG

      4,131        481,547  

Brenntag AG

      6,480        388,814  

Commerzbank AG *

      44,145        476,577  

Continental AG

      4,536        1,045,349  

Covestro AG (a)

      4,050        388,949  

Daimler AG (Registered)

      41,877        2,898,481  

Delivery Hero SE *(a)

      2,835        161,006  

Deutsche Bank AG (Registered)

      86,832        1,135,656  

Deutsche Boerse AG

      8,100        1,067,470  

Deutsche Lufthansa AG (Registered)

      9,801        274,991  

Deutsche Post AG (Registered)

      40,743        1,439,271  

Deutsche Telekom AG (Registered) *

      135,918        2,247,415  

Deutsche Wohnen SE

      14,823        721,663  

DWS Group GmbH & Co. KGaA *(a)

      1,458        46,271  

E.ON SE

      92,340        1,041,800  

Evonik Industries AG

      6,237        230,810  

Fraport AG Frankfurt Airport Services Worldwide

      1,539        153,634  

Fresenius Medical Care AG & Co. KGaA

      8,829        861,306  

Fresenius SE & Co. KGaA

      17,172        1,323,763  

GEA Group AG

      6,805        265,971  

Hannover Rueck SE

      2,511        334,929  

HeidelbergCement AG

      5,670        481,587  

Henkel AG & Co. KGaA

      4,293        460,351  

Henkel AG & Co. KGaA (Preference)

      7,614        955,467  

HOCHTIEF AG

      729        131,086  

HUGO BOSS AG

      2,673        241,029  

Infineon Technologies AG

      47,385        1,254,886  

Innogy SE (a)

      5,265        233,932  

K+S AG (Registered)

      8,100        214,155  

KION Group AG

      2,754        189,004  

LANXESS AG

      3,807        312,822  

Linde AG

      7,776        1,922,981  

MAN SE

      1,539        172,767  

MAN SE (Preference)

      243        26,994  

Merck KGaA

      5,427        557,874  

Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered)

      6,318        1,400,038  

Porsche Automobil Holding SE (Preference)

      6,561        443,788  

ProSiebenSat.1 Media SE

      9,720        262,341  

RWE AG

      20,736        544,202  

RWE AG (Preference) (Non-Voting)

      1,620        34,276  

SAP SE

      41,715        4,855,043  

Siemens AG (Registered)

      35,640        5,030,195  

Siemens Healthineers AG *(a)

      5,832        259,795  

Symrise AG

      5,184        468,576  

Talanx AG

      1,782        68,192  

Telefonica Deutschland Holding AG

      33,696        147,572  

thyssenkrupp AG

      16,119        428,975  

TUI AG

      18,954        405,552  

Uniper SE

      8,181        255,443  
 

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Germany — continued

 

United Internet AG (Registered)

      5,184        278,855  

Volkswagen AG

      1,377        237,588  

Volkswagen AG (Preference)

      7,695        1,370,959  

Vonovia SE

      21,465        1,038,847  

Wacker Chemie AG

      648        94,218  

Wirecard AG

      4,779        894,027  

Zalando SE* (a)

      5,022        288,115  
     

 

 

  
        58,452,349  
     

 

 

  

Ghana — 0.0% (b)

 

Tullow Oil plc *

      58,158        172,889  
     

 

 

  

Ireland — 0.9%

 

Bank of Ireland Group plc

      38,961        334,378  

CRH plc

      35,154        1,202,365  

Glanbia plc

      8,100        133,267  

Kerry Group plc, Class A

      6,237        661,497  

Kingspan Group plc

      6,399        297,212  

Paddy Power Betfair plc

      3,564        388,625  

Ryanair Holdings plc, ADR *

      4,050        426,870  

Smurfit Kappa Group plc

      9,963        409,382  
     

 

 

  
        3,853,596  
     

 

 

  

Italy — 3.6%

 

A2A SpA

      65,691        120,504  

Assicurazioni Generali SpA

      56,943        1,009,772  

Atlantia SpA

      19,683        583,024  

Banca Mediolanum SpA

      10,530        75,503  

Banco BPM SpA *

      63,585        201,526  

Brembo SpA

      6,399        87,585  

Buzzi Unicem SpA

      1,458        18,131  

Buzzi Unicem SpA

      2,997        65,918  

Davide Campari-Milano SpA

      23,976        201,964  

DiaSorin SpA

      972        104,278  

Enel SpA

      323,838        1,804,078  

Eni SpA

      106,677        2,053,376  

Ferrari NV

      5,265        698,787  

FinecoBank Banca Fineco SpA

      16,524        193,767  

Hera SpA

      30,618        101,546  

Intesa Sanpaolo SpA

      605,070        1,854,321  

Intesa Sanpaolo SpA

      39,204        124,881  

Leonardo SpA

      16,362        195,478  

Luxottica Group SpA

      5,832        394,313  

Mediaset SpA *

      16,281        55,122  

Mediobanca Banca di Credito Finanziario SpA

      25,515        264,199  

Moncler SpA

      6,885        303,447  

Parmalat SpA

      24,867        86,072  

Pirelli & C SpA * (a)

      16,848        147,077  

Poste Italiane SpA (a)

      19,278        179,352  

Prysmian SpA

      11,183        285,665  

Recordati SpA

      4,293        159,992  

Saipem SpA *

      24,138        126,078  

Salvatore Ferragamo SpA

      1,782        41,144  

Snam SpA

      93,960        403,517  

Telecom Italia SpA

      252,801        168,192  

Telecom Italia SpA *

      484,704        372,822  

Terna Rete Elettrica Nazionale SpA

      58,563        328,049  

UniCredit SpA

      88,614        1,564,671  

Unione di Banche Italiane SpA

      42,768        176,465  

UnipolSai Assicurazioni SpA

      39,204        89,106  
     

 

 

  
        14,639,722  
     

 

 

  

Investments

    Shares      Value($)  

Jersey — 0.1%

 

Randgold Resources Ltd.

      3,969        293,871  
     

 

 

  

Jordan — 0.0% (b)

 

Hikma Pharmaceuticals plc

      5,832        125,498  
     

 

 

  

Luxembourg — 0.5%

 

ArcelorMittal

      26,487        848,913  

Eurofins Scientific SE

      486        264,909  

RTL Group SA

      1,620        120,764  

SES SA, FDR

      16,200        323,839  

Tenaris SA

      19,764        362,070  
     

 

 

  
        1,920,495  
     

 

 

  

Mexico — 0.0% (b)

 

Fresnillo plc

      7,533        102,600  
     

 

 

  

Netherlands — 7.2%

 

ABN AMRO Group NV, CVA (a)

      17,415        481,977  

Aegon NV

      58,968        388,720  

Akzo Nobel NV

      10,611        980,042  

Altice Europe NV *

      22,680        75,578  

Altice Europe NV, Class B *

      3,645        12,115  

ASML Holding NV

      18,063        3,868,524  

Boskalis Westminster

      3,321        101,827  

EXOR NV

      4,050        265,676  

Gemalto NV *

      3,645        212,602  

GrandVision NV (a)

      2,511        57,644  

HAL Trust

      3,402        617,755  

Heineken Holding NV

      4,941        477,785  

Heineken NV

      8,991        908,468  

ING Groep NV

      161,919        2,475,217  

Koninklijke Ahold Delhaize NV

      52,326        1,330,686  

Koninklijke DSM NV

      7,614        811,499  

Koninklijke KPN NV

      176,337        509,830  

Koninklijke Philips NV

      39,366        1,728,150  

Koninklijke Vopak NV

      2,673        125,728  

NN Group NV

      12,636        558,222  

OCI NV *

      2,592        78,363  

Randstad NV

      5,184        328,085  

Royal Dutch Shell plc, Class A

      193,023        6,614,298  

Royal Dutch Shell plc, Class B

      157,221        5,507,014  

Wolters Kluwer NV

      11,583        697,515  
     

 

 

  
        29,213,320  
     

 

 

  

Norway — 1.2%

 

Aker ASA, Class A

      891        69,603  

Aker BP ASA

      4,455        159,181  

DNB ASA

      38,880        782,917  

Equinor ASA

      45,765        1,214,246  

Gjensidige Forsikring ASA

      8,100        130,013  

Kongsberg Gruppen ASA

      2,268        46,060  

Leroy Seafood Group ASA

      9,396        73,894  

Marine Harvest ASA

      17,415        380,800  

Norsk Hydro ASA

      57,267        326,653  

Orkla ASA

      34,668        293,354  

Salmar ASA

      2,349        119,855  

Schibsted ASA, Class A

      3,240        112,130  

Schibsted ASA, Class B

      4,131        133,926  
 

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Norway — continued

 

Storebrand ASA

      19,521        166,279  

Telenor ASA

      28,917        565,675  

TGS NOPEC Geophysical Co. ASA

      4,293        163,676  

Yara International ASA

      7,452        328,574  
     

 

 

  
        5,066,836  
     

 

 

  

Portugal — 0.3%

 

Banco Comercial Portugues SA, Class R *

      437,481        137,007  

EDP — Energias de Portugal SA

      102,222        417,048  

Galp Energia SGPS SA

      19,359        397,598  

Jeronimo Martins SGPS SA

      10,368        154,059  

Navigator Co. SA (The)

      10,692        60,979  

NOS SGPS SA

      10,449        60,861  

Sonae SGPS SA

      39,366        44,705  
     

 

 

  
        1,272,257  
     

 

 

  

Russia — 0.0% (b)

 

Evraz plc

      12,069        88,047  

Polymetal International plc

      10,206        89,002  
     

 

 

  
        177,049  
     

 

 

  

South Africa — 0.5%

 

Anglo American plc

      58,968        1,334,790  

Mediclinic International plc

      17,010        114,182  

Old Mutual Ltd. *

      206,955        473,537  
     

 

 

  
        1,922,509  
     

 

 

  

Spain — 4.7%

 

Acciona SA

      1,134        97,377  

ACS Actividades de Construccion y Servicios SA

      11,584        507,690  

Aena SME SA (a)

      3,078        558,887  

Amadeus IT Group SA

      18,468        1,575,431  

Banco Bilbao Vizcaya Argentaria SA

      279,855        2,050,122  

Banco de Sabadell SA

      235,710        392,402  

Banco Santander SA

      673,110        3,781,613  

Bankia SA

      42,687        167,807  

CaixaBank SA

      150,579        692,795  

EDP Renovaveis SA

      6,075        62,727  

Enagas SA

      9,477        264,945  

Endesa SA

      13,284        307,187  

Ferrovial SA

      20,736        428,012  

Grifols SA

      12,393        359,883  

Grifols SA (Preference), Class B

      10,935        229,008  

Iberdrola SA

      253,783        1,973,137  

Iberdrola SA *

      179        1,392  

Industria de Diseno Textil SA

      47,061        1,542,219  

Mapfre SA

      41,472        130,154  

Naturgy Energy Group SA

      14,742        399,343  

Red Electrica Corp. SA

      18,225        386,282  

Repsol SA

      55,161        1,094,117  

Siemens Gamesa Renewable Energy SA *

      9,477        133,682  

Telefonica SA

      191,646        1,722,039  

Zardoya Otis SA

      7,452        71,221  
     

 

 

  
        18,929,472  
     

 

 

  

Sweden — 4.6%

 

Ahlsell AB (a)

      11,016        64,565  

Alfa Laval AB

      12,636        347,357  

Assa Abloy AB, Class B

      41,634        821,876  

Atlas Copco AB, Class A *

      26,730        765,452  

Investments

    Shares      Value($)  

Sweden — continued

 

Atlas Copco AB, Class B *

      16,281        426,683  

Axfood AB

      4,536        91,835  

Boliden AB *

      11,502        342,389  

Castellum AB

      11,583        208,936  

Electrolux AB, Series B

      9,720        227,994  

Elekta AB, Class B

      15,390        216,078  

Essity AB, Class A

      972        25,033  

Essity AB, Class B

      25,353        634,193  

Fastighets AB Balder, Class B *

      4,212        122,434  

Getinge AB, Class B

      9,315        100,142  

Hennes & Mauritz AB, Class B

      37,989        591,474  

Hexagon AB, Class B

      11,178        681,293  

Hexpol AB

      10,611        114,138  

Holmen AB, Class B

      4,293        95,559  

Husqvarna AB, Class B

      17,334        136,948  

ICA Gruppen AB

      3,402        112,793  

Industrivarden AB, Class A

      7,209        157,740  

Industrivarden AB, Class C

      7,128        150,134  

Intrum AB

      3,078        82,813  

Investment AB Latour, Class B

      5,589        62,153  

Investor AB, Class A

      5,508        238,397  

Investor AB, Class B

      19,116        832,691  

Kinnevik AB, Class B

      9,882        341,065  

L E Lundbergforetagen AB, Class B

      3,078        100,579  

Lundin Petroleum AB

      7,371        243,034  

NCC AB, Class B

      3,726        60,146  

Nibe Industrier AB, Class B

      17,253        193,906  

Nordea Bank AB

      133,812        1,422,136  

Saab AB, Class B

      2,835        130,724  

Sandvik AB

      46,332        847,212  

Securitas AB, Class B

      13,122        236,091  

Skandinaviska Enskilda Banken AB, Class A

      71,847        768,052  

Skanska AB, Class B

      16,929        318,441  

SKF AB, Class A

      486        9,969  

SKF AB, Class B

      15,876        325,940  

SSAB AB, Class A

      9,153        45,151  

SSAB AB, Class B

      21,789        86,477  

Svenska Cellulosa AB SCA, Class A

      1,296        13,678  

Svenska Cellulosa AB SCA, Class B

      25,353        262,326  

Svenska Handelsbanken AB, Class A

      63,504        784,434  

Svenska Handelsbanken AB, Class B

      648        8,160  

Swedbank AB, Class A

      43,173        1,020,925  

Swedish Match AB

      7,452        407,381  

Swedish Orphan Biovitrum AB *

      6,966        188,453  

Tele2 AB, Class B

      14,742        197,813  

Telefonaktiebolaget LM Ericsson, Class A

      2,592        20,459  

Telefonaktiebolaget LM Ericsson, Class B

      127,737        1,002,768  

Telia Co. AB

      114,534        550,930  

Trelleborg AB, Class B

      10,206        212,515  

Volvo AB, Class A

      10,773        189,495  

Volvo AB, Class B

      65,448        1,148,548  
     

 

 

  
        18,787,908  
     

 

 

  
 

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Switzerland — 13.3%

 

ABB Ltd. (Registered)

      81,000        1,859,400  

Adecco Group AG (Registered)

      7,128        438,210  

Baloise Holding AG (Registered)

      2,025        315,778  

Barry Callebaut AG (Registered)

      81        137,998  

Chocoladefabriken Lindt & Spruengli AG

      81        558,421  

Cie Financiere Richemont SA (Registered)

      21,951        1,922,444  

Coca-Cola HBC AG *

      8,424        302,355  

Credit Suisse Group AG (Registered) *

      101,979        1,640,080  

EMS-Chemie Holding AG (Registered)

      324        207,804  

Ferguson plc

      10,125        798,486  

Geberit AG (Registered)

      1,539        685,278  

Givaudan SA (Registered)

      324        758,388  

Glencore plc *

      508,032        2,227,944  

Julius Baer Group Ltd. *

      9,315        511,018  

Kuehne + Nagel International AG (Registered)

      2,430        387,828  

LafargeHolcim Ltd. (Registered) *

      20,088        1,024,372  

Lonza Group AG (Registered) *

      3,159        972,395  

Nestle SA (Registered)

      130,572        10,640,749  

Novartis AG (Registered)

      107,001        8,979,711  

Pargesa Holding SA

      1,296        108,249  

Partners Group Holding AG

      810        614,682  

Roche Holding AG

      1,134        280,972  

Roche Holding AG

      29,484        7,242,642  

Schindler Holding AG

      1,782        414,980  

Schindler Holding AG (Registered)

      810        183,238  

SGS SA (Registered)

      243        633,419  

Sika AG (Registered)

      5,751        816,575  

Sonova Holding AG (Registered)

      2,349        433,065  

STMicroelectronics NV

      27,540        594,364  

Straumann Holding AG (Registered)

      486        377,392  

Sulzer AG (Registered)

      567        69,546  

Swatch Group AG (The)

      1,296        580,078  

Swatch Group AG (The) (Registered)

      3,078        253,309  

Swiss Life Holding AG (Registered) *

      1,458        522,808  

Swiss Re AG

      13,527        1,240,200  

Swisscom AG (Registered)

      1,053        494,379  

UBS Group AG (Registered) *

      160,704        2,641,401  

Vifor Pharma AG

      1,782        337,071  

Zurich Insurance Group AG *

      6,237        1,912,580  
     

 

 

  
        54,119,609  
     

 

 

  

United Arab Emirates — 0.0% (b)

 

NMC Health plc

      3,483        173,245  
     

 

 

  

United Kingdom — 23.1%

 

3i Group plc

      40,743        506,019  

Admiral Group plc

      10,773        280,041  

Aggreko plc

      10,692        104,193  

Ashtead Group plc

      21,060        646,530  

ASOS plc *

      2,268        180,584  

Associated British Foods plc

      15,066        485,046  

AstraZeneca plc

      53,055        4,083,976  

Auto Trader Group plc (a)

      40,014        223,192  

Aviva plc

      169,857        1,113,196  

Investments

    Shares      Value($)  

United Kingdom — continued

 

Babcock International Group plc

      20,979        196,650  

BAE Systems plc

      133,893        1,146,169  

Barclays plc

      669,060        1,701,960  

Barratt Developments plc

      42,201        295,572  

Berkeley Group Holdings plc

      5,913        289,420  

BP plc

      828,630        6,227,522  

British American Tobacco plc

      96,066        5,280,971  

British Land Co. plc (The), REIT

      41,796        361,989  

BT Group plc

      347,247        1,062,259  

Bunzl plc

      14,094        418,791  

Burberry Group plc

      17,577        485,511  

Centrica plc

      236,439        461,628  

CNH Industrial NV

      41,634        488,764  

Coca-Cola European Partners plc

      9,801        404,193  

Compass Group plc

      66,825        1,437,361  

ConvaTec Group plc (a)

      30,213        86,749  

Croda International plc

      5,670        382,533  

DCC plc

      3,807        352,213  

Derwent London plc, REIT

      4,617        188,980  

Diageo plc

      102,951        3,777,015  

Direct Line Insurance Group plc

      57,753        260,573  

Dixons Carphone plc

      41,634        96,533  

DS Smith plc

      44,631        294,876  

easyJet plc

      11,016        233,941  

Experian plc

      38,637        948,623  

Fiat Chrysler Automobiles NV *

      46,089        785,874  

G4S plc

      65,043        235,415  

GlaxoSmithKline plc

      204,930        4,256,448  

GVC Holdings plc

      23,490        360,896  

Halma plc

      15,795        291,374  

Hammerson plc, REIT

      33,372        228,234  

Hargreaves Lansdown plc

      10,287        280,234  

HSBC Holdings plc

      857,871        8,215,235  

Imperial Brands plc

      40,500        1,551,058  

Informa plc

      52,488        543,695  

InterContinental Hotels Group plc

      8,343        514,940  

International Consolidated Airlines Group SA

      34,668        322,646  

Intertek Group plc

      6,723        518,629  

Intu Properties plc, REIT

      36,774        84,275  

ITV plc

      152,118        328,770  

J Sainsbury plc

      71,523        306,710  

JD Sports Fashion plc

      17,577        107,868  

John Wood Group plc

      28,593        243,949  

Johnson Matthey plc

      8,343        411,042  

Just Eat plc *

      22,113        229,859  

Kingfisher plc

      90,720        352,702  

Land Securities Group plc, REIT

      31,590        390,593  

Legal & General Group plc

      247,941        853,247  

Lloyds Banking Group plc

      2,994,570        2,454,584  

London Stock Exchange Group plc

      13,284        765,598  

Marks & Spencer Group plc

      68,121        275,322  

Melrose Industries plc

      197,559        559,024  

Merlin Entertainments plc

      29,727        153,672  

Micro Focus International plc

      18,306        298,707  

Mondi plc

      15,471        425,383  

National Grid plc

      151,470        1,618,149  

NatWest Markets plc *

      140,373        469,430  

NEX Group plc

      13,284        176,005  
 

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

United Kingdom — continued

 

Next plc

      5,913        460,353  

Pearson plc

      32,886        398,318  

Persimmon plc

      12,879        418,884  

Prudential plc

      108,378        2,557,021  

Reckitt Benckiser Group plc

      28,107        2,505,757  

RELX NV

      42,606        926,625  

RELX plc

      43,821        954,744  

Rentokil Initial plc

      77,031        342,477  

Rightmove plc

      3,888        248,390  

Rolls-Royce Holdings plc *

      78,003        1,014,159  

Royal Mail plc

      38,232        235,224  

RSA Insurance Group plc

      43,092        364,451  

Sage Group plc (The)

      47,061        383,780  

Segro plc, REIT

      42,363        369,252  

Severn Trent plc

      9,963        252,863  

Sky plc

      44,145        881,990  

Smith & Nephew plc

      37,341        646,525  

Smiths Group plc

      16,524        349,209  

SSE plc

      42,849        702,142  

St James’s Place plc

      22,194        351,161  

Standard Chartered plc

      115,425        1,040,827  

Standard Life Aberdeen plc

      113,076        463,176  

Subsea 7 SA

      10,854        157,178  

Tate & Lyle plc

      19,683        160,987  

Taylor Wimpey plc

      137,214        314,888  

TechnipFMC plc

      19,521        629,158  

Tesco plc

      407,430        1,391,377  

Travis Perkins plc

      10,449        163,975  

Unilever NV, CVA

      71,928        4,149,595  

Unilever plc

      54,837        3,132,562  

United Utilities Group plc

      28,593        269,830  

Vodafone Group plc

      1,112,211        2,717,088  

Weir Group plc (The)

      10,802        276,806  

Whitbread plc

      7,695        395,294  

Wm Morrison Supermarkets plc

      98,739        338,564  

WPP plc

      55,647        870,430  
     

 

 

  
        93,948,200  
     

 

 

  

United States — 0.8%

 

Carnival plc

      9,072        526,607  

QIAGEN NV *

      9,639        349,479  

Shire plc

      38,394        2,186,698  
     

 

 

  
        3,062,784  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $398,576,530)

         405,677,075  
  

 

 

  

SHORT-TERM INVESTMENTS — 0.0% (b)

 

INVESTMENT COMPANIES — 0.0% (b)

 

JPMorgan U.S. Government Money Market
Fund Class Institutional
Shares, 1.77% (c)(d)
(Cost $122,591)

      122,591        122,591  
     

 

 

  

Total Investments — 99.7%
(Cost $398,699,121)

         405,799,666  

Other Assets Less Liabilities — 0.3%

         1,148,861  
  

 

 

  

Net Assets — 100.0%

         406,948,527  
     

 

 

  

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, July 31, 2018

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

Industry

    Percentage  

Banks

      10.4 % 

Pharmaceuticals

      9.6  

Oil, Gas & Consumable Fuels

      8.0  

Insurance

      5.5  

Chemicals

      4.1  

Food Products

      3.9  

Textiles, Apparel & Luxury Goods

      3.1  

Beverages

      3.0  

Metals & Mining

      2.8  

Personal Products

      2.5  

Capital Markets

      2.5  

Diversified Telecommunication Services

      2.5  

Automobiles

      2.3  

Machinery

      2.1  

Aerospace & Defense

      2.0  

Electric Utilities

      1.9  

Tobacco

      1.8  

Software

      1.7  

Health Care Equipment & Supplies

      1.6  

Media

      1.5  

Multi-Utilities

      1.5  

Electrical Equipment

      1.5  

Industrial Conglomerates

      1.4  

Semiconductors & Semiconductor Equipment

      1.4  

Professional Services

      1.4  

Hotels, Restaurants & Leisure

      1.2  

Food & Staples Retailing

      1.1  

Household Products

      1.1  

Construction & Engineering

      1.1  

Diversified Financial Services

      1.0  

Equity Real Estate Investment Trusts (REITs)

      1.0  

Others (each less than 1.0%)

      13.5  
 

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Futures contracts outstanding as of July 31, 2018:

 

Description

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

Long Contracts

 

EURO STOXX 50 Index

      19        09/2018        EUR        782,373        12,653  

FTSE 100 Index

      4        09/2018        GBP        403,931        5,151  
              

 

 

  
                 17,804  
              

 

 

  

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Abbreviations
ADR     

American Depositary Receipt

CVA     

Dutch Certification

EUR     

Euro

FDR     

Fiduciary Depositary Receipt

FTSE     

Financial Times and the London Stock Exchange

GBP     

British Pound

OYJ     

Public Limited Company

Preference      A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT     

Real Estate Investment Trust

SDR     

Swedish Depositary Receipt

SCA     

Limited partnership with share capital

(a)      Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. 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.
(b)      Amount rounds to less than 0.05% of net assets.
(c)      Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(d)      The rate shown is the current yield as of July 31, 2018.
*      Non-income producing security.

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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

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

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

 

  •  

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

 

  •  

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

 

  •  

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

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

JPMorgan BetaBuilders Europe ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

            

Common Stocks

            

Australia

    $ —        $ 4,703,796      $ —        $ 4,703,796  

Austria

      80,063        2,176,578        —          2,256,641  

Belgium

      —          8,423,138        —          8,423,138  

Chile

      —          188,289        —          188,289  

Colombia

      —          166,043        —          166,043  

Denmark

      86,942        10,981,033        —          11,067,975  

Finland

      97,184        7,224,424        —          7,321,608  

France

      1,258,746        64,056,630        —          65,315,376  

Germany

      333,060        58,119,289        —          58,452,349  

Ghana

      —          172,889        —          172,889  

Ireland

      1,907,471        1,946,125        —          3,853,596  

Italy

      86,072        14,553,650        —          14,639,722  

Jersey

      —          293,871        —          293,871  

Jordan

      —          125,498        —          125,498  

Luxembourg

      323,839        1,596,656        —          1,920,495  

Mexico

      —          102,600        —          102,600  

Netherlands

      212,602        29,000,718        —          29,213,320  

Norway

      —          5,066,836        —          5,066,836  

Portugal

      —          1,272,257        —          1,272,257  

Russia

      89,002        88,047        —          177,049  

South Africa

      —          1,922,509        —          1,922,509  

Spain

      64,119        18,865,353        —          18,929,472  

Sweden

      —          18,787,908        —          18,787,908  

Switzerland

      —          54,119,609        —          54,119,609  

United Arab Emirates

      —          173,245        —          173,245  

United Kingdom

      950,096        92,998,104        —          93,948,200  

United States

      —          3,062,784        —          3,062,784  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      5,489,196        400,187,879        —          405,677,075  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

            

Investment Companies

      122,591        —          —          122,591  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 5,611,787      $ 400,187,879      $ —        $ 405,799,666  
  

 

 

     

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

Futures Contracts

    $ —        $ 17,804      $ —        $ 17,804  
  

 

 

     

 

 

     

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels for the period ended July 31, 2018.

JPMorgan BetaBuilders Japan ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.8%

 

Japan — 99.8%

 

77 Bank Ltd. (The)

      33,700        811,642  

ABC-Mart, Inc.

      12,500        677,342  

Acom Co. Ltd.

      203,300        810,772  

Advance Residence Investment Corp., REIT

      601        1,565,017  

Advantest Corp.

      78,600        1,862,981  

Aeon Co. Ltd.

      382,000        7,761,769  

AEON Financial Service Co. Ltd.

      51,500        1,063,339  

Aeon Mall Co. Ltd.

      50,100        877,688  

AGC, Inc.

      100,300        4,204,035  

Air Water, Inc.

      83,200        1,520,923  

Aisin Seiki Co. Ltd.

      84,300        3,931,924  

Ajinomoto Co., Inc.

      251,600        4,454,690  

Alfresa Holdings Corp.

      93,900        2,248,062  

Alps Electric Co. Ltd.

      86,900        2,506,938  

Amada Holdings Co. Ltd.

      164,700        1,656,051  

ANA Holdings, Inc.

      50,600        1,858,094  

Aozora Bank Ltd.

      51,900        1,939,431  

Asahi Group Holdings Ltd.

      200,300        9,735,540  

Asahi Intecc Co. Ltd.

      49,600        1,897,563  

Asahi Kasei Corp.

      612,300        8,184,582  

Asics Corp.

      83,700        1,362,067  

Astellas Pharma, Inc.

      904,500        14,753,194  

Bandai Namco Holdings, Inc.

      96,100        3,844,816  

Bank of Kyoto Ltd. (The)

      33,400        1,618,174  

Benesse Holdings, Inc.

      37,400        1,362,542  

Bridgestone Corp.

      298,000        11,755,026  

Brother Industries Ltd.

      109,300        2,229,624  

Calbee, Inc.

      49,100        1,628,770  

Canon Marketing Japan, Inc.

      24,800        520,373  

Canon, Inc.

      479,800        15,566,796  

Casio Computer Co. Ltd.

      102,500        1,677,092  

Central Japan Railway Co.

      89,900        18,724,178  

Chiba Bank Ltd. (The)

      343,600        2,452,778  

Chubu Electric Power Co., Inc.

      315,100        4,863,179  

Chugai Pharmaceutical Co. Ltd.

      90,400        4,598,260  

Chugoku Bank Ltd. (The)

      85,800        910,289  

Chugoku Electric Power Co., Inc. (The)

      136,900        1,801,377  

Citizen Watch Co. Ltd.

      140,300        924,127  

Coca-Cola Bottlers Japan Holdings, Inc.

      69,600        2,509,629  

Concordia Financial Group Ltd.

      552,400        2,970,053  

Cosmos Pharmaceutical Corp.

      3,600        793,665  

Credit Saison Co. Ltd.

      67,900        1,060,021  

CyberAgent, Inc.

      43,200        2,269,816  

Dai Nippon Printing Co. Ltd.

      131,000        2,862,161  

Daicel Corp.

      153,500        1,691,183  

Daido Steel Co. Ltd.

      17,300        854,374  

Daifuku Co. Ltd.

      55,100        2,428,212  

Dai-ichi Life Holdings, Inc.

      521,200        9,841,033  

Daiichi Sankyo Co. Ltd.

      274,900        11,402,143  

Daikin Industries Ltd.

      127,700        15,263,978  

Daito Trust Construction Co. Ltd.

      33,300        5,580,003  

Daiwa House Industry Co. Ltd.

      290,500        10,593,243  

Investments

    Shares      Value($)  

Japan — continued

      

Daiwa House REIT Investment Corp., REIT

      753        1,862,734  

Daiwa Securities Group, Inc.

      743,100        4,334,125  

DeNA Co. Ltd.

      47,000        886,450  

Denso Corp.

      232,400        11,495,690  

Dentsu, Inc.

      110,500        4,639,975  

DIC Corp.

      38,700        1,263,707  

Disco Corp.

      13,200        2,253,401  

Don Quijote Holdings Co. Ltd.

      56,900        2,659,740  

East Japan Railway Co.

      167,600        15,675,990  

Eisai Co. Ltd.

      129,100        11,114,506  

Electric Power Development Co. Ltd.

      75,500        2,050,581  

Ezaki Glico Co. Ltd.

      24,600        1,139,361  

FamilyMart UNY Holdings Co. Ltd.

      36,000        3,359,545  

FANUC Corp.

      85,200        17,179,805  

Fast Retailing Co. Ltd.

      28,700        12,569,334  

Fuji Electric Co. Ltd.

      269,000        1,987,108  

Fuji Media Holdings, Inc.

      20,300        334,024  

FUJIFILM Holdings Corp.

      191,700        7,912,378  

Fujitsu Ltd.

      903,000        6,154,329  

Fukuoka Financial Group, Inc.

      374,000        2,046,972  

Furukawa Electric Co. Ltd.

      31,400        1,109,477  

GLP J-Reit, REIT

      1,480        1,581,918  

GS Yuasa Corp.

      180,000        842,641  

GungHo Online Entertainment, Inc.

      208,400        444,922  

Gunma Bank Ltd. (The)

      189,700        1,010,055  

Hachijuni Bank Ltd. (The)

      224,000        987,532  

Hakuhodo DY Holdings, Inc.

      128,800        1,977,735  

Hamamatsu Photonics KK

      63,000        2,673,818  

Hankyu Hanshin Holdings, Inc.

      110,700        4,408,561  

Harmonic Drive Systems, Inc.

      14,300        565,407  

Haseko Corp.

      132,400        1,756,914  

Hikari Tsushin, Inc.

      9,700        1,630,093  

Hino Motors Ltd.

      125,500        1,417,928  

Hirose Electric Co. Ltd.

      14,300        1,743,605  

Hiroshima Bank Ltd. (The)

      137,300        944,823  

Hisamitsu Pharmaceutical Co., Inc.

      36,500        2,671,851  

Hitachi Capital Corp.

      23,600        630,648  

Hitachi Chemical Co. Ltd.

      43,600        863,420  

Hitachi Construction Machinery Co. Ltd.

      44,900        1,444,082  

Hitachi High-Technologies Corp.

      29,700        1,212,955  

Hitachi Ltd.

      2,116,000        14,792,452  

Hitachi Metals Ltd.

      88,200        955,849  

Hokuhoku Financial Group, Inc.

      57,300        825,552  

Hokuriku Electric Power Co. *

      87,500        918,520  

Honda Motor Co. Ltd.

      792,600        24,198,598  

Hoshizaki Corp.

      23,400        2,356,842  

Hoya Corp.

      166,000        9,989,008  

Hulic Co. Ltd.

      210,100        2,061,882  

Ibiden Co. Ltd.

      59,100        973,243  

Idemitsu Kosan Co. Ltd.

      63,700        2,869,386  

IHI Corp.

      68,000        2,388,177  

Iida Group Holdings Co. Ltd.

      79,400        1,557,268  

Inpex Corp.

      471,900        5,180,934  

Isetan Mitsukoshi Holdings Ltd.

      173,500        2,096,714  

Isuzu Motors Ltd.

      270,300        3,657,897  

ITOCHU Corp.

      682,500        12,118,741  
 

JPMorgan BetaBuilders Japan ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Japan — continued

 

Itochu Techno-Solutions Corp.

      41,300        786,894  

Iyo Bank Ltd. (The)

      141,600        977,343  

Izumi Co. Ltd.

      18,100        1,092,045  

J Front Retailing Co. Ltd.

      117,000        1,715,119  

Japan Airlines Co. Ltd.

      50,700        1,871,564  

Japan Airport Terminal Co. Ltd.

      28,200        1,341,944  

Japan Exchange Group, Inc.

      234,100        4,164,239  

Japan Post Holdings Co. Ltd.

      216,100        2,382,669  

Japan Post Insurance Co. Ltd.

      29,600        630,055  

Japan Prime Realty Investment Corp., REIT

      415        1,495,180  

Japan Real Estate Investment Corp., REIT

      597        3,127,046  

Japan Retail Fund Investment Corp., REIT

      1,153        2,106,611  

Japan Tobacco, Inc.

      488,600        13,905,414  

JFE Holdings, Inc.

      252,100        5,122,747  

JGC Corp.

      112,500        2,182,984  

JSR Corp.

      89,000        1,711,276  

JTEKT Corp.

      106,200        1,540,103  

JXTG Holdings, Inc.

      1,407,700        10,320,413  

Kajima Corp.

      450,000        3,511,048  

Kakaku.com, Inc.

      58,300        1,227,832  

Kamigumi Co. Ltd.

      52,900        1,108,251  

Kaneka Corp.

      149,000        1,311,566  

Kansai Electric Power Co., Inc. (The)

      351,300        5,000,917  

Kansai Paint Co. Ltd.

      112,500        2,588,876  

Kao Corp.

      216,100        15,786,536  

Kawasaki Heavy Industries Ltd.

      72,800        2,140,539  

Kawasaki Kisen Kaisha Ltd. *

      35,300        641,051  

KDDI Corp.

      775,400        21,584,706  

Keihan Holdings Co. Ltd.

      47,700        1,736,891  

Keikyu Corp.

      119,300        1,953,277  

Keio Corp.

      53,400        2,622,421  

Keisei Electric Railway Co. Ltd.

      74,900        2,493,985  

Kewpie Corp.

      50,800        1,263,400  

Keyence Corp.

      40,300        21,317,426  

Kikkoman Corp.

      77,200        3,663,983  

Kinden Corp.

      63,900        1,027,256  

Kintetsu Group Holdings Co. Ltd.

      84,000        3,342,711  

Kirin Holdings Co. Ltd.

      398,700        10,207,282  

Kobayashi Pharmaceutical Co. Ltd.

      22,100        1,844,915  

Kobe Steel Ltd.

      159,400        1,570,931  

Koito Manufacturing Co. Ltd.

      55,900        3,600,799  

Komatsu Ltd.

      423,200        12,504,764  

Konami Holdings Corp.

      44,100        2,074,855  

Konica Minolta, Inc.

      220,700        1,981,290  

Kose Corp.

      14,000        2,683,499  

K’s Holdings Corp.

      80,000        900,716  

Kubota Corp.

      510,900        8,577,009  

Kuraray Co. Ltd.

      153,700        2,172,379  

Kurita Water Industries Ltd.

      45,000        1,316,278  

Kyocera Corp.

      155,700        9,061,786  

Kyowa Hakko Kirin Co. Ltd.

      112,700        2,141,335  

Kyushu Electric Power Co., Inc.

      204,300        2,407,601  

Kyushu Financial Group, Inc.

      193,300        990,248  

Kyushu Railway Co.

      70,100        2,154,467  

Lawson, Inc.

      21,500        1,291,073  

Investments

    Shares      Value($)  

Japan — continued

      

LINE Corp. *

      20,600        899,943  

Lion Corp.

      130,100        2,355,663  

LIXIL Group Corp.

      125,800        2,578,658  

M3, Inc.

      89,200        3,401,307  

Mabuchi Motor Co. Ltd.

      24,600        1,212,050  

Makita Corp.

      122,700        5,519,799  

Marubeni Corp.

      760,100        5,803,113  

Marui Group Co. Ltd.

      101,000        2,006,783  

Maruichi Steel Tube Ltd.

      35,000        1,205,960  

Matsui Securities Co. Ltd.

      47,600        474,879  

Matsumotokiyoshi Holdings Co. Ltd.

      37,900        1,643,672  

Mazda Motor Corp.

      262,600        3,276,815  

McDonald’s Holdings Co. Japan Ltd.

      28,100        1,343,675  

Mebuki Financial Group, Inc.

      463,800        1,657,234  

Medipal Holdings Corp.

      88,800        1,805,606  

MEIJI Holdings Co. Ltd.

      67,200        5,284,380  

MINEBEA MITSUMI, Inc.

      185,700        3,332,781  

Miraca Holdings, Inc.

      24,200        703,305  

MISUMI Group, Inc.

      122,300        3,124,623  

Mitsubishi Chemical Holdings Corp.

      656,500        5,750,584  

Mitsubishi Corp.

      693,000        19,371,453  

Mitsubishi Electric Corp.

      937,200        12,733,479  

Mitsubishi Estate Co. Ltd.

      605,700        10,510,480  

Mitsubishi Gas Chemical Co., Inc.

      90,000        2,010,868  

Mitsubishi Heavy Industries Ltd.

      146,900        5,516,260  

Mitsubishi Logistics Corp.

      36,100        825,871  

Mitsubishi Materials Corp.

      55,300        1,572,603  

Mitsubishi Motors Corp.

      313,300        2,395,151  

Mitsubishi Tanabe Pharma Corp.

      107,900        2,023,077  

Mitsubishi UFJ Financial Group, Inc.

      6,065,100        37,220,706  

Mitsubishi UFJ Lease & Finance Co. Ltd.

      234,600        1,422,763  

Mitsui & Co. Ltd.

      760,100        12,739,305  

Mitsui Chemicals, Inc.

      89,300        2,405,127  

Mitsui Fudosan Co. Ltd.

      432,700        10,346,600  

Mitsui OSK Lines Ltd.

      52,800        1,370,035  

Mixi, Inc.

      18,100        476,653  

Mizuho Financial Group, Inc.

      11,080,800        19,261,643  

MonotaRO Co. Ltd.

      30,700        1,546,108  

MS&AD Insurance Group Holdings, Inc.

      222,000        6,799,786  

Murata Manufacturing Co. Ltd.

      92,200        16,132,779  

Nabtesco Corp.

      54,600        1,704,546  

Nagoya Railroad Co. Ltd.

      83,900        2,105,813  

Nankai Electric Railway Co. Ltd.

      50,000        1,374,749  

NEC Corp.

      114,800        3,189,242  

Nexon Co. Ltd. *

      166,400        2,397,604  

NGK Insulators Ltd.

      125,000        2,195,192  

NGK Spark Plug Co. Ltd.

      74,800        2,159,978  

NH Foods Ltd.

      46,000        1,831,310  

NHK Spring Co. Ltd.

      98,800        988,226  

Nidec Corp.

      120,400        17,488,143  

Nihon M&A Center, Inc.

      57,500        1,534,386  

Nikon Corp.

      175,600        2,964,300  

Nintendo Co. Ltd.

      52,700        17,822,459  

Nippon Building Fund, Inc., REIT

      608        3,385,012  

Nippon Electric Glass Co. Ltd.

      37,200        1,202,318  
 

JPMorgan BetaBuilders Japan ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Japan — continued

 

Nippon Express Co. Ltd.

      37,300        2,441,621  

Nippon Paint Holdings Co. Ltd.

      85,800        3,749,636  

Nippon Prologis REIT, Inc., REIT

      965        1,953,077  

Nippon Shinyaku Co. Ltd.

      27,700        1,576,711  

Nippon Shokubai Co. Ltd.

      15,900        1,136,778  

Nippon Steel & Sumitomo Metal Corp.

      384,900        7,676,161  

Nippon Telegraph & Telephone Corp.

      302,400        13,987,075  

Nippon Television Holdings, Inc.

      24,200        389,635  

Nippon Yusen KK

      74,000        1,427,126  

Nissan Chemical Corp.

      66,200        2,967,852  

Nissan Motor Co. Ltd.

      1,052,900        9,959,492  

Nisshin Seifun Group, Inc.

      115,900        2,271,064  

Nissin Foods Holdings Co. Ltd.

      34,800        2,401,012  

Nitori Holdings Co. Ltd.

      36,900        5,561,075  

Nitto Denko Corp.

      70,700        5,129,718  

NOK Corp.

      49,600        997,117  

Nomura Holdings, Inc.

      1,461,000        6,927,197  

Nomura Real Estate Holdings, Inc.

      55,200        1,204,894  

Nomura Real Estate Master Fund, Inc., REIT

      1,894        2,683,089  

Nomura Research Institute Ltd.

      57,600        2,768,112  

NSK Ltd.

      207,700        2,268,454  

NTT Data Corp.

      280,300        3,192,821  

NTT DOCOMO, Inc.

      527,600        13,583,029  

NTT Urban Development Corp.

      48,100        497,045  

Obayashi Corp.

      314,000        3,278,214  

Obic Co. Ltd.

      29,900        2,568,629  

Odakyu Electric Railway Co. Ltd.

      140,400        2,973,779  

Oji Holdings Corp.

      451,000        2,676,043  

Olympus Corp.

      142,300        5,776,923  

Omron Corp.

      93,000        4,209,053  

Ono Pharmaceutical Co. Ltd.

      236,800        5,595,412  

Oracle Corp. Japan

      14,900        1,250,629  

Orient Corp.

      258,100        360,594  

Oriental Land Co. Ltd.

      100,900        10,971,357  

ORIX Corp.

      579,600        9,388,069  

Orix JREIT, Inc., REIT

      1,211        1,888,525  

Osaka Gas Co. Ltd.

      181,700        3,496,865  

Otsuka Corp.

      48,800        1,903,343  

Otsuka Holdings Co. Ltd.

      244,200        11,277,231  

Panasonic Corp.

      1,071,600        13,769,109  

Park24 Co. Ltd.

      49,700        1,394,623  

PeptiDream, Inc. *

      37,300        1,452,841  

Persol Holdings Co. Ltd.

      81,500        1,776,553  

Pigeon Corp.

      51,500        2,479,063  

Pola Orbis Holdings, Inc.

      38,600        1,495,840  

Rakuten, Inc.

      391,300        2,758,489  

Recruit Holdings Co. Ltd.

      688,000        18,852,212  

Resona Holdings, Inc.

      964,400        5,485,238  

Ricoh Co. Ltd.

      326,700        3,189,438  

Rinnai Corp.

      17,200        1,489,619  

Rohm Co. Ltd.

      41,100        3,503,087  

Ryohin Keikaku Co. Ltd.

      12,200        3,915,765  

Sankyo Co. Ltd.

      19,700        776,320  

Santen Pharmaceutical Co. Ltd.

      177,900        2,975,640  

Sapporo Holdings Ltd.

      34,600        836,922  

SBI Holdings, Inc.

      87,600        2,391,411  

Investments

    Shares      Value($)  

Japan — continued

      

SCSK Corp.

      21,400        1,011,880  

Secom Co. Ltd.

      93,300        7,131,156  

Sega Sammy Holdings, Inc.

      87,500        1,396,106  

Seibu Holdings, Inc.

      126,800        2,139,789  

Seiko Epson Corp.

      140,100        2,529,182  

Sekisui Chemical Co. Ltd.

      189,900        3,398,952  

Sekisui House Ltd.

      273,900        4,668,762  

Seria Co. Ltd.

      19,400        891,330  

Seven & i Holdings Co. Ltd.

      349,300        14,265,374  

Seven Bank Ltd.

      321,000        971,673  

SG Holdings Co. Ltd.

      35,100        769,976  

Sharp Corp.

      73,700        1,713,502  

Shikoku Electric Power Co., Inc.

      90,500        1,209,597  

Shimadzu Corp.

      120,800        3,444,902  

Shimamura Co. Ltd.

      9,500        888,975  

Shimano, Inc.

      37,100        5,350,125  

Shimizu Corp.

      317,200        3,319,945  

Shin-Etsu Chemical Co. Ltd.

      174,300        17,632,469  

Shinsei Bank Ltd.

      75,000        1,181,256  

Shionogi & Co. Ltd.

      128,500        7,013,859  

Shiseido Co. Ltd.

      175,200        12,907,074  

Shizuoka Bank Ltd. (The)

      263,600        2,436,329  

Showa Denko KK

      66,100        3,152,710  

Showa Shell Sekiyu KK

      89,000        1,460,707  

SMC Corp.

      30,100        10,199,651  

SoftBank Group Corp.

      379,400        31,688,330  

Sohgo Security Services Co. Ltd.

      37,700        1,729,238  

Sojitz Corp.

      495,900        1,800,453  

Sompo Holdings, Inc.

      173,100        7,035,505  

Sony Corp.

      554,100        29,781,128  

Sony Financial Holdings, Inc.

      68,800        1,322,094  

Square Enix Holdings Co. Ltd.

      37,200        1,758,786  

Stanley Electric Co. Ltd.

      68,000        2,391,551  

Start Today Co. Ltd.

      79,300        3,189,564  

Subaru Corp.

      277,700        8,115,900  

SUMCO Corp.

      79,700        1,705,321  

Sumitomo Chemical Co. Ltd.

      722,000        4,157,804  

Sumitomo Corp.

      545,300        8,979,317  

Sumitomo Dainippon Pharma Co. Ltd.

      74,400        1,443,839  

Sumitomo Electric Industries Ltd.

      346,100        5,324,106  

Sumitomo Heavy Industries Ltd.

      52,000        1,811,614  

Sumitomo Metal Mining Co. Ltd.

      121,200        4,356,752  

Sumitomo Mitsui Financial Group, Inc.

      616,800        24,479,399  

Sumitomo Mitsui Trust Holdings, Inc.

      169,500        6,732,817  

Sumitomo Realty & Development Co. Ltd.

      205,000        7,511,081  

Sumitomo Rubber Industries Ltd.

      83,800        1,388,866  

Sundrug Co. Ltd.

      27,600        1,105,458  

Suntory Beverage & Food Ltd.

      55,200        2,348,276  

Suruga Bank Ltd.

      100,400        899,550  

Suzuken Co. Ltd.

      39,300        1,720,971  

Suzuki Motor Corp.

      193,500        11,381,268  

Sysmex Corp.

      68,800        6,524,049  

T&D Holdings, Inc.

      266,400        3,980,569  

Taiheiyo Cement Corp.

      55,300        1,747,357  

Taisei Corp.

      97,100        5,400,128  
 

JPMorgan BetaBuilders Japan ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Japan — continued

 

Taisho Pharmaceutical Holdings Co. Ltd.

      23,300        2,639,434  

Taiyo Nippon Sanso Corp.

      92,300        1,417,785  

Takashimaya Co. Ltd.

      158,000        1,323,251  

Takeda Pharmaceutical Co. Ltd.

      325,900        13,760,450  

TDK Corp.

      56,300        6,031,806  

Teijin Ltd.

      86,800        1,621,174  

Terumo Corp.

      144,200        7,921,795  

THK Co. Ltd.

      53,800        1,465,518  

Tobu Railway Co. Ltd.

      94,100        2,773,851  

Toho Co. Ltd.

      63,700        1,902,048  

Toho Gas Co. Ltd.

      43,200        1,475,857  

Tohoku Electric Power Co., Inc.

      219,100        2,790,189  

Tokai Rika Co. Ltd.

      20,800        431,999  

Tokio Marine Holdings, Inc.

      326,300        15,524,036  

Tokyo Broadcasting System Holdings, Inc.

      15,600        323,555  

Tokyo Century Corp.

      23,100        1,262,518  

Tokyo Electric Power Co. Holdings, Inc. *

      349,800        1,676,182  

Tokyo Electron Ltd.

      72,100        12,639,134  

Tokyo Gas Co. Ltd.

      176,400        4,308,643  

Tokyo Tatemono Co. Ltd.

      94,200        1,268,331  

Tokyu Corp.

      245,200        4,221,485  

Tokyu Fudosan Holdings Corp.

      222,900        1,515,150  

Toppan Printing Co. Ltd.

      292,000        2,246,733  

Toray Industries, Inc.

      711,100        5,510,892  

Toshiba Corp. *

      2,653,000        8,106,793  

Tosoh Corp.

      142,100        2,320,944  

TOTO Ltd.

      69,800        3,262,042  

Toyo Seikan Group Holdings Ltd.

      71,000        1,309,302  

Toyo Suisan Kaisha Ltd.

      43,600        1,578,120  

Toyoda Gosei Co. Ltd.

      32,800        832,291  

Toyota Boshoku Corp.

      37,500        697,373  

Toyota Industries Corp.

      89,700        5,077,308  

Toyota Motor Corp.

      1,195,600        78,588,108  

Toyota Tsusho Corp.

      104,000        3,555,046  

Trend Micro, Inc.

      52,300        3,090,228  

Tsumura & Co.

      30,800        1,001,660  

Tsuruha Holdings, Inc.

      16,300        2,005,126  

Ube Industries Ltd.

      47,200        1,270,523  

Unicharm Corp.

      172,200        5,244,100  

United Urban Investment Corp., REIT

      1,342        2,086,698  

Ushio, Inc.

      55,800        726,997  

USS Co. Ltd.

      96,300        1,827,664  

Welcia Holdings Co. Ltd.

      21,500        1,093,384  

West Japan Railway Co.

      85,200        5,956,326  

Yahoo Japan Corp.

      696,700        2,650,664  

Yakult Honsha Co. Ltd.

      70,400        5,076,543  

Yamada Denki Co. Ltd.

      324,800        1,611,051  

Yamaguchi Financial Group, Inc.

      115,200        1,305,485  

Yamaha Corp.

      76,900        3,598,416  

Yamaha Motor Co. Ltd.

      133,500        3,524,395  

Yamato Holdings Co. Ltd.

      179,600        5,205,402  

Yamato Kogyo Co. Ltd.

      20,600        642,433  

Yamazaki Baking Co. Ltd.

      78,100        1,942,115  

Yaskawa Electric Corp.

      115,500        3,819,673  

Yokogawa Electric Corp.

      104,800        1,863,960  

Investments

    Shares      Value($)  

Japan — continued

 

Yokohama Rubber Co. Ltd. (The)

      59,700        1,278,754  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $1,722,313,551)

 

      1,742,745,901  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.0% (a)

      

INVESTMENT COMPANIES — 0.0% (a)

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (b)(c)
(COST $428,138)

      428,138        428,138  
     

 

 

  

Total Investments — 99.8%
(Cost $1,722,741,689)

 

      1,743,174,039  

Other Assets Less Liabilities — 0.2%

 

      3,264,151  
     

 

 

  

Net Assets — 100.0%

 

      1,746,438,190  
     

 

 

  

 

Percentages indicated are based on net assets.

 

Summary of Investments by Industry, July 31, 2018

 

The following table represents the portfolio investments of
the Fund by industry classifications as a percentage of total
investments:

 

  

Industry

   

Percentage

  

Automobiles

      8.3 % 

Banks

      6.9

Pharmaceuticals

      5.5

Electronic Equipment, Instruments & Components

      5.3

Machinery

      5.1

Chemicals

      4.7

Road & Rail

      4.2

Trading Companies & Distributors

      4.0

Wireless Telecommunication Services

      3.8

Household Durables

      3.6

Auto Components

      3.0

Real Estate Management & Development

      3.0

Insurance

      2.7

Technology Hardware, Storage & Peripherals

      2.1

Electrical Equipment

      2.1

Personal Products

      2.0

Food & Staples Retailing

      1.9

Food Products

      1.9

Health Care Equipment & Supplies

      1.8

Software

      1.7

Beverages

      1.5

Specialty Retail

      1.5

Building Products

      1.5

Metals & Mining

      1.4

Equity Real Estate Investment Trusts (REITs)

      1.4

Professional Services

      1.3

Semiconductors & Semiconductor Equipment

      1.3

Electric Utilities

      1.2

Oil, Gas & Consumable Fuels

      1.1

Construction & Engineering

      1.1

IT Services

      1.1

Capital Markets

      1.0

Others (each less than 1.0%)

      11.0  
 

JPMorgan BetaBuilders Japan ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Futures contracts outstanding as of July 31, 2018:

 

  

Description

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

Long Contracts

 

TOPIX Index

      23        09/2018        JPY        3,611,253        22,852  
              

 

 

  
                 22,852  
              

 

 

  

 

Abbreviations
REIT      Real Estate Investment Trust
(a)      Amount rounds to less than 0.05% of net assets.
(b)      Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)      The rate shown is the current yield as of July 31, 2018.
*      Non-income producing security.

    

 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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.

JPMorgan BetaBuilders Japan ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments in open-end investment companies (the “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:

 

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

Investments in Securities

 

Common Stocks

            

Japan

    $ 2,683,089      $ 1,740,062,812      $ —        $ 1,742,745,901  

Short-Term Investments

            

Investment Companies

      428,138        —          —          428,138  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 3,111,227      $ 1,740,062,812      $ —        $ 1,743,174,039  
  

 

 

     

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

            

Futures Contracts

    $ —        $ 22,852      $ —        $ 22,852  
  

 

 

     

 

 

     

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels for the period ended July 31, 2018.

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.1%

 

Brazil — 8.8%

 

Azul SA (Preference) *

      20,945        133,930  

Banco Bradesco SA *

      53,104        393,897  

Banco Bradesco SA (Preference) *

      202,365        1,640,142  

Banco BTG Pactual SA *

      12,020        63,090  

Banco do Brasil SA *

      63,916        553,111  

Banco do Estado do Rio Grande do Sul SA (Preference), Class B

      12,170        51,328  

Banco Santander Brasil SA

      24,343        236,730  

BB Seguridade Participacoes SA

      40,668        264,814  

Bradespar SA (Preference)

      13,979        121,231  

Braskem SA (Preference), Class A

      13,792        201,039  

CCR SA

      80,723        226,686  

Cia de Saneamento Basico do Estado de Sao Paulo *

      51,053        341,958  

Cia de Transmissao de Energia Eletrica Paulista (Preference)

      7,104        116,214  

Cia Energetica de Minas Gerais

      11,680        22,313  

Cia Energetica de Minas Gerais (Preference)

      139,054        302,686  

Cia Paranaense de Energia (Preference)

      15,105        82,703  

Cia Siderurgica Nacional SA *

      43,475        106,217  

Cielo SA

      66,360        255,836  

Cosan SA

      18,685        183,749  

EDP - Energias do Brasil SA

      44,002        159,323  

Energisa SA

      26,730        215,005  

Engie Brasil Energia SA

      20,762        207,050  

Equatorial Energia SA

      25,559        413,351  

Estacio Participacoes SA

      27,836        191,714  

Fibria Celulose SA

      16,597        327,757  

Gerdau SA (Preference)

      75,458        335,141  

Guararapes Confeccoes SA

      870        21,979  

Hypera SA *

      44,110        326,715  

IRB Brasil Resseguros SA

      7,276        103,461  

Itau Unibanco Holding SA (Preference)

      188,887        2,269,684  

Itausa - Investimentos Itau SA (Preference)

      263,789        732,337  

Kroton Educacional SA

      162,653        485,363  

Localiza Rent a Car SA *

      54,654        336,664  

Magazine Luiza SA

      7,927        277,729  

Natura Cosmeticos SA

      19,898        154,538  

Odontoprev SA

      40,000        141,849  

Petroleo Brasileiro SA *

      214,264        1,253,627  

Petroleo Brasileiro SA (Preference) *

      284,650        1,494,805  

Porto Seguro SA *

      5,643        74,407  

Sao Martinho SA

      17,388        90,338  

Smiles Fidelidade SA *

      6,356        86,687  

Sul America SA

      13,341        79,158  

Telefonica Brasil SA (Preference)

      62,400        685,464  

TIM Participacoes SA *

      120,789        398,414  

Transmissora Alianca de Energia Eletrica SA

      32,934        176,810  

Investments

    Shares      Value($)  

Brazil — continued

 

Usinas Siderurgicas de Minas Gerais SA (Preference), Class A

      27,681        65,491  

Vale SA *

      252,151        3,691,604  

Via Varejo SA

      13,632        78,306  
     

 

 

  
        20,172,445  
     

 

 

  

Chile — 1.4%

      

AES Gener SA

      420,655        111,723  

Aguas Andinas SA, Class A

      411,838        240,227  

Banco de Chile

      1,667,908        260,721  

Banco de Credito e Inversiones SA

      2,338        162,002  

Banco Santander Chile

      3,710,017        304,774  

Empresas CMPC SA

      80,346        325,594  

Empresas COPEC SA

      35,008        562,493  

Enel Americas SA

      4,147,168        732,613  

Enel Chile SA

      3,415,446        361,925  

Parque Arauco SA

      35,424        99,038  
     

 

 

  
        3,161,110  
     

 

 

  

China — 23.1%

      

3SBio, Inc. (a)

      118,000        251,757  

58.com, Inc., ADR *

      7,575        509,494  

Agile Group Holdings Ltd.

      44,000        67,937  

Agricultural Bank of China Ltd., Class H

      964,000        468,460  

Air China Ltd., Class H

      146,000        134,842  

Angang Steel Co. Ltd., Class H

      46,000        48,985  

Anhui Conch Cement Co. Ltd., Class H

      48,500        311,913  

ANTA Sports Products Ltd.

      104,000        531,152  

Autohome, Inc., ADR

      2,300        222,525  

AviChina Industry & Technology Co. Ltd., Class H

      206,000        126,736  

BAIC Motor Corp. Ltd., Class H (a)

      116,500        96,828  

Baidu, Inc., ADR *

      11,400        2,817,852  

Bank of China Ltd., Class H

      2,387,000        1,127,658  

Bank of Communications Co. Ltd., Class H

      243,000        175,916  

BBMG Corp., Class H

      99,000        39,054  

Beijing Capital International Airport Co. Ltd., Class H

      70,000        79,732  

Beijing Enterprises Holdings Ltd.

      21,500        104,894  

Beijing Enterprises Water Group Ltd.

      528,000        288,666  

BOE Technology Group Co. Ltd., Class B

      39,100        16,514  

Brilliance China Automotive Holdings Ltd.

      222,000        290,635  

BYD Electronic International Co. Ltd.

      33,000        38,607  

CAR, Inc. *

      50,000        49,646  

CGN Power Co. Ltd., Class H (a)

      1,357,000        359,918  

China Agri-Industries Holdings Ltd.

      173,000        68,680  

China Cinda Asset Management Co. Ltd., Class H

      295,000        82,908  

China CITIC Bank Corp. Ltd., Class H

      262,000        168,629  

China Coal Energy Co. Ltd., Class H

      90,000        37,809  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

China — continued

      

China Communications Construction Co. Ltd., Class H

      184,000        203,827  

China Communications Services Corp. Ltd., Class H

      106,000        67,199  

China Conch Venture Holdings Ltd.

      70,000        264,072  

China Construction Bank Corp., Class H

      2,821,000        2,579,193  

China Dongxiang Group Co. Ltd.

      268,000        44,445  

China Eastern Airlines Corp. Ltd., Class H

      126,000        78,771  

China Everbright Bank Co. Ltd., Class H

      97,000        42,666  

China Everbright International Ltd.

      110,000        134,208  

China Everbright Ltd.

      26,000        45,958  

China Evergrande Group *

      95,000        263,645  

China Foods Ltd.

      58,000        30,292  

China Galaxy Securities Co. Ltd., Class H

      115,500        59,885  

China Huarong Asset Management Co. Ltd., Class H (a)

      305,000        77,801  

China International Capital Corp. Ltd., Class H (a)

      29,600        51,069  

China Jinmao Holdings Group Ltd.

      182,000        87,850  

China Life Insurance Co. Ltd., Class H

      233,000        585,499  

China Longyuan Power Group Corp. Ltd., Class H

      148,000        137,853  

China Machinery Engineering Corp., Class H

      40,000        21,430  

China Medical System Holdings Ltd.

      152,000        260,295  

China Merchants Bank Co. Ltd., Class H

      119,000        466,750  

China Merchants Port Holdings Co. Ltd.

      52,000        107,824  

China Minsheng Banking Corp. Ltd., Class H

      199,800        148,557  

China Mobile Ltd.

      640,500        5,785,902  

China Molybdenum Co. Ltd., Class H

      174,000        89,129  

China National Building Material Co. Ltd., Class H

      160,250        174,456  

China Overseas Land & Investment Ltd.

      122,000        384,352  

China Pacific Insurance Group Co. Ltd., Class H

      80,200        313,805  

China Petroleum & Chemical Corp., Class H

      1,120,000        1,076,592  

China Power International Development Ltd.

      534,000        132,808  

China Railway Construction Corp. Ltd., Class H

      79,000        95,431  

China Railway Group Ltd., Class H

      160,000        138,993  

China Railway Signal & Communication Corp. Ltd.,
Class H (a)

      65,000        46,144  

China Reinsurance Group Corp., Class H

      210,000        43,919  

Investments

    Shares      Value($)  

China — continued

      

China Resources Cement Holdings Ltd.

      72,000        82,312  

China Resources Gas Group Ltd.

      96,000        455,639  

China Resources Land Ltd.

      86,000        315,336  

China Resources Pharmaceutical Group Ltd. (a)

      203,000        295,355  

China Resources Power Holdings Co. Ltd.

      228,000        440,418  

China Shenhua Energy Co. Ltd., Class H

      145,500        329,896  

China South City Holdings Ltd.

      102,000        19,803  

China Southern Airlines Co. Ltd., Class H

      154,000        108,085  

China State Construction International Holdings Ltd.

      74,000        88,223  

China Taiping Insurance Holdings Co. Ltd.

      44,800        153,730  

China Telecom Corp. Ltd., Class H

      1,682,000        795,506  

China Traditional Chinese Medicine Holdings Co. Ltd.

      298,000        219,833  

China Vanke Co. Ltd., Class H

      42,500        136,072  

China Zhongwang Holdings Ltd.

      60,800        29,796  

Chongqing Changan Automobile Co. Ltd., Class B

      66,300        57,919  

Chongqing Rural Commercial Bank Co. Ltd., Class H

      87,000        53,303  

CIFI Holdings Group Co. Ltd.

      104,000        67,940  

CIMC Enric Holdings Ltd.

      24,000        21,984  

CITIC Ltd.

      205,000        290,584  

CITIC Securities Co. Ltd., Class H

      70,500        141,343  

CNOOC Ltd.

      698,000        1,169,393  

COSCO SHIPPING Energy Transportation Co. Ltd.,
Class H

      54,000        23,502  

COSCO SHIPPING Holdings Co. Ltd., Class H *

      104,000        43,584  

COSCO SHIPPING Ports Ltd.

      72,000        67,715  

Country Garden Holdings Co. Ltd.

      234,000        364,661  

Country Garden Services Holdings Co. Ltd. *

      25,632        41,865  

CRRC Corp. Ltd., Class H

      168,000        147,735  

CSC Financial Co. Ltd., Class H *(a)

      29,000        19,635  

CSPC Pharmaceutical Group Ltd.

      534,000        1,399,920  

Dali Foods Group Co. Ltd. (a)

      167,000        140,017  

Datang International Power Generation Co. Ltd., Class H

      342,000        99,095  

Dongfeng Motor Group Co. Ltd., Class H

      234,000        235,269  

ENN Energy Holdings Ltd.

      90,000        915,094  

Far East Horizon Ltd.

      67,000        64,520  

Fosun International Ltd.

      97,576        178,902  

Fuyao Glass Industry Group Co. Ltd., Class H (a)

      40,400        146,556  

GCL-Poly Energy Holdings Ltd. *

      546,000        48,142  

Geely Automobile Holdings Ltd.

      393,000        901,330  

GF Securities Co. Ltd., Class H

      48,600        68,209  

Great Wall Motor Co. Ltd., Class H

      254,500        183,451  

Greentown China Holdings Ltd.

      24,000        28,324  

Guangdong Investment Ltd.

      360,000        620,645  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

China — continued

      

Guangshen Railway Co. Ltd., Class H

      116,000        59,528  

Guangzhou Automobile Group Co. Ltd., Class H

      253,200        238,337  

Guangzhou Baiyunshan Pharmaceutical Holdings Co. Ltd., Class H

      28,000        119,306  

Guangzhou R&F Properties Co. Ltd., Class H

      32,800        59,053  

Guotai Junan Securities Co. Ltd., Class H (a)

      25,800        53,523  

Haitian International Holdings Ltd.

      25,000        58,924  

Haitong Securities Co. Ltd., Class H

      107,200        108,497  

Health and Happiness H&H International Holdings Ltd. *

      12,500        92,777  

Hengan International Group Co. Ltd.

      57,000        507,753  

Huadian Fuxin Energy Corp. Ltd., Class H

      306,000        72,594  

Huadian Power International Corp. Ltd., Class H

      192,000        90,233  

Huaneng Power International, Inc., Class H

      510,000        384,226  

Huaneng Renewables Corp. Ltd., Class H

      226,000        84,093  

Huatai Securities Co. Ltd., Class H *(a)

      54,800        86,541  

Huazhu Group Ltd., ADR

      8,200        328,082  

Industrial & Commercial Bank of China Ltd., Class H

      2,462,000        1,829,669  

Inner Mongolia Yitai Coal Co. Ltd., Class B

      43,700        57,606  

Jiangsu Expressway Co. Ltd., Class H

      50,000        60,821  

Jiangxi Copper Co. Ltd., Class H

      51,000        64,523  

Kunlun Energy Co. Ltd.

      118,000        102,079  

KWG Property Holding Ltd.

      39,736        45,437  

Legend Holdings Corp., Class H (a)

      16,200        48,414  

Li Ning Co. Ltd. *

      135,000        147,273  

Livzon Pharmaceutical Group, Inc., Class H

      15,223        71,725  

Logan Property Holdings Co. Ltd.

      32,000        40,306  

Longfor Group Holdings Ltd.

      47,000        132,599  

Luye Pharma Group Ltd.

      199,000        193,834  

Maanshan Iron & Steel Co. Ltd., Class H

      76,000        40,722  

Metallurgical Corp. of China Ltd., Class H

      118,000        34,627  

Momo, Inc., ADR *

      4,100        168,182  

New China Life Insurance Co. Ltd., Class H

      27,000        124,649  

People’s Insurance Co. Group of China Ltd. (The),
Class H

      258,000        115,515  

PetroChina Co. Ltd., Class H

      916,000        697,576  

PICC Property & Casualty Co. Ltd., Class H

      210,000        237,287  

Ping An Insurance Group Co. of China Ltd., Class H

      155,000        1,442,939  

Poly Property Group Co. Ltd.

      60,000        23,998  

Investments

    Shares      Value($)  

China — continued

      

Postal Savings Bank of China Co. Ltd., Class H (a)

      182,000        122,346  

Red Star Macalline Group Corp. Ltd., Class H (a)

      19,862        23,446  

Shandong Chenming Paper Holdings Ltd., Class H

      20,750        17,621  

Shandong Weigao Group Medical Polymer Co. Ltd., Class H

      200,000        153,067  

Shanghai Fosun Pharmaceutical Group Co. Ltd., Class H

      58,500        279,842  

Shanghai Industrial Holdings Ltd.

      19,000        44,354  

Shanghai Pharmaceuticals Holding Co. Ltd., Class H

      103,100        273,749  

Shenzhen Expressway Co. Ltd., Class H

      30,000        27,173  

Shenzhen International Holdings Ltd.

      35,544        65,649  

Shenzhen Investment Ltd.

      100,829        36,386  

Shenzhou International Group Holdings Ltd.

      58,000        712,261  

Shimao Property Holdings Ltd.

      37,000        105,229  

Sino-Ocean Group Holding Ltd.

      91,000        51,471  

Sinopec Engineering Group Co. Ltd., Class H

      61,500        62,656  

Sinopec Shanghai Petrochemical Co. Ltd., Class H

      150,000        90,193  

Sinopharm Group Co. Ltd., Class H

      122,800        519,421  

Sinotrans Ltd., Class H

      86,000        39,878  

Sinotruk Hong Kong Ltd.

      28,000        39,601  

SOHO China Ltd.

      59,500        28,023  

Sunac China Holdings Ltd.

      71,000        232,158  

Sunny Optical Technology Group Co. Ltd.

      27,500        456,132  

Tencent Holdings Ltd.

      136,100        6,194,509  

Tianhe Chemicals Group Ltd. *‡(a)

      20,000        —    

Vipshop Holdings Ltd., ADR *

      34,200        330,030  

Weichai Power Co. Ltd., Class H

      85,000        103,992  

Wuxi Biologics Cayman, Inc. *(a)

      54,500        555,299  

Xinjiang Goldwind Science & Technology Co. Ltd., Class H

      24,440        31,221  

Yangzijiang Shipbuilding Holdings Ltd.

      89,000        62,034  

Yanzhou Coal Mining Co. Ltd., Class H

      88,000        109,930  

Yuexiu Property Co. Ltd.

      196,000        37,279  

YY, Inc., ADR *

      1,688        157,372  

Zhejiang Expressway Co. Ltd., Class H

      60,000        50,962  

Zhongsheng Group Holdings Ltd.

      49,500        112,933  

Zhuzhou CRRC Times Electric Co. Ltd., Class H

      21,300        127,957  

Zijin Mining Group Co. Ltd., Class H

      248,000        91,944  

Zoomlion Heavy Industry Science and Technology Co. Ltd., Class H

      55,400        22,367  
     

 

 

  
        52,960,741  
     

 

 

  

Colombia — 0.7%

      

Almacenes Exito SA

      22,010        124,118  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Colombia — continued

      

Bancolombia SA

      16,395        189,786  

Bancolombia SA (Preference)

      27,122        312,084  

Ecopetrol SA

      340,814        363,747  

Grupo Aval Acciones y Valores SA (Preference)

      245,165        96,692  

Grupo de Inversiones Suramericana SA

      15,222        194,534  

Interconexion Electrica SA ESP

      63,358        315,201  
     

 

 

  
        1,596,162  
     

 

 

  

Czech Republic — 0.4%

      

CEZ A/S

      22,327        586,328  

Komercni banka A/S

      3,745        162,602  

Moneta Money Bank A/S (a)

      25,636        87,935  
     

 

 

  
        836,865  
     

 

 

  

Egypt — 0.2%

      

Commercial International Bank Egypt SAE

      51,634        242,654  

Eastern Tobacco

      11,630        107,202  

Egyptian Financial Group-Hermes Holding Co. *

      33,678        32,792  

ElSewedy Electric Co.

      4,453        46,464  

Talaat Moustafa Group

      50,488        31,251  

Telecom Egypt Co.

      47,099        36,952  
     

 

 

  
        497,315  
     

 

 

  

Greece — 0.4%

      

Alpha Bank AE *

      67,195        146,706  

Eurobank Ergasias SA *

      88,366        91,577  

JUMBO SA

      10,473        167,750  

Motor Oil Hellas Corinth Refineries SA

      3,452        73,305  

Mytilineos Holdings SA

      6,401        64,367  

National Bank of Greece SA *

      266,693        86,790  

OPAP SA

      21,124        235,848  
     

 

 

  
        866,343  
     

 

 

  

Hong Kong — 0.8%

      

China Gas Holdings Ltd.

      69,200        280,723  

Haier Electronics Group Co. Ltd. *

      97,000        283,680  

Kingboard Holdings Ltd.

      30,500        106,732  

Kingboard Laminates Holdings Ltd.

      45,000        54,005  

Lee & Man Paper Manufacturing Ltd.

      63,000        61,386  

Nine Dragons Paper Holdings Ltd.

      68,000        84,343  

Sino Biopharmaceutical Ltd.

      774,500        1,060,773  
     

 

 

  
        1,931,642  
     

 

 

  

Hungary — 0.3%

      

MOL Hungarian Oil & Gas plc

      25,611        250,934  

OTP Bank Nyrt

      11,147        419,285  
     

 

 

  
        670,219  
     

 

 

  

India — 7.5%

      

Adani Enterprises Ltd.

      10,852        31,058  

Adani Ports & Special Economic Zone Ltd.

      29,675        173,344  

Ashok Leyland Ltd.

      48,200        79,508  

Aurobindo Pharma Ltd.

      31,647        273,229  

Bajaj Auto Ltd.

      6,984        275,291  

Bajaj Finance Ltd.

      5,392        212,695  

Bajaj Finserv Ltd.

      1,204        122,805  

Investments

    Shares      Value($)  

India — continued

      

Bank of Baroda *

      16,294        36,589  

Bharat Forge Ltd.

      7,863        73,605  

Bharat Petroleum Corp. Ltd.

      43,325        247,063  

Britannia Industries Ltd.

      2,310        220,567  

Canara Bank *

      4,633        19,316  

Coal India Ltd.

      54,536        207,880  

Divi’s Laboratories Ltd.

      9,509        159,575  

DLF Ltd.

      13,188        37,913  

Exide Industries Ltd.

      16,130        65,952  

GAIL India Ltd.

      23,702        129,837  

GlaxoSmithKline Consumer Healthcare Ltd.

      799        75,567  

HCL Technologies Ltd.

      22,796        321,144  

Hero MotoCorp Ltd.

      7,829        376,452  

Hindalco Industries Ltd.

      38,680        120,837  

Hindustan Petroleum Corp. Ltd.

      26,593        110,893  

Hindustan Unilever Ltd.

      57,049        1,442,419  

Hindustan Zinc Ltd.

      10,076        41,232  

Housing Development Finance Corp. Ltd.

      52,363        1,524,825  

IDBI Bank Ltd. *

      16,639        14,340  

Indiabulls Housing Finance Ltd.

      10,412        197,519  

Indian Oil Corp. Ltd.

      96,234        231,511  

Infosys Ltd.

      81,200        1,612,611  

InterGlobe Aviation Ltd. (a)

      7,653        103,940  

Jindal Steel & Power Ltd. *

      16,478        49,597  

JSW Steel Ltd.

      51,586        249,196  

Larsen & Toubro Ltd.

      14,141        268,955  

LIC Housing Finance Ltd.

      7,766        60,048  

Mahindra & Mahindra Financial Services Ltd.

      9,472        71,168  

Mahindra & Mahindra Ltd.

      25,171        344,191  

Mangalore Refinery & Petrochemicals Ltd.

      8,598        10,190  

Mphasis Ltd.

      3,194        53,688  

Nestle India Ltd.

      1,831        281,349  

NHPC Ltd.

      301,108        104,441  

NMDC Ltd.

      32,733        50,320  

NTPC Ltd.

      241,577        545,986  

Oil & Natural Gas Corp. Ltd.

      133,777        323,222  

Oil India Ltd.

      11,789        35,985  

Page Industries Ltd.

      404        171,376  

Petronet LNG Ltd.

      36,142        121,059  

Pidilite Industries Ltd.

      5,227        85,727  

Power Finance Corp. Ltd.

      19,801        25,258  

Power Grid Corp. of India Ltd.

      92,364        245,894  

Reliance Industries Ltd.

      132,925        2,303,722  

Reliance Power Ltd. *

      67,987        33,266  

Rural Electrification Corp. Ltd.

      80,000        136,795  

Shriram Transport Finance Co. Ltd.

      5,325        107,479  

Steel Authority of India Ltd. *

      42,229        47,916  

Sun TV Network Ltd.

      6,655        75,099  

Tata Consultancy Services Ltd.

      38,962        1,103,276  

Tata Motors Ltd. *

      41,506        157,023  

Tata Motors Ltd., Class A *

      15,613        32,891  

Tata Power Co. Ltd. (The)

      114,200        124,321  

Tata Steel Ltd.

      12,399        102,127  

Tech Mahindra Ltd.

      19,964        198,420  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

India — continued

      

Titan Co. Ltd.

      25,204        335,665  

Torrent Power Ltd.

      13,997        49,218  

Vakrangee Ltd.

      21,332        14,958  

Vedanta Ltd.

      72,929        237,122  

Wipro Ltd.

      45,522        183,605  

Yes Bank Ltd.

      52,766        283,915  
     

 

 

  
        17,163,985  
     

 

 

  

Indonesia — 2.9%

      

Adaro Energy Tbk. PT

      1,690,300        223,650  

Bank Central Asia Tbk. PT

      1,170,500        1,889,387  

Bank Mandiri Persero Tbk. PT

      2,245,700        1,036,837  

Bank Negara Indonesia Persero Tbk. PT

      897,400        461,472  

Bank Rakyat Indonesia Persero Tbk. PT

      6,417,900        1,367,392  

Bukit Asam Tbk. PT

      537,200        167,211  

Bumi Serpong Damai Tbk. PT *

      919,200        86,290  

Gudang Garam Tbk. PT

      78,600        409,999  

Matahari Department Store Tbk. PT

      392,900        219,157  

Perusahaan Gas Negara Persero Tbk.

      2,189,100        258,550  

United Tractors Tbk. PT

      199,100        487,777  

Vale Indonesia Tbk. PT *

      266,800        80,999  
     

 

 

  
        6,688,721  
     

 

 

  

Malaysia — 6.2%

      

AirAsia Group Bhd.

      253,100        222,167  

Alliance Bank Malaysia Bhd.

      134,100        132,659  

AMMB Holdings Bhd.

      230,500        228,282  

Bumi Armada Bhd. *

      449,200        79,002  

CIMB Group Holdings Bhd.

      810,955        1,167,709  

Gamuda Bhd.

      293,000        279,329  

Genting Bhd.

      383,600        826,394  

Hong Leong Bank Bhd.

      75,668        355,925  

IOI Corp. Bhd.

      550,000        626,114  

Malayan Banking Bhd.

      551,708        1,332,937  

Maxis Bhd.

      406,300        579,759  

Nestle Malaysia Bhd.

      10,400        377,624  

Petronas Chemicals Group Bhd.

      374,700        824,075  

Petronas Dagangan Bhd.

      49,000        325,925  

PPB Group Bhd.

      113,760        461,757  

Press Metal Aluminium Holdings Bhd.

      243,400        287,011  

Public Bank Bhd.

      372,600        2,207,036  

RHB Bank Bhd.

      134,300        179,917  

Sime Darby Bhd.

      458,800        285,336  

Tenaga Nasional Bhd.

      823,300        3,180,882  

YTL Power International Bhd.

      648,500        194,684  
     

 

 

  
        14,154,524  
     

 

 

  

Mexico — 2.5%

      

Alpek SAB de CV

      26,900        45,421  

Banco del Bajio SA (a)

      41,640        98,617  

Banco Santander Mexico SA Institucion de Banca Multiple Grupo Financiero Santand, Class B

      102,702        173,193  

Concentradora Fibra Danhos SA de CV, REIT

      13,600        22,409  

Investments

    Shares      Value($)  

Mexico — continued

      

Fibra Uno Administracion SA de CV, REIT

      180,263        260,368  

GMexico Transportes SAB de CV (a)

      30,400        51,624  

Gruma SAB de CV, Class B

      22,662        292,915  

Grupo Aeroportuario del Centro Norte SAB de CV

      22,876        139,077  

Grupo Aeroportuario del Pacifico SAB de CV, Class B

      24,753        234,146  

Grupo Financiero Banorte SAB de CV, Class O

      165,826        1,156,651  

Grupo Financiero Inbursa SAB de CV, Class O

      134,711        222,257  

Grupo Mexico SAB de CV, Series B

      259,671        817,421  

Industrias Penoles SAB de CV

      8,834        149,779  

Megacable Holdings SAB de CV

      32,519        156,037  

Mexichem SAB de CV

      74,095        259,284  

Regional SAB de CV

      13,904        84,725  

Wal-Mart de Mexico SAB de CV

      562,400        1,641,839  
     

 

 

  
        5,805,763  
     

 

 

  

Peru — 0.2%

      

Cia de Minas Buenaventura SAA, ADR

      15,098        207,446  

Credicorp Ltd.

      1,341        306,325  
     

 

 

  
        513,771  
     

 

 

  

Philippines — 1.3%

      

Aboitiz Equity Ventures, Inc.

      301,500        327,476  

Alliance Global Group, Inc. *

      535,400        120,176  

Ayala Corp.

      31,575        595,477  

Bloomberry Resorts Corp.

      578,400        114,270  

GT Capital Holdings, Inc.

      11,188        204,246  

Jollibee Foods Corp.

      69,070        351,378  

Manila Electric Co.

      54,750        391,748  

Metro Pacific Investments Corp.

      2,972,300        263,826  

PLDT, Inc.

      19,380        486,172  
     

 

 

  
        2,854,769  
     

 

 

  

Poland — 1.7%

      

Alior Bank SA *

      4,580        91,071  

Bank Millennium SA *

      30,886        77,703  

Bank Polska Kasa Opieki SA

      7,806        239,014  

Bank Zachodni WBK SA

      1,443        144,720  

CD Projekt SA *

      6,067        328,026  

Cyfrowy Polsat SA *

      15,252        99,186  

Dino Polska SA *(a)

      4,665        128,002  

Enea SA *

      30,121        78,984  

Grupa Lotos SA

      5,581        99,704  

Jastrzebska Spolka Weglowa SA *

      3,210        69,282  

KGHM Polska Miedz SA *

      8,547        226,126  

KRUK SA

      796        47,374  

LPP SA

      149        365,914  

mBank SA

      659        77,137  

PGE Polska Grupa Energetyczna SA *

      103,570        278,761  

PLAY Communications SA (a)

      15,081        88,241  

Polski Koncern Naftowy ORLEN SA

      19,282        489,012  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Poland — continued

      

Polskie Gornictwo Naftowe i Gazownictwo SA *

      108,494        163,965  

Powszechna Kasa Oszczednosci Bank Polski SA *

      42,604        486,183  

Powszechny Zaklad Ubezpieczen SA

      27,987        321,889  

Tauron Polska Energia SA *

      148,289        91,328  
     

 

 

  
        3,991,622  
     

 

 

  

Qatar — 1.2%

      

Barwa Real Estate Co.

      4,917        49,021  

Commercial Bank PQSC (The)

      9,854        110,421  

Doha Bank QPSC

      7,437        52,106  

Industries Qatar QSC

      11,811        403,939  

Masraf Al Rayan QSC

      17,951        191,047  

Ooredoo QPSC

      11,733        227,013  

Qatar Electricity & Water Co. QSC

      6,918        361,740  

Qatar Gas Transport Co. Ltd.

      16,633        76,701  

Qatar International Islamic Bank QSC

      1,862        28,649  

Qatar Islamic Bank SAQ

      5,663        206,860  

Qatar National Bank QPSC

      21,895        1,052,278  

Qatar Navigation QSC

      3,403        61,219  
     

 

 

  
        2,820,994  
     

 

 

  

Russia — 5.1%

      

Aeroflot PJSC

      53,108        104,499  

Alrosa PJSC

      152,902        238,144  

Bashneft PJSC (Preference)

      1,167        30,771  

Federal Grid Co. Unified Energy System PJSC

      35,735,501        97,558  

Gazprom PJSC

      642,180        1,479,193  

Inter RAO UES PJSC

      4,173,720        276,718  

LUKOIL PJSC

      28,361        2,027,266  

Magnitogorsk Iron & Steel Works PJSC

      107,208        79,338  

MMC Norilsk Nickel PJSC

      2,804        488,506  

Mobile TeleSystems PJSC

      134,564        568,672  

Moscow Exchange MICEX-RTS PJSC

      70,194        115,712  

Novatek PJSC

      65,419        968,664  

Novolipetsk Steel PJSC

      52,958        137,761  

PhosAgro PJSC, GDR (a)

      6,070        80,228  

Polyus PJSC, GDR (a)

      2,643        93,799  

Rosneft Oil Co. PJSC

      71,241        477,871  

ROSSETI PJSC

      4,017,592        49,368  

Rostelecom PJSC

      116,427        130,950  

RusHydro PJSC

      15,280,120        166,171  

Sberbank of Russia PJSC

      506,403        1,735,400  

Severstal PJSC

      11,391        186,131  

Sistema PJSC FC

      387,619        56,272  

Surgutneftegas PJSC

      436,627        202,667  

Surgutneftegas PJSC (Preference)

      470,660        261,010  

Tatneft PJSC

      91,354        1,055,608  

Tatneft PJSC (Preference)

      9,048        69,771  

Transneft PJSC (Preference)

      95        247,252  

VTB Bank PJSC

      246,755,221        190,742  
     

 

 

  
        11,616,042  
     

 

 

  

Investments

    Shares      Value($)  

Singapore — 0.0% (b)

      

Yanlord Land Group Ltd.

      20,700        23,158  
     

 

 

  

South Africa — 8.5%

      

Absa Group Ltd.

      34,544        450,030  

AECI Ltd.

      6,797        54,639  

African Rainbow Minerals Ltd.

      6,463        55,719  

Assore Ltd.

      2,092        43,691  

AVI Ltd.

      32,388        269,336  

Barloworld Ltd.

      12,512        120,429  

Bidvest Group Ltd. (The)

      19,859        282,292  

Capitec Bank Holdings Ltd.

      2,634        190,213  

Clicks Group Ltd.

      23,856        350,134  

Coronation Fund Managers Ltd.

      12,788        57,795  

Discovery Ltd.

      16,858        217,291  

Exxaro Resources Ltd.

      15,703        154,729  

FirstRand Ltd.

      155,300        816,273  

Fortress REIT Ltd., REIT

      33,873        40,032  

Fortress REIT Ltd., Class B, REIT

      41,914        46,506  

Foschini Group Ltd. (The)

      21,451        280,090  

Gold Fields Ltd.

      48,746        178,886  

Growthpoint Properties Ltd., REIT

      141,817        281,641  

Harmony Gold Mining Co. Ltd.

      23,082        38,418  

Hyprop Investments Ltd., REIT

      12,275        95,730  

Imperial Holdings Ltd.

      9,429        152,881  

Investec Ltd.

      13,824        99,895  

JSE Ltd.

      4,267        53,890  

KAP Industrial Holdings Ltd.

      112,645        61,161  

Kumba Iron Ore Ltd.

      3,218        71,196  

Liberty Holdings Ltd.

      5,776        50,665  

Massmart Holdings Ltd.

      9,912        88,638  

MMI Holdings Ltd.

      52,470        67,703  

Mr Price Group Ltd.

      24,117        430,243  

Naspers Ltd., Class N

      29,529        7,269,119  

Nedbank Group Ltd.

      10,745        222,354  

Pick n Pay Stores Ltd.

      33,120        187,363  

Rand Merchant Investment Holdings Ltd.

      34,381        104,046  

Redefine Properties Ltd., REIT

      256,903        207,395  

Remgro Ltd.

      30,504        503,528  

Resilient REIT Ltd., REIT

      12,450        48,883  

Reunert Ltd.

      9,507        59,054  

RMB Holdings Ltd.

      32,495        203,109  

Sanlam Ltd.

      86,736        502,870  

Sappi Ltd.

      34,211        244,504  

Sasol Ltd.

      33,872        1,334,812  

Shoprite Holdings Ltd.

      43,125        713,240  

SPAR Group Ltd. (The)

      18,902        275,014  

Standard Bank Group Ltd.

      63,220        977,552  

Super Group Ltd. *

      21,497        56,753  

Telkom SA SOC Ltd.

      40,986        157,435  

Tongaat Hulett Ltd.

      10,598        67,995  

Truworths International Ltd.

      41,510        257,867  

Tsogo Sun Holdings Ltd.

      52,420        86,185  

Vodacom Group Ltd.

      82,504        878,769  

Vukile Property Fund Ltd., REIT

      35,935        53,326  
     

 

 

  
        19,511,319  
     

 

 

  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Taiwan — 15.6%

 

Acer, Inc. *

      251,000        205,707  

ASE Technology Holding Co. Ltd.

      295,500        757,483  

Asia Cement Corp.

      202,000        269,805  

Asustek Computer, Inc.

      61,000        525,844  

AU Optronics Corp.

      760,000        328,921  

Catcher Technology Co. Ltd.

      64,000        788,323  

Cathay Financial Holding Co. Ltd.

      611,000        1,053,729  

Chang Hwa Commercial Bank Ltd.

      452,000        267,504  

Chicony Electronics Co. Ltd.

      50,551        114,588  

China Airlines Ltd. *

      326,000        105,543  

China Development Financial Holding Corp.

      1,072,000        392,688  

China Life Insurance Co. Ltd.

      189,470        200,702  

Compal Electronics, Inc.

      360,000        224,007  

CTBC Financial Holding Co. Ltd.

      1,409,395        956,263  

E.Sun Financial Holding Co. Ltd.

      794,582        554,534  

Eclat Textile Co. Ltd.

      25,000        288,051  

Eva Airways Corp.

      250,000        123,509  

Evergreen Marine Corp. Taiwan Ltd. *

      173,000        78,451  

Far Eastern New Century Corp.

      500,000        533,924  

Feng TAY Enterprise Co. Ltd.

      42,000        242,053  

First Financial Holding Co. Ltd.

      740,100        509,094  

Formosa Chemicals & Fibre Corp.

      306,000        1,207,211  

Formosa Petrochemical Corp.

      121,000        476,901  

Formosa Plastics Corp.

      432,000        1,590,795  

Formosa Taffeta Co. Ltd.

      126,000        133,510  

Foxconn Technology Co. Ltd.

      97,533        242,402  

Fubon Financial Holding Co. Ltd.

      571,000        947,314  

Globalwafers Co. Ltd.

      18,000        304,709  

Hon Hai Precision Industry Co. Ltd. *

      1,323,490        3,630,307  

HTC Corp. *

      63,000        111,169  

Hua Nan Financial Holdings Co. Ltd.

      635,360        381,054  

Inventec Corp.

      263,000        210,454  

MediaTek, Inc.

      129,000        1,072,847  

Mega Financial Holding Co. Ltd.

      833,233        742,244  

Nan Ya Plastics Corp.

      506,000        1,406,018  

Nanya Technology Corp.

      69,737        179,421  

Novatek Microelectronics Corp.

      50,000        242,127  

Oriental Union Chemical Corp.

      65,000        70,438  

Pegatron Corp.

      174,000        387,632  

Pou Chen Corp.

      333,000        366,312  

President Chain Store Corp.

      69,000        760,152  

Realtek Semiconductor Corp. *

      41,000        165,210  

Shin Kong Financial Holding Co. Ltd. *

      593,287        225,379  

SinoPac Financial Holdings Co. Ltd.

      789,785        297,066  

Synnex Technology International Corp.

      117,200        167,502  

Taishin Financial Holding Co. Ltd.

      735,973        361,101  

Taiwan Business Bank

      312,113        103,014  

Taiwan Cement Corp.

      341,000        438,804  

Taiwan Cooperative Financial Holding Co. Ltd.

      674,674        412,574  

Taiwan Glass Industry Corp.

      140,000        76,016  

Investments

    Shares      Value($)  

Taiwan — continued

 

Taiwan Semiconductor Manufacturing Co. Ltd.

      943,000        7,539,957  

Uni-President Enterprises Corp.

      592,000        1,565,955  

United Microelectronics Corp.

      1,012,000        579,553  

Vanguard International Semiconductor Corp.

      78,000        199,454  

Walsin Lihwa Corp.

      264,000        179,886  

Wistron Corp.

      233,661        180,785  

Yuanta Financial Holding Co. Ltd.

      892,665        411,777  
     

 

 

  
        35,887,773  
     

 

 

  

Thailand — 7.9%

      

Advanced Info Service PCL

      236,400        1,435,375  

Airports of Thailand PCL

      563,400        1,122,980  

Bangkok Bank PCL

      40,200        251,503  

Bangkok Bank PCL, NVDR

      19,300        119,682  

Bangkok Dusit Medical Services PCL

      1,788,100        1,424,485  

Bangkok Life Assurance PCL, NVDR

      62,900        62,426  

Banpu PCL

      578,300        367,382  

Central Pattana PCL

      299,100        681,606  

CP ALL PCL

      884,700        2,001,012  

Electricity Generating PCL

      56,100        389,454  

Glow Energy PCL

      86,500        243,359  

Home Product Center PCL

      953,600        422,229  

Indorama Ventures PCL

      234,000        419,193  

Intouch Holdings PCL, NVDR

      248,700        420,827  

IRPC PCL

      1,400,400        271,719  

Krung Thai Bank PCL

      779,600        445,704  

Land & Houses PCL, NVDR

      796,500        287,286  

PTT Exploration & Production PCL

      183,200        759,892  

PTT Global Chemical PCL

      269,700        663,879  

PTT PCL

      1,898,700        2,910,541  

Ratchaburi Electricity Generating Holding PCL

      163,200        252,624  

Siam Cement PCL (The) (Registered)

      110,500        1,495,726  

Siam Commercial Bank PCL (The)

      293,500        1,221,814  

Thai Oil PCL

      135,600        327,200  

TMB Bank PCL

      2,589,200        179,205  
     

 

 

  
        18,177,103  
     

 

 

  

Turkey — 1.1%

      

Akbank Turk A/S

      102,950        151,584  

Aselsan Elektronik Sanayi ve Ticaret A/S

      9,578        52,776  

BIM Birlesik Magazalar A/S

      21,581        310,187  

Emlak Konut Gayrimenkul Yatirim Ortakligi A/S, REIT

      91,909        32,940  

Enerjisa Enerji A/S (a)

      32,449        39,829  

Enka Insaat ve Sanayi A/S

      30,013        29,775  

Eregli Demir ve Celik Fabrikalari TAS

      82,995        186,245  

Ford Otomotiv Sanayi A/S

      6,083        72,980  

Haci Omer Sabanci Holding A/S

      43,475        75,056  

KOC Holding A/S

      52,457        148,195  

Koza Altin Isletmeleri A/S *

      2,785        24,231  

Petkim Petrokimya Holding A/S

      51,390        46,456  

Soda Sanayii A/S

      23,817        30,960  
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Turkey — continued

      

TAV Havalimanlari Holding A/S

      10,384        61,306  

Tekfen Holding A/S

      11,113        44,014  

Tofas Turk Otomobil Fabrikasi A/S

      12,066        56,394  

Tupras Turkiye Petrol Rafinerileri A/S

      7,431        162,824  

Turk Hava Yollari AO *

      54,809        192,878  

Turkcell Iletisim Hizmetleri A/S

      147,671        388,062  

Turkiye Garanti Bankasi A/S

      103,330        149,084  

Turkiye Halk Bankasi A/S

      30,573        43,183  

Turkiye Is Bankasi A/S, Class C

      69,026        71,390  

Turkiye Sinai Kalkinma Bankasi A/S

      58,324        10,203  

Turkiye Sise ve Cam Fabrikalari A/S

      36,921        37,527  

Turkiye Vakiflar Bankasi TAO, Class D

      53,263        44,638  

Yapi ve Kredi Bankasi A/S *

      73,872        31,843  
     

 

 

  
        2,494,560  
     

 

 

  

United Arab Emirates — 1.1%

      

Abu Dhabi Commercial Bank PJSC

      97,039        187,043  

Air Arabia PJSC

      224,013        65,256  

Aldar Properties PJSC

      193,770        107,230  

Arabtec Holding PJSC

      44,791        24,156  

DAMAC Properties Dubai Co. PJSC

      83,959        53,252  

Dana Gas PJSC

      425,407        126,658  

DP World Ltd.

      9,615        221,145  

Dubai Investments PJSC

      105,806        58,345  

Dubai Islamic Bank PJSC

      81,124        111,091  

Emaar Development PJSC *

      39,624        55,028  

Emaar Properties PJSC

      174,664        251,613  

Emirates Telecommunications Group Co. PJSC

      170,612        806,297  

First Abu Dhabi Bank PJSC

      129,727        480,320  
     

 

 

  
        2,547,434  
     

 

 

  

United Kingdom — 0.1%

      

Mondi Ltd.

      7,335        200,977  
     

 

 

  

United States — 0.1%

      

JBS SA

      108,708        260,091  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $212,886,174)

         227,405,448  
     

 

 

  

Investments

    No. of
Rights		      Value($)  

RIGHTS — 0.0% (b)

      

Russia — 0.0% (b)

      

RusHydro PJSC, expiring 12/28/2018 *
(Cost $—)

      502,715        —   (c) 
     

 

 

  

Investments

    Shares      Value($)  

SHORT-TERM INVESTMENTS — 0.1%

      

INVESTMENT COMPANIES — 0.1%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (d)(e)
(Cost $298,660)

      298,660        298,660  
     

 

 

  

Total Investments — 99.2%
(Cost $213,184,834)

         227,704,108  

Other Assets Less Liabilities — 0.8%

 

      1,894,625  
     

 

 

  

Net Assets — 100.0%

 

      229,598,733  
     

 

 

  

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, July 31, 2018

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

Industry

    Percentage  

Banks

      19.1 % 

Oil, Gas & Consumable Fuels

      11.3

Semiconductors & Semiconductor Equipment

      4.9

Wireless Telecommunication Services

      4.9

Internet Software & Services

      4.4

Metals & Mining

      4.1

Electric Utilities

      3.8

Chemicals

      3.7

Media

      3.4

Food & Staples Retailing

      2.9

Insurance

      2.8

Electronic Equipment, Instruments & Components

      2.2

Food Products

      2.2

Pharmaceuticals

      2.0

Real Estate Management & Development

      1.9

Diversified Financial Services

      1.8

IT Services

      1.6

Independent Power and Renewable Electricity Producers

      1.6

Textiles, Apparel & Luxury Goods

      1.5

Automobiles

      1.5

Industrial Conglomerates

      1.3

Diversified Telecommunication Services

      1.3

Technology Hardware, Storage & Peripherals

      1.2

Construction Materials

      1.2

Transportation Infrastructure

      1.2

Health Care Providers & Services

      1.0

Others (each less than 1.0%)

      11.2  

Abbreviations

 

ADR     

American Depositary Receipt

GDR     

Global Depositary Receipt

NVDR     

Non-voting depository receipt

PJSC     

Public Joint Stock Company

Preference      A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
 

JPMorgan Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REIT        Real Estate Investment Trust
(a)      Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. 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.
(b)      Amount rounds to less than 0.05% of net assets.
(c)      Amount rounds to less than 1.
(d)      Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(e)      The rate shown is the current yield as of July 31, 2018.
*      Non-income producing security.
‡      Value determined using significant unobservable inputs.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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 Diversified Return Emerging Markets Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

          

Common Stocks

          

China

    $ 5,449,102      $ 47,511,639     $ —   (a)    $ 52,960,741  

Czech Republic

      —          836,865       —         836,865  

Egypt

      358,862        138,453       —         497,315  

Greece

      73,305        793,038       —         866,343  

Hong Kong

      —          1,931,642       —         1,931,642  

Hungary

      —          670,219       —         670,219  

India

      —          17,163,985       —         17,163,985  

Indonesia

      —          6,688,721       —         6,688,721  

Malaysia

      839,381        13,315,143       —         14,154,524  

Philippines

      120,176        2,734,593       —         2,854,769  

Poland

      —          3,991,622       —         3,991,622  

Qatar

      776,024        2,044,970       —         2,820,994  

Russia

      10,964,144        651,898       —         11,616,042  

Singapore

      —          23,158       —         23,158  

South Africa

      2,816,995        16,694,324       —         19,511,319  

Taiwan

      —          35,887,773       —         35,887,773  

Thailand

      14,703,959        3,473,144       —         18,177,103  

Turkey

      52,776        2,441,784       —         2,494,560  

United Arab Emirates

      1,064,855        1,482,579       —         2,547,434  

United Kingdom

      —          200,977       —         200,977  

Other Common Stocks

      31,509,342      $ —       $ —       $ 31,509,342  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Common Stocks

      68,728,921        158,676,527       —   (a)      227,405,448  
  

 

 

     

 

 

    

 

 

    

 

 

  

Rights

          

Other Rights

      —          —   (a)      —         —   (a) 

Short-Term Investments

          

Investment Companies

      298,660        —         —         298,660  
  

 

 

     

 

 

    

 

 

    

 

 

  

Total Investments in Securities

    $ 69,027,581      $ 158,676,527     $ —   (a)    $ 227,704,108  
  

 

 

     

 

 

    

 

 

    

 

 

  

 

  (a)

Amount rounds to less than 1.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

Transfers from level 1 to level 2 in the amount of $5,567,822 and from level 2 to level 1 in the amount of $ 2,562,556 are due to the application and non-application of the fair value factors to certain securities during the period ended July 31, 2018.

JPMorgan Diversified Return Europe Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value ($)  

EXCHANGE TRADED FUNDS — 100.0%

 

United States — 100.0%

 

JPMorgan Diversified Return Europe Equity ETF (a)
(Cost $27,244,225)

      518,236        31,099,964  

Total Investments — 100.0%
(Cost $27,244,225)

 

      31,099,964  

Liabilities in Excess of Other Assets – 0.0% (b)

 

      (12,352 ) 
  

 

 

  

Net Assets — 100.0%

 

      31,087,612  
  

 

 

  

 

Percentages indicated are based on net assets.

 

 

 

Forward foreign currency exchange contracts outstanding as of July 31, 2018:

 

Currency Purchased

      Currency Sold     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  
CHF      529,891      USD      535,065      Goldman Sachs International      8/3/2018        141  
USD      102,402      CHF      101,323      Goldman Sachs International      8/3/2018        62  
USD      898,423      DKK      5,721,127      Merrill Lynch International      8/3/2018        579  
USD      206,177      DKK      1,312,388      Royal Bank of Canada      8/3/2018        218  
USD      30,872      EUR      26,384      Barclays Bank plc      8/3/2018        17  
USD      15,284,670      EUR      13,059,881      Goldman Sachs International      8/3/2018        12,008  
USD      392,058      EUR      334,982      Royal Bank of Canada      8/3/2018        319  
USD      48,159      GBP      36,569      BNP Paribas SA      8/3/2018        159  
USD      6,764,366      GBP      5,114,845      Citibank, NA      8/3/2018        50,607  
USD      160,947      GBP      121,853      National Australia Bank Ltd.      8/3/2018        1,002  
USD      786,763      NOK      6,403,947      BNP Paribas SA      8/3/2018        1,611  
USD      15,035      NOK      122,483      Royal Bank of Canada      8/3/2018        18  
USD      96,546      DKK      613,228      Citibank, NA      9/5/2018        45  
USD      1,107,155      DKK      7,033,515      Merrill Lynch International      9/5/2018        325  
USD      16,283,395      EUR      13,882,480      BNP Paribas SA      9/5/2018        6,678  
USD      489,625      EUR      417,504      Citibank, NA      9/5/2018        117  
USD      721,006      NOK      5,867,056      BNP Paribas SA      9/5/2018        646  
USD      1,861,699      SEK      16,313,529      Citibank, NA      9/5/2018        1,333  
                 

 

 

  

Total unrealized appreciation

              75,885  
                 

 

 

  
GBP      16,206      USD      21,567      Barclays Bank plc      8/3/2018        (295 ) 
GBP      29,516      USD      39,013      BNP Paribas SA      8/3/2018        (271 ) 
NOK      659,374      USD      81,001      Goldman Sachs International      8/3/2018        (158 ) 
USD      3,222,174      CHF      3,191,486      Goldman Sachs International      8/3/2018        (1,324 ) 
USD      535,475      EUR      461,233      BNP Paribas SA      8/3/2018        (3,906 ) 
USD      15,799      GBP      12,057      Barclays Bank plc      8/3/2018        (27 ) 
USD      666,736      GBP      514,119      BNP Paribas SA      8/3/2018        (8,099 ) 
USD      1,569,050      SEK      14,008,598      BNP Paribas SA      8/3/2018        (24,231 ) 
USD      26,332      SEK      236,098      Citibank, NA      8/3/2018        (521 ) 
USD      170,587      SEK      1,523,018      Royal Bank of Canada      8/3/2018        (2,635 ) 
USD      2,942,278      CHF      2,904,940      Goldman Sachs International      9/5/2018        (306 ) 
USD      37,338      GBP      28,427      BNP Paribas SA      9/5/2018        (29 ) 
USD      7,557,359      GBP      5,753,722      Citibank, NA      9/5/2018        (5,992 ) 
                 

 

 

  

Total unrealized depreciation

              (47,794 ) 
                 

 

 

  

Net unrealized appreciation

              28,091  
                 

 

 

  

 

Abbreviations

CHF

      Swiss Franc

JPMorgan Diversified Return Europe Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

DKK

    Danish Krone

EUR

    Euro

ETF

    Exchange Traded Fund

GBP

    British Pound

NOK

    Norwegian Krone

SEK

    Swedish Krona

USD

    United States Dollar
(a)    Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)    Amount rounds to less than 0.05% of net assets.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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.

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

 

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

Total Investments in Securities (a)

    $ 31,099,964      $ —       $ —        $ 31,099,964  
  

 

 

     

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Forward Foreign Currency Exchange Contracts

    $ —        $ 75,885     $ —        $ 75,885  

Depreciation in Other Financial Instruments

           

Forward Foreign Currency Exchange Contracts

    $ —        $ (47,794 )    $ —        $ (47,794 ) 

JPMorgan Diversified Return Europe Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

  (a)

— All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

B. Derivatives — The Fund used derivative instruments including forward foreign currency exchange contracts 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.

(1). Forward Foreign Currency Exchange Contracts — The Fund may be 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. dollars 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). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

JPMorgan Diversified Return Europe Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.2%

 

Australia — 0.7%

 

BHP Billiton plc

      11,149        256,580  

Rio Tinto plc

      6,067        333,084  
     

 

 

  
        589,664  
     

 

 

  

Austria — 0.9%

 

ANDRITZ AG

      1,889        107,086  

OMV AG

      5,747        324,781  

voestalpine AG

      6,144        307,417  
     

 

 

  
        739,284  
     

 

 

  

Belgium — 2.2%

 

Ageas

      4,901        262,866  

bpost SA

      4,540        71,570  

Colruyt SA

      3,978        237,808  

Groupe Bruxelles Lambert SA

      1,142        121,313  

Proximus SADP

      11,679        286,242  

Solvay SA

      2,167        296,881  

UCB SA

      2,709        232,906  

Umicore SA

      5,169        302,503  
     

 

 

  
        1,812,089  
     

 

 

  

Chile — 0.3%

 

Antofagasta plc

      17,622        231,431  
     

 

 

  

Denmark — 3.8%

 

Carlsberg A/S, Class B

      1,963        236,813  

Chr Hansen Holding A/S

      3,174        328,558  

Coloplast A/S, Class B

      2,623        286,090  

Danske Bank A/S

      2,483        72,157  

DSV A/S

      3,412        285,852  

H Lundbeck A/S

      2,800        202,639  

ISS A/S

      1,601        59,802  

Novo Nordisk A/S, Class B

      7,287        362,509  

Novozymes A/S, Class B

      4,881        257,008  

Orsted A/S (a)

      4,983        307,493  

Rockwool International A/S, Class B

      172        68,869  

Tryg A/S

      7,557        184,984  

Vestas Wind Systems A/S

      3,261        210,431  

William Demant Holding A/S *

      6,797        324,884  
     

 

 

  
        3,188,089  
     

 

 

  

Finland — 4.6%

 

Elisa OYJ

      6,922        300,560  

Fortum OYJ

      17,599        442,140  

Kesko OYJ, Class B

      4,223        237,157  

Kone OYJ, Class B

      5,569        304,434  

Neste OYJ

      10,066        830,307  

Nokia OYJ

      43,902        238,285  

Orion OYJ, Class B

      7,771        267,532  

Sampo OYJ, Class A

      6,789        344,800  

Stora Enso OYJ, Class R

      16,187        267,125  

UPM-Kymmene OYJ

      9,069        321,702  

Wartsila OYJ Abp

      14,716        318,581  
     

 

 

  
        3,872,623  
     

 

 

  

France — 15.6%

 

Accor SA

      4,550        234,242  

Aeroports de Paris

      874        195,376  

Air Liquide SA

      2,307        294,959  

Investments

    Shares      Value($)  

France — continued

 

Arkema SA

      2,337        292,646  

Atos SE

      2,657        356,031  

AXA SA

      4,253        107,164  

BioMerieux

      813        67,609  

BNP Paribas SA

      1,942        125,977  

Bouygues SA

      3,018        132,534  

Bureau Veritas SA

      2,737        70,411  

Capgemini SE

      7,132        912,421  

Casino Guichard Perrachon SA

      2,053        83,356  

Cie Generale des Etablissements Michelin SCA

      2,006        257,605  

Cie Plastic Omnium SA

      2,367        99,066  

CNP Assurances

      5,424        126,662  

Covivio, REIT

      2,371        246,945  

Credit Agricole SA

      5,988        84,132  

Danone SA

      3,002        235,694  

Dassault Aviation SA

      61        112,753  

Dassault Systemes SE

      1,784        266,003  

Edenred

      4,908        192,519  

Eiffage SA

      2,204        246,299  

Electricite de France SA

      18,607        278,606  

Engie SA

      15,937        257,360  

Essilor International Cie Generale d’Optique SA

      1,848        272,329  

Eurazeo SA

      717        55,432  

Eutelsat Communications SA

      8,038        172,075  

Faurecia SA

      2,925        198,690  

Gecina SA, REIT

      1,436        244,613  

Hermes International

      356        225,311  

Imerys SA

      2,072        160,709  

Ingenico Group SA

      1,775        147,021  

Ipsen SA

      674        111,981  

Kering SA

      590        313,576  

Klepierre SA, REIT

      2,150        80,971  

Lagardere SCA

      5,057        147,562  

Legrand SA

      3,027        222,175  

L’Oreal SA

      1,078        263,432  

LVMH Moet Hennessy Louis Vuitton SE

      1,000        348,488  

Natixis SA

      7,765        55,702  

Orange SA

      19,512        332,518  

Orpea

      1,246        171,109  

Pernod Ricard SA

      1,513        243,771  

Peugeot SA

      10,693        307,124  

Publicis Groupe SA

      3,587        228,910  

Renault SA

      2,412        211,965  

Rubis SCA

      1,920        113,238  

Safran SA

      2,134        264,624  

Sanofi

      4,519        393,136  

Schneider Electric SE

      2,969        238,309  

SCOR SE

      2,603        101,266  

SEB SA

      210        39,889  

Societe BIC SA

      767        73,321  

Societe Generale SA

      2,246        100,167  

Sodexo SA

      2,796        309,730  

Thales SA

      1,958        257,035  

TOTAL SA

      5,944        387,700  

Ubisoft Entertainment SA *

      2,295        252,955  

Unibail-Rodamco-Westfield, REIT

      390        86,580  
 

JPMorgan Diversified Return Europe Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

France — continued

 

Valeo SA

      5,229        256,228  

Veolia Environnement SA

      10,969        250,299  

Vinci SA

      1,941        195,307  
     

 

 

  
        13,111,618  
     

 

 

  

Germany — 12.2%

 

1&1 Drillisch AG

      1,364        81,136  

Allianz SE (Registered)

      662        146,471  

Axel Springer SE

      3,406        254,503  

BASF SE

      3,535        338,860  

Bayer AG (Registered)

      3,007        334,761  

Bayerische Motoren Werke AG

      2,565        247,985  

CECONOMY AG

      12,812        105,243  

Continental AG

      995        229,304  

Covestro AG (a)

      3,284        315,384  

Daimler AG (Registered)

      3,453        238,996  

Deutsche Boerse AG

      1,135        149,578  

Deutsche Lufthansa AG (Registered)

      12,147        340,813  

Deutsche Post AG (Registered)

      4,270        150,840  

Deutsche Telekom AG (Registered) *

      16,650        275,309  

Deutsche Wohnen SE

      5,333        259,639  

E.ON SE

      12,285        138,602  

Evonik Industries AG

      7,076        261,858  

Fielmann AG

      1,440        101,097  

Fraport AG Frankfurt Airport Services Worldwide

      1,914        191,069  

Fresenius Medical Care AG & Co. KGaA

      3,338        325,636  

Fresenius SE & Co. KGaA

      3,295        254,007  

FUCHS PETROLUB SE (Preference)

      3,202        180,781  

Hannover Rueck SE

      1,087        144,989  

Hella GmbH & Co. KGaA

      1,762        103,802  

Henkel AG & Co. KGaA (Preference)

      2,700        338,818  

HOCHTIEF AG

      591        106,272  

HUGO BOSS AG

      2,757        248,603  

Infineon Technologies AG

      12,216        323,514  

Innogy SE *

      2,847        122,398  

LEG Immobilien AG

      2,263        254,533  

Linde AG

      1,116        275,983  

MAN SE

      668        74,989  

MTU Aero Engines AG

      1,316        279,069  

Porsche Automobil Holding SE (Preference)

      3,377        228,421  

ProSiebenSat.1 Media SE

      8,460        228,334  

Puma SE

      408        204,790  

Rheinmetall AG

      471        56,921  

SAP SE

      3,128        364,055  

Siemens AG (Registered)

      1,347        190,114  

Symrise AG

      2,358        213,137  

Talanx AG

      2,655        101,599  

Telefonica Deutschland Holding AG

      35,680        156,261  

TUI AG

      10,685        228,581  

Uniper SE

      8,826        275,582  

United Internet AG (Registered)

      3,778        203,224  

Volkswagen AG (Preference)

      872        155,358  

Vonovia SE

      5,336        258,248  

Investments

    Shares      Value($)  

Germany — continued

 

Wacker Chemie AG

      949        137,982  
     

 

 

  
        10,197,449  
     

 

 

  

Ireland — 0.6%

 

Paddy Power Betfair plc

      2,049        223,006  

Smurfit Kappa Group plc

      6,051        248,637  
     

 

 

  
        471,643  
     

 

 

  

Italy — 4.2%

 

A2A SpA

      119,066        218,416  

Assicurazioni Generali SpA

      14,776        262,023  

Atlantia SpA

      8,623        255,419  

Enel SpA

      58,261        324,568  

Eni SpA

      18,695        359,851  

Intesa Sanpaolo SpA

      86,801        266,014  

Italgas SpA

      23,106        132,904  

Mediobanca Banca di Credito Finanziario SpA

      9,738        100,834  

Moncler SpA

      5,406        238,262  

Poste Italiane SpA (a)

      28,900        268,870  

Recordati SpA

      6,675        248,765  

Snam SpA

      60,614        260,310  

Telecom Italia SpA *

      53,860        41,428  

Terna Rete Elettrica Nazionale SpA

      62,375        349,403  

Unione di Banche Italiane SpA

      19,532        80,591  

UnipolSai Assicurazioni SpA

      43,130        98,029  
     

 

 

  
        3,505,687  
     

 

 

  

Jersey — 0.3%

 

Randgold Resources Ltd.

      3,121        231,084  
     

 

 

  

Jordan — 0.1%

      

Hikma Pharmaceuticals plc

      4,623        99,482  
     

 

 

  

Kazakhstan — 0.2%

 

KAZ Minerals plc *

      16,794        185,996  
     

 

 

  

Luxembourg — 1.2%

 

ArcelorMittal

      7,745        248,229  

Eurofins Scientific SE

      96        52,328  

RTL Group SA

      2,678        199,634  

SES SA, FDR

      14,404        287,936  

Tenaris SA

      13,842        253,580  
     

 

 

  
        1,041,707  
     

 

 

  

Netherlands — 4.8%

 

Aalberts Industries NV

      2,241        101,548  

ABN AMRO Group NV, CVA (a)

      3,204        88,674  

Aegon NV

      39,981        263,557  

Akzo Nobel NV

      2,895        267,385  

ASML Holding NV

      1,768        378,650  

ASR Nederland NV

      5,204        232,809  

Heineken Holding NV

      1,687        163,129  

Heineken NV

      1,770        178,844  

ING Groep NV

      6,526        99,761  

Koninklijke Ahold Delhaize NV

      14,573        370,601  

Koninklijke DSM NV

      3,340        355,977  

Koninklijke KPN NV

      91,358        264,137  

Koninklijke Philips NV

      8,230        361,293  

NN Group NV

      5,809        256,625  

Randstad NV

      268        16,961  

Royal Dutch Shell plc, Class B

      7,844        274,753  
 

JPMorgan Diversified Return Europe Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Netherlands — continued

 

Wolters Kluwer NV

      5,915        356,195  
     

 

 

  
        4,030,899  
     

 

 

  

Norway — 2.3%

 

Aker BP ASA

      4,703        168,043  

DNB ASA

      11,594        233,465  

Equinor ASA

      12,689        336,667  

Gjensidige Forsikring ASA

      5,864        94,123  

Marine Harvest ASA

      15,067        329,458  

Norsk Hydro ASA

      39,530        225,481  

Orkla ASA

      27,467        232,421  

Telenor ASA

      16,084        314,635  
     

 

 

  
        1,934,293  
     

 

 

  

Portugal — 1.0%

 

EDP - Energias de Portugal SA

      84,441        344,504  

Galp Energia SGPS SA

      17,805        365,682  

Jeronimo Martins SGPS SA

      6,447        95,797  
     

 

 

  
        805,983  
     

 

 

  

Russia — 0.3%

 

Evraz plc

      28,214        205,829  

Polymetal International plc

      6,578        57,364  
     

 

 

  
        263,193  
     

 

 

  

South Africa — 0.4%

 

Anglo American plc

      13,940        315,544  
     

 

 

  

Spain — 5.8%

 

Acciona SA

      1,407        120,820  

Acerinox SA

      8,579        123,999  

ACS Actividades de Construccion y Servicios SA

      3,903        171,056  

Aena SME SA (a)

      777        141,084  

Amadeus IT Group SA

      3,795        323,736  

Banco Santander SA

      12,333        69,288  

Enagas SA

      12,379        346,075  

Endesa SA

      14,992        346,684  

Grifols SA

      11,232        326,168  

Iberdrola SA

      93,533        727,210  

Iberdrola SA *

      2,672        20,774  

Industria de Diseno Textil SA

      5,968        195,575  

Mediaset Espana Comunicacion SA

      14,193        111,660  

Merlin Properties Socimi SA, REIT

      17,906        264,500  

Naturgy Energy Group SA

      13,465        364,751  

Red Electrica Corp. SA

      16,984        359,978  

Repsol SA

      18,017        357,367  

Siemens Gamesa Renewable Energy SA *

      12,822        180,867  

Telefonica SA

      38,242        343,624  
     

 

 

  
        4,895,216  
     

 

 

  

Sweden — 6.0%

 

Alfa Laval AB

      5,201        142,973  

Atlas Copco AB, Class A *

      7,001        200,484  

Boliden AB *

      8,913        265,320  

Electrolux AB, Series B

      6,490        152,231  

Epiroc AB, Class A *

      6,918        82,831  

Hennes & Mauritz AB, Class B

      6,666        103,787  

Hexagon AB, Class B

      5,891        359,053  

Husqvarna AB, Class B

      7,544        59,602  

ICA Gruppen AB

      5,792        192,033  

Industrivarden AB, Class C

      3,820        80,459  

Investor AB, Class B

      2,981        129,852  

Investments

    Shares      Value($)  

Sweden — continued

 

Kinnevik AB, Class B

      7,129        246,049  

L E Lundbergforetagen AB, Class B

      707        23,102  

Nordea Bank AB

      21,373        227,149  

Sandvik AB

      14,444        264,118  

Securitas AB, Class B

      10,231        184,076  

Skandinaviska Enskilda Banken AB, Class A

      9,412        100,615  

Skanska AB, Class B

      7,974        149,994  

SKF AB, Class B

      5,905        121,232  

Svenska Cellulosa AB SCA, Class B

      18,240        188,728  

Swedbank AB, Class A

      16,033        379,137  

Swedish Match AB

      5,240        286,457  

Tele2 AB, Class B

      26,946        361,571  

Telefonaktiebolaget LM Ericsson, Class B

      8,672        68,077  

Telia Co. AB

      73,825        355,112  

Trelleborg AB, Class B

      6,852        142,676  

Volvo AB, Class B

      7,314        128,354  
     

 

 

  
        4,995,072  
     

 

 

  

Switzerland — 10.2%

 

ABB Ltd. (Registered)

      6,385        146,571  

Adecco Group AG (Registered)

      1,688        103,774  

Baloise Holding AG (Registered)

      896        139,722  

Banque Cantonale Vaudoise (Registered)

      92        68,782  

Barry Callebaut AG (Registered)

      67        114,146  

Clariant AG (Registered) *

      10,222        244,421  

DKSH Holding AG

      282        20,616  

EMS-Chemie Holding AG (Registered)

      435        278,996  

Ferguson plc

      3,210        253,150  

Flughafen Zurich AG (Registered)

      311        65,075  

Geberit AG (Registered)

      766        341,081  

Georg Fischer AG (Registered)

      130        167,732  

Givaudan SA (Registered)

      122        285,566  

Glencore plc *

      52,246        229,122  

Helvetia Holding AG (Registered)

      153        90,427  

Kuehne + Nagel International AG (Registered)

      872        139,171  

Logitech International SA (Registered)

      6,050        266,076  

Lonza Group AG (Registered) *

      1,240        381,694  

Nestle SA (Registered)

      4,997        407,222  

Novartis AG (Registered)

      4,892        410,545  

OC Oerlikon Corp. AG (Registered) *

      6,945        107,907  

Pargesa Holding SA

      1,941        162,123  

Partners Group Holding AG

      223        169,227  

Roche Holding AG

      1,679        412,441  

Schindler Holding AG

      1,084        252,435  

SGS SA (Registered)

      97        252,846  

Sika AG (Registered)

      1,592        226,045  

Sonova Holding AG (Registered)

      1,887        347,890  

STMicroelectronics NV

      10,495        226,501  

Straumann Holding AG (Registered)

      375        291,197  

Swatch Group AG (The)

      513        229,614  

Swiss Life Holding AG (Registered) *

      743        266,424  

Swiss Prime Site AG (Registered) *

      854        78,263  
 

JPMorgan Diversified Return Europe Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Switzerland — continued

 

Swiss Re AG

      1,108        101,585  

Swisscom AG (Registered)

      1,183        555,414  

Temenos AG (Registered) *

      1,825        293,736  

Vifor Pharma AG

      1,592        301,132  

Zurich Insurance Group AG *

      366        112,234  
     

 

 

  
        8,540,903  
     

 

 

  

United Arab Emirates — 0.3%

      

NMC Health plc

      5,269        262,081  
     

 

 

  

United Kingdom — 20.6%

      

3i Group plc

      13,282        164,960  

Admiral Group plc

      2,289        59,502  

Ashtead Group plc

      8,043        246,915  

AstraZeneca plc

      4,786        368,408  

BAE Systems plc

      16,619        142,264  

Barratt Developments plc

      32,024        224,293  

Bellway plc

      5,663        216,484  

Berkeley Group Holdings plc

      5,563        272,289  

BP plc

      47,012        353,316  

British American Tobacco plc

      6,893        378,924  

British Land Co. plc (The), REIT

      22,251        192,713  

BT Group plc

      122,647        375,188  

Bunzl plc

      8,956        266,120  

Burberry Group plc

      9,033        249,509  

Compass Group plc

      15,593        335,395  

Croda International plc

      4,773        322,016  

Diageo plc

      7,535        276,440  

DS Smith plc

      20,266        133,897  

easyJet plc

      13,435        285,312  

Experian plc

      10,245        251,537  

Fiat Chrysler Automobiles NV *

      11,110        189,439  

GlaxoSmithKline plc

      17,237        358,017  

Hammerson plc, REIT

      11,679        79,874  

HSBC Holdings plc

      16,786        160,748  

IMI plc

      7,096        115,444  

Imperial Brands plc

      2,561        98,081  

Inchcape plc

      16,833        155,727  

Informa plc

      23,767        246,189  

Inmarsat plc

      45,532        340,209  

International Consolidated Airlines Group SA

      27,874        259,416  

Intertek Group plc

      2,970        229,113  

ITV plc

      103,375        223,423  

J Sainsbury plc

      66,868        286,748  

Johnson Matthey plc

      5,259        259,100  

Just Eat plc *

      22,074        229,453  

Kingfisher plc

      57,418        223,230  

Legal & General Group plc

      69,857        240,401  

Meggitt plc

      33,604        251,285  

Mondi plc

      11,148        306,520  

National Grid plc

      30,439        325,179  

Next plc

      4,283        333,450  

Pearson plc

      20,691        250,611  

Pennon Group plc

      2,723        26,870  

Persimmon plc

      6,600        214,662  

Reckitt Benckiser Group plc

      4,417        393,778  

RELX NV

      15,244        331,537  

RELX plc

      15,154        330,166  

Rentokil Initial plc

      54,407        241,892  

Investments

    Shares      Value($)  

United Kingdom — continued

      

Rightmove plc

      2,441        155,947  

Royal Mail plc

      36,551        224,882  

Sage Group plc (The)

      37,479        305,639  

Schroders plc

      1,053        42,995  

Segro plc, REIT

      28,484        248,278  

Severn Trent plc

      12,455        316,111  

Sky plc

      13,959        278,892  

Smith & Nephew plc

      18,217        315,410  

Smiths Group plc

      7,454        157,529  

SSE plc

      18,260        299,216  

Tate & Lyle plc

      26,980        220,670  

Taylor Wimpey plc

      98,012        224,924  

Tesco plc

      77,390        264,288  

Unilever NV, CVA

      6,217        358,665  

Unilever plc

      6,197        354,003  

United Utilities Group plc

      31,949        301,501  

Vodafone Group plc

      134,362        328,241  

Whitbread plc

      5,893        302,724  

William Hill plc

      58,010        226,429  

Wm Morrison Supermarkets plc

      75,748        259,731  

WPP plc

      19,475        304,628  
     

 

 

  
        17,306,747  
     

 

 

  

United States — 0.6%

      

Carnival plc

      3,863        224,238  

Shire plc

      4,706        268,026  
     

 

 

  
        492,264  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $72,826,027)

         83,120,041  
     

 

 

  

Total Investments — 99.2%
(Cost $72,826,027)

         83,120,041  

Other Assets Less Liabilities — 0.8%

         658,263  
     

 

 

  

Net Assets — 100.0%

         83,778,304  
     

 

 

  

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, July 31, 2018

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

Industry

    Percentage  

Chemicals

      6.9 % 

Oil, Gas & Consumable Fuels

      5.3

Pharmaceuticals

      4.9

Insurance

      4.8

Diversified Telecommunication Services

      4.7

Electric Utilities

      4.7

Metals & Mining

      3.9

Media

      3.5

Machinery

      3.2

Health Care Equipment & Supplies

      2.7

Banks

      2.7

Hotels, Restaurants & Leisure

      2.5

Textiles, Apparel & Luxury Goods

      2.5

Food & Staples Retailing

      2.4

Professional Services

      2.4

IT Services

      1.9

Automobiles

      1.9
 

JPMorgan Diversified Return Europe Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Food Products

      1.9

Software

      1.8

Equity Real Estate Investment Trusts (REITs)

      1.7

Household Durables

      1.7

Multi-Utilities

      1.6

Aerospace & Defense

      1.6

Auto Components

      1.4

Beverages

      1.3

Paper & Forest Products

      1.3

Health Care Providers & Services

      1.2

Construction & Engineering

      1.2

Electrical Equipment

      1.2

Personal Products

      1.2

Semiconductors & Semiconductor Equipment

      1.1

Airlines

      1.1

Real Estate Management & Development

      1.0

Transportation Infrastructure

      1.0

Diversified Financial Services

      1.0

Others (each less than 1.0%)

      14.8  
 

 

Abbreviations

CVA

      Dutch Certification

FDR

      Fiduciary Depositary Receipt

OYJ

      Public Limited Company

Preference

   

  A special type of equity investment that shares in

  the earnings of the company, has limited voting

  rights, and may have a dividend preference.

  Preference shares may also have

  liquidation preference.

REIT

      Real Estate Investment Trust

SCA

      Limited partnership with share capital

(a)

   

  Security exempt from registration pursuant to Regulation S

  under the Securities Act of 1933. 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.

*

      Non-income producing security.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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).

JPMorgan Diversified Return Europe Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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:

 

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

Investments in Securities

 

Common Stocks

            

Australia

    $ —        $ 589,664      $ —        $ 589,664  

Austria

      —          739,284        —          739,284  

Belgium

      —          1,812,089        —          1,812,089  

Chile

      —          231,431        —          231,431  

Denmark

      —          3,188,089        —          3,188,089  

Finland

      —          3,872,623        —          3,872,623  

France

      159,901        12,951,717        —          13,111,618  

Germany

      —          10,197,449        —          10,197,449  

Ireland

      —          471,643        —          471,643  

Italy

      —          3,505,687        —          3,505,687  

Jersey

      —          231,084        —          231,084  

Jordan

      —          99,482        —          99,482  

Kazakhstan

      —          185,996        —          185,996  

Luxembourg

      287,936        753,771        —          1,041,707  

Netherlands

      —          4,030,899        —          4,030,899  

Norway

      —          1,934,293        —          1,934,293  

Portugal

      —          805,983        —          805,983  

Russia

      57,364        205,829        —          263,193  

South Africa

      —          315,544        —          315,544  

Spain

      20,774        4,874,442        —          4,895,216  

Sweden

      82,831        4,912,241        —          4,995,072  

Switzerland

      —          8,540,903        —          8,540,903  

United Arab Emirates

      —          262,081        —          262,081  

United Kingdom

      —          17,306,747        —          17,306,747  

United States

      —          492,264        —          492,264  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      608,806        82,511,235        —          83,120,041  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

      608,806        82,511,235        —          83,120,041  
  

 

 

     

 

 

     

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

Transfers from level 1 to level 2 in the amount of $2,976,304 are due to applying the fair value factors to certain securities during the period ended July 31, 2018.

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.5%

 

Australia — 8.1%

 

AGL Energy Ltd.

      35,384        579,006  

Alumina Ltd.

      81,673        172,144  

Ansell Ltd.

      23,170        496,598  

APA Group

      48,815        350,124  

Aristocrat Leisure Ltd.

      9,596        229,852  

ASX Ltd.

      10,450        510,291  

Aurizon Holdings Ltd.

      48,773        165,199  

BHP Billiton Ltd.

      18,335        478,847  

Boral Ltd.

      71,754        354,607  

Caltex Australia Ltd.

      19,357        468,282  

CIMIC Group Ltd.

      8,727        313,856  

Cochlear Ltd.

      4,336        655,409  

Computershare Ltd.

      21,467        290,572  

Crown Resorts Ltd.

      16,952        170,247  

CSL Ltd.

      4,723        691,006  

CSR Ltd.

      91,621        289,125  

Dexus, REIT

      68,877        516,739  

Flight Centre Travel Group Ltd.

      10,803        546,312  

Fortescue Metals Group Ltd.

      55,194        179,521  

GPT Group (The), REIT

      153,992        591,420  

Harvey Norman Holdings Ltd.

      89,615        236,662  

Healthscope Ltd.

      222,842        362,028  

Incitec Pivot Ltd.

      60,012        169,208  

Macquarie Group Ltd.

      4,792        437,212  

Mirvac Group, REIT

      365,135        619,768  

Oil Search Ltd.

      19,752        131,761  

Origin Energy Ltd. *

      84,634        614,083  

Qantas Airways Ltd.

      133,939        669,445  

Ramsay Health Care Ltd.

      9,876        412,409  

Rio Tinto Ltd.

      6,968        421,126  

Santos Ltd. *

      33,906        160,605  

Scentre Group, REIT

      130,563        413,686  

Sonic Healthcare Ltd.

      33,498        649,759  

South32 Ltd.

      106,560        283,597  

Star Entertainment Grp Ltd. (The)

      109,951        405,667  

Sydney Airport

      78,244        411,206  

Telstra Corp. Ltd.

      110,677        233,378  

Transurban Group

      48,490        421,642  

Treasury Wine Estates Ltd.

      34,432        471,509  

Wesfarmers Ltd.

      19,035        699,887  

Woodside Petroleum Ltd.

      15,384        412,344  

Woolworths Group Ltd.

      19,660        439,831  

WorleyParsons Ltd.

      28,231        385,206  
     

 

 

  
        17,511,176  
     

 

 

  

Austria — 0.3%

      

OMV AG

      9,432        533,032  
     

 

 

  

Belgium — 0.8%

      

Ageas

      6,028        323,313  

Colruyt SA

      6,284        375,663  

Groupe Bruxelles Lambert SA

      4,051        430,333  

Proximus SADP

      13,466        330,040  

Solvay SA

      1,861        254,958  

UCB SA

      1,102        94,744  
     

 

 

  
        1,809,051  
     

 

 

  

Investments

    Shares      Value($)  

Bermuda — 0.2%

      

RenaissanceRe Holdings Ltd.

      3,959        521,994  
     

 

 

  

Canada — 3.6%

      

ARC Resources Ltd.

      2,481        29,467  

BCE, Inc.

      11,938        507,309  

Canadian Tire Corp. Ltd., Class A

      4,292        584,551  

CGI Group, Inc., Class A *

      4,104        264,945  

Fortis, Inc.

      13,504        443,991  

Husky Energy, Inc.

      28,845        490,488  

Hydro One Ltd. (a)

      17,624        257,413  

Imperial Oil Ltd.

      5,452        186,714  

Inter Pipeline Ltd.

      16,489        314,354  

Loblaw Cos. Ltd.

      8,472        447,941  

Metro, Inc.

      16,112        543,239  

National Bank of Canada

      5,193        254,570  

RioCan REIT, REIT

      13,163        251,148  

Rogers Communications, Inc., Class B

      12,444        634,421  

Shaw Communications, Inc., Class B

      19,974        417,798  

Suncor Energy, Inc.

      10,426        439,049  

Teck Resources Ltd., Class B

      14,506        378,359  

TELUS Corp.

      15,012        548,734  

Thomson Reuters Corp.

      10,292        427,076  

Toronto-Dominion Bank (The)

      2,864        169,900  

Tourmaline Oil Corp.

      168        3,319  

TransCanada Corp.

      4,210        189,359  
     

 

 

  
        7,784,145  
     

 

 

  

Chile — 0.0% (b)

      

Antofagasta plc

      1,188        15,602  
     

 

 

  

China — 0.4%

      

China Mengniu Dairy Co. Ltd. *

      72,000        223,438  

Semiconductor Manufacturing International Corp. *

      373,200        452,586  

Xinyi Solar Holdings Ltd.

      598,000        178,378  
     

 

 

  
        854,402  
     

 

 

  

Denmark — 0.8%

      

Carlsberg A/S, Class B

      3,668        442,500  

Chr Hansen Holding A/S

      5,738        593,971  

H Lundbeck A/S

      3,156        228,403  

Orsted A/S (a)

      6,491        400,550  
     

 

 

  
        1,665,424  
     

 

 

  

Finland — 1.1%

      

Elisa OYJ

      10,075        437,466  

Fortum OYJ

      24,901        625,588  

Kesko OYJ, Class B

      2,004        112,542  

Neste OYJ

      7,919        653,209  

Sampo OYJ, Class A

      3,062        155,513  

Stora Enso OYJ, Class R

      20,224        333,745  

UPM-Kymmene OYJ

      3,144        111,526  
     

 

 

  
        2,429,589  
     

 

 

  

France — 4.1%

      

Alstom SA *

      4,092        183,452  

Arkema SA

      3,943        493,754  

Atos SE

      4,012        537,597  

Bouygues SA

      5,167        226,906  

Capgemini SE

      4,894        626,106  
 

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

      

France — continued

      

Casino Guichard Perrachon SA

      6,121        248,526  

Danone SA

      4,861        381,648  

Dassault Systemes SE

      4,588        684,092  

Eiffage SA

      3,997        446,668  

Eutelsat Communications SA

      14,198        303,946  

Faurecia SA

      5,678        385,697  

Iliad SA

      763        120,628  

Ingenico Group SA

      1,158        95,916  

Lagardere SCA

      10,609        309,567  

Orange SA

      25,294        431,053  

Pernod Ricard SA

      2,785        448,713  

Sanofi

      4,289        373,127  

SCOR SE

      5,310        206,579  

Sodexo SA

      3,634        402,560  

Thales SA

      5,062        664,510  

TOTAL SA

      7,979        520,433  

Vinci SA

      2,497        251,253  

Vivendi SA

      14,717        381,304  
     

 

 

  
        8,724,035  
     

 

 

  

Germany — 3.3%

      

BASF SE

      1,923        184,336  

Beiersdorf AG

      3,969        462,663  

Covestro AG (a)

      3,789        363,883  

Deutsche Lufthansa AG (Registered)

      16,452        461,601  

Deutsche Telekom AG (Registered) *

      20,659        341,598  

Evonik Industries AG

      12,049        445,892  

Fraport AG Frankfurt Airport Services Worldwide

      4,811        480,267  

Fresenius Medical Care AG & Co. KGaA

      5,447        531,378  

Fresenius SE & Co. KGaA

      7,071        545,092  

Hannover Rueck SE

      4,602        613,836  

Henkel AG & Co. KGaA (Preference)

      354        44,423  

Infineon Technologies AG

      23,470        621,551  

Merck KGaA

      2,459        252,775  

Rheinmetall AG

      1,051        127,015  

SAP SE

      5,064        589,379  

Telefonica Deutschland Holding AG

      44,640        195,501  

TUI AG

      11,564        247,385  

Uniper SE

      14,286        446,065  

United Internet AG (Registered)

      4,286        230,550  
     

 

 

  
        7,185,190  
     

 

 

  

Hong Kong — 4.4%

      

ASM Pacific Technology Ltd.

      37,500        451,263  

Cathay Pacific Airways Ltd.

      136,000        210,221  

CK Hutchison Holdings Ltd.

      58,260        634,142  

CK Infrastructure Holdings Ltd.

      43,000        319,202  

CLP Holdings Ltd.

      63,000        720,150  

Galaxy Entertainment Group Ltd.

      50,000        402,831  

Hang Seng Bank Ltd.

      25,700        700,382  

Henderson Land Development Co. Ltd.

      18,000        100,540  

Hong Kong & China Gas Co. Ltd.

      330,211        674,279  

Hutchison Port Holdings Trust

      696,700        177,949  

Jardine Matheson Holdings Ltd.

      6,900        467,191  

Jardine Strategic Holdings Ltd.

      7,500        299,608  

Investments

    Shares      Value($)  

Hong Kong — continued

      

Johnson Electric Holdings Ltd.

      25,000        74,102  

Link REIT, REIT

      73,500        729,274  

MTR Corp. Ltd.

      114,500        642,667  

New World Development Co. Ltd.

      366,000        521,880  

PCCW Ltd.

      446,000        260,452  

Power Assets Holdings Ltd.

      60,500        428,023  

Sun Hung Kai Properties Ltd.

      18,000        282,289  

Swire Pacific Ltd., Class A

      44,000        477,873  

Techtronic Industries Co. Ltd.

      18,000        100,385  

WH Group Ltd. (a)

      421,000        338,953  

Xinyi Glass Holdings Ltd.

      362,000        428,502  
     

 

 

  
        9,442,158  
     

 

 

  

Israel — 0.3%

      

Check Point Software Technologies Ltd. *

      5,641        635,572  
     

 

 

  

Italy — 0.9%

      

Buzzi Unicem SpA

      4,543        99,922  

Enel SpA

      74,525        415,173  

Italgas SpA

      68,609        394,634  

Parmalat SpA

      87,275        302,083  

Recordati SpA

      8,567        319,276  

Terna Rete Elettrica Nazionale SpA

      82,530        462,304  
     

 

 

  
        1,993,392  
     

 

 

  

Japan — 21.7%

      

Advantest Corp.

      8,300        196,727  

Aisin Seiki Co. Ltd.

      6,800        317,166  

ANA Holdings, Inc.

      15,800        580,195  

Aozora Bank Ltd.

      15,700        586,687  

Asahi Kasei Corp.

      14,300        191,147  

Astellas Pharma, Inc.

      12,000        195,731  

Brother Industries Ltd.

      25,900        528,337  

Canon, Inc.

      17,800        577,509  

Capcom Co. Ltd.

      21,900        567,946  

Central Japan Railway Co.

      3,100        645,661  

Chubu Electric Power Co., Inc.

      35,400        546,355  

Chugoku Electric Power Co., Inc. (The)

      30,400        400,014  

COMSYS Holdings Corp.

      9,200        228,659  

Cosmo Energy Holdings Co. Ltd.

      16,500        582,312  

Credit Saison Co. Ltd.

      17,900        279,446  

Dai Nippon Printing Co. Ltd.

      2,000        43,697  

Daiichi Sankyo Co. Ltd.

      15,800        655,343  

Daito Trust Construction Co. Ltd.

      3,200        536,217  

DIC Corp.

      10,700        349,397  

Dowa Holdings Co. Ltd.

      7,600        244,391  

Ebara Corp.

      5,800        175,957  

Electric Power Development Co. Ltd.

      14,700        399,252  

FamilyMart UNY Holdings Co. Ltd.

      2,900        270,630  

Fuji Electric Co. Ltd.

      40,000        295,481  

FUJIFILM Holdings Corp.

      15,800        652,142  

Fujikura Ltd.

      67,600        435,744  

Fujitsu Ltd.

      5,000        34,077  

Gree, Inc.

      6,300        34,920  

Hankyu Hanshin Holdings, Inc.

      10,700        426,121  

Hikari Tsushin, Inc.

      4,000        672,203  

Hitachi High-Technologies Corp.

      10,300        420,655  

Hokkaido Electric Power Co., Inc.

      7,300        47,112  
 

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

      

Japan — continued

      

Hokuriku Electric Power Co. *

      22,700        238,290  

Honda Motor Co. Ltd.

      13,400        409,111  

Idemitsu Kosan Co. Ltd.

      13,100        590,093  

Inpex Corp.

      19,500        214,088  

ITOCHU Corp.

      33,900        601,942  

Japan Airlines Co. Ltd.

      15,300        564,791  

Japan Petroleum Exploration Co. Ltd.

      9,400        222,691  

JXTG Holdings, Inc.

      46,700        342,376  

Kaneka Corp.

      49,000        431,320  

Kansai Electric Power Co., Inc. (The)

      30,000        427,064  

Kawasaki Kisen Kaisha Ltd. *

      16,500        299,642  

KDDI Corp.

      23,600        656,950  

Keisei Electric Railway Co. Ltd.

      14,800        492,803  

Kirin Holdings Co. Ltd.

      15,000        384,021  

K’s Holdings Corp.

      16,300        183,521  

Kuraray Co. Ltd.

      33,200        469,245  

Kyushu Electric Power Co., Inc.

      25,900        305,222  

Lawson, Inc.

      1,900        114,095  

Marubeni Corp.

      81,800        624,516  

Miraca Holdings, Inc.

      2,900        84,280  

Mitsubishi Corp.

      11,900        332,641  

Mitsubishi Gas Chemical Co., Inc.

      10,500        234,601  

Mitsubishi Tanabe Pharma Corp.

      25,500        478,114  

Mitsui & Co. Ltd.

      24,100        403,917  

Mizuho Financial Group, Inc.

      365,800        635,866  

Mochida Pharmaceutical Co. Ltd.

      5,800        420,348  

NH Foods Ltd.

      9,600        382,186  

Nihon M&A Center, Inc.

      11,500        306,877  

Nikon Corp.

      23,700        400,079  

Nippon Express Co. Ltd.

      2,300        150,556  

Nippon Kayaku Co. Ltd.

      26,700        304,475  

Nippon Paper Industries Co. Ltd.

      20,500        335,864  

Nippon Shokubai Co. Ltd.

      5,900        421,823  

Nippon Telegraph & Telephone Corp.

      1,200        55,504  

Nipro Corp.

      32,900        401,969  

Nissan Motor Co. Ltd.

      51,300        485,252  

Nisshin Steel Co. Ltd.

      14,600        205,329  

Nissin Foods Holdings Co. Ltd.

      5,900        407,068  

Nomura Real Estate Holdings, Inc.

      22,300        486,760  

Nomura Research Institute Ltd.

      8,500        408,489  

NTT Data Corp.

      33,200        378,172  

NTT DOCOMO, Inc.

      24,600        633,326  

Oji Holdings Corp.

      48,000        284,812  

Oriental Land Co. Ltd.

      2,500        271,837  

Osaka Gas Co. Ltd.

      28,600        550,415  

Otsuka Corp.

      13,900        542,141  

Otsuka Holdings Co. Ltd.

      900        41,562  

Ryohin Keikaku Co. Ltd.

      600        192,579  

Sankyo Co. Ltd.

      10,400        409,834  

Sawai Pharmaceutical Co. Ltd.

      6,400        302,563  

SBI Holdings, Inc.

      13,000        354,890  

SCREEN Holdings Co. Ltd.

      3,200        233,460  

SCSK Corp.

      7,600        359,359  

Sega Sammy Holdings, Inc.

      10,300        164,342  

Sekisui Chemical Co. Ltd.

      29,900        535,169  

Sekisui House Ltd.

      35,800        610,229  

Investments

    Shares      Value($)  

Japan — continued

      

Seven Bank Ltd.

      15,800        47,827  

Shimamura Co. Ltd.

      4,000        374,305  

Shimizu Corp.

      18,700        195,722  

Showa Denko KK

      400        19,078  

Showa Shell Sekiyu KK

      44,100        723,788  

Skylark Holdings Co. Ltd.

      14,100        205,068  

Sojitz Corp.

      179,000        649,891  

Square Enix Holdings Co. Ltd.

      12,800        605,174  

Sumitomo Chemical Co. Ltd.

      53,000        305,213  

Sumitomo Dainippon Pharma Co. Ltd.

      29,900        580,253  

Sumitomo Mitsui Financial Group, Inc.

      10,300        408,784  

Sumitomo Mitsui Trust Holdings, Inc.

      5,200        206,553  

Sumitomo Osaka Cement Co. Ltd.

      94,000        448,207  

Suzuken Co. Ltd.

      9,900        433,527  

Taisei Corp.

      7,200        400,421  

Taisho Pharmaceutical Holdings Co. Ltd.

      3,400        385,153  

Takashimaya Co. Ltd.

      34,000        284,750  

Takeda Pharmaceutical Co. Ltd.

      9,100        384,229  

Teijin Ltd.

      21,700        405,293  

Terumo Corp.

      10,700        587,817  

Tohoku Electric Power Co., Inc.

      33,200        422,794  

Tokyo Broadcasting System Holdings, Inc.

      22,100        458,370  

Tokyo Electric Power Co. Holdings, Inc. *

      91,400        437,973  

Tokyo Gas Co. Ltd.

      14,200        346,841  

Tokyo Tatemono Co. Ltd.

      15,000        201,964  

Tokyu Corp.

      11,300        194,546  

Tokyu Fudosan Holdings Corp.

      39,700        269,858  

Toppan Printing Co. Ltd.

      53,000        407,797  

Toyo Suisan Kaisha Ltd.

      13,600        492,258  

Toyota Industries Corp.

      8,800        498,108  

Toyota Motor Corp.

      10,000        657,311  

Tsumura & Co.

      14,400        468,309  

Ube Industries Ltd.

      20,600        554,508  

Yamada Denki Co. Ltd.

      82,100        407,227  

Yokohama Rubber Co. Ltd. (The)

      17,400        372,702  
     

 

 

  
        46,737,319  
     

 

 

  

Macau — 0.2%

      

Sands China Ltd.

      47,698        246,444  

SJM Holdings Ltd.

      129,000        157,092  

Wynn Macau Ltd.

      37,860        111,815  
     

 

 

  
        515,351  
     

 

 

  

Netherlands — 1.7%

      

Aegon NV

      50,290        331,514  

Boskalis Westminster

      1,795        55,037  

Gemalto NV *

      3,461        201,870  

Heineken Holding NV

      3,727        360,393  

Koninklijke DSM NV

      4,355        464,156  

Koninklijke KPN NV

      157,944        456,652  

Koninklijke Philips NV

      11,296        495,889  

NN Group NV

      9,998        441,683  

Royal Dutch Shell plc, Class A

      6,503        222,838  

Wolters Kluwer NV

      11,476        691,072  
     

 

 

  
        3,721,104  
     

 

 

  
 

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

New Zealand — 0.3%

 

Contact Energy Ltd.

      55,853        220,206  

Spark New Zealand Ltd.

      189,427        500,161  
     

 

 

  
        720,367  
     

 

 

  

Norway — 1.0%

      

Equinor ASA

      8,721        231,388  

Marine Harvest ASA

      30,871        675,031  

Orkla ASA

      41,175        348,415  

Telenor ASA

      24,142        472,266  

Yara International ASA

      10,022        441,891  
     

 

 

  
        2,168,991  
     

 

 

  

Portugal — 0.5%

      

EDP - Energias de Portugal SA

      129,370        527,806  

Galp Energia SGPS SA

      23,370        479,977  
     

 

 

  
        1,007,783  
     

 

 

  

Singapore — 2.2%

      

CapitaLand Mall Trust, REIT

      279,100        443,650  

ComfortDelGro Corp. Ltd.

      258,000        445,962  

DBS Group Holdings Ltd.

      20,800        409,247  

Genting Singapore Ltd.

      131,200        123,360  

Golden Agri-Resources Ltd.

      827,600        170,481  

Keppel Corp. Ltd.

      111,700        564,631  

Sembcorp Industries Ltd.

      165,100        325,348  

Singapore Airlines Ltd.

      48,700        353,384  

Singapore Press Holdings Ltd.

      150,700        322,648  

Singapore Telecommunications Ltd.

      215,000        507,405  

United Overseas Bank Ltd.

      11,200        222,717  

Venture Corp. Ltd.

      33,000        405,788  

Wilmar International Ltd.

      218,400        502,986  
     

 

 

  
        4,797,607  
     

 

 

  

South Africa — 0.2%

      

Anglo American plc

      13,928        315,272  
     

 

 

  

South Korea — 8.5%

      

Celltrion Healthcare Co. Ltd. *

      5,655        462,567  

CJ CheilJedang Corp.

      1,224        370,350  

Doosan Infracore Co. Ltd. *

      16,065        145,089  

E-MART, Inc.

      1,797        351,308  

GS Engineering & Construction Corp.

      5,952        241,969  

GS Holdings Corp.

      7,257        349,265  

Hankook Tire Co. Ltd.

      9,591        380,680  

Hanmi Pharm Co. Ltd.

      399        151,705  

Hanmi Science Co. Ltd.

      3,356        208,343  

Hanon Systems

      15,238        145,930  

Hanwha Aerospace Co. Ltd. *

      10,586        213,528  

Hanwha Chemical Corp.

      21,214        402,336  

Hotel Shilla Co. Ltd.

      1,615        144,413  

Hyosung Advanced Materials Corp. *

      139        21,124  

Hyosung Chemical Corp. *

      99        14,912  

Hyosung Corp.

      429        17,112  

Hyosung Heavy Industries Corp. *

      290        13,714  

Hyosung TNC Co. Ltd. *

      134        26,653  

Hyundai Construction Equipment Co. Ltd. *

      1,653        197,131  

Hyundai Electric & Energy System Co. Ltd. *

      1,552        89,232  

Investments

    Shares      Value($)  

South Korea — continued

      

Hyundai Engineering & Construction Co. Ltd.

      9,174        482,176  

Hyundai Heavy Industries Holdings Co. Ltd. *

      49        14,734  

Hyundai Mobis Co. Ltd.

      1,061        216,280  

Hyundai Motor Co.

      2,468        286,025  

Hyundai Steel Co.

      9,826        473,563  

Industrial Bank of Korea

      27,649        387,356  

Kakao Corp.

      5,749        579,688  

Kia Motors Corp.

      14,849        420,979  

Korea Electric Power Corp.

      15,552        462,136  

Korea Gas Corp. *

      6,278        327,161  

Korea Zinc Co. Ltd.

      687        253,699  

Korean Air Lines Co. Ltd.

      10,124        265,126  

KT&G Corp.

      7,226        713,783  

LG Corp.

      5,543        373,652  

LG Display Co. Ltd.

      24,600        466,371  

LG Electronics, Inc.

      5,029        337,084  

LG Household & Health Care Ltd.

      120        129,950  

LG Uplus Corp.

      39,802        547,963  

Lotte Chemical Corp.

      1,635        526,571  

LOTTE Fine Chemical Co. Ltd.

      3,899        215,034  

NCSoft Corp.

      672        231,978  

Netmarble Corp. (a)

      1,333        172,917  

POSCO

      2,067        608,350  

Samsung Biologics Co. Ltd. *(a)

      1,122        374,381  

Samsung Electro-Mechanics Co. Ltd.

      1,178        162,155  

Samsung Electronics Co. Ltd.

      15,207        631,247  

Samsung Engineering Co. Ltd. *

      11,923        181,850  

Samsung SDS Co. Ltd.

      1,633        306,287  

Shinsegae, Inc.

      1,415        419,917  

SK Holdings Co. Ltd.

      2,506        590,713  

SK Hynix, Inc.

      7,600        587,407  

SK Innovation Co. Ltd.

      3,387        601,553  

SK Telecom Co. Ltd.

      2,288        511,345  

SKC Co. Ltd.

      6,713        257,770  

S-Oil Corp.

      5,969        626,941  

Woori Bank

      41,817        632,061  
     

 

 

  
        18,323,564  
     

 

 

  

Spain — 1.9%

      

Acciona SA

      2,188        187,885  

Acerinox SA

      4,334        62,643  

ACS Actividades de Construccion y Servicios SA

      1,024        44,879  

Aena SME SA (a)

      2,673        485,349  

Cellnex Telecom SA (a)

      4,542        120,701  

Enagas SA

      16,627        464,834  

Grifols SA

      18,197        528,426  

Iberdrola SA

      59,653        463,796  

Iberdrola SA *

      1,704        13,248  

Naturgy Energy Group SA

      19,637        531,943  

Red Electrica Corp. SA

      13,909        294,803  

Repsol SA

      27,444        544,351  

Telefonica SA

      48,700        437,595  
     

 

 

  
        4,180,453  
     

 

 

  

Sweden — 2.6%

      

Autoliv, Inc.

      4,139        424,082  

Boliden AB *

      14,029        417,612  
 

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

      

Sweden — continued

      

Essity AB, Class B

      1,327        33,194  

Hexagon AB, Class B

      10,060        613,151  

Investor AB, Class B

      9,616        418,872  

Kinnevik AB, Class B

      3,405        117,520  

Lundin Petroleum AB

      4,326        142,635  

Securitas AB, Class B

      31,757        571,371  

Skanska AB, Class B

      22,035        414,488  

Svenska Cellulosa AB SCA, Class B

      7,907        81,813  

Swedish Match AB

      11,980        654,914  

Tele2 AB, Class B

      46,653        626,006  

Telia Co. AB

      98,747        474,991  

Trelleborg AB, Class B

      18,580        386,883  

Veoneer, Inc. *

      4,139        216,470  
     

 

 

  
        5,594,002  
     

 

 

  

Switzerland — 2.0%

      

Baloise Holding AG (Registered)

      3,017        470,470  

Barry Callebaut AG (Registered)

      159        270,884  

Clariant AG (Registered) *

      20,253        484,276  

Kuehne + Nagel International AG (Registered)

      777        124,009  

Logitech International SA (Registered)

      3,733        164,175  

Lonza Group AG (Registered) *

      267        82,187  

Novartis AG (Registered)

      4,502        377,816  

Sonova Holding AG (Registered)

      2,962        546,079  

Straumann Holding AG (Registered)

      231        179,378  

Swiss Life Holding AG (Registered) *

      1,256        450,375  

Swiss Prime Site AG (Registered) *

      2,573        235,796  

Swisscom AG (Registered)

      960        450,716  

Vifor Pharma AG

      2,441        461,723  
     

 

 

  
        4,297,884  
     

 

 

  

United Kingdom — 3.3%

      

Bellway plc

      3,869        147,904  

BP plc

      68,835        517,326  

Bunzl plc

      3,008        89,380  

Coca-Cola European Partners plc

      11,425        471,167  

easyJet plc

      4,997        106,119  

Hammerson plc, REIT

      22,139        151,410  

Inmarsat plc

      40,211        300,451  

International Consolidated Airlines Group SA

      34,238        318,644  

Kingfisher plc

      52,272        203,223  

Land Securities Group plc, REIT

      17,367        214,734  

Mondi plc

      9,698        266,651  

Pearson plc

      18,369        222,487  

Persimmon plc

      3,769        122,585  

RELX NV

      19,593        426,122  

Rentokil Initial plc

      61,597        273,858  

Royal Mail plc

      62,240        382,935  

Sage Group plc (The)

      46,215        376,881  

Segro plc, REIT

      29,045        253,167  

Severn Trent plc

      3,009        76,369  

Smith & Nephew plc

      25,538        442,167  

Tate & Lyle plc

      30,543        249,811  

Taylor Wimpey plc

      109,353        250,951  

United Utilities Group plc

      32,565        307,314  

Vodafone Group plc

      168,084        410,623  

William Hill plc

      26,314        102,711  

Investments

    Shares      Value($)  

United Kingdom — continued

      

Wm Morrison Supermarkets plc

      148,638        509,661  
     

 

 

  
        7,194,651  
     

 

 

  

United States — 25.1%

      

AbbVie, Inc.

      2,003        184,737  

AGNC Investment Corp., REIT

      22,292        434,025  

Air Products & Chemicals, Inc.

      2,771        454,915  

Alaska Air Group, Inc.

      4,699        295,238  

Alcoa Corp. *

      12,611        545,678  

Alleghany Corp.

      857        539,284  

Alliant Energy Corp.

      14,721        632,561  

Allstate Corp. (The)

      5,372        510,985  

Amdocs Ltd.

      9,383        634,103  

Ameren Corp.

      8,824        547,617  

American Electric Power Co., Inc.

      5,876        418,019  

American Water Works Co., Inc.

      286        25,240  

Annaly Capital Management, Inc., REIT

      38,536        413,106  

ANSYS, Inc. *

      3,358        567,099  

Anthem, Inc.

      2,908        735,724  

Aramark

      8,766        352,481  

Arrow Electronics, Inc. *

      1,269        96,241  

Ashland Global Holdings, Inc.

      6,187        508,015  

Assurant, Inc.

      2,022        223,027  

AT&T, Inc.

      19,911        636,555  

AutoNation, Inc. *

      7,922        384,455  

Avangrid, Inc.

      6,624        331,597  

Avery Dennison Corp.

      5,563        637,965  

Avnet, Inc.

      8,626        378,250  

Axis Capital Holdings Ltd.

      8,429        476,744  

Baxter International, Inc.

      7,181        520,263  

Becton Dickinson and Co.

      2,906        727,575  

Bemis Co., Inc.

      9,941        456,391  

Broadridge Financial Solutions, Inc.

      5,574        629,751  

Brown & Brown, Inc.

      7,355        215,207  

CA, Inc.

      15,068        666,156  

Carnival Corp.

      7,071        418,886  

Carnival plc

      2,272        131,884  

Celanese Corp., Series A

      5,699        673,109  

CenterPoint Energy, Inc.

      16,295        464,082  

CenturyLink, Inc.

      25,936        486,819  

Chevron Corp.

      5,177        653,700  

Church & Dwight Co., Inc.

      11,728        655,595  

Cigna Corp.

      2,159        387,368  

Cincinnati Financial Corp.

      5,896        445,914  

Cintas Corp.

      3,531        722,019  

CMS Energy Corp.

      9,024        436,220  

CNA Financial Corp.

      6,004        280,867  

Commerce Bancshares, Inc.

      9,019        602,469  

Consolidated Edison, Inc.

      5,852        461,898  

Constellation Brands, Inc., Class A

      2,885        606,514  

Darden Restaurants, Inc.

      6,789        726,016  

DaVita, Inc. *

      2,186        153,632  

DENTSPLY SIRONA, Inc.

      8,638        415,574  

DTE Energy Co.

      5,780        627,361  

Eastman Chemical Co.

      5,759        596,748  

Everest Re Group Ltd.

      2,457        536,486  

Eversource Energy

      10,303        625,598  

Fidelity National Information Services, Inc.

      6,296        649,306  
 

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

      

United States — continued

      

Flex Ltd. *

      1,052        14,686  

Foot Locker, Inc.

      7,741        377,838  

Garmin Ltd.

      9,449        590,090  

Gentex Corp.

      20,344        471,981  

Genuine Parts Co.

      3,960        385,348  

Harris Corp.

      4,238        699,058  

Hasbro, Inc.

      5,970        594,672  

Henry Schein, Inc. *

      6,662        529,029  

HollyFrontier Corp.

      8,338        621,848  

Hormel Foods Corp.

      13,382        481,351  

IAC/InterActiveCorp *

      2,404        353,989  

Ingredion, Inc.

      3,325        336,823  

Intel Corp.

      11,658        560,750  

International Flavors & Fragrances, Inc.

      1,173        155,727  

International Paper Co.

      7,231        388,522  

Interpublic Group of Cos., Inc. (The)

      9,756        219,998  

IQVIA Holdings, Inc. *

      4,505        549,340  

Jabil, Inc.

      9,450        266,206  

Jefferies Financial Services, Inc.

      5,550        134,588  

JM Smucker Co. (The)

      4,178        464,259  

Johnson & Johnson

      5,380        712,958  

L3 Technologies, Inc.

      3,182        682,348  

Laboratory Corp. of America Holdings *

      3,564        624,912  

Lam Research Corp.

      2,908        554,381  

Leggett & Platt, Inc.

      6,012        261,943  

ManpowerGroup, Inc.

      1,924        179,432  

McCormick & Co., Inc. (Non-Voting)

      4,257        500,368  

MDU Resources Group, Inc.

      16,629        482,241  

Molson Coors Brewing Co., Class B

      5,834        390,878  

News Corp., Class A

      27,139        408,985  

NextEra Energy, Inc.

      1,061        177,760  

NiSource, Inc.

      1,897        49,663  

Northrop Grumman Corp.

      1,951        586,256  

NVR, Inc. *

      192        529,811  

Old Republic International Corp.

      21,000        447,510  

Phillips 66

      2,259        278,625  

Pinnacle West Capital Corp.

      7,043        566,468  

Public Service Enterprise Group, Inc.

      4,280        220,677  

PulteGroup, Inc.

      16,380        466,666  

Quest Diagnostics, Inc.

      4,290        462,119  

Raytheon Co.

      3,072        608,348  

Republic Services, Inc.

      9,544        691,749  

SCANA Corp.

      7,789        311,482  

Southwest Airlines Co.

      10,224        594,628  

Sprint Corp. *

      12,488        67,810  

Synopsys, Inc. *

      2,483        222,055  

Toll Brothers, Inc.

      10,805        380,984  

Torchmark Corp.

      7,471        657,971  

Tyson Foods, Inc., Class A

      5,876        338,751  

United Continental Holdings, Inc. *

      758        60,943  

UnitedHealth Group, Inc.

      1,777        449,972  

Universal Health Services, Inc., Class B

      4,142        505,738  

Valero Energy Corp.

      3,910        462,748  

Verizon Communications, Inc.

      13,500        697,140  

Investments

    Shares      Value($)  

United States — continued

      

VMware, Inc., Class A *

      3,348        484,087  

Walmart, Inc.

      6,103        544,571  

Walt Disney Co. (The)

      3,927        445,950  

Waters Corp. *

      3,106        612,721  

Westlake Chemical Corp.

      5,561        596,250  

WR Berkley Corp.

      8,276        627,404  

Wyndham Destinations, Inc.

      5,682        262,054  

Wyndham Hotels & Resorts, Inc.

      5,682        329,556  

Xcel Energy, Inc.

      13,198        618,458  

Xylem, Inc.

      8,563        655,583  

Zimmer Biomet Holdings, Inc.

      2,029        254,680  
     

 

 

  
        54,198,806  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $200,708,950)

 

      214,877,916  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.2%

INVESTMENT COMPANIES — 0.2%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (c)(d)
(Cost $346,014)

      346,014        346,014  
     

 

 

  

Total Investments — 99.7%
(Cost $201,054,964)

 

      215,223,930  

Other Assets Less Liabilities — 0.3%

 

      543,740  
     

 

 

  

Net Assets — 100.0%

 

      215,767,670  
     

 

 

  

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, July 31, 2018

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

Industry

    Percentage  

Oil, Gas & Consumable Fuels

      6.5 % 

Electric Utilities

      5.8

Chemicals

      5.6

Diversified Telecommunication Services

      4.4

Insurance

      3.9

Health Care Providers & Services

      3.4

Food Products

      3.4

Pharmaceuticals

      3.3

Software

      2.8

Hotels, Restaurants & Leisure

      2.7

Health Care Equipment & Supplies

      2.7

IT Services

      2.6

Banks

      2.4

Metals & Mining

      2.3

Household Durables

      2.2

Food & Staples Retailing

      2.2

Airlines

      2.1

Equity Real Estate Investment Trusts (REITs)

      1.9

Multi-Utilities

      1.9

Auto Components

      1.8

Semiconductors & Semiconductor Equipment

      1.8

Beverages

      1.7

Wireless Telecommunication Services

      1.6

Construction & Engineering

      1.6
 

JPMorgan Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Aerospace & Defense

      1.6

Media

      1.6

Industrial Conglomerates

      1.6

Road & Rail

      1.5

Gas Utilities

      1.5

Real Estate Management & Development

      1.4

Electronic Equipment, Instruments & Components

      1.4

Commercial Services & Supplies

      1.3

Specialty Retail

      1.3

Trading Companies & Distributors

      1.3

Technology Hardware, Storage & Peripherals

      1.2

Automobiles

      1.0  

Others (each less than 1.0%)

      12.7  

 

Abbreviations
OYJ       Public Limited Company
Preference       A special type of equity investment that shares in the earnings of the company, has limited voting rights, and may have a dividend preference. Preference shares may also have liquidation preference.
REIT       Real Estate Investment Trust
(a)       Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. 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.
(b)       Amount rounds to less than 0.05% of net assets.
(c)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(d)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.

    

 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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 Diversified Return Global Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

 

Common Stocks

            

Australia

    $ —        $ 17,511,176      $ —        $ 17,511,176  

Austria

      —          533,032        —          533,032  

Belgium

      —          1,809,051        —          1,809,051  

Chile

      —          15,602        —          15,602  

China

      —          854,402        —          854,402  

Denmark

      —          1,665,424        —          1,665,424  

Finland

      —          2,429,589        —          2,429,589  

France

      —          8,724,035        —          8,724,035  

Germany

      —          7,185,190        —          7,185,190  

Hong Kong

      —          9,442,158        —          9,442,158  

Italy

      302,083        1,691,309        —          1,993,392  

Japan

      —          46,737,319        —          46,737,319  

Macau

      —          515,351        —          515,351  

Netherlands

      201,870        3,519,234        —          3,721,104  

New Zealand

      —          720,367        —          720,367  

Norway

      —          2,168,991        —          2,168,991  

Portugal

      —          1,007,783        —          1,007,783  

Singapore

      123,360        4,674,247        —          4,797,607  

South Africa

      —          315,272        —          315,272  

South Korea

      790,186        17,533,378        —          18,323,564  

Spain

      13,248        4,167,205        —          4,180,453  

Sweden

      640,552        4,953,450        —          5,594,002  

Switzerland

      —          4,297,884        —          4,297,884  

United Kingdom

      471,167        6,723,484        —          7,194,651  

United States

      54,066,922        131,884        —          54,198,806  

Other Common Stocks

    $ 8,941,711      $ —        $ —        $ 8,941,711  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      65,551,099        149,326,817        —          214,877,916  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

            

Investment Company

      346,014        —          —          346,014  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

      65,897,113        149,326,817        —          215,223,930  
  

 

 

     

 

 

     

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

Transfers from level 1 to level 2 in the amount of $1,576,527 are due to the application of the fair value factors to certain securities during the period ended July 31, 2018.

JPMorgan Diversified Return International Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

EXCHANGE TRADED FUNDS — 100.1%

      

United States — 100.1%

      

JPMorgan Diversified Return International Equity ETF (a)
(Cost $29,616,479)

      573,520        33,636,948  
     

 

 

  

Total Investments — 100.1%
(Cost $29,616,479)

         33,636,948  

Liabilities in Excess of Other Assets — (0.1)%

         (28,206 ) 
     

 

 

  

Net Assets — 100.0%

         33,608,742  
     

 

 

  

 

Percentages indicated are based on net assets.

 

 

Forward foreign currency exchange contracts outstanding as of July 31, 2018:

 

Currency Purchased

     

Currency Sold

     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  

SGD

      104,824      USD      76,921      Citibank, NA      8/3/2018        80  

SGD

      31,030      USD      22,701      HSBC Bank, NA      8/3/2018        92  

USD

      19,130      CHF      18,922      Merrill Lynch International      8/3/2018        19  

USD

      313,464      DKK      1,996,128      Merrill Lynch International      8/3/2018        202  

USD

      6,238,592      EUR      5,330,521      Goldman Sachs International      8/3/2018        4,901  

USD

      161,355      EUR      137,865      Royal Bank of Canada      8/3/2018        131  

USD

      41,133      GBP      31,233      BNP Paribas      8/3/2018        136  

USD

      7,169,039      GBP      5,420,836      Citibank, NA      8/3/2018        53,634  

USD

      174,525      GBP      132,133      National Australia Bank Ltd.      8/3/2018        1,086  

USD

      53,084      HKD      416,350      HSBC Bank, NA      8/3/2018        38  

USD

      62,514      HKD      490,291      Merrill Lynch International      8/3/2018        47  

USD

      2,017,273      HKD      15,820,095      Morgan Stanley      8/3/2018        1,675  

USD

      207,486      JPY      22,948,017      Royal Bank of Canada      8/3/2018        2,241  

USD

      8,072,396      JPY      892,113,591      UBS AG.      8/3/2018        93,405  

USD

      82,073      KRW      91,332,807      Citibank, NA **      8/3/2018        415  

USD

      3,378,534      KRW      3,754,091,696      Goldman Sachs International **      8/3/2018        22,128  

USD

      483,206      NOK      3,933,111      BNP Paribas      8/3/2018        989  

USD

      2,555,845      AUD      3,437,628      BNP Paribas      9/5/2018        1,415  

USD

      60,892      DKK      386,766      Citibank, NA      9/5/2018        29  

USD

      314,213      DKK      1,996,128      Merrill Lynch International      9/5/2018        92  

USD

      6,367,818      EUR      5,428,902      BNP Paribas      9/5/2018        2,623  

USD

      215,718      EUR      183,943      Citibank, NA      9/5/2018        51  

USD

      28,296      GBP      21,522      Royal Bank of Canada      9/5/2018        6  

USD

      2,073,652      HKD      16,258,650      HSBC Bank, NA      9/5/2018        497  

USD

      454,878      NOK      3,701,485      BNP Paribas      9/5/2018        408  

USD

      1,131,701      SEK      9,916,773      Citibank, NA      9/5/2018        811  

USD

      882,172      SGD      1,200,051      State Street Corp.      9/5/2018        117  
                 

 

 

  

Total unrealized appreciation

         187,268  
                 

 

 

  

EUR

      93,633      USD      109,584      Morgan Stanley      8/3/2018        (86 ) 

GBP

      391,723      USD      517,774      BNP Paribas      8/3/2018        (3,598 ) 

HKD

      468,087      USD      59,700      HSBC Bank, NA      8/3/2018        (62 ) 

JPY

      22,934,871      USD      207,493      Royal Bank of Canada      8/3/2018        (2,365 ) 

KRW

      203,407,122      USD      183,062      Citibank, NA **          8/3/2018        (1,202 ) 

JPMorgan Diversified Return International Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Currency Purchased

     

Currency Sold

     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  

NOK

      231,627      USD      28,454      Goldman Sachs International      8/3/2018        (56 ) 

USD

      2,161,308      AUD      2,924,964      BNP Paribas      8/3/2018        (11,810 ) 

USD

      332,834      AUD      450,417      National Australia Bank Ltd.      8/3/2018        (1,806 ) 

USD

      663,772      CHF      657,240      State Street Corp.      8/3/2018        (60 ) 

USD

      36,291      EUR      31,136      BNP Paribas      8/3/2018        (121 ) 

USD

      39,658      KRW      44,407,476      Merrill Lynch International **      8/3/2018        (45 ) 

USD

      172,568      NZD      254,891      National Australia Bank Ltd.      8/3/2018        (1,166 ) 

USD

      1,060,801      SEK      9,469,760      BNP Paribas      8/3/2018        (16,250 ) 

USD

      941,123      SGD      1,282,409      Citibank, NA      8/3/2018        (897 ) 

USD

      22,461      SGD      30,593      Royal Bank of Canada      8/3/2018        (12 ) 

USD

      61,555      CHF      60,769      Merrill Lynch International      9/5/2018        (2 ) 

USD

      684,920      CHF      676,162      State Street Corp.      9/5/2018        (4 ) 

USD

      20,177      GBP      15,362      BNP Paribas      9/5/2018        (16 ) 

USD

      6,820,183      GBP      5,192,480      Citibank, NA      9/5/2018        (5,407 ) 

USD

      22,351      HKD      175,297      Royal Bank of Canada      9/5/2018        (1 ) 

USD

      208,888      JPY      23,332,119      Goldman Sachs International      9/5/2018        (279 ) 

USD

      8,019,983      JPY      895,793,614      State Street Corp.      9/5/2018        (10,606 ) 

USD

      3,305,618      KRW      3,686,424,857      Goldman Sachs International **      9/5/2018        (7,512 ) 

USD

      173,555      NZD      254,891      UBS AG.      9/5/2018        (169 ) 
                 

 

 

  

Total unrealized depreciation

         (63,532 ) 
     

 

 

  

Net unrealized appreciation

         123,736  
     

 

 

  

 

**      Non-deliverable forward.
Abbreviations
AUD         Australian Dollar
CHF         Swiss Franc
DKK         Danish Krone
ETF         Exchange Traded Fund
EUR         Euro
GBP         British Pound
HKD         Hong Kong Dollar
JPY         Japanese Yen
KRW         South Korean Won
NOK         Norwegian Krone
NZD         New Zealand Dollar
SEK         Swedish Krona
SGD         Singapore Dollar
USD         United States Dollar
(a)   

     Affiliated company as defined under the Investment Company

     Act of 1940, as amended, and advised by J.P. Morgan

     Investment Management Inc.

 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

Forward foreign currency exchange contracts are generally valued on the basis of available market quotations from approved Pricing Services.

JPMorgan Diversified Return International Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (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”):

 

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

Total Investments in Securities (a)

    $ 33,636,948      $  —       $ —        $ 33,636,948  
  

 

 

     

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Forward Foreign Currency Exchange Contracts

    $ —        $ 187,268     $ —        $ 187,268  

Depreciation in Other Financial Instruments

           

Forward Foreign Currency Exchange Contracts

    $ —        $ (63,532 )    $ —        $ (63,532 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

 

  (a)

— All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018

B. Derivatives — The Fund used derivative instruments including forward foreign currency exchange contracts 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.

JPMorgan Diversified Return International Currency Hedged ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

(1). Forward Foreign Currency Exchange Contracts — The Fund may be 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. dollars 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). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.5%

 

Australia — 8.0%

 

AGL Energy Ltd.

      356,469        5,833,081  

Ansell Ltd.

      274,850        5,890,807  

APA Group

      126,618        908,164  

Atlas Arteria Ltd.

      224,736        1,091,968  

BHP Billiton plc

      199,870        4,599,755  

Boral Ltd.

      248,551        1,228,334  

Caltex Australia Ltd.

      48,549        1,174,491  

Coca-Cola Amatil Ltd.

      218,218        1,554,388  

Cochlear Ltd.

      41,624        6,291,680  

Computershare Ltd.

      227,170        3,074,918  

Crown Resorts Ltd.

      112,246        1,127,271  

CSL Ltd.

      43,067        6,300,982  

CSR Ltd.

      859,746        2,713,069  

Dexus, REIT

      709,873        5,325,710  

Downer EDI Ltd.

      647,750        3,558,039  

GPT Group (The), REIT

      1,391,382        5,343,727  

Harvey Norman Holdings Ltd.

      727,298        1,920,707  

Healthscope Ltd.

      1,667,154        2,708,449  

Incitec Pivot Ltd.

      306,812        865,076  

Macquarie Group Ltd.

      32,361        2,952,547  

Metcash Ltd.

      687,858        1,344,794  

Mirvac Group, REIT

      993,319        1,686,026  

Origin Energy Ltd. *

      869,134        6,306,216  

Qantas Airways Ltd.

      1,065,533        5,325,679  

Ramsay Health Care Ltd.

      51,209        2,138,420  

Rio Tinto Ltd.

      59,814        3,614,989  

Rio Tinto plc

      83,010        4,557,326  

Santos Ltd. *

      633,279        2,999,702  

Sonic Healthcare Ltd.

      320,482        6,216,376  

Star Entertainment Grp Ltd. (The)

      274,474        1,012,678  

Tabcorp Holdings Ltd.

      1,714,187        5,953,732  

TPG Telecom Ltd.

      571,657        2,451,301  

Vicinity Centres, REIT

      2,479,890        4,912,982  

Vocus Group Ltd. *

      827,127        1,485,828  

Wesfarmers Ltd.

      100,097        3,680,409  

Whitehaven Coal Ltd.

      450,255        1,819,896  

Woodside Petroleum Ltd.

      165,113        4,425,594  
     

 

 

  
        124,395,111  
     

 

 

  

Austria — 0.6%

      

OMV AG

      73,130        4,132,806  

voestalpine AG

      96,823        4,844,566  
     

 

 

  
        8,977,372  
     

 

 

  

Belgium — 1.1%

      

Colruyt SA

      81,572        4,876,446  

Groupe Bruxelles Lambert SA

      33,432        3,551,443  

Proximus SADP

      150,963        3,699,968  

Umicore SA

      81,608        4,775,911  
     

 

 

  
        16,903,768  
     

 

 

  

Chile — 0.4%

      

Antofagasta plc

      445,032        5,844,651  
     

 

 

  

China — 0.7%

      

China Mengniu Dairy Co. Ltd. *

      343,000        1,064,434  

FIH Mobile Ltd. *

      3,788,000        575,463  

Investments

    Shares      Value($)  

China — continued

 

Nexteer Automotive Group Ltd.

      487,520        695,647  

Semiconductor Manufacturing International Corp. *

      3,154,300        3,825,271  

Tingyi Cayman Islands Holding Corp.

      594,000        1,372,798  

Uni-President China Holdings Ltd.

      877,000        1,015,518  

Want Want China Holdings Ltd.

      1,175,000        973,804  

Xinyi Solar Holdings Ltd.

      6,678,400        1,992,112  
     

 

 

  
        11,515,047  
     

 

 

  

Denmark — 1.1%

      

Chr Hansen Holding A/S

      63,486        6,571,778  

DSV A/S

      6,759        566,258  

H Lundbeck A/S

      24,579        1,778,808  

ISS A/S

      10,750        401,546  

William Demant Holding A/S *

      157,834        7,544,175  
     

 

 

  
        16,862,565  
     

 

 

  

Finland — 1.7%

      

Elisa OYJ

      115,098        4,997,666  

Fortum OYJ

      218,269        5,483,576  

Kesko OYJ, Class B

      83,848        4,708,782  

Neste OYJ

      76,840        6,338,248  

Nokian Renkaat OYJ

      30,106        1,305,655  

Orion OYJ, Class B

      15,047        518,023  

UPM-Kymmene OYJ

      68,198        2,419,165  
     

 

 

  
        25,771,115  
     

 

 

  

France — 5.6%

      

Arkema SA

      34,212        4,284,128  

Atos SE

      36,650        4,911,003  

Bouygues SA

      19,711        865,598  

Capgemini SE

      47,488        6,075,299  

Casino Guichard Perrachon SA

      28,439        1,154,686  

Cie Plastic Omnium SA

      16,429        687,602  

Covivio, REIT

      8,268        861,132  

Dassault Aviation SA

      679        1,255,065  

Dassault Systemes SE

      44,524        6,638,737  

Eiffage SA

      49,316        5,511,102  

Electricite de France SA

      212,548        3,182,516  

Engie SA

      63,429        1,024,287  

Eutelsat Communications SA

      45,984        984,409  

Faurecia SA

      38,191        2,594,247  

Gecina SA, REIT

      15,335        2,612,218  

Ingenico Group SA

      11,689        968,187  

Ipsen SA

      7,732        1,284,630  

Lagardere SCA

      147,933        4,316,636  

Orange SA

      276,300        4,708,623  

Orpea

      13,838        1,900,325  

Pernod Ricard SA

      27,637        4,452,813  

Safran SA

      8,474        1,050,808  

SCOR SE

      119,690        4,656,385  

Sodexo SA

      26,413        2,925,927  

Thales SA

      28,106        3,689,594  

TOTAL SA

      87,906        5,733,700  

Vinci SA

      42,589        4,285,382  

Vivendi SA

      176,244        4,566,321  
     

 

 

  
        87,181,360  
     

 

 

  

Germany — 4.3%

      

Axel Springer SE

      51,145        3,821,648  

Beiersdorf AG

      45,242        5,273,821  
 

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Germany — continued

 

CECONOMY AG

      52,936        434,838  

Deutsche Lufthansa AG (Registered)

      49,543        1,390,049  

Deutsche Telekom AG (Registered) *

      86,456        1,429,557  

Evonik Industries AG

      130,698        4,836,683  

Fraport AG Frankfurt Airport Services Worldwide

      57,829        5,772,891  

Fresenius Medical Care AG & Co. KGaA

      60,516        5,903,588  

Hannover Rueck SE

      43,152        5,755,812  

Hella GmbH & Co. KGaA

      12,856        757,368  

Infineon Technologies AG

      227,737        6,031,108  

Merck KGaA

      24,078        2,475,122  

SAP SE

      45,655        5,313,604  

Suedzucker AG

      23,292        339,887  

Telefonica Deutschland Holding AG

      1,109,565        4,859,353  

TUI AG

      194,036        4,150,955  

Uniper SE

      153,891        4,805,079  

United Internet AG (Registered)

      49,020        2,636,856  
     

 

 

  
        65,988,219  
     

 

 

  

Hong Kong — 5.7%

      

ASM Pacific Technology Ltd.

      358,200        4,310,460  

Cathay Pacific Airways Ltd.

      1,526,000        2,358,805  

CK Hutchison Holdings Ltd.

      567,042        6,172,073  

CK Infrastructure Holdings Ltd.

      624,500        4,635,849  

CLP Holdings Ltd.

      604,000        6,904,291  

First Pacific Co. Ltd.

      1,052,000        488,820  

Hong Kong & China Gas Co. Ltd.

      3,224,367        6,584,043  

Hutchison Port Holdings Trust

      4,762,300        1,216,372  

Jardine Matheson Holdings Ltd.

      43,400        2,938,563  

Jardine Strategic Holdings Ltd.

      71,300        2,848,271  

Li & Fung Ltd.

      3,014,000        1,022,081  

Link REIT, REIT

      717,000        7,114,144  

Melco International Development Ltd.

      262,000        745,248  

MTR Corp. Ltd.

      1,070,500        6,008,516  

New World Development Co. Ltd.

      1,305,000        1,860,802  

PCCW Ltd.

      8,430,000        4,922,896  

Power Assets Holdings Ltd.

      784,000        5,546,617  

Swire Pacific Ltd., Class A

      456,000        4,952,506  

Swire Properties Ltd.

      208,600        821,538  

Techtronic Industries Co. Ltd.

      811,500        4,525,680  

WH Group Ltd. (a)

      2,978,500        2,398,032  

Wheelock & Co. Ltd.

      426,000        3,024,338  

Xinyi Glass Holdings Ltd.

      3,416,000        4,043,540  

Yue Yuen Industrial Holdings Ltd.

      1,353,000        3,640,497  
     

 

 

  
        89,083,982  
     

 

 

  

Italy — 1.4%

      

Davide Campari-Milano SpA

      736,455        6,203,597  

Eni SpA

      51,360        988,605  

Italgas SpA

      361,728        2,080,634  

Parmalat SpA

      1,149,444        3,978,543  

Recordati SpA

      71,688        2,671,678  

Terna Rete Elettrica Nazionale SpA

      959,754        5,376,200  
     

 

 

  
        21,299,257  
     

 

 

  

Investments

    Shares      Value($)  

Japan — 24.3%

      

Alfresa Holdings Corp.

      224,800        5,381,941  

ANA Holdings, Inc.

      130,500        4,792,120  

Aozora Bank Ltd.

      124,400        4,648,654  

Asahi Kasei Corp.

      68,500        915,636  

Brother Industries Ltd.

      78,800        1,607,450  

Canon Marketing Japan, Inc.

      147,500        3,094,962  

Canon, Inc.

      174,200        5,651,805  

Capcom Co. Ltd.

      265,100        6,874,993  

Central Japan Railway Co.

      28,700        5,977,574  

Chubu Electric Power Co., Inc.

      387,700        5,983,670  

Chugoku Electric Power Co., Inc. (The)

      389,500        5,125,173  

COMSYS Holdings Corp.

      220,200        5,472,897  

Cosmo Energy Holdings Co. Ltd.

      68,900        2,431,594  

Credit Saison Co. Ltd.

      64,400        1,005,381  

Denka Co. Ltd.

      53,100        1,830,034  

DIC Corp.

      121,100        3,954,391  

Electric Power Development Co. Ltd.

      168,000        4,562,882  

Fuji Media Holdings, Inc.

      61,500        1,011,944  

FUJIFILM Holdings Corp.

      110,700        4,569,120  

Fujikura Ltd.

      711,000        4,583,047  

Gunma Bank Ltd. (The)

      364,300        1,939,710  

Hachijuni Bank Ltd. (The)

      360,000        1,587,105  

Hankyu Hanshin Holdings, Inc.

      143,200        5,702,854  

Hikari Tsushin, Inc.

      30,000        5,041,523  

Hitachi Capital Corp.

      21,000        561,170  

Hitachi Chemical Co. Ltd.

      64,300        1,273,346  

Hitachi High-Technologies Corp.

      94,800        3,871,656  

Hokuriku Electric Power Co. *

      192,400        2,019,693  

Idemitsu Kosan Co. Ltd.

      98,400        4,432,458  

Iida Group Holdings Co. Ltd.

      58,100        1,139,512  

Inpex Corp.

      493,900        5,422,470  

Itochu Techno-Solutions Corp.

      248,900        4,742,322  

Japan Airlines Co. Ltd.

      154,800        5,714,360  

Japan Petroleum Exploration Co. Ltd.

      132,000        3,127,156  

JXTG Holdings, Inc.

      965,100        7,075,535  

Kagome Co. Ltd.

      52,200        1,594,235  

Kajima Corp.

      69,000        538,361  

Kaneka Corp.

      505,000        4,445,241  

Kansai Electric Power Co., Inc. (The)

      210,200        2,992,293  

Kawasaki Kisen Kaisha Ltd. *

      112,200        2,037,562  

KDDI Corp.

      230,400        6,413,614  

Keisei Electric Railway Co. Ltd.

      37,700        1,255,317  

Kirin Holdings Co. Ltd.

      95,500        2,444,935  

K’s Holdings Corp.

      339,200        3,819,035  

Kuraray Co. Ltd.

      263,300        3,721,453  

Kyushu Electric Power Co., Inc.

      288,300        3,397,510  

Leopalace21 Corp.

      498,800        2,740,858  

Lintec Corp.

      103,500        3,038,265  

Matsui Securities Co. Ltd.

      226,000        2,254,678  

Mebuki Financial Group, Inc.

      308,900        1,103,751  

Medipal Holdings Corp.

      191,400        3,891,812  

Miraca Holdings, Inc.

      40,700        1,182,831  

Mitsubishi Gas Chemical Co., Inc.

      222,300        4,966,845  
 

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Japan — continued

 

Mitsubishi Tanabe Pharma Corp.

      264,900        4,966,758  

Mitsubishi UFJ Lease & Finance Co. Ltd.

      232,800        1,411,847  

Mitsui & Co. Ltd.

      166,900        2,797,250  

Mochida Pharmaceutical Co. Ltd.

      71,500        5,181,870  

Nagoya Railroad Co. Ltd.

      25,500        640,027  

NH Foods Ltd.

      56,900        2,265,251  

Nichirei Corp.

      44,900        1,043,791  

Nifco, Inc.

      40,900        1,236,201  

Nippo Corp.

      200,000        3,766,581  

Nippon Express Co. Ltd.

      54,300        3,554,423  

Nippon Paper Industries Co. Ltd.

      200,000        3,276,718  

Nippon Shokubai Co. Ltd.

      48,200        3,446,081  

Nippon Telegraph & Telephone Corp.

      118,500        5,481,046  

Nipro Corp.

      340,000        4,154,087  

Nissan Motor Co. Ltd.

      106,900        1,011,178  

Nisshin Seifun Group, Inc.

      295,000        5,780,533  

Nissin Foods Holdings Co. Ltd.

      67,300        4,643,337  

Nomura Real Estate Holdings, Inc.

      96,400        2,104,199  

Nomura Research Institute Ltd.

      48,800        2,345,206  

NTT DOCOMO, Inc.

      240,800        6,199,381  

NTT Urban Development Corp.

      118,200        1,221,428  

Oracle Corp. Japan

      24,300        2,039,617  

Osaka Gas Co. Ltd.

      280,400        5,396,373  

Otsuka Corp.

      47,400        1,848,739  

Sankyo Co. Ltd.

      50,200        1,978,237  

Sapporo Holdings Ltd.

      26,500        640,995  

Sawai Pharmaceutical Co. Ltd.

      47,800        2,259,769  

SBI Holdings, Inc.

      116,400        3,177,628  

SCSK Corp.

      49,500        2,340,564  

Sega Sammy Holdings, Inc.

      73,000        1,164,751  

Sekisui Chemical Co. Ltd.

      193,800        3,468,757  

Sekisui House Ltd.

      336,900        5,742,629  

Shikoku Electric Power Co., Inc.

      78,400        1,047,872  

Shimachu Co. Ltd.

      125,600        3,991,505  

Shimamura Co. Ltd.

      24,200        2,264,546  

Showa Shell Sekiyu KK

      460,900        7,564,492  

SKY Perfect JSAT Holdings, Inc.

      244,700        1,168,385  

Skylark Holdings Co. Ltd.

      132,900        1,932,875  

Sojitz Corp.

      1,748,600        6,348,604  

Square Enix Holdings Co. Ltd.

      68,200        3,224,441  

Sumitomo Dainippon Pharma Co. Ltd.

      71,700        1,391,442  

Sumitomo Mitsui Financial Group, Inc.

      85,500        3,393,302  

Sumitomo Osaka Cement Co. Ltd.

      1,015,000        4,839,677  

Suzuken Co. Ltd.

      75,200        3,293,055  

Taisei Corp.

      111,600        6,206,533  

Taisho Pharmaceutical Holdings Co. Ltd.

      30,900        3,500,365  

Takashimaya Co. Ltd.

      118,000        988,251  

Teijin Ltd.

      97,500        1,821,019  

TIS, Inc.

      19,100        917,261  

Tobu Railway Co. Ltd.

      92,100        2,714,896  

Toho Co. Ltd.

      46,300        1,382,494  

Toho Gas Co. Ltd.

      31,900        1,089,811  

Tohoku Electric Power Co., Inc.

      331,100        4,216,483  

Investments

    Shares      Value($)  

Japan — continued

 

Tokyo Century Corp.

      14,000        765,162  

Tokyu Fudosan Holdings Corp.

      132,700        902,020  

Toyo Suisan Kaisha Ltd.

      132,100        4,781,414  

Toyota Industries Corp.

      100,000        5,660,322  

Tsumura & Co.

      146,600        4,767,643  

Ube Industries Ltd.

      165,700        4,460,290  

Yamada Denki Co. Ltd.

      355,900        1,765,311  

Yamaguchi Financial Group, Inc.

      271,600        3,077,862  

Yokohama Rubber Co. Ltd. (The)

      199,500        4,273,223  

Zeon Corp.

      133,800        1,515,884  
     

 

 

  
        376,816,426  
     

 

 

  

Jordan — 0.4%

      

Hikma Pharmaceuticals plc

      284,456        6,121,176  
     

 

 

  

Luxembourg — 0.2%

      

RTL Group SA

      44,473        3,315,277  
     

 

 

  

Macau — 0.2%

      

Sands China Ltd.

      593,520        3,066,571  
     

 

 

  

Netherlands — 2.4%

      

Aegon NV

      753,321        4,965,926  

ASR Nederland NV

      46,093        2,062,039  

Boskalis Westminster

      18,527        568,065  

Heineken Holding NV

      58,889        5,694,446  

Koninklijke DSM NV

      12,706        1,354,204  

Koninklijke Philips NV

      94,497        4,148,376  

NN Group NV

      109,146        4,821,759  

Royal Dutch Shell plc, Class A

      180,010        6,168,383  

Wolters Kluwer NV

      111,356        6,705,733  
     

 

 

  
        36,488,931  
     

 

 

  

New Zealand — 0.7%

      

Fisher & Paykel Healthcare Corp. Ltd.

      197,514        1,994,481  

Fletcher Building Ltd.

      217,838        1,043,907  

Spark New Zealand Ltd.

      2,113,565        5,580,633  

Xero Ltd. *

      78,967        2,516,095  
     

 

 

  
        11,135,116  
     

 

 

  

Norway — 1.4%

      

Equinor ASA

      146,954        3,899,014  

Marine Harvest ASA

      280,346        6,130,098  

Norsk Hydro ASA

      405,958        2,315,600  

Orkla ASA

      437,076        3,698,453  

Telenor ASA

      227,365        4,447,717  

Yara International ASA

      27,643        1,218,838  
     

 

 

  
        21,709,720  
     

 

 

  

Portugal — 0.8%

      

EDP - Energias de Portugal SA

      1,233,411        5,032,096  

Galp Energia SGPS SA

      280,830        5,767,729  

Jeronimo Martins SGPS SA

      52,874        785,661  
     

 

 

  
        11,585,486  
     

 

 

  

Russia — 0.1%

      

Evraz plc

      312,391        2,278,976  
     

 

 

  

Singapore — 2.6%

      

Ascendas REIT, REIT

      1,011,600        2,047,160  
 

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Singapore — continued

 

CapitaLand Commercial Trust, REIT

      659,000        848,868  

CapitaLand Mall Trust, REIT

      2,788,200        4,432,051  

ComfortDelGro Corp. Ltd.

      1,337,500        2,311,915  

Golden Agri-Resources Ltd.

      12,572,800        2,589,931  

Keppel Corp. Ltd.

      1,090,900        5,514,379  

Sembcorp Industries Ltd.

      1,228,800        2,421,489  

Singapore Press Holdings Ltd.

      1,431,600        3,065,053  

Singapore Telecommunications Ltd.

      2,379,600        5,615,907  

StarHub Ltd.

      872,600        1,103,970  

Suntec REIT, REIT

      1,595,900        2,162,071  

Venture Corp. Ltd.

      299,600        3,684,062  

Wilmar International Ltd.

      2,072,000        4,771,913  
     

 

 

  
        40,568,769  
     

 

 

  

South Africa — 0.4%

      

Anglo American plc

      195,841        4,433,026  

Mediclinic International plc

      323,038        2,168,431  
     

 

 

  
        6,601,457  
     

 

 

  

South Korea — 9.8%

      

Celltrion Healthcare Co. Ltd. *

      33,933        2,775,649  

CJ CheilJedang Corp.

      9,795        2,963,709  

CJ Corp.

      5,077        638,194  

Daelim Industrial Co. Ltd.

      21,503        1,508,773  

E-MART, Inc.

      14,534        2,841,356  

GS Holdings Corp.

      85,620        4,120,724  

Hankook Tire Co. Ltd.

      16,415        651,535  

Hanwha Aerospace Co. Ltd. *

      8,990        181,336  

Hanwha Chemical Corp.

      170,192        3,227,792  

Hanwha Corp.

      46,308        1,332,688  

Hyosung Advanced Materials Corp. *

      2,344        356,215  

Hyosung Chemical Corp. *

      1,668        251,247  

Hyosung Corp.

      7,217        287,877  

Hyosung Heavy Industries Corp. *

      4,878        230,676  

Hyosung TNC Co. Ltd. *

      2,262        449,913  

Hyundai Department Store Co. Ltd.

      28,408        2,503,258  

Hyundai Engineering & Construction Co. Ltd.

      20,395        1,071,940  

Hyundai Mipo Dockyard Co. Ltd. *

      10,697        896,994  

Hyundai Steel Co.

      103,729        4,999,210  

Industrial Bank of Korea

      292,942        4,104,045  

Kakao Corp.

      49,027        4,943,528  

Kangwon Land, Inc.

      102,858        2,388,793  

KCC Corp.

      4,029        1,221,468  

Korea Electric Power Corp.

      160,230        4,761,318  

Korea Gas Corp. *

      93,010        4,846,963  

Korea Zinc Co. Ltd.

      7,084        2,616,019  

Korean Air Lines Co. Ltd.

      74,882        1,960,998  

KT&G Corp.

      53,183        5,253,405  

LG Corp.

      75,526        5,091,189  

LG Display Co. Ltd.

      228,609        4,334,013  

LG Uplus Corp.

      339,543        4,674,561  

Lotte Chemical Corp.

      12,005        3,866,352  

Mando Corp.

      9,423        353,249  

NAVER Corp.

      4,330        2,778,100  

NCSoft Corp.

      12,539        4,328,538  

POSCO

      20,192        5,942,815  

Samsung Biologics Co. Ltd. *(a)

      7,757        2,588,301  

Investments

    Shares      Value($)  

South Korea — continued

 

Samsung Electronics Co. Ltd.

      158,089        6,562,316  

Samsung SDS Co. Ltd.

      12,492        2,343,009  

Shinsegae, Inc.

      14,067        4,174,535  

SK Holdings Co. Ltd.

      23,563        5,554,262  

SK Hynix, Inc.

      74,940        5,792,143  

SK Innovation Co. Ltd.

      32,999        5,860,837  

SK Networks Co. Ltd.

      366,231        1,541,809  

SK Telecom Co. Ltd.

      26,947        6,022,381  

SKC Co. Ltd.

      83,172        3,193,694  

S-Oil Corp.

      56,799        5,965,757  

Woori Bank

      360,239        5,444,990  

Yuhan Corp.

      13,120        2,618,618  
     

 

 

  
        152,417,092  
     

 

 

  

Spain — 1.9%

      

Acciona SA

      16,684        1,432,665  

Acerinox SA

      185,303        2,678,330  

Cellnex Telecom SA (a)

      69,760        1,853,824  

Corp. Financiera Alba SA

      11,967        687,979  

Enagas SA

      171,333        4,789,887  

Endesa SA

      231,990        5,364,674  

Ferrovial SA

      42,805        883,538  

Iberdrola SA

      19,577        152,209  

Iberdrola SA *

      552        4,292  

Naturgy Energy Group SA

      211,100        5,718,449  

Repsol SA

      278,151        5,517,120  
     

 

 

  
        29,082,967  
     

 

 

  

Sweden — 3.4%

      

Boliden AB *

      177,416        5,281,282  

Hexagon AB, Class B

      105,456        6,427,481  

ICA Gruppen AB

      91,278        3,026,306  

Investor AB, Class B

      123,012        5,358,389  

Kinnevik AB, Class B

      24,186        834,750  

Securitas AB, Class B

      309,975        5,577,062  

Skanska AB, Class B

      196,794        3,701,776  

Svenska Cellulosa AB SCA, Class B

      90,177        933,057  

Swedish Match AB

      105,112        5,746,188  

Tele2 AB, Class B

      501,368        6,727,530  

Telia Co. AB

      1,071,691        5,155,031  

Trelleborg AB, Class B

      171,888        3,579,146  
     

 

 

  
        52,347,998  
     

 

 

  

Switzerland — 2.6%

      

Baloise Holding AG (Registered)

      36,085        5,627,086  

Clariant AG (Registered) *

      173,514        4,148,947  

Coca-Cola HBC AG *

      178,783        6,416,888  

EMS-Chemie Holding AG (Registered)

      604        387,388  

Flughafen Zurich AG (Registered)

      3,891        814,173  

Kuehne + Nagel International AG (Registered)

      8,156        1,301,697  

Lonza Group AG (Registered) *

      13,573        4,178,006  

Novartis AG (Registered)

      37,408        3,139,345  

Sonova Holding AG (Registered)

      30,789        5,676,301  

Swisscom AG (Registered)

      10,472        4,916,560  

Vifor Pharma AG

      20,868        3,947,251  
     

 

 

  
        40,553,642  
     

 

 

  

United Arab Emirates — 0.1%

      

NMC Health plc

      37,484        1,864,462  
     

 

 

  
 

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

United Kingdom — 16.8%

 

Admiral Group plc

      135,116        3,512,300  

Ashtead Group plc

      136,695        4,196,457  

AstraZeneca plc

      85,856        6,608,875  

Babcock International Group plc

      513,946        4,817,566  

Barratt Developments plc

      725,277        5,079,778  

Bellway plc

      107,210        4,098,410  

Berkeley Group Holdings plc

      110,524        5,409,753  

BP plc

      630,715        4,740,103  

British Land Co. plc (The), REIT

      519,123        4,496,053  

BT Group plc

      1,135,108        3,472,395  

Bunzl plc

      36,038        1,070,838  

Burberry Group plc

      54,059        1,493,214  

Centrica plc

      3,216,499        6,279,951  

ConvaTec Group plc (a)

      643,337        1,847,173  

Croda International plc

      90,189        6,084,706  

Diageo plc

      169,877        6,232,362  

Direct Line Insurance Group plc

      984,515        4,441,981  

DS Smith plc

      787,835        5,205,202  

easyJet plc

      188,161        3,995,875  

GlaxoSmithKline plc

      307,931        6,395,804  

Halma plc

      278,272        5,133,355  

Hammerson plc, REIT

      736,533        5,037,210  

HSBC Holdings plc

      231,989        2,221,597  

IMI plc

      211,607        3,442,598  

Inchcape plc

      316,762        2,930,461  

Informa plc

      337,475        3,495,721  

Inmarsat plc

      945,071        7,061,443  

InterContinental Hotels Group plc

      75,092        4,634,771  

International Consolidated Airlines Group SA

      339,478        3,159,429  

Intertek Group plc

      32,886        2,536,906  

Intu Properties plc, REIT

      993,090        2,275,876  

J Sainsbury plc

      645,553        2,768,306  

John Wood Group plc

      332,729        2,838,766  

Johnson Matthey plc

      85,045        4,189,991  

Land Securities Group plc, REIT

      254,796        3,150,415  

Legal & General Group plc

      1,304,540        4,489,356  

Meggitt plc

      773,318        5,782,732  

Merlin Entertainments plc

      330,154        1,706,713  

Micro Focus International plc

      177,310        2,893,247  

Mondi plc

      224,647        6,176,781  

National Grid plc

      563,166        6,016,286  

Pennon Group plc

      495,840        4,892,871  

Persimmon plc

      165,707        5,389,553  

RELX NV

      263,483        5,730,412  

RELX plc

      283,987        6,187,329  

Rentokil Initial plc

      1,229,001        5,464,095  

Royal Mail plc

      790,374        4,862,819  

Sage Group plc (The)

      705,882        5,756,434  

Schroders plc

      30,951        1,263,764  

Segro plc, REIT

      716,906        6,248,830  

Severn Trent plc

      92,408        2,345,337  

Smith & Nephew plc

      342,920        5,937,340  

Smiths Group plc

      266,565        5,633,435  

SSE plc

      343,172        5,623,362  

Tate & Lyle plc

      568,664        4,651,106  

Investments

    Shares      Value($)  

United Kingdom — continued

 

Taylor Wimpey plc

      1,315,001        3,017,751  

Travis Perkins plc

      75,318        1,181,955  

United Utilities Group plc

      193,142        1,822,669  

Vodafone Group plc

      2,446,493        5,976,688  

Whitbread plc

      33,748        1,733,641  

Wm Morrison Supermarkets plc

      1,505,097        5,160,792  
     

 

 

  
        260,300,939  
     

 

 

  

United States — 0.8%

      

Carnival plc

      97,020        5,631,768  

Shire plc

      114,460        6,518,975  
     

 

 

  
        12,150,743  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $1,431,929,569)

 

      1,542,228,195  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.2%

      

INVESTMENT COMPANIES — 0.2%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (b)(c)
(Cost $3,510,888)

      3,510,888        3,510,888  
     

 

 

  

Total Investments — 99.7%
(Cost $1,435,440,457)

 

      1,545,739,083  

Other Assets Less Liabilities — 0.3%

 

      4,866,556  
     

 

 

  

Net Assets — 100.0%

 

      1,550,605,639  
     

 

 

  

 

Percentages indicated are based on net assets.

Summary of Investments by Industry, July 31, 2018

The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:

 

INDUSTRY

    PERCENTAGE  

Oil, Gas & Consumable Fuels

      7.2 % 

Chemicals

      5.5

Electric Utilities

      5.1

Diversified Telecommunication Services

      5.0

Pharmaceuticals

      3.9

Equity Real Estate Investment Trusts (REITs)

      3.8

Food Products

      3.6

Metals & Mining

      3.5

Health Care Equipment & Supplies

      2.8

Insurance

      2.6

Software

      2.6

Health Care Providers & Services

      2.6

Industrial Conglomerates

      2.5

Household Durables

      2.4

Hotels, Restaurants & Leisure

      2.4

Construction & Engineering

      2.2

Beverages

      2.2

Wireless Telecommunication Services

      2.1

Food & Staples Retailing

      2.0

Road & Rail

      1.9

Airlines

      1.9

IT Services

      1.9

Banks

      1.8

Media

      1.8

Gas Utilities

      1.7
 

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

INDUSTRY

    PERCENTAGE  

Electronic Equipment, Instruments & Components

      1.6 %

Auto Components

      1.4

Semiconductors & Semiconductor Equipment

      1.4

Professional Services

      1.4

Commercial Services & Supplies

      1.3

Multi-Utilities

      1.2

Technology Hardware, Storage & Peripherals

      1.2

Real Estate Management & Development

      1.1

Specialty Retail

      1.1

Trading Companies & Distributors

      1.1

Others (each less than 1.0%)

      12.2  
 

 

Abbreviations
OYJ       Public Limited Company
REIT       Real Estate Investment Trust
SCA       Limited partnership with share capital
(a)       Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. 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.
(b)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments are valued by applying international fair value factors 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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:

 

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

Investments in Securities

            

Common Stocks

            

Australia

    $ 1,091,968      $ 123,303,143      $ —        $ 124,395,111  

Austria

      —          8,977,372        —          8,977,372  

Belgium

      —          16,903,768        —          16,903,768  

Chile

      —          5,844,651        —          5,844,651  

China

      1,372,798        10,142,249        —          11,515,047  

Denmark

      —          16,862,565        —          16,862,565  

Finland

      —          25,771,115        —          25,771,115  

France

      —          87,181,360        —          87,181,360  

Germany

      —          65,988,219        —          65,988,219  

Hong Kong

      —          89,083,982        —          89,083,982  

Italy

      3,978,543        17,320,714        —          21,299,257  

Japan

      —          376,816,426        —          376,816,426  

Jordan

      —          6,121,176        —          6,121,176  

Luxembourg

      —          3,315,277        —          3,315,277  

Macau

      —          3,066,571        —          3,066,571  

Netherlands

      —          36,488,931        —          36,488,931  

New Zealand

      —          11,135,116        —          11,135,116  

JPMorgan Diversified Return International Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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

Norway

      —          21,709,720        —          21,709,720  

Portugal

      —          11,585,486        —          11,585,486  

Russia

      —          2,278,976        —          2,278,976  

Singapore

      —          40,568,769        —          40,568,769  

South Africa

      —          6,601,457        —          6,601,457  

South Korea

      6,541,456        145,875,636        —          152,417,092  

Spain

      4,292        29,078,675        —          29,082,967  

Sweden

      —          52,347,998        —          52,347,998  

Switzerland

      —          40,553,642        —          40,553,642  

United Arab Emirates

      —          1,864,462        —          1,864,462  

United Kingdom

      8,555,827        251,745,112        —          260,300,939  

United States

      —          12,150,743        —          12,150,743  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      21,544,884        1,520,683,311        —          1,542,228,195  
  

 

 

     

 

 

     

 

 

     

 

 

  

Short-Term Investments

            

Investment Companies

      3,510,888        —          —          3,510,888  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

      25,055,772        1,520,683,311        —          1,545,739,083  
  

 

 

     

 

 

     

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

Transfers from level 1 to level 2 in the amount of $34,250,532 are due to the application of the fair value factors to certain securities during the period ended July 31, 2018.

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.6%

 

Aerospace & Defense — 2.2%

 

Boeing Co. (The)

      4,682        1,668,197  

Curtiss-Wright Corp.

      7,173        954,224  

General Dynamics Corp.

      5,022        1,003,195  

Harris Corp.

      14,555        2,400,847  

L3 Technologies, Inc.

      4,091        877,274  

Lockheed Martin Corp.

      3,130        1,020,693  

Northrop Grumman Corp.

      2,679        805,013  

Raytheon Co.

      7,848        1,554,139  

Rockwell Collins, Inc.

      5,413        752,353  

Textron, Inc.

      9,976        681,061  

United Technologies Corp.

      6,466        877,695  
     

 

 

  
        12,594,691  
     

 

 

  

Air Freight & Logistics — 0.5%

      

CH Robinson Worldwide, Inc.

      9,411        867,977  

FedEx Corp.

      3,521        865,708  

United Parcel Service, Inc., Class B

      7,407        888,025  
     

 

 

  
        2,621,710  
     

 

 

  

Airlines — 0.3%

      

Alaska Air Group, Inc.

      2,468        155,064  

American Airlines Group, Inc.

      2,817        111,384  

Delta Air Lines, Inc.

      12,466        678,400  

JetBlue Airways Corp. *

      6,307        113,526  

Southwest Airlines Co.

      4,243        246,773  

United Continental Holdings, Inc. *

      2,354        189,262  
     

 

 

  
        1,494,409  
     

 

 

  

Auto Components — 0.9%

      

Aptiv plc

      15,966        1,565,786  

Delphi Technologies plc

      49        2,213  

Gentex Corp.

      81,146        1,882,587  

Lear Corp.

      7,934        1,429,152  
     

 

 

  
        4,879,738  
     

 

 

  

Automobiles — 0.6%

      

Ford Motor Co.

      151,123        1,517,275  

General Motors Co.

      24,163        916,019  

Harley-Davidson, Inc.

      24,603        1,055,223  
     

 

 

  
        3,488,517  
     

 

 

  

Banks — 2.5%

      

Bank of America Corp.

      18,588        573,997  

Bank of Hawaii Corp.

      6,304        507,409  

BB&T Corp.

      31,305        1,590,607  

Citigroup, Inc.

      8,859        636,874  

Citizens Financial Group, Inc.

      9,937        395,294  

Comerica, Inc.

      5,658        548,487  

Cullen/Frost Bankers, Inc.

      2,735        302,190  

Fifth Third Bancorp

      53,723        1,589,664  

Huntington Bancshares, Inc.

      46,025        710,626  

KeyCorp

      21,652        451,877  

M&T Bank Corp.

      3,023        524,037  

People’s United Financial, Inc.

      36,894        672,578  

PNC Financial Services Group, Inc. (The)

      5,052        731,681  

Popular, Inc. (Puerto Rico)

      1,150        57,075  

Regions Financial Corp.

      24,486        455,684  

SunTrust Banks, Inc.

      10,486        755,726  

SVB Financial Group *

      1,247        383,926  

Investments

    Shares      Value($)  

Banks — continued

 

Synovus Financial Corp.

      2,970        146,777  

TCF Financial Corp.

      34,067        855,422  

Umpqua Holdings Corp.

      28,634        609,904  

US Bancorp

      12,661        671,160  

Wells Fargo & Co.

      11,754        673,387  

Zions Bancorp

      8,470        437,899  
     

 

 

  
        14,282,281  
     

 

 

  

Beverages — 2.0%

      

Brown-Forman Corp., Class B

      38,722        2,060,785  

Coca-Cola Co. (The)

      51,048        2,380,368  

Constellation Brands, Inc., Class A

      9,820        2,064,459  

Keurig Dr Pepper, Inc.

      18,269        438,639  

Molson Coors Brewing Co., Class B

      19,688        1,319,096  

Monster Beverage Corp. *

      6,129        367,862  

PepsiCo, Inc.

      21,889        2,517,235  
     

 

 

  
        11,148,444  
     

 

 

  

Biotechnology — 1.3%

      

AbbVie, Inc.

      12,185        1,123,822  

Amgen, Inc.

      9,673        1,901,228  

Biogen, Inc. *

      3,572        1,194,370  

Gilead Sciences, Inc.

      20,423        1,589,522  

United Therapeutics Corp. *

      7,905        971,604  

Vertex Pharmaceuticals, Inc. *

      4,032        705,802  
     

 

 

  
        7,486,348  
     

 

 

  

Building Products — 0.1%

      

Fortune Brands Home & Security, Inc.

      10,725        622,050  
     

 

 

  

Capital Markets — 2.9%

      

Ameriprise Financial, Inc.

      3,308        481,876  

Bank of New York Mellon Corp. (The)

      12,542        670,621  

BlackRock, Inc.

      1,115        560,577  

CBOE Global Markets, Inc.

      5,997        582,489  

Charles Schwab Corp. (The)

      10,570        539,704  

CME Group, Inc.

      10,092        1,605,839  

E*TRADE Financial Corp. *

      8,574        512,811  

Eaton Vance Corp.

      4,504        239,298  

FactSet Research Systems, Inc.

      8,857        1,783,446  

Franklin Resources, Inc.

      8,019        275,212  

Goldman Sachs Group, Inc. (The)

      2,164        513,799  

Intercontinental Exchange, Inc.

      10,319        762,677  

Invesco Ltd.

      13,226        356,970  

Moody’s Corp.

      2,444        418,217  

Morgan Stanley

      9,141        462,169  

Nasdaq, Inc.

      4,301        393,111  

Northern Trust Corp.

      5,650        617,093  

Raymond James Financial, Inc.

      5,630        515,652  

S&P Global, Inc.

      4,221        846,057  

SEI Investments Co.

      20,147        1,207,611  

State Street Corp.

      5,500        485,705  

T. Rowe Price Group, Inc.

      13,533        1,611,510  

TD Ameritrade Holding Corp.

      12,649        722,890  
     

 

 

  
        16,165,334  
     

 

 

  

Chemicals — 6.0%

      

Air Products & Chemicals, Inc.

      13,572        2,228,115  

Albemarle Corp.

      8,228        775,078  

Ashland Global Holdings, Inc.

      25,262        2,074,263  

Cabot Corp.

      20,124        1,330,196  

Celanese Corp., Series A

      19,395        2,290,743  

CF Industries Holdings, Inc.

      39,924        1,773,424  
 

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Chemicals — continued

      

Chemours Co. (The)

      33,526        1,535,826  

DowDuPont, Inc.

      22,057        1,516,860  

Eastman Chemical Co.

      17,434        1,806,511  

Ecolab, Inc.

      15,362        2,161,433  

FMC Corp.

      9,253        831,660  

Huntsman Corp.

      51,373        1,722,537  

International Flavors & Fragrances, Inc.

      15,366        2,039,990  

LyondellBasell Industries NV, Class A

      14,657        1,623,849  

Mosaic Co. (The)

      21,832        657,362  

Olin Corp.

      39,640        1,169,776  

PPG Industries, Inc.

      16,280        1,801,545  

Praxair, Inc.

      11,164        1,869,970  

RPM International, Inc.

      380        24,461  

Scotts Miracle-Gro Co. (The)

      12,232        971,588  

Sherwin-Williams Co. (The)

      2,577        1,135,761  

Westlake Chemical Corp.

      14,191        1,521,559  

WR Grace & Co.

      17,083        1,261,750  
     

 

 

  
        34,124,257  
     

 

 

  

Commercial Services & Supplies — 1.1%

      

Cintas Corp.

      11,945        2,442,514  

Republic Services, Inc.

      24,650        1,786,632  

Waste Management, Inc.

      19,869        1,788,210  
     

 

 

  
        6,017,356  
     

 

 

  

Communications Equipment — 1.0%

      

Arista Networks, Inc. *

      2,223        568,488  

Cisco Systems, Inc.

      36,086        1,526,077  

F5 Networks, Inc. *

      6,837        1,171,725  

Juniper Networks, Inc.

      35,878        945,026  

Motorola Solutions, Inc.

      11,667        1,415,207  
     

 

 

  
        5,626,523  
     

 

 

  

Construction & Engineering — 0.0%(a)

      

Fluor Corp.

      2,339        119,874  
     

 

 

  

Consumer Finance — 0.6%

      

American Express Co.

      6,205        617,521  

Capital One Financial Corp.

      6,796        640,999  

Discover Financial Services

      10,582        755,661  

Santander Consumer USA Holdings, Inc.

      38,011        731,332  

SLM Corp. *

      49,960        564,048  

Synchrony Financial

      11,769        340,595  
     

 

 

  
        3,650,156  
     

 

 

  

Containers & Packaging — 0.6%

      

Avery Dennison Corp.

      14,216        1,630,291  

Ball Corp.

      1,145        44,620  

Bemis Co., Inc.

      9,454        434,033  

Crown Holdings, Inc. *

      3,647        165,100  

International Paper Co.

      15,027        807,401  

Sealed Air Corp.

      13,369        589,172  
     

 

 

  
        3,670,617  
     

 

 

  

Distributors — 0.4%

      

Genuine Parts Co.

      24,121        2,347,215  
     

 

 

  

Diversified Consumer Services — 0.0%(a)

      

Graham Holdings Co., Class B

      70        39,130  

H&R Block, Inc.

      5,166        129,977  
     

 

 

  
        169,107  
     

 

 

  

Investments

    Shares      Value($)  

Diversified Financial Services — 0.1%

      

Berkshire Hathaway, Inc., Class B *

      3,692        730,536  
     

 

 

  

Diversified Telecommunication Services — 1.4%

      

AT&T, Inc.

      67,991        2,173,672  

CenturyLink, Inc.

      90,161        1,692,322  

Verizon Communications, Inc.

      46,071        2,379,106  

Zayo Group Holdings, Inc. *

      47,195        1,750,463  
     

 

 

  
        7,995,563  
     

 

 

  

Electric Utilities — 5.3%

      

Alliant Energy Corp.

      52,870        2,271,824  

American Electric Power Co., Inc.

      32,239        2,293,483  

Avangrid, Inc.

      9,286        464,857  

Duke Energy Corp.

      28,400        2,318,008  

Edison International

      35,235        2,347,708  

Entergy Corp.

      27,068        2,200,087  

Evergy, Inc.

      15,981        896,374  

Eversource Energy

      38,370        2,329,826  

Exelon Corp.

      52,933        2,249,653  

FirstEnergy Corp.

      6,691        237,062  

NextEra Energy, Inc.

      13,221        2,215,046  

PG&E Corp.

      39,523        1,702,651  

Pinnacle West Capital Corp.

      27,507        2,212,388  

PPL Corp.

      80,168        2,306,433  

Southern Co. (The)

      29,519        1,434,623  

Xcel Energy, Inc.

      48,118        2,254,810  
     

 

 

  
        29,734,833  
     

 

 

  

Electrical Equipment — 0.7%

      

AMETEK, Inc.

      10,442        812,388  

Eaton Corp. plc

      11,084        921,856  

Emerson Electric Co.

      8,300        599,924  

Hubbell, Inc.

      5,076        625,617  

Rockwell Automation, Inc.

      5,396        1,012,074  
     

 

 

  
        3,971,859  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.4%

 

Amphenol Corp., Class A

      12,716        1,189,073  

FLIR Systems, Inc.

      20,997        1,230,424  
     

 

 

  
        2,419,497  
     

 

 

  

Energy Equipment & Services — 0.7%

      

Apergy Corp. *

      4,613        189,133  

Baker Hughes a GE Co.

      19,710        681,572  

Helmerich & Payne, Inc.

      7,514        460,984  

Nabors Industries Ltd.

      22,640        135,387  

National Oilwell Varco, Inc.

      14,362        698,281  

Patterson-UTI Energy, Inc.

      14,310        246,132  

Schlumberger Ltd.

      19,058        1,286,796  
     

 

 

  
        3,698,285  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.0%

 

Alexandria Real Estate Equities, Inc.

      5,278        672,628  

American Tower Corp.

      5,267        780,780  

AvalonBay Communities, Inc.

      4,569        808,028  

Boston Properties, Inc.

      635        79,712  

Camden Property Trust

      1,111        102,867  

Corporate Office Properties Trust

      4,027        119,763  

Crown Castle International Corp.

      5,577        618,099  

Digital Realty Trust, Inc.

      4,324        525,020  

Duke Realty Corp.

      2,830        82,410  

Equity Residential

      11,571        757,091  

Essex Property Trust, Inc.

      621        149,319  
 

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Equity Real Estate Investment Trusts (REITs) — continued

 

Federal Realty Investment Trust

      769        96,510  

GGP, Inc.

      13,158        280,529  

Host Hotels & Resorts, Inc.

      23,179        485,368  

Iron Mountain, Inc.

      4,881        171,372  

JBG SMITH Properties

      1,074        39,201  

Liberty Property Trust

      877        37,588  

Park Hotels & Resorts, Inc.

      45,013        1,408,007  

Prologis, Inc.

      9,011        591,302  

Rayonier, Inc.

      29,144        1,020,331  

Senior Housing Properties Trust

      7,391        131,855  

Simon Property Group, Inc.

      3,469        611,272  

STORE Capital Corp.

      27,799        763,083  

Taubman Centers, Inc.

      1,107        68,689  

Vornado Realty Trust

      2,147        154,412  

Weingarten Realty Investors

      7,049        213,021  

Weyerhaeuser Co.

      12,223        417,782  
     

 

 

  
        11,186,039  
     

 

 

  

Food & Staples Retailing — 1.2%

      

Costco Wholesale Corp.

      7,078        1,548,029  

Kroger Co. (The)

      19,497        565,413  

Sysco Corp.

      26,269        1,765,540  

Walgreens Boots Alliance, Inc.

      18,850        1,274,637  

Walmart, Inc.

      18,840        1,681,093  
     

 

 

  
        6,834,712  
     

 

 

  

Food Products — 2.7%

      

Archer-Daniels-Midland Co.

      41,513        2,003,417  

Conagra Brands, Inc.

      53,113        1,949,778  

General Mills, Inc.

      32,207        1,483,454  

Hershey Co. (The)

      21,567        2,118,095  

Hormel Foods Corp.

      58,417        2,101,260  

JM Smucker Co. (The)

      3,581        397,921  

Kellogg Co.

      25,709        1,826,110  

Lamb Weston Holdings, Inc.

      3,270        229,783  

McCormick & Co., Inc. (Non-Voting)

      21,683        2,548,620  

Tyson Foods, Inc., Class A

      13,923        802,661  
     

 

 

  
        15,461,099  
     

 

 

  

Gas Utilities — 0.1%

      

Atmos Energy Corp.

      9,181        843,458  
     

 

 

  

Health Care Equipment & Supplies — 4.4%

      

Abbott Laboratories

      35,643        2,336,042  

Align Technology, Inc. *

      4,642        1,655,569  

Baxter International, Inc.

      30,620        2,218,419  

Becton Dickinson and Co.

      8,857        2,217,527  

Cooper Cos., Inc. (The)

      2,076        540,798  

Danaher Corp.

      11,066        1,135,150  

Edwards Lifesciences Corp. *

      7,816        1,113,389  

Hill-Rom Holdings, Inc.

      21,530        2,028,126  

IDEXX Laboratories, Inc. *

      7,189        1,760,802  

Intuitive Surgical, Inc. *

      3,446        1,751,223  

Medtronic plc

      23,216        2,094,780  

Stryker Corp.

      12,594        2,055,970  

Teleflex, Inc.

      138        37,634  

Varian Medical Systems, Inc. *

      18,579        2,144,946  

Zimmer Biomet Holdings, Inc.

      13,517        1,696,654  
     

 

 

  
        24,787,029  
     

 

 

  

Health Care Providers & Services — 4.3%

      

Aetna, Inc.

      9,013        1,697,959  

AmerisourceBergen Corp.

      11,514        942,191  

Investments

    Shares      Value($)  

Health Care Providers & Services — continued

      

Anthem, Inc.

      7,390        1,869,670  

Cardinal Health, Inc.

      12,832        640,958  

Centene Corp. *

      11,370        1,481,852  

Cigna Corp.

      10,181        1,826,675  

CVS Health Corp.

      13,291        862,054  

DaVita, Inc. *

      6,675        469,119  

Express Scripts Holding Co. *

      17,103        1,359,004  

HCA Healthcare, Inc.

      13,929        1,730,400  

Henry Schein, Inc. *

      2,934        232,989  

Humana, Inc.

      6,025        1,892,935  

Laboratory Corp. of America Holdings *

      12,128        2,126,524  

McKesson Corp.

      5,254        659,902  

Quest Diagnostics, Inc.

      20,558        2,214,508  

UnitedHealth Group, Inc.

      8,797        2,227,576  

Universal Health Services, Inc., Class B

      19,046        2,325,517  
     

 

 

  
        24,559,833  
     

 

 

  

Hotels, Restaurants & Leisure — 3.2%

      

Carnival Corp.

      27,216        1,612,276  

Darden Restaurants, Inc.

      9,881        1,056,674  

Dunkin’ Brands Group, Inc.

      13,471        937,986  

Hilton Grand Vacations, Inc. *

      2,444        84,538  

Hilton Worldwide Holdings, Inc.

      18,114        1,424,847  

International Game Technology plc

      25,017        632,430  

Las Vegas Sands Corp.

      20,384        1,465,610  

Marriott International, Inc., Class A

      11,400        1,457,376  

McDonald’s Corp.

      12,035        1,895,994  

MGM Resorts International

      21,054        660,464  

Norwegian Cruise Line Holdings Ltd. *

      6,435        321,943  

Royal Caribbean Cruises Ltd.

      7,097        800,258  

Starbucks Corp.

      34,609        1,813,165  

Wyndham Destinations, Inc.

      23,128        1,066,663  

Wynn Resorts Ltd.

      3,771        628,927  

Yum China Holdings, Inc. (China)

      11,433        412,503  

Yum! Brands, Inc.

      22,936        1,818,595  
     

 

 

  
        18,090,249  
     

 

 

  

Household Durables — 1.7%

      

DR Horton, Inc.

      28,975        1,266,207  

Garmin Ltd.

      23,469        1,465,639  

Leggett & Platt, Inc.

      39,322        1,713,260  

Lennar Corp., Class A

      26,926        1,407,422  

NVR, Inc. *

      733        2,022,662  

PulteGroup, Inc.

      58,002        1,652,477  

Whirlpool Corp.

      1,285        168,464  
     

 

 

  
        9,696,131  
     

 

 

  

Household Products — 1.8%

      

Church & Dwight Co., Inc.

      46,644        2,607,400  

Clorox Co. (The)

      18,125        2,449,956  

Energizer Holdings, Inc.

      5,939        378,195  

Kimberly-Clark Corp.

      21,723        2,473,381  

Procter & Gamble Co. (The)

      28,803        2,329,587  
     

 

 

  
        10,238,519  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.8%

 

AES Corp.

      121,044        1,617,148  

NRG Energy, Inc.

      47,985        1,519,685  

Vistra Energy Corp. *

      66,959        1,513,273  
     

 

 

  
        4,650,106  
     

 

 

  
 

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Industrial Conglomerates — 0.6%

 

3M Co.

      3,757        797,686  

Honeywell International, Inc.

      7,860        1,254,849  

Roper Technologies, Inc.

      4,040        1,219,676  
     

 

 

  
        3,272,211  
     

 

 

  

Insurance — 3.0%

      

Aflac, Inc.

      36,470        1,697,314  

Allstate Corp. (The)

      7,254        690,000  

American Financial Group, Inc.

      3,814        429,800  

Aon plc

      7,865        1,129,021  

Assurant, Inc.

      7,779        858,024  

Brighthouse Financial, Inc. *

      701        30,444  

Chubb Ltd.

      5,984        836,084  

Cincinnati Financial Corp.

      12,465        942,728  

Everest Re Group Ltd.

      2,542        555,046  

Fidelity National Financial, Inc.

      13,438        544,239  

Hanover Insurance Group, Inc. (The)

      4,152        520,744  

Hartford Financial Services Group, Inc. (The)

      12,637        665,970  

Lincoln National Corp.

      4,831        328,991  

Marsh & McLennan Cos., Inc.

      11,511        959,557  

Mercury General Corp.

      470        24,172  

MetLife, Inc.

      7,741        354,073  

Principal Financial Group, Inc.

      9,708        563,841  

Progressive Corp. (The)

      26,468        1,588,345  

Prudential Financial, Inc.

      4,189        422,712  

Reinsurance Group of America, Inc.

      2,942        416,293  

Torchmark Corp.

      14,737        1,297,887  

Travelers Cos., Inc. (The)

      5,619        731,257  

Willis Towers Watson plc

      2,227        355,028  

WR Berkley Corp.

      10,796        818,445  

XL Group Ltd. (Bermuda)

      4,119        231,611  
     

 

 

  
        16,991,626  
     

 

 

  

Internet & Direct Marketing Retail — 0.6%

      

Amazon.com, Inc. *

      776        1,379,293  

Booking Holdings, Inc. *

      503        1,020,446  

Netflix, Inc. *

      2,430        820,004  
     

 

 

  
        3,219,743  
     

 

 

  

Internet Software & Services — 1.5%

      

Alphabet, Inc., Class A *

      1,152        1,413,757  

eBay, Inc. *

      35,218        1,178,042  

Facebook, Inc., Class A *

      8,050        1,389,269  

IAC/InterActiveCorp *

      14,116        2,078,581  

VeriSign, Inc. *

      16,789        2,438,267  
     

 

 

  
        8,497,916  
     

 

 

  

IT Services — 3.4%

      

Accenture plc, Class A

      10,566        1,683,481  

Automatic Data Processing, Inc.

      6,057        817,634  

Broadridge Financial Solutions, Inc.

      14,228        1,607,479  

Cognizant Technology Solutions Corp., Class A

      19,418        1,582,567  

DXC Technology Co.

      11,553        979,001  

Fidelity National Information Services, Inc.

      13,430        1,385,036  

Fiserv, Inc. *

      13,369        1,009,092  

Global Payments, Inc.

      4,635        521,762  

International Business Machines Corp.

      8,226        1,192,194  

Leidos Holdings, Inc.

      19,340        1,323,243  

Mastercard, Inc., Class A

      5,263        1,042,074  

Investments

    Shares      Value($)  

IT Services — continued

      

Paychex, Inc.

      14,735        1,017,010  

PayPal Holdings, Inc. *

      7,781        639,131  

Perspecta, Inc.

      5,777        125,361  

Teradata Corp. *

      5,157        197,462  

Total System Services, Inc.

      19,282        1,765,074  

Visa, Inc., Class A

      6,707        917,115  

Western Union Co. (The)

      31,256        630,121  

Worldpay, Inc. *

      11,156        916,912  
     

 

 

  
        19,351,749  
     

 

 

  

Leisure Products — 0.6%

      

Hasbro, Inc.

      25,244        2,514,555  

Polaris Industries, Inc.

      6,222        655,923  
     

 

 

  
        3,170,478  
     

 

 

  

Life Sciences Tools & Services — 1.7%

      

Agilent Technologies, Inc.

      14,209        938,362  

Illumina, Inc. *

      3,909        1,267,923  

IQVIA Holdings, Inc. *

      16,686        2,034,691  

Mettler-Toledo International, Inc. *

      1,590        942,091  

Thermo Fisher Scientific, Inc.

      8,406        1,971,459  

Waters Corp. *

      11,370        2,242,960  
     

 

 

  
        9,397,486  
     

 

 

  

Machinery — 2.0%

      

AGCO Corp.

      280        17,646  

Caterpillar, Inc.

      4,983        716,555  

Crane Co.

      1,659        150,256  

Cummins, Inc.

      4,109        586,806  

Deere & Co.

      5,676        821,828  

Dover Corp.

      9,227        765,656  

Fortive Corp.

      9,531        782,305  

IDEX Corp.

      5,116        785,715  

Illinois Tool Works, Inc.

      5,599        802,505  

Ingersoll-Rand plc

      8,884        875,163  

ITT, Inc.

      24,791        1,404,906  

PACCAR, Inc.

      8,284        544,424  

Parker-Hannifin Corp.

      4,213        712,208  

Stanley Black & Decker, Inc.

      12,300        1,838,481  

Terex Corp.

      4,021        177,407  

Trinity Industries, Inc.

      9,044        344,576  
     

 

 

  
        11,326,437  
     

 

 

  

Media — 2.0%

      

Cable One, Inc.

      70        50,670  

CBS Corp. (Non-Voting), Class B

      11,456        603,388  

Charter Communications, Inc., Class A *

      3,083        939,020  

Comcast Corp., Class A

      35,919        1,285,182  

DISH Network Corp., Class A *

      3,086        97,394  

Interpublic Group of Cos., Inc. (The)

      44,186        996,394  

John Wiley & Sons, Inc., Class A

      5,766        364,123  

Liberty Media Corp.-Liberty SiriusXM, Class A *

      7,529        354,917  

Omnicom Group, Inc.

      18,710        1,287,809  

Sirius XM Holdings, Inc.

      181,942        1,277,233  

Twenty-First Century Fox, Inc., Class A

      33,414        1,503,630  

Viacom, Inc., Class B

      24,891        723,084  

Walt Disney Co. (The)

      17,429        1,979,237  
     

 

 

  
        11,462,081  
     

 

 

  
 

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Metals & Mining — 2.2%

      

Alcoa Corp. *

      34,168        1,478,449  

Freeport-McMoRan, Inc.

      97,218        1,604,097  

Newmont Mining Corp.

      42,200        1,547,896  

Nucor Corp.

      13,382        895,657  

Reliance Steel & Aluminum Co.

      13,792        1,244,038  

Royal Gold, Inc.

      10,170        860,484  

Southern Copper Corp. (Peru)

      28,591        1,411,252  

Steel Dynamics, Inc.

      33,229        1,564,754  

United States Steel Corp.

      44,545        1,622,774  
     

 

 

  
        12,229,401  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.3%

 

Annaly Capital Management, Inc.

      61,947        664,072  

Chimera Investment Corp.

      42,597        813,603  
     

 

 

  
        1,477,675  
     

 

 

  

Multiline Retail — 1.4%

      

Dollar General Corp.

      15,131        1,485,108  

Dollar Tree, Inc. *

      7,406        676,020  

Kohl’s Corp.

      24,607        1,817,719  

Macy’s, Inc.

      47,050        1,869,296  

Nordstrom, Inc.

      9,494        497,580  

Target Corp.

      22,547        1,819,092  
     

 

 

  
        8,164,815  
     

 

 

  

Multi-Utilities — 4.4%

      

Ameren Corp.

      37,000        2,296,220  

CenterPoint Energy, Inc.

      83,809        2,386,880  

CMS Energy Corp.

      47,474        2,294,893  

Consolidated Edison, Inc.

      28,546        2,253,136  

Dominion Energy, Inc.

      34,132        2,447,606  

DTE Energy Co.

      21,382        2,320,802  

NiSource, Inc.

      86,555        2,266,010  

Public Service Enterprise Group, Inc.

      41,345        2,131,748  

SCANA Corp.

      38,192        1,527,298  

Sempra Energy

      20,562        2,376,762  

WEC Energy Group, Inc.

      34,683        2,301,911  
     

 

 

  
        24,603,266  
     

 

 

  

Oil, Gas & Consumable Fuels — 4.4%

      

Andeavor

      7,711        1,157,113  

Apache Corp.

      10,736        493,856  

Chesapeake Energy Corp. *

      27,298        128,847  

Chevron Corp.

      13,670        1,726,111  

CNX Resources Corp. *

      12,945        210,745  

ConocoPhillips

      22,624        1,632,774  

Devon Energy Corp.

      13,512        608,175  

Diamondback Energy, Inc.

      3,754        495,340  

Exxon Mobil Corp.

      24,712        2,014,275  

Hess Corp.

      11,684        766,821  

HollyFrontier Corp.

      21,282        1,587,212  

Kinder Morgan, Inc.

      45,067        801,291  

Marathon Oil Corp.

      43,529        919,332  

Marathon Petroleum Corp.

      20,794        1,680,779  

Murphy Oil Corp.

      14,401        478,977  

Occidental Petroleum Corp.

      19,529        1,639,069  

ONEOK, Inc.

      25,227        1,776,990  

PBF Energy, Inc., Class A

      34,810        1,625,627  

Phillips 66

      14,741        1,818,155  

QEP Resources, Inc. *

      15,714        163,268  

Targa Resources Corp.

      14,997        765,897  

Valero Energy Corp.

      15,728        1,861,409  

Williams Cos., Inc. (The)

      25,400        755,650  
     

 

 

  
        25,107,713  
     

 

 

  

Investments

    Shares      Value($)  

Paper & Forest Products — 0.2%

      

Domtar Corp.

      18,252        880,111  
     

 

 

  

Personal Products — 0.6%

      

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

      14,235        1,920,871  

Herbalife Nutrition Ltd. *

      6,715        346,696  

Nu Skin Enterprises, Inc., Class A

      15,365        1,119,340  
     

 

 

  
        3,386,907  
     

 

 

  

Pharmaceuticals — 2.0%

      

Bristol-Myers Squibb Co.

      30,601        1,797,809  

Eli Lilly & Co.

      25,780        2,547,322  

Johnson & Johnson

      17,923        2,375,156  

Pfizer, Inc.

      61,135        2,441,120  

Zoetis, Inc.

      22,259        1,924,958  
     

 

 

  
        11,086,365  
     

 

 

  

Professional Services — 0.5%

      

Dun & Bradstreet Corp. (The)

      782        98,446  

Equifax, Inc.

      4,869        611,059  

Nielsen Holdings plc

      3,057        72,023  

Robert Half International, Inc.

      25,792        1,954,002  

Verisk Analytics, Inc. *

      1,879        207,855  
     

 

 

  
        2,943,385  
     

 

 

  

Real Estate Management & Development — 0.1%

 

   

CBRE Group, Inc., Class A *

      6,000        298,800  

Jones Lang LaSalle, Inc.

      415        70,969  
     

 

 

  
        369,769  
     

 

 

  

Road & Rail — 0.8%

      

CSX Corp.

      8,709        615,552  

JB Hunt Transport Services, Inc.

      7,839        939,896  

Kansas City Southern

      3,263        379,389  

Norfolk Southern Corp.

      5,604        947,076  

Ryder System, Inc.

      4,705        368,402  

Union Pacific Corp.

      7,500        1,124,175  
     

 

 

  
        4,374,490  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.3%

 

   

Analog Devices, Inc.

      14,468        1,390,954  

Applied Materials, Inc.

      16,866        820,194  

Broadcom, Inc.

      4,116        912,805  

Cypress Semiconductor Corp.

      18,067        321,773  

First Solar, Inc. *

      7,562        395,871  

Intel Corp.

      22,971        1,104,905  

KLA-Tencor Corp.

      9,722        1,141,557  

Lam Research Corp.

      4,012        764,848  

Marvell Technology Group Ltd.

      30,088        641,175  

Maxim Integrated Products, Inc.

      20,113        1,229,709  

Microchip Technology, Inc.

      12,194        1,139,285  

Micron Technology, Inc. *

      18,804        992,663  

NVIDIA Corp.

      3,774        924,102  

NXP Semiconductors NV (Netherlands) *

      17,438        1,662,539  

ON Semiconductor Corp. *

      36,753        810,404  

Skyworks Solutions, Inc.

      7,457        705,283  

Teradyne, Inc.

      17,897        774,045  

Texas Instruments, Inc.

      11,282        1,255,912  

Versum Materials, Inc.

      11,918        459,439  

Xilinx, Inc.

      14,713        1,060,366  
     

 

 

  
        18,507,829  
     

 

 

  
 

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Software — 3.1%

      

Activision Blizzard, Inc.

      17,379        1,275,966  

Adobe Systems, Inc. *

      5,865        1,435,048  

CA, Inc.

      30,944        1,368,034  

Cadence Design Systems, Inc. *

      25,655        1,131,129  

Citrix Systems, Inc. *

      17,813        1,958,896  

Dell Technologies, Inc., Class V *

      8,196        758,294  

Electronic Arts, Inc. *

      10,574        1,361,402  

Intuit, Inc.

      8,598        1,756,056  

Microsoft Corp.

      19,647        2,084,154  

Oracle Corp.

      22,512        1,073,372  

Red Hat, Inc. *

      9,045        1,277,425  

Take-Two Interactive Software, Inc. *

      8,277        935,467  

VMware, Inc., Class A *

      7,321        1,058,543  
     

 

 

  
        17,473,786  
     

 

 

  

Specialty Retail — 2.7%

      

AutoNation, Inc. *

      12,292        596,531  

Best Buy Co., Inc.

      9,846        738,745  

Burlington Stores, Inc. *

      1,733        264,820  

CarMax, Inc. *

      12,380        924,538  

Dick’s Sporting Goods, Inc.

      10,235        349,423  

Foot Locker, Inc.

      13,395        653,810  

Gap, Inc. (The)

      13,973        421,565  

Home Depot, Inc. (The)

      11,776        2,325,996  

Lowe’s Cos., Inc.

      16,109        1,600,268  

Ross Stores, Inc.

      12,118        1,059,477  

Tiffany & Co.

      16,195        2,227,784  

TJX Cos., Inc. (The)

      16,909        1,644,569  

Tractor Supply Co.

      22,103        1,724,918  

Urban Outfitters, Inc. *

      5,383        239,005  

Williams-Sonoma, Inc.

      10,799        631,634  
     

 

 

  
        15,403,083  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.9%

 

Apple, Inc.

      6,989        1,329,937  

Hewlett Packard Enterprise Co.

      50,403        778,222  

HP, Inc.

      61,070        1,409,495  

NetApp, Inc.

      12,000        930,240  

Western Digital Corp.

      7,164        502,555  
     

 

 

  
        4,950,449  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.3%

      

Hanesbrands, Inc.

      37,566        836,219  

Michael Kors Holdings Ltd. *

      12,456        831,189  

NIKE, Inc., Class B

      22,435        1,725,476  

PVH Corp.

      7,688        1,180,262  

Tapestry, Inc.

      23,354        1,100,440  

VF Corp.

      16,965        1,561,968  
     

 

 

  
        7,235,554  
     

 

 

  

Tobacco — 0.6%

      

Altria Group, Inc.

      28,062        1,646,678  

Philip Morris International, Inc.

      18,125        1,564,188  
     

 

 

  
        3,210,866  
     

 

 

  

Trading Companies & Distributors — 0.6%

      

Fastenal Co.

      12,989        739,464  

United Rentals, Inc. *

      4,284        637,459  

WW Grainger, Inc.

      5,316        1,842,313  
     

 

 

  
        3,219,236  
     

 

 

  

Water Utilities — 0.4%

      

American Water Works Co., Inc.

      26,342        2,324,681  
     

 

 

  

Investments

    Shares      Value($)  

Wireless Telecommunication Services — 0.6%

      

Telephone & Data Systems, Inc.

      23,188        585,497  

T-Mobile US, Inc. *

      39,320        2,359,200  

United States Cellular Corp. *

      5,643        193,893  
     

 

 

  
        3,138,590  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $503,680,932)

 

      562,184,073  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.3%

      

INVESTMENT COMPANIES — 0.3%

      

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (b)(c)
(Cost $1,562,204)

      1,562,204        1,562,204  
     

 

 

  

Total Investments — 99.9%
(Cost $505,243,136)

 

      563,746,277  

Other Assets Less Liabilities — 0.1%

 

      367,995  
     

 

 

  

Net Assets — 100.0%

 

      564,114,272  
     

 

 

  

 

Percentages indicated are based on net assets.

(a)       Amount rounds to less than 0.05% of net assets.
(b)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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.

JPMorgan Diversified Return U.S. Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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”):

 

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

Total Investments in Securities (a)

    $ 563,746,277      $ —        $ —        $ 563,746,277  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.8%

 

Aerospace & Defense — 1.4%

 

BWX Technologies, Inc.

      2,846        187,153  

Harris Corp.

      2,250        371,137  

Hexcel Corp.

      3,293        227,250  

Huntington Ingalls Industries, Inc.

      554        129,110  

L3 Technologies, Inc.

      814        174,554  

Rockwell Collins, Inc.

      1,219        169,429  

Spirit AeroSystems Holdings, Inc., Class A

      1,536        143,232  

Textron, Inc.

      2,475        168,968  
     

 

 

  
        1,570,833  
     

 

 

  

Air Freight & Logistics — 0.3%

      

CH Robinson Worldwide, Inc.

      2,148        198,110  

Expeditors International of Washington, Inc.

      2,399        182,732  
     

 

 

  
        380,842  
     

 

 

  

Airlines — 0.3%

      

Alaska Air Group, Inc.

      569        35,750  

American Airlines Group, Inc.

      849        33,569  

Copa Holdings SA, Class A (Panama)

      2,250        219,015  

JetBlue Airways Corp. *

      1,882        33,876  

United Continental Holdings, Inc. *

      574        46,150  
     

 

 

  
        368,360  
     

 

 

  

Auto Components — 1.3%

      

Adient plc

      2,128        101,357  

Aptiv plc

      2,563        251,353  

BorgWarner, Inc.

      3,709        170,688  

Gentex Corp.

      16,418        380,898  

Goodyear Tire & Rubber Co. (The)

      6,038        146,180  

Lear Corp.

      1,698        305,861  

Visteon Corp. *

      1,330        155,716  
     

 

 

  
        1,512,053  
     

 

 

  

Automobiles — 0.3%

      

Harley-Davidson, Inc.

      5,084        218,053  

Thor Industries, Inc.

      1,780        168,833  
     

 

 

  
        386,886  
     

 

 

  

Banks — 2.6%

      

Associated Banc-Corp.

      1,637        44,199  

Bank of Hawaii Corp.

      1,121        90,229  

Bank OZK

      1,680        68,712  

BankUnited, Inc.

      1,898        73,756  

CIT Group, Inc.

      2,305        122,004  

Citizens Financial Group, Inc.

      2,186        86,959  

Comerica, Inc.

      1,212        117,491  

Commerce Bancshares, Inc.

      2,704        180,627  

Cullen/Frost Bankers, Inc.

      974        107,617  

East West Bancorp, Inc.

      1,624        105,138  

Fifth Third Bancorp

      4,058        120,076  

First Horizon National Corp.

      4,178        74,745  

First Republic Bank

      645        63,765  

FNB Corp.

      5,091        65,318  

Huntington Bancshares, Inc.

      10,274        158,631  

KeyCorp

      4,745        99,028  

M&T Bank Corp.

      692        119,958  

PacWest Bancorp

      1,419        71,262  

Investments

    Shares      Value($)  

Banks — continued

 

People’s United Financial, Inc.

      7,193        131,128  

Popular, Inc. (Puerto Rico)

      1,618        80,301  

Prosperity Bancshares, Inc.

      916        64,257  

Regions Financial Corp.

      6,188        115,159  

SunTrust Banks, Inc.

      2,388        172,103  

SVB Financial Group *

      358        110,221  

Synovus Financial Corp.

      3,055        150,978  

TCF Financial Corp.

      2,835        71,187  

Webster Financial Corp.

      1,550        100,022  

Western Alliance Bancorp *

      1,789        101,472  

Zions Bancorp

      1,797        92,905  
     

 

 

  
        2,959,248  
     

 

 

  

Beverages — 0.6%

      

Brown-Forman Corp., Class B

      7,825        416,446  

Molson Coors Brewing Co., Class B

      4,200        281,400  
     

 

 

  
        697,846  
     

 

 

  

Biotechnology — 0.5%

      

Exelixis, Inc. *

      4,333        89,693  

Ionis Pharmaceuticals, Inc. *

      2,996        130,866  

United Therapeutics Corp. *

      3,098        380,775  
     

 

 

  
        601,334  
     

 

 

  

Building Products — 0.6%

      

AO Smith Corp.

      3,146        187,281  

Armstrong World Industries, Inc. *

      766        52,012  

Fortune Brands Home & Security, Inc.

      2,286        132,588  

Lennox International, Inc.

      804        174,532  

Owens Corning

      2,101        130,724  

USG Corp. *

      959        41,448  
     

 

 

  
        718,585  
     

 

 

  

Capital Markets — 2.5%

      

Affiliated Managers Group, Inc.

      587        93,926  

Ameriprise Financial, Inc.

      923        134,453  

CBOE Global Markets, Inc.

      1,006        97,713  

E*TRADE Financial Corp. *

      2,437        145,757  

Eaton Vance Corp.

      2,016        107,110  

FactSet Research Systems, Inc.

      1,603        322,780  

Interactive Brokers Group, Inc., Class A

      1,196        71,593  

Invesco Ltd.

      1,855        50,066  

Jefferies Financial Services, Inc.

      6,799        164,876  

Lazard Ltd., Class A

      1,501        81,504  

Legg Mason, Inc.

      2,674        91,264  

LPL Financial Holdings, Inc.

      1,670        110,704  

MarketAxess Holdings, Inc.

      601        116,456  

Moody’s Corp.

      1,046        178,992  

Morningstar, Inc.

      529        69,828  

MSCI, Inc.

      1,050        174,499  

Nasdaq, Inc.

      1,744        159,402  

Northern Trust Corp.

      1,582        172,786  

Raymond James Financial, Inc.

      1,486        136,103  

SEI Investments Co.

      2,828        169,510  

T. Rowe Price Group, Inc.

      1,127        134,203  
     

 

 

  
        2,783,525  
     

 

 

  

Chemicals — 4.9%

      

Albemarle Corp.

      1,680        158,256  

Ashland Global Holdings, Inc.

      4,250        348,967  

Cabot Corp.

      5,476        361,964  

Celanese Corp., Series A

      2,951        348,543  
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Chemicals — continued

 

CF Industries Holdings, Inc.

      8,060        358,025  

Chemours Co. (The)

      6,764        309,859  

Eastman Chemical Co.

      3,205        332,102  

FMC Corp.

      3,814        342,802  

Huntsman Corp.

      10,344        346,834  

International Flavors & Fragrances, Inc.

      1,872        248,527  

Mosaic Co. (The)

      12,054        362,946  

NewMarket Corp.

      328        134,296  

Olin Corp.

      10,221        301,622  

RPM International, Inc.

      6,681        430,056  

Scotts Miracle-Gro Co. (The)

      3,872        307,553  

Valvoline, Inc.

      9,679        218,649  

Westlake Chemical Corp.

      2,845        305,041  

WR Grace & Co.

      4,613        340,716  
     

 

 

  
        5,556,758  
     

 

 

  

Commercial Services & Supplies — 1.2%

      

Cintas Corp.

      1,019        208,365  

Copart, Inc. *

      8,048        461,875  

KAR Auction Services, Inc.

      6,867        408,243  

Republic Services, Inc.

      3,745        271,438  
     

 

 

  
        1,349,921  
     

 

 

  

Communications Equipment — 1.1%

      

Arista Networks, Inc. *

      646        165,202  

F5 Networks, Inc. *

      1,878        321,852  

Juniper Networks, Inc.

      10,753        283,234  

Motorola Solutions, Inc.

      3,585        434,860  
     

 

 

  
        1,205,148  
     

 

 

  

Construction & Engineering — 0.2%

      

Jacobs Engineering Group, Inc.

      555        37,535  

Quanta Services, Inc. *

      2,819        96,043  

Valmont Industries, Inc.

      538        75,132  
     

 

 

  
        208,710  
     

 

 

  

Construction Materials — 0.1%

      

Eagle Materials, Inc.

      884        87,825  
     

 

 

  

Consumer Finance — 0.6%

      

Ally Financial, Inc.

      3,896        104,257  

Credit Acceptance Corp. *

      281        107,792  

Discover Financial Services

      2,029        144,891  

Navient Corp.

      4,273        56,446  

Santander Consumer USA Holdings, Inc.

      2,958        56,912  

SLM Corp. *

      7,762        87,633  

Synchrony Financial

      2,224        64,362  
     

 

 

  
        622,293  
     

 

 

  

Containers & Packaging — 1.5%

      

AptarGroup, Inc.

      1,735        177,716  

Avery Dennison Corp.

      3,500        401,380  

Bemis Co., Inc.

      2,291        105,180  

Graphic Packaging Holding Co.

      7,327        106,461  

International Paper Co.

      6,263        336,511  

Packaging Corp. of America

      1,543        174,205  

Sealed Air Corp.

      2,663        117,359  

Silgan Holdings, Inc.

      1,776        48,858  

Sonoco Products Co.

      2,015        112,477  

WestRock Co.

      1,733        100,479  
     

 

 

  
        1,680,626  
     

 

 

  

Investments

    Shares      Value($)  

Distributors — 0.6%

      

Genuine Parts Co.

      3,432        333,968  

LKQ Corp. *

      166        5,564  

Pool Corp.

      2,112        323,664  
     

 

 

  
        663,196  
     

 

 

  

Diversified Consumer Services — 1.1%

      

Graham Holdings Co., Class B

      321        179,439  

Grand Canyon Education, Inc. *

      1,551        180,738  

H&R Block, Inc.

      5,945        149,576  

Service Corp. International

      9,013        354,662  

ServiceMaster Global Holdings, Inc. *

      5,794        330,200  
     

 

 

  
        1,194,615  
     

 

 

  

Diversified Telecommunication Services — 0.6%

      

CenturyLink, Inc.

      18,288        343,266  

Zayo Group Holdings, Inc. *

      9,496        352,206  
     

 

 

  
        695,472  
     

 

 

  

Electric Utilities — 3.7%

      

Alliant Energy Corp.

      10,653        457,759  

Edison International

      7,142        475,872  

Entergy Corp.

      5,471        444,683  

Evergy, Inc.

      7,810        438,063  

Eversource Energy

      7,771        471,855  

Hawaiian Electric Industries, Inc.

      6,609        232,439  

OGE Energy Corp.

      7,546        273,467  

Pinnacle West Capital Corp.

      5,540        445,582  

PPL Corp.

      16,248        467,455  

Xcel Energy, Inc.

      9,776        458,103  
     

 

 

  
        4,165,278  
     

 

 

  

Electrical Equipment — 0.6%

      

AMETEK, Inc.

      3,031        235,812  

nVent Electric plc (United Kingdom) *

      1,984        54,362  

Regal Beloit Corp.

      697        59,907  

Rockwell Automation, Inc.

      1,188        222,821  

Sensata Technologies Holding plc *

      2,308        125,486  
     

 

 

  
        698,388  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.5%

 

Amphenol Corp., Class A

      3,024        282,774  

CDW Corp.

      5,519        464,093  

Dolby Laboratories, Inc., Class A

      2,514        162,027  

FLIR Systems, Inc.

      3,321        194,611  

IPG Photonics Corp. *

      475        77,919  

Jabil, Inc.

      3,833        107,976  

Keysight Technologies, Inc. *

      3,484        202,072  

National Instruments Corp.

      3,608        158,066  
     

 

 

  
        1,649,538  
     

 

 

  

Energy Equipment & Services — 0.9%

      

Apergy Corp. *

      930        38,130  

Helmerich & Payne, Inc.

      4,984        305,768  

Nabors Industries Ltd.

      18,764        112,209  

National Oilwell Varco, Inc.

      8,047        391,245  

RPC, Inc.

      7,511        111,163  
     

 

 

  
        958,515  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 3.7%

 

   

Alexandria Real Estate Equities, Inc.

      929        118,392  

American Campus Communities, Inc.

      587        24,214  
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Equity Real Estate Investment Trusts (REITs) — continued

 

AvalonBay Communities, Inc.

      993        175,612  

Brandywine Realty Trust

      4,229        69,736  

Brixmor Property Group, Inc.

      2,661        47,073  

Camden Property Trust

      1,212        112,219  

Colony Capital, Inc.

      11,502        70,852  

CoreSite Realty Corp.

      866        97,079  

CubeSmart

      311        9,442  

DCT Industrial Trust, Inc.

      2,074        138,688  

DDR Corp.

      875        11,987  

Digital Realty Trust, Inc.

      1,201        145,825  

Douglas Emmett, Inc.

      3,549        137,843  

Duke Realty Corp.

      5,038        146,707  

EPR Properties

      962        63,963  

Equity Commonwealth *

      2,682        86,468  

Equity LifeStyle Properties, Inc.

      1,308        119,015  

Essex Property Trust, Inc.

      695        167,113  

Extra Space Storage, Inc.

      1,342        126,108  

Federal Realty Investment Trust

      165        20,708  

Forest City Realty Trust, Inc., Class A

      628        15,681  

Gaming and Leisure Properties, Inc.

      2,920        106,054  

GGP, Inc.

      3,302        70,399  

Highwoods Properties, Inc.

      1,668        81,915  

Hospitality Properties Trust

      3,788        107,087  

Host Hotels & Resorts, Inc.

      5,765        120,719  

Hudson Pacific Properties, Inc.

      2,254        77,222  

Iron Mountain, Inc.

      2,023        71,028  

JBG SMITH Properties

      178        6,497  

Kilroy Realty Corp.

      1,383        100,890  

Lamar Advertising Co., Class A

      1,715        126,275  

Liberty Property Trust

      3,033        129,994  

Medical Properties Trust, Inc.

      5,644        81,330  

Mid-America Apartment Communities, Inc.

      847        85,361  

National Retail Properties, Inc.

      1,044        46,573  

Omega Healthcare Investors, Inc.

      2,196        65,199  

Outfront Media, Inc.

      3,258        69,233  

Park Hotels & Resorts, Inc.

      5,297        165,690  

Rayonier, Inc.

      2,337        81,818  

Retail Value, Inc. *

      85        2,808  

Senior Housing Properties Trust

      5,020        89,557  

Sun Communities, Inc.

      946        91,724  

Taubman Centers, Inc.

      1,213        75,267  

Uniti Group, Inc.

      2,145        37,924  

Vornado Realty Trust

      351        25,244  

Weingarten Realty Investors

      2,183        65,970  

Welltower, Inc.

      1,922        120,317  

Weyerhaeuser Co.

      3,142        107,394  

WP Carey, Inc.

      1,002        65,511  
     

 

 

  
        4,179,725  
     

 

 

  

Food & Staples Retailing — 0.1%

      

Casey’s General Stores, Inc.

      1,536        168,008  
     

 

 

  

Food Products — 3.4%

      

Bunge Ltd.

      2,306        159,414  

Campbell Soup Co.

      6,090        249,081  

Conagra Brands, Inc.

      6,477        237,771  

Flowers Foods, Inc.

      15,392        313,997  

Hershey Co. (The)

      3,483        342,065  

Investments

    Shares      Value($)  

Food Products — continued

      

Hormel Foods Corp.

      8,222        295,745  

Ingredion, Inc.

      2,487        251,933  

Kellogg Co.

      6,056        430,158  

Lamb Weston Holdings, Inc.

      5,065        355,918  

McCormick & Co., Inc. (Non-Voting)

      4,376        514,355  

Pilgrim’s Pride Corp. *

      8,620        153,608  

Pinnacle Foods, Inc.

      6,182        410,608  

Tyson Foods, Inc., Class A

      3,047        175,660  
     

 

 

  
        3,890,313  
     

 

 

  

Gas Utilities — 1.1%

      

Atmos Energy Corp.

      4,946        454,389  

National Fuel Gas Co.

      6,061        325,476  

UGI Corp.

      8,738        464,337  
     

 

 

  
        1,244,202  
     

 

 

  

Health Care Equipment & Supplies — 5.4%

      

ABIOMED, Inc. *

      1,161        411,609  

Align Technology, Inc. *

      1,342        478,624  

Cantel Medical Corp.

      935        86,684  

Cooper Cos., Inc. (The)

      1,891        492,606  

DENTSPLY SIRONA, Inc.

      7,047        339,031  

Edwards Lifesciences Corp. *

      2,453        349,430  

Hill-Rom Holdings, Inc.

      4,786        450,841  

Hologic, Inc. *

      7,360        315,818  

ICU Medical, Inc. *

      751        215,387  

IDEXX Laboratories, Inc. *

      1,855        454,345  

ResMed, Inc.

      4,304        455,277  

STERIS plc

      3,540        405,224  

Teleflex, Inc.

      1,653        450,790  

Varian Medical Systems, Inc. *

      3,361        388,027  

West Pharmaceutical Services, Inc.

      3,557        390,025  

Zimmer Biomet Holdings, Inc.

      3,020        379,070  
     

 

 

  
        6,062,788  
     

 

 

  

Health Care Providers & Services — 4.4%

      

Acadia Healthcare Co., Inc. *

      5,492        216,824  

AmerisourceBergen Corp.

      2,298        188,045  

Cardinal Health, Inc.

      3,424        171,029  

Centene Corp. *

      3,799        495,124  

Chemed Corp.

      714        225,645  

DaVita, Inc. *

      5,043        354,422  

Encompass Health Corp.

      3,247        245,571  

Envision Healthcare Corp. *

      3,483        154,158  

Henry Schein, Inc. *

      6,279        498,615  

Laboratory Corp. of America Holdings *

      2,455        430,460  

MEDNAX, Inc. *

      5,966        255,285  

Molina Healthcare, Inc. *

      3,890        404,910  

Quest Diagnostics, Inc.

      3,980        428,726  

Universal Health Services, Inc., Class B

      2,884        352,136  

WellCare Health Plans, Inc. *

      1,990        532,166  
     

 

 

  
        4,953,116  
     

 

 

  

Health Care Technology — 0.2%

      

Cerner Corp. *

      3,622        224,854  
     

 

 

  

Hotels, Restaurants & Leisure — 3.7%

      

Aramark

      5,425        218,139  

Choice Hotels International, Inc.

      3,896        302,330  
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Hotels, Restaurants & Leisure — continued

 

Darden Restaurants, Inc.

      2,980        318,681  

Dunkin’ Brands Group, Inc.

      4,120        286,876  

Extended Stay America, Inc.

      15,287        325,460  

Hilton Grand Vacations, Inc. *

      611        21,134  

Hilton Worldwide Holdings, Inc.

      3,913        307,797  

Hyatt Hotels Corp., Class A

      4,037        315,814  

International Game Technology plc

      1,481        37,440  

MGM Resorts International

      6,831        214,288  

Norwegian Cruise Line Holdings Ltd. *

      3,136        156,894  

Royal Caribbean Cruises Ltd.

      1,588        179,063  

Six Flags Entertainment Corp.

      5,115        332,219  

Vail Resorts, Inc.

      1,277        353,563  

Wendy’s Co. (The)

      15,120        252,202  

Wyndham Destinations, Inc.

      5,131        236,642  

Wynn Resorts Ltd.

      1,035        172,617  

Yum China Holdings, Inc. (China)

      4,726        170,514  
     

 

 

  
        4,201,673  
     

 

 

  

Household Durables — 2.3%

      

DR Horton, Inc.

      6,471        282,783  

Garmin Ltd.

      6,989        436,463  

Leggett & Platt, Inc.

      9,317        405,941  

Lennar Corp., Class A

      4,381        228,995  

Mohawk Industries, Inc. *

      1,177        221,700  

NVR, Inc. *

      111        306,297  

PulteGroup, Inc.

      12,890        367,236  

Toll Brothers, Inc.

      3,928        138,501  

Whirlpool Corp.

      1,242        162,826  
     

 

 

  
        2,550,742  
     

 

 

  

Household Products — 1.2%

      

Church & Dwight Co., Inc.

      8,455        472,634  

Clorox Co. (The)

      3,581        484,044  

Energizer Holdings, Inc.

      4,035        256,949  

Spectrum Brands Holdings, Inc. *

      1,208        105,543  
     

 

 

  
        1,319,170  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.1%

 

Vistra Energy Corp. *

      6,305        142,493  
     

 

 

  

Industrial Conglomerates — 0.2%

      

Roper Technologies, Inc.

      763        230,350  
     

 

 

  

Insurance — 3.6%

      

Alleghany Corp.

      284        178,713  

American Financial Group, Inc.

      2,581        290,853  

Arch Capital Group Ltd. *

      229        6,998  

Arthur J Gallagher & Co.

      3,583        255,647  

Aspen Insurance Holdings Ltd. (Bermuda)

      3,087        124,869  

Aspen Insurance Holdings Ltd. (Bermuda)

      8        324  

Assurant, Inc.

      1,663        183,429  

Assured Guaranty Ltd.

      2,232        86,869  

Athene Holding Ltd., Class A *

      2,462        112,932  

Axis Capital Holdings Ltd.

      2,854        161,422  

Brown & Brown, Inc.

      7,892        230,920  

Cincinnati Financial Corp.

      2,240        169,411  

CNA Financial Corp.

      139        6,502  

Everest Re Group Ltd.

      553        120,748  

Investments

    Shares      Value($)  

Insurance — continued

      

Fidelity National Financial, Inc.

      3,308        133,974  

First American Financial Corp.

      1,699        95,144  

Hanover Insurance Group, Inc. (The)

      832        104,349  

Hartford Financial Services Group, Inc. (The)

      2,889        152,250  

Lincoln National Corp.

      1,055        71,846  

Loews Corp.

      3,613        183,468  

Markel Corp. *

      22        25,740  

Mercury General Corp.

      1,337        68,762  

Old Republic International Corp.

      4,979        106,103  

Principal Financial Group, Inc.

      2,335        135,617  

Reinsurance Group of America, Inc.

      1,110        157,065  

Torchmark Corp.

      2,870        252,761  

Unum Group

      2,231        88,638  

Willis Towers Watson plc

      1,177        187,637  

WR Berkley Corp.

      2,827        214,315  

XL Group Ltd. (Bermuda)

      3,235        181,904  
     

 

 

  
        4,089,210  
     

 

 

  

Internet Software & Services — 0.8%

      

Akamai Technologies, Inc. *

      381        28,674  

IAC/InterActiveCorp *

      1,520        223,820  

LogMeIn, Inc.

      1,804        146,214  

VeriSign, Inc. *

      3,387        491,894  
     

 

 

  
        890,602  
     

 

 

  

IT Services — 3.0%

      

Amdocs Ltd.

      6,532        441,433  

Amdocs Ltd.

      9        608  

Booz Allen Hamilton Holding Corp.

      2,275        107,539  

Broadridge Financial Solutions, Inc.

      3,402        384,358  

Conduent, Inc. *

      2,050        36,818  

CoreLogic, Inc. *

      1,010        49,187  

DXC Technology Co.

      2,379        201,596  

Fidelity National Information Services, Inc.

      2,077        214,201  

First Data Corp., Class A *

      7,141        166,100  

Fiserv, Inc. *

      2,903        219,118  

Jack Henry & Associates, Inc.

      2,010        270,747  

Leidos Holdings, Inc.

      5,627        384,999  

Paychex, Inc.

      2,430        167,719  

Perspecta, Inc.

      1,197        25,975  

Sabre Corp.

      9,793        241,104  

Teradata Corp. *

      962        36,835  

Total System Services, Inc.

      2,050        187,657  

Western Union Co. (The)

      3,625        73,080  

Worldpay, Inc. *

      2,177        178,928  
     

 

 

  
        3,388,002  
     

 

 

  

Leisure Products — 0.6%

      

Brunswick Corp.

      3,527        226,786  

Hasbro, Inc.

      2,510        250,021  

Polaris Industries, Inc.

      1,644        173,311  
     

 

 

  
        650,118  
     

 

 

  

Life Sciences Tools & Services — 2.2%

      

Agilent Technologies, Inc.

      2,738        180,818  

Bio-Rad Laboratories, Inc., Class A *

      1,150        352,647  

Bio-Techne Corp.

      2,197        352,926  

Bruker Corp.

      3,508        113,659  
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Life Sciences Tools & Services — continued

 

Charles River Laboratories International, Inc. *

      3,901        484,894  

IQVIA Holdings, Inc. *

      4,469        544,950  

Waters Corp. *

      2,263        446,422  
     

 

 

  
        2,476,316  
     

 

 

  

Machinery — 4.0%

      

AGCO Corp.

      2,629        165,680  

Allison Transmission Holdings, Inc.

      3,502        164,594  

Crane Co.

      1,241        112,397  

Cummins, Inc.

      978        139,668  

Donaldson Co., Inc.

      81        3,864  

Dover Corp.

      1,855        153,928  

Fortive Corp.

      2,817        231,219  

Graco, Inc.

      6,145        283,530  

IDEX Corp.

      1,932        296,717  

Ingersoll-Rand plc

      2,048        201,748  

ITT, Inc.

      1,334        75,598  

Lincoln Electric Holdings, Inc.

      1,944        182,619  

Middleby Corp. (The) *

      1,121        114,880  

Nordson Corp.

      881        118,151  

Oshkosh Corp.

      1,636        123,109  

PACCAR, Inc.

      2,026        133,149  

Parker-Hannifin Corp.

      928        156,878  

Pentair plc (United Kingdom)

      1,982        88,496  

Snap-on, Inc.

      2,398        406,677  

Stanley Black & Decker, Inc.

      3,013        450,353  

Terex Corp.

      1,013        44,694  

Toro Co. (The)

      6,414        386,059  

Trinity Industries, Inc.

      1,628        62,027  

WABCO Holdings, Inc. *

      1,787        224,590  

Xylem, Inc.

      2,602        199,209  
     

 

 

  
        4,519,834  
     

 

 

  

Marine — 0.0%(a)

      

Kirby Corp. *

      599        49,986  
     

 

 

  

Media — 1.8%

      

Cinemark Holdings, Inc.

      6,676        239,802  

Discovery, Inc., Class A *

      8,995        239,087  

Interpublic Group of Cos., Inc. (The)

      8,741        197,110  

John Wiley & Sons, Inc., Class A

      1,054        66,560  

Liberty Broadband Corp., Class C *

      1,202        95,523  

Liberty Media Corp.-Liberty Formula One, Class C *

      2,229        78,572  

Liberty Media Corp.-Liberty SiriusXM, Class A *

      2,174        102,482  

Omnicom Group, Inc.

      3,568        245,585  

Sirius XM Holdings, Inc.

      50,167        352,172  

Tribune Media Co., Class A

      5,626        190,440  

Viacom, Inc., Class B

      5,849        169,914  
     

 

 

  
        1,977,247  
     

 

 

  

Metals & Mining — 2.3%

      

Alcoa Corp. *

      6,895        298,347  

Freeport-McMoRan, Inc.

      19,864        327,756  

Newmont Mining Corp.

      8,597        315,338  

Nucor Corp.

      5,213        348,906  

Reliance Steel & Aluminum Co.

      3,534        318,767  

Royal Gold, Inc.

      3,632        307,303  

Investments

    Shares      Value($)  

Metals & Mining — continued

      

Steel Dynamics, Inc.

      6,715        316,209  

United States Steel Corp.

      8,970        326,777  
     

 

 

  
        2,559,403  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.7%

 

AGNC Investment Corp.

      7,869        153,209  

Annaly Capital Management, Inc.

      12,844        137,688  

Chimera Investment Corp.

      4,461        85,205  

MFA Financial, Inc.

      14,998        120,734  

Starwood Property Trust, Inc.

      6,466        147,683  

Two Harbors Investment Corp.

      7,836        121,458  
     

 

 

  
        765,977  
     

 

 

  

Multiline Retail — 1.5%

      

Dollar General Corp.

      3,835        376,405  

Dollar Tree, Inc. *

      2,499        228,109  

Kohl’s Corp.

      4,974        367,430  

Macy’s, Inc.

      9,507        377,713  

Nordstrom, Inc.

      6,732        352,824  
     

 

 

  
        1,702,481  
     

 

 

  

Multi-Utilities — 4.2%

      

Ameren Corp.

      7,477        464,023  

CenterPoint Energy, Inc.

      16,904        481,426  

CMS Energy Corp.

      9,585        463,339  

Consolidated Edison, Inc.

      5,802        457,952  

DTE Energy Co.

      4,332        470,195  

MDU Resources Group, Inc.

      4,045        117,305  

NiSource, Inc.

      8,903        233,081  

Public Service Enterprise Group, Inc.

      8,418        434,032  

SCANA Corp.

      4,692        187,633  

Sempra Energy

      4,190        484,322  

Vectren Corp.

      6,230        445,258  

WEC Energy Group, Inc.

      7,033        466,780  
     

 

 

  
        4,705,346  
     

 

 

  

Oil, Gas & Consumable Fuels — 3.6%

      

Andeavor

      2,313        347,089  

Apache Corp.

      4,454        204,884  

Cheniere Energy, Inc. *

      4,033        256,096  

CNX Resources Corp. *

      8,180        133,170  

Continental Resources, Inc. *

      4,890        312,324  

Devon Energy Corp.

      5,324        239,633  

Diamondback Energy, Inc.

      1,640        216,398  

Energen Corp. *

      726        53,855  

Hess Corp.

      2,331        152,984  

HollyFrontier Corp.

      4,303        320,918  

Marathon Oil Corp.

      15,584        329,134  

Murphy Oil Corp.

      4,350        144,681  

Newfield Exploration Co. *

      5,747        165,054  

ONEOK, Inc.

      5,318        374,600  

PBF Energy, Inc., Class A

      7,003        327,040  

SM Energy Co.

      76        2,091  

Targa Resources Corp.

      4,207        214,851  

Williams Cos., Inc. (The)

      10,207        303,658  
     

 

 

  
        4,098,460  
     

 

 

  

Paper & Forest Products — 0.3%

      

Domtar Corp.

      6,860        330,789  
     

 

 

  

Personal Products — 0.5%

      

Coty, Inc., Class A

      1,166        15,636  
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Personal Products — continued

 

Herbalife Nutrition Ltd. *

      4,676        241,422  

Nu Skin Enterprises, Inc., Class A

      3,608        262,843  
     

 

 

  
     519,901  
     

 

 

  

Pharmaceuticals — 0.9%

 

Jazz Pharmaceuticals plc *

      1,962        339,583  

Mylan NV *

      8,565        319,560  

Perrigo Co. plc

      4,530        364,756  
     

 

 

  
     1,023,899  
     

 

 

  

Professional Services — 0.6%

 

Dun & Bradstreet Corp. (The)

      2,071        260,718  

Robert Half International, Inc.

      2,687        203,567  

TransUnion

      2,656        192,295  
     

 

 

  
     656,580  
     

 

 

  

Real Estate Management & Development — 0.2%

 

CBRE Group, Inc., Class A *

      2,327        115,885  

Jones Lang LaSalle, Inc.

      532        90,977  

Realogy Holdings Corp.

      2,814        61,542  
     

 

 

  
     268,404  
     

 

 

  

Road & Rail — 0.8%

 

JB Hunt Transport Services, Inc.

      1,757        210,664  

Kansas City Southern

      1,203        139,873  

Landstar System, Inc.

      2,411        267,983  

Old Dominion Freight Line, Inc.

      1,043        153,112  

Ryder System, Inc.

      1,065        83,390  
     

 

 

  
     855,022  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.0%

 

Analog Devices, Inc.

      3,473        333,894  

Cypress Semiconductor Corp.

      14,467        257,657  

First Solar, Inc. *

      4,883        255,625  

KLA-Tencor Corp.

      2,449        287,562  

Lam Research Corp.

      1,081        206,082  

Marvell Technology Group Ltd.

      7,863        167,561  

Maxim Integrated Products, Inc.

      5,030        307,534  

Microchip Technology, Inc.

      3,342        312,243  

ON Semiconductor Corp. *

      8,659        190,931  

Qorvo, Inc. *

      2,975        243,236  

Skyworks Solutions, Inc.

      2,077        196,443  

Teradyne, Inc.

      5,312        229,744  

Versum Materials, Inc.

      4,604        177,484  

Xilinx, Inc.

      3,605        259,812  
     

 

 

  
     3,425,808  
     

 

 

  

Software — 3.9%

 

ANSYS, Inc. *

      2,003        338,267  

CA, Inc.

      7,543        333,476  

Cadence Design Systems, Inc. *

      6,918        305,015  

CDK Global, Inc.

      5,200        324,740  

Citrix Systems, Inc. *

      3,847        423,054  

Dell Technologies, Inc., Class V *

      2,792        258,316  

Manhattan Associates, Inc. *

      3,210        154,465  

PTC, Inc. *

      4,132        379,772  

Red Hat, Inc. *

      2,251        317,909  

SS&C Technologies Holdings, Inc.

      7,362        390,701  

Synopsys, Inc. *

      5,021        449,028  

Take-Two Interactive Software, Inc. *

      1,997        225,701  

Tyler Technologies, Inc. *

      1,903        428,156  

Ultimate Software Group, Inc. (The) *

      180        49,840  
     

 

 

  
     4,378,440  
     

 

 

  

Investments

    Shares      Value($)  

Specialty Retail — 2.6%

 

AutoNation, Inc. *

      2,850        138,311  

AutoZone, Inc. *

      15        10,583  

Best Buy Co., Inc.

      4,877        365,921  

Burlington Stores, Inc. *

      207        31,632  

CarMax, Inc. *

      2,223        166,014  

Dick’s Sporting Goods, Inc.

      4,952        169,061  

Foot Locker, Inc.

      2,639        128,810  

Gap, Inc. (The)

      5,135        154,923  

Penske Automotive Group, Inc.

      2,615        136,503  

Ross Stores, Inc.

      3,125        273,219  

Tiffany & Co.

      2,549        350,640  

Tractor Supply Co.

      4,460        348,058  

Urban Outfitters, Inc. *

      7,933        352,225  

Williams-Sonoma, Inc.

      5,964        348,834  
     

 

 

  
     2,974,734  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.4%

 

NCR Corp. *

      1,514        42,271  

NetApp, Inc.

      3,173        245,971  

Western Digital Corp.

      1,786        125,288  
     

 

 

  
     413,530  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.9%

 

Carter’s, Inc.

      2,259        236,811  

Columbia Sportswear Co.

      1,614        140,386  

Hanesbrands, Inc.

      6,547        145,736  

Michael Kors Holdings Ltd. *

      5,769        384,965  

PVH Corp.

      1,783        273,726  

Ralph Lauren Corp.

      2,459        331,916  

Tapestry, Inc.

      5,057        238,286  

Under Armour, Inc., Class C *

      1,821        34,126  

VF Corp.

      4,277        393,783  
     

 

 

  
     2,179,735  
     

 

 

  

Trading Companies & Distributors — 0.6%

 

Air Lease Corp.

      2,137        93,943  

Fastenal Co.

      1,753        99,798  

MSC Industrial Direct Co., Inc., Class A

      1,180        99,863  

United Rentals, Inc. *

      519        77,227  

Watsco, Inc.

      1,062        183,206  

WW Grainger, Inc.

      420        145,555  
     

 

 

  
     699,592  
     

 

 

  

Transportation Infrastructure — 0.1%

 

Macquarie Infrastructure Corp.

      1,910        86,733  
     

 

 

  

Water Utilities — 0.7%

 

American Water Works Co., Inc.

      5,325        469,931  

Aqua America, Inc.

      9,783        361,384  
     

 

 

  
     831,315  
     

 

 

  

Wireless Telecommunication Services — 0.2%

 

Telephone & Data Systems, Inc.

      8,174        206,393  

United States Cellular Corp. *

      1,958        67,277  
     

 

 

  
     273,670  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $100,471,029)

 

      112,674,363  
  

 

 

  
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

SHORT-TERM INVESTMENTS — 0.4%

 

INVESTMENT COMPANIES — 0.4%

 

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.77% (c)
(Cost $445,223)

      445,223        445,223  
     

 

 

  

Total Investments — 100.2%
(Cost $100,916,252)

 

      113,119,586  

Liabilities in Excess of Other Assets — (0.2%)

 

      (212,994 ) 
     

 

 

  

Net Assets — 100.0%

 

      112,906,592  
     

 

 

  

 

Percentages indicated are based on net assets.

(a)      Represents less than 0.05% of net assets.
(b)      Affiliated company as defined under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)      The rate shown was the current yield as of July 31, 2018.
*      Non-income producing security.
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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”):

 

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

Total Investments in Securities (a)

    $ 113,119,586      $ —        $ —        $ 113,119,586  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.5%

 

Aerospace & Defense — 0.8%

 

AAR Corp.

      1,631        77,326  

Aerojet Rocketdyne Holdings, Inc. *

      2,224        74,949  

Aerovironment, Inc. *

      1,122        82,590  

Cubic Corp.

      1,085        73,888  

Curtiss-Wright Corp.

      384        51,084  

KLX, Inc. *

      1,426        104,169  

Mercury Systems, Inc. *

      2,414        100,736  

Moog, Inc., Class A

      2,009        150,695  

National Presto Industries, Inc.

      844        105,205  
     

 

 

  
        820,642  
     

 

 

  

Air Freight & Logistics — 0.2%

      

Atlas Air Worldwide Holdings, Inc. *

      999        66,983  

Forward Air Corp.

      1,474        94,189  

Hub Group, Inc., Class A *

      1,656        76,838  
     

 

 

  
        238,010  
     

 

 

  

Airlines — 0.3%

      

Allegiant Travel Co.

      494        61,058  

Hawaiian Holdings, Inc.

      1,786        71,619  

SkyWest, Inc.

      2,578        154,422  
     

 

 

  
        287,099  
     

 

 

  

Auto Components — 2.8%

      

American Axle & Manufacturing Holdings, Inc. *

      9,037        151,099  

Cooper Tire & Rubber Co.

      9,469        270,340  

Cooper-Standard Holdings, Inc. *

      2,330        314,084  

Dana, Inc.

      8,229        175,689  

Dorman Products, Inc. *

      4,591        342,856  

Fox Factory Holding Corp. *

      7,193        357,492  

Gentherm, Inc. *

      5,073        229,807  

LCI Industries

      4,475        411,476  

Modine Manufacturing Co. *

      2,159        37,674  

Stoneridge, Inc. *

      1,866        63,444  

Superior Industries International, Inc.

      5,769        105,861  

Tenneco, Inc.

      5,378        247,926  
     

 

 

  
        2,707,748  
     

 

 

  

Automobiles — 0.3%

      

Winnebago Industries, Inc.

      7,908        315,529  
     

 

 

  

Banks — 3.0%

      

1st Source Corp.

      434        24,547  

Ameris Bancorp

      1,213        56,526  

AmeriServ Financial, Inc.

      1,757        7,643  

BancFirst Corp.

      925        57,442  

BancorpSouth Bank

      1,472        48,429  

Bank of NT Butterfield & Son Ltd. (The) (Bermuda)

      1,493        73,844  

Banner Corp.

      1,025        64,544  

Brookline Bancorp, Inc.

      2,949        53,672  

Capital City Bank Group, Inc.

      326        7,896  

Cathay General Bancorp

      1,231        51,197  

CenterState Bank Corp.

      1,996        55,389  

Chemical Financial Corp.

      264        14,995  

Community Bank System, Inc.

      1,536        97,152  

Community Trust Bancorp, Inc.

      1,045        51,022  

CVB Financial Corp.

      1,274        30,474  

Investments

    Shares      Value($)  

Banks — continued

      

Farmers Capital Bank Corp.

      1,649        92,839  

FCB Financial Holdings, Inc., Class A *

      1,226        62,526  

First Busey Corp.

      116        3,679  

First Financial Bancorp

      1,082        32,839  

First Financial Bankshares, Inc.

      970        54,902  

First Financial Corp.

      286        14,700  

First Merchants Corp.

      351        16,567  

First Midwest Bancorp, Inc.

      1,261        33,631  

Fulton Financial Corp.

      3,172        55,034  

Glacier Bancorp, Inc.

      1,214        51,838  

Great Western Bancorp, Inc.

      1,760        73,656  

Hancock Whitney Corp.

      1,159        58,240  

Home BancShares, Inc.

      2,587        59,992  

IBERIABANK Corp.

      736        61,162  

Independent Bank Corp.

      1,367        120,843  

Investors Bancorp, Inc.

      7,825        97,969  

MB Financial, Inc.

      1,757        85,127  

NBT Bancorp, Inc.

      510        20,522  

OFG Bancorp (Puerto Rico)

      1,076        17,915  

Old National Bancorp

      3,715        72,257  

Renasant Corp.

      569        25,423  

Republic Bancorp, Inc., Class A

      811        38,822  

S&T Bancorp, Inc.

      904        40,463  

Sandy Spring Bancorp, Inc.

      335        13,102  

Trustmark Corp.

      2,129        74,919  

UMB Financial Corp.

      857        61,610  

United Community Banks, Inc.

      2,698        81,021  

Valley National Bancorp

      7,641        89,018  

Webster Financial Corp.

      9,540        615,616  

WesBanco, Inc.

      725        35,431  

Westamerica Bancorp

      829        49,757  
     

 

 

  
        2,906,192  
     

 

 

  

Beverages — 1.3%

      

Boston Beer Co., Inc. (The), Class A *

      2,408        662,080  

Coca-Cola Bottling Co. Consolidated

      1,263        183,287  

MGP Ingredients, Inc.

      2,391        196,229  

National Beverage Corp. *

      2,177        229,695  
     

 

 

  
        1,271,291  
     

 

 

  

Biotechnology — 2.1%

      

Acceleron Pharma, Inc. *

      1,671        72,789  

Achillion Pharmaceuticals, Inc. *

      6,140        15,841  

Acorda Therapeutics, Inc. *

      2,518        62,824  

Aimmune Therapeutics, Inc. *

      1,920        55,526  

AMAG Pharmaceuticals, Inc. *

      851        18,765  

Amicus Therapeutics, Inc. *

      4,246        61,779  

Arena Pharmaceuticals, Inc. *

      561        21,649  

Array BioPharma, Inc. *

      5,565        85,645  

Blueprint Medicines Corp. *

      912        54,300  

Chimerix, Inc. *

      1,280        5,722  

Dynavax Technologies Corp. *

      1,196        16,146  

Eagle Pharmaceuticals, Inc. *

      1,007        79,805  

Emergent BioSolutions, Inc. *

      2,115        114,950  

Enanta Pharmaceuticals, Inc. *

      1,588        154,862  

Five Prime Therapeutics, Inc. *

      1,074        16,003  

Genomic Health, Inc. *

      1,204        64,631  

Halozyme Therapeutics, Inc. *

      2,943        53,268  

Heron Therapeutics, Inc. *

      2,116        79,244  

ImmunoGen, Inc. *

      1,761        16,377  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Biotechnology — continued

      

Inovio Pharmaceuticals, Inc. *

      6,109        24,497  

Insys Therapeutics, Inc. *

      1,823        12,141  

Keryx Biopharmaceuticals, Inc. *

      3,678        15,595  

Lexicon Pharmaceuticals, Inc. *

      3,828        45,859  

Ligand Pharmaceuticals, Inc. *

      543        118,553  

MiMedx Group, Inc. *

      5,539        23,541  

Momenta Pharmaceuticals, Inc. *

      2,584        76,486  

Myriad Genetics, Inc. *

      2,518        110,163  

NewLink Genetics Corp. *

      1,404        5,307  

Novavax, Inc. *

      4,174        5,301  

PDL BioPharma, Inc. *

      13,325        33,446  

PTC Therapeutics, Inc. *

      1,837        69,935  

Repligen Corp. *

      2,857        138,079  

Retrophin, Inc. *

      3,140        86,790  

Sangamo Therapeutics, Inc. *

      1,524        20,803  

Spark Therapeutics, Inc. *

      1,158        88,842  

Spectrum Pharmaceuticals, Inc. *

      2,860        60,889  

Vanda Pharmaceuticals, Inc. *

      4,032        84,067  
     

 

 

  
        2,070,420  
     

 

 

  

Building Products — 1.2%

      

Advanced Drainage Systems, Inc.

      2,150        60,093  

American Woodmark Corp. *

      1,683        140,446  

Apogee Enterprises, Inc.

      2,320        117,763  

Builders FirstSource, Inc. *

      3,309        59,330  

Gibraltar Industries, Inc. *

      1,247        54,182  

Griffon Corp.

      2,976        53,270  

JELD-WEN Holding, Inc. *

      2,090        57,350  

Masonite International Corp. *

      1,041        71,048  

NCI Building Systems, Inc. *

      375        5,981  

Patrick Industries, Inc. *

      1,306        79,993  

Quanex Building Products Corp.

      2,551        45,153  

Simpson Manufacturing Co., Inc.

      1,846        134,684  

Trex Co., Inc. *

      1,756        136,512  

Universal Forest Products, Inc.

      4,310        158,780  
     

 

 

  
        1,174,585  
     

 

 

  

Chemicals — 3.8%

      

A Schulman, Inc.

      5,865        254,248  

AdvanSix, Inc. *

      2,110        85,392  

American Vanguard Corp.

      1,672        36,282  

Balchem Corp.

      2,430        243,705  

Ferro Corp. *

      8,124        182,952  

Flotek Industries, Inc. *

      168        521  

GCP Applied Technologies, Inc. *

      3,085        89,928  

HB Fuller Co.

      5,192        294,283  

Ingevity Corp. *

      2,232        222,463  

Innophos Holdings, Inc.

      1,547        69,893  

Innospec, Inc.

      2,532        204,965  

Koppers Holdings, Inc. *

      1,278        47,989  

Kraton Corp. *

      3,824        183,896  

Kronos Worldwide, Inc.

      2,634        59,897  

LSB Industries, Inc. *

      1,616        10,617  

Minerals Technologies, Inc.

      7,228        546,437  

PolyOne Corp.

      3,736        167,560  

Rayonier Advanced Materials, Inc.

      4,652        83,922  

Sensient Technologies Corp.

      6,855        475,463  

Stepan Co.

      1,844        161,498  

Tredegar Corp.

      1,838        47,880  

Trinseo SA

      2,295        171,436  

Investments

    Shares      Value($)  

Chemicals — continued

      

Tronox Ltd., Class A

      3,701        68,283  
     

 

 

  
        3,709,510  
     

 

 

  

Commercial Services & Supplies — 4.1%

      

ABM Industries, Inc.

      2,493        77,782  

ACCO Brands Corp.

      17,818        228,070  

Brady Corp., Class A

      1,311        50,146  

Brink’s Co. (The)

      1,161        92,706  

CompX International, Inc.

      802        10,185  

Covanta Holding Corp.

      5,497        98,946  

Deluxe Corp.

      1,185        69,832  

Essendant, Inc.

      1,422        23,648  

Healthcare Services Group, Inc.

      7,736        311,451  

Herman Miller, Inc.

      8,028        303,860  

HNI Corp.

      5,899        255,250  

Interface, Inc.

      18,708        419,059  

Kimball International, Inc., Class B

      2,646        42,733  

Knoll, Inc.

      8,237        185,744  

Matthews International Corp., Class A

      2,190        115,085  

McGrath RentCorp

      1,432        85,032  

Mobile Mini, Inc.

      367        15,653  

MSA Safety, Inc.

      1,231        124,183  

Multi-Color Corp.

      903        59,914  

Pitney Bowes, Inc.

      10,879        94,974  

Rollins, Inc.

      12,288        675,103  

Steelcase, Inc., Class A

      11,691        160,751  

Team, Inc. *

      1,067        23,261  

Tetra Tech, Inc.

      2,461        149,629  

UniFirst Corp.

      1,149        215,035  

Viad Corp.

      1,081        62,049  

Virco Manufacturing Corp.

      1,524        7,391  
     

 

 

  
        3,957,472  
     

 

 

  

Communications Equipment — 1.4%

      

Acacia Communications, Inc. *

      1,600        51,424  

ADTRAN, Inc.

      6,122        99,483  

Applied Optoelectronics, Inc. *

      1,139        43,772  

CalAmp Corp. *

      2,271        51,688  

Ciena Corp. *

      2,997        76,124  

Comtech Telecommunications Corp.

      2,802        94,147  

Extreme Networks, Inc. *

      6,548        55,658  

Finisar Corp. *

      2,539        42,782  

Harmonic, Inc. *

      4,672        21,491  

Infinera Corp. *

      3,032        25,226  

Inseego Corp. *

      12,383        23,280  

InterDigital, Inc.

      1,386        114,276  

Lumentum Holdings, Inc. *

      978        51,101  

NETGEAR, Inc. *

      1,381        90,939  

NetScout Systems, Inc. *

      2,016        54,029  

Oclaro, Inc. *

      6,918        58,526  

Plantronics, Inc.

      1,796        123,313  

Ribbon Communications, Inc. *

      1,031        6,995  

ViaSat, Inc. *

      1,781        125,276  

Viavi Solutions, Inc. *

      15,062        152,427  
     

 

 

  
        1,361,957  
     

 

 

  

Construction & Engineering — 0.7%

      

Aegion Corp. *

      1,920        47,578  

Argan, Inc.

      932        35,789  

Comfort Systems USA, Inc.

      2,767        153,707  

Dycom Industries, Inc. *

      846        75,429  

EMCOR Group, Inc.

      1,388        106,807  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Construction & Engineering — continued

      

Granite Construction, Inc.

      680        36,686  

KBR, Inc.

      3,483        69,590  

MasTec, Inc. *

      1,810        84,255  

Tutor Perini Corp. *

      1,857        34,355  
     

 

 

  
        644,196  
     

 

 

  

Construction Materials — 0.1%

      

Summit Materials, Inc., Class A *

      2,526        63,403  

US Concrete, Inc. *

      938        47,369  
     

 

 

  
        110,772  
     

 

 

  

Consumer Finance — 0.2%

      

Encore Capital Group, Inc. *

      1,350        48,735  

EZCORP, Inc., Class A *

      1,085        12,423  

FirstCash, Inc.

      932        75,679  

PRA Group, Inc. *

      900        35,280  

World Acceptance Corp. *

      396        39,564  
     

 

 

  
        211,681  
     

 

 

  

Containers & Packaging — 0.1%

      

Greif, Inc., Class A

      1,732        94,308  

Myers Industries, Inc.

      1,706        36,764  
     

 

 

  
        131,072  
     

 

 

  

Distributors — 0.7%

      

Core-Mark Holding Co., Inc.

      1,719        41,565  

Pool Corp.

      4,279        655,757  
     

 

 

  
        697,322  
     

 

 

  

Diversified Consumer Services — 1.0%

      

Adtalem Global Education, Inc. *

      2,869        156,504  

American Public Education, Inc. *

      2,341        103,238  

Bridgepoint Education, Inc. *

      2,566        33,640  

Carriage Services, Inc.

      1,492        37,285  

Chegg, Inc. *

      4,618        127,919  

Grand Canyon Education, Inc. *

      1,140        132,844  

Houghton Mifflin Harcourt Co. *

      618        3,924  

K12, Inc. *

      323        5,284  

Regis Corp. *

      3,734        65,196  

Sotheby’s *

      1,580        83,914  

Strategic Education, Inc.

      631        74,357  

Universal Technical Institute, Inc. *

      2,385        7,751  

Weight Watchers International, Inc. *

      1,262        112,987  
     

 

 

  
        944,843  
     

 

 

  

Diversified Telecommunication Services — 1.6%

      

Alaska Communications Systems Group, Inc. *

      6,441        10,370  

Cogent Communications Holdings, Inc.

      3,131        162,656  

IDT Corp., Class B *

      6,729        35,327  

Iridium Communications, Inc. *

      37,410        647,193  

Vonage Holdings Corp. *

      57,545        737,151  
     

 

 

  
        1,592,697  
     

 

 

  

Electric Utilities — 3.5%

      

ALLETE, Inc.

      7,466        578,839  

El Paso Electric Co.

      9,520        593,096  

IDACORP, Inc.

      6,015        566,854  

MGE Energy, Inc.

      3,432        219,648  

Otter Tail Corp.

      4,134        200,086  

PNM Resources, Inc.

      16,009        629,954  

Portland General Electric Co.

      11,576        525,087  

Spark Energy, Inc., Class A

      10,039        85,833  
     

 

 

  
        3,399,397  
     

 

 

  

Investments

    Shares      Value($)  

Electrical Equipment — 0.5%

      

AZZ, Inc.

      2,075        112,465  

Encore Wire Corp.

      1,509        73,564  

EnerSys

      1,156        94,873  

Generac Holdings, Inc. *

      1,076        57,835  

LSI Industries, Inc.

      4,533        22,166  

Sunrun, Inc. *

      8,186        115,750  

Vicor Corp. *

      780        44,889  
     

 

 

  
        521,542  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.7%

 

   

Anixter International, Inc. *

      994        72,463  

Badger Meter, Inc.

      2,157        112,487  

Belden, Inc.

      966        62,548  

Benchmark Electronics, Inc.

      1,398        33,832  

CTS Corp.

      602        21,010  

Daktronics, Inc.

      3,235        27,789  

Fabrinet (Thailand) *

      1,731        67,717  

II-VI, Inc. *

      1,034        40,533  

Insight Enterprises, Inc. *

      3,577        179,816  

Itron, Inc. *

      1,686        103,183  

Methode Electronics, Inc.

      1,415        55,539  

MTS Systems Corp.

      2,582        140,783  

Novanta, Inc. *

      1,096        68,336  

Park Electrochemical Corp.

      1,877        41,500  

PC Connection, Inc.

      1,767        59,813  

PCM, Inc. *

      64        1,414  

Plexus Corp. *

      1,657        98,459  

Rogers Corp. *

      435        50,708  

ScanSource, Inc. *

      1,695        69,919  

SYNNEX Corp.

      1,135        109,493  

Tech Data Corp. *

      1,049        87,497  

TTM Technologies, Inc. *

      2,564        44,511  

Vishay Intertechnology, Inc.

      5,985        149,625  
     

 

 

  
        1,698,975  
     

 

 

  

Energy Equipment & Services — 1.4%

      

Archrock, Inc.

      3,926        53,590  

Bristow Group, Inc. *

      2,420        33,832  

C&J Energy Services, Inc. *

      3,842        89,365  

CARBO Ceramics, Inc. *

      2,103        19,621  

Covia Holdings Corp. *

      2,856        51,494  

Diamond Offshore Drilling, Inc. *

      6,840        131,328  

Forum Energy Technologies, Inc. *

      3,197        42,040  

Geospace Technologies Corp. *

      789        11,101  

Gulf Island Fabrication, Inc.

      2,115        19,141  

Helix Energy Solutions Group, Inc. *

      12,769        127,818  

Matrix Service Co. *

      2,540        50,673  

McDermott International, Inc. *

      4,375        78,794  

Newpark Resources, Inc. *

      5,059        55,902  

Noble Corp. plc *

      19,642        114,709  

Oil States International, Inc. *

      1,721        60,063  

Parker Drilling Co. *

      203        934  

Pioneer Energy Services Corp. *

      6,551        21,618  

ProPetro Holding Corp. *

      6,810        111,956  

SEACOR Holdings, Inc. *

      3,150        166,225  

TETRA Technologies, Inc. *

      4,400        18,964  

Unit Corp. *

      3,714        92,479  

US Silica Holdings, Inc.

      1,553        41,869  
     

 

 

  
        1,393,516  
     

 

 

  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Equity Real Estate Investment Trusts (REITs) — 1.9%

 

Acadia Realty Trust

      326        8,828  

Agree Realty Corp.

      1,188        63,249  

American Assets Trust, Inc.

      2,328        89,465  

CareTrust REIT, Inc.

      2,812        47,551  

Chesapeake Lodging Trust

      372        11,911  

CorePoint Lodging, Inc. *

      1,148        28,999  

Cousins Properties, Inc.

      4,877        45,454  

DiamondRock Hospitality Co.

      2,702        32,208  

EastGroup Properties, Inc.

      672        64,055  

First Industrial Realty Trust, Inc.

      2,954        96,153  

Four Corners Property Trust, Inc.

      2,798        69,670  

Franklin Street Properties Corp.

      3,148        27,734  

GEO Group, Inc. (The)

      2,057        53,235  

Government Properties Income Trust

      1,779        26,810  

Healthcare Realty Trust, Inc.

      293        8,705  

Kite Realty Group Trust

      287        4,842  

Lexington Realty Trust

      1,589        13,967  

LTC Properties, Inc.

      3,741        157,758  

Mack-Cali Realty Corp.

      742        14,447  

National Health Investors, Inc.

      1,041        77,908  

Pennsylvania REIT

      1,449        15,388  

PotlatchDeltic Corp.

      1,142        53,389  

PS Business Parks, Inc.

      851        108,732  

Ramco-Gershenson Properties Trust

      2,884        37,925  

Retail Opportunity Investments Corp.

      387        7,318  

Rexford Industrial Realty, Inc.

      2,782        85,240  

Ryman Hospitality Properties, Inc.

      1,529        129,980  

Sabra Health Care REIT, Inc.

      2,337        50,503  

Saul Centers, Inc.

      819        43,636  

Select Income REIT

      2,012        41,950  

STAG Industrial, Inc.

      2,381        65,049  

Summit Hotel Properties, Inc.

      3,256        46,072  

Sunstone Hotel Investors, Inc.

      1,755        28,554  

Terreno Realty Corp.

      1,515        55,919  

Urban Edge Properties

      266        6,033  

Washington REIT

      1,995        60,828  

Xenia Hotels & Resorts, Inc.

      2,673        65,194  
     

 

 

  
        1,844,659  
     

 

 

  

Food & Staples Retailing — 0.6%

      

Andersons, Inc. (The)

      5,405        190,526  

Ingles Markets, Inc., Class A

      1,241        36,920  

Performance Food Group Co. *

      2,625        94,106  

PriceSmart, Inc.

      1,165        95,239  

SpartanNash Co.

      5,133        122,987  

United Natural Foods, Inc. *

      1,846        59,441  
     

 

 

  
        599,219  
     

 

 

  

Food Products — 3.2%

      

B&G Foods, Inc.

      5,857        183,910  

Calavo Growers, Inc.

      2,402        222,185  

Cal-Maine Foods, Inc. *

      4,343        195,435  

Darling Ingredients, Inc. *

      11,715        235,354  

Dean Foods Co.

      11,284        110,809  

Farmer Brothers Co. *

      470        13,560  

Fresh Del Monte Produce, Inc.

      10,834        393,274  

Hostess Brands, Inc. *

      14,016        196,364  

J&J Snack Foods Corp.

      2,610        378,346  

Lancaster Colony Corp.

      5,012        726,890  

Sanderson Farms, Inc.

      1,897        191,275  

Investments

    Shares      Value($)  

Food Products — continued

      

Seaboard Corp.

      22        80,036  

Tootsie Roll Industries, Inc.

      5,228        156,317  
     

 

 

  
        3,083,755  
     

 

 

  

Gas Utilities — 3.4%

      

New Jersey Resources Corp.

      12,258        566,932  

Northwest Natural Gas Co.

      5,294        344,904  

ONE Gas, Inc.

      7,595        585,119  

South Jersey Industries, Inc.

      20,096        681,857  

Southwest Gas Holdings, Inc.

      6,486        507,205  

Spire, Inc.

      9,271        663,804  
     

 

 

  
        3,349,821  
     

 

 

  

Health Care Equipment & Supplies — 5.4%

      

Abaxis, Inc.

      2,125        176,375  

Accuray, Inc. *

      6,080        23,408  

Anika Therapeutics, Inc. *

      1,501        60,085  

Avanos Medical, Inc. *

      2,813        155,278  

AxoGen, Inc. *

      1,579        70,937  

Cantel Medical Corp.

      1,692        156,865  

CONMED Corp.

      3,853        285,122  

Globus Medical, Inc., Class A *

      2,953        152,020  

Haemonetics Corp. *

      4,254        415,361  

ICU Medical, Inc. *

      2,100        602,280  

Inogen, Inc. *

      604        120,347  

Integer Holdings Corp. *

      2,388        170,623  

Integra LifeSciences Holdings Corp. *

      802        49,989  

Invacare Corp.

      6,676        119,167  

iRhythm Technologies, Inc. *

      1,488        112,418  

LivaNova plc *

      1,481        163,102  

Meridian Bioscience, Inc.

      4,360        68,888  

Merit Medical Systems, Inc. *

      4,215        228,874  

Natus Medical, Inc. *

      5,212        190,238  

Neogen Corp. *

      2,854        235,170  

Novocure Ltd. *

      2,365        80,410  

NuVasive, Inc. *

      2,011        116,739  

NxStage Medical, Inc. *

      2,000        56,140  

OraSure Technologies, Inc. *

      4,454        74,783  

Orthofix International NV *

      1,354        81,903  

Penumbra, Inc. *

      301        42,817  

Quidel Corp. *

      4,026        273,204  

Surmodics, Inc. *

      1,893        111,308  

Tactile Systems Technology, Inc. *

      1,296        62,299  

Varex Imaging Corp. *

      2,643        101,068  

West Pharmaceutical Services, Inc.

      6,577        721,168  
     

 

 

  
        5,278,386  
     

 

 

  

Health Care Providers & Services — 1.7%

      

Amedisys, Inc. *

      969        90,728  

AMN Healthcare Services, Inc. *

      1,764        106,722  

BioScrip, Inc. *

      1,415        3,750  

BioTelemetry, Inc. *

      908        47,670  

Chemed Corp.

      930        293,908  

Diplomat Pharmacy, Inc. *

      1,627        33,809  

Encompass Health Corp.

      829        62,697  

Genesis Healthcare, Inc. *

      3,447        5,205  

LHC Group, Inc. *

      2,771        238,528  

LifePoint Health, Inc. *

      2,093        135,626  

Magellan Health, Inc. *

      2,348        170,817  

Owens & Minor, Inc.

      4,500        84,915  

Patterson Cos., Inc.

      4,751        116,495  

Select Medical Holdings Corp. *

      4,458        92,726  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Health Care Providers & Services — continued

      

Tivity Health, Inc. *

      5,749        193,741  
     

 

 

  
        1,677,337  
     

 

 

  

Health Care Technology — 1.0%

      

Allscripts Healthcare Solutions, Inc. *

      7,625        93,330  

Computer Programs & Systems, Inc.

      1,173        36,597  

HMS Holdings Corp. *

      3,174        75,954  

Medidata Solutions, Inc. *

      1,633        121,348  

Omnicell, Inc. *

      6,106        363,307  

Quality Systems, Inc. *

      2,090        42,072  

Tabula Rasa HealthCare, Inc. *

      1,145        66,685  

Teladoc, Inc. *

      2,052        122,812  
     

 

 

  
        922,105  
     

 

 

  

Hotels, Restaurants & Leisure — 3.5%

      

Belmond Ltd., Class A (United Kingdom) *

      5,966        67,117  

Biglari Holdings, Inc., Class A *

      99        96,765  

BJ’s Restaurants, Inc.

      1,816        114,862  

Bloomin’ Brands, Inc.

      3,813        73,743  

Boyd Gaming Corp.

      4,014        149,923  

Cheesecake Factory, Inc. (The)

      3,284        184,002  

Churchill Downs, Inc.

      628        179,577  

Chuy’s Holdings, Inc. *

      1,638        51,843  

Cracker Barrel Old Country Store, Inc.

      927        135,801  

Dave & Buster’s Entertainment, Inc. *

      1,633        80,262  

Dine Brands Global, Inc.

      2,969        210,888  

Dover Motorsports, Inc.

      3,554        7,108  

El Pollo Loco Holdings, Inc. *

      4,604        53,406  

Eldorado Resorts, Inc. *

      3,053        130,821  

Fiesta Restaurant Group, Inc. *

      1,279        37,155  

ILG, Inc.

      5,713        196,127  

Jack in the Box, Inc.

      1,093        92,074  

Luby’s, Inc. *

      2,774        6,796  

Marriott Vacations Worldwide Corp.

      1,372        163,419  

Noodles & Co. *

      1,875        19,594  

OBH Inc. *

      83        15,723  

Papa John’s International, Inc.

      1,235        51,821  

Penn National Gaming, Inc. *

      4,624        148,199  

Pinnacle Entertainment, Inc. *

      2,741        91,111  

Planet Fitness, Inc., Class A *

      2,853        135,575  

Red Robin Gourmet Burgers, Inc. *

      3,933        186,031  

Red Rock Resorts, Inc., Class A

      3,437        121,464  

Ruth’s Hospitality Group, Inc.

      2,668        77,239  

Scientific Games Corp. *

      2,084        100,136  

Shake Shack, Inc., Class A *

      2,057        128,213  

Texas Roadhouse, Inc.

      2,987        187,703  

Wingstop, Inc.

      2,210        109,063  
     

 

 

  
        3,403,561  
     

 

 

  

Household Durables — 4.2%

      

Bassett Furniture Industries, Inc.

      2,186        54,650  

Beazer Homes USA, Inc. *

      10,902        139,655  

Ethan Allen Interiors, Inc.

      10,126        227,835  

Hamilton Beach Brands Holding Co., Class A

      3,038        77,165  

Helen of Troy Ltd. *

      6,781        776,764  

Installed Building Products, Inc. *

      1,100        60,060  

iRobot Corp. *

      1,945        154,141  

KB Home

      7,878        187,102  

La-Z-Boy, Inc.

      10,484        319,762  

LGI Homes, Inc. *

      4,402        227,539  

Investments

    Shares      Value($)  

Household Durables — continued

      

M/I Homes, Inc. *

      8,166        211,173  

MDC Holdings, Inc.

      10,548        306,314  

Meritage Homes Corp. *

      5,230        225,674  

Skyline Champion Corp.

      3,340        85,771  

Taylor Morrison Home Corp., Class A *

      9,064        177,020  

TopBuild Corp. *

      2,050        152,274  

TRI Pointe Group, Inc. *

      15,003        212,593  

Universal Electronics, Inc. *

      3,099        108,310  

William Lyon Homes, Class A *

      6,140        134,036  

ZAGG, Inc. *

      17,123        255,133  
     

 

 

  
        4,092,971  
     

 

 

  

Household Products — 1.0%

      

Central Garden & Pet Co. *

      4,066        175,529  

Central Garden & Pet Co., Class A *

      7,455        299,095  

WD-40 Co.

      2,939        470,681  
     

 

 

  
        945,305  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.8%

 

Atlantica Yield plc (Spain)

      1,671        34,339  

NRG Yield, Inc., Class A

      2,294        42,393  

Ormat Technologies, Inc.

      7,385        400,636  

Pattern Energy Group, Inc., Class A

      6,998        129,953  

TerraForm Power, Inc., Class A

      12,244        125,256  
     

 

 

  
        732,577  
     

 

 

  

Insurance — 1.0%

      

Baldwin & Lyons, Inc., Class B *

      287        6,702  

CNO Financial Group, Inc.

      3,187        64,855  

Crawford & Co., Class B

      384        3,272  

Employers Holdings, Inc.

      1,767        82,077  

FBL Financial Group, Inc., Class A

      862        70,425  

Horace Mann Educators Corp.

      1,426        62,316  

National Western Life Group, Inc., Class A

      120        38,880  

Navigators Group, Inc. (The)

      1,594        96,198  

Primerica, Inc.

      480        55,104  

RLI Corp.

      1,091        81,563  

Safety Insurance Group, Inc.

      804        73,646  

Selective Insurance Group, Inc.

      3,394        202,961  

State Auto Financial Corp.

      1,549        50,095  

Stewart Information Services Corp.

      1,261        57,300  
     

 

 

  
        945,394  
     

 

 

  

Internet & Direct Marketing Retail — 0.6%

      

Lands’ End, Inc. *

      1,753        42,510  

Nutrisystem, Inc.

      10,529        421,160  

PetMed Express, Inc.

      1,612        59,854  

Shutterfly, Inc. *

      1,122        92,296  
     

 

 

  
        615,820  
     

 

 

  

Internet Software & Services — 1.8%

      

Alarm.com Holdings, Inc. *

      1,546        66,277  

Blucora, Inc. *

      2,240        77,840  

Cars.com, Inc. *

      4,416        125,282  

Envestnet, Inc. *

      1,509        88,427  

Etsy, Inc. *

      3,336        136,309  

Five9, Inc. *

      2,865        91,393  

Gogo, Inc. *

      5,686        20,356  

Hortonworks, Inc. *

      3,779        65,830  

j2 Global, Inc.

      1,519        128,872  

Liquidity Services, Inc. *

      984        6,937  

LivePerson, Inc. *

      4,276        99,203  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Internet Software & Services — continued

      

Meet Group, Inc. (The) *

      12,667        51,428  

New Relic, Inc. *

      1,541        150,556  

Shutterstock, Inc. *

      2,536        116,834  

Stamps.com, Inc. *

      427        111,447  

Trade Desk, Inc. (The), Class A *

      1,052        88,705  

Travelzoo *

      382        4,966  

Web.com Group, Inc. *

      4,540        114,181  

XO Group, Inc. *

      3,432        96,714  

Yelp, Inc. *

      2,363        87,147  
     

 

 

  
        1,728,704  
     

 

 

  

IT Services — 2.1%

      

Acxiom Corp. *

      4,516        183,079  

CACI International, Inc., Class A *

      1,181        206,911  

Cardtronics plc, Class A *

      1,640        41,525  

Computer Task Group, Inc. *

      2,325        13,997  

Convergys Corp.

      4,040        99,384  

CSG Systems International, Inc.

      2,913        118,472  

EVERTEC, Inc. (Puerto Rico)

      2,759        64,285  

ExlService Holdings, Inc. *

      1,107        66,021  

ManTech International Corp., Class A

      712        42,613  

MAXIMUS, Inc.

      8,803        570,522  

Perficient, Inc. *

      2,491        65,563  

Science Applications International Corp.

      1,774        149,672  

Sykes Enterprises, Inc. *

      894        26,516  

Syntel, Inc. *

      2,463        99,973  

Travelport Worldwide Ltd.

      6,713        126,876  

TTEC Holdings, Inc.

      2,262        72,723  

Unisys Corp. *

      2,133        27,409  

Virtusa Corp. *

      1,876        99,109  
     

 

 

  
        2,074,650  
     

 

 

  

Leisure Products — 0.7%

      

American Outdoor Brands Corp. *

      2,074        19,641  

Callaway Golf Co.

      22,843        439,499  

JAKKS Pacific, Inc. *

      9,230        21,229  

Nautilus, Inc. *

      12,373        176,315  

Sturm Ruger & Co., Inc.

      612        33,171  
     

 

 

  
        689,855  
     

 

 

  

Life Sciences Tools & Services — 0.4%

      

Cambrex Corp. *

      2,366        147,875  

Fluidigm Corp. *

      1,113        7,123  

Luminex Corp.

      5,122        173,431  

Syneos Health, Inc. *

      1,423        70,118  
     

 

 

  
        398,547  
     

 

 

  

Machinery — 3.1%

      

Actuant Corp., Class A

      1,606        45,851  

Albany International Corp., Class A

      2,008        132,829  

Astec Industries, Inc.

      675        33,163  

Barnes Group, Inc.

      1,416        96,076  

Briggs & Stratton Corp.

      14,643        259,035  

Chart Industries, Inc. *

      2,946        230,053  

CIRCOR International, Inc.

      838        37,165  

Columbus McKinnon Corp.

      3,971        163,446  

EnPro Industries, Inc.

      1,349        103,050  

ESCO Technologies, Inc.

      928        57,768  

Federal Signal Corp.

      1,915        45,481  

Franklin Electric Co., Inc.

      1,787        88,367  

Greenbrier Cos., Inc. (The)

      835        47,303  

Hillenbrand, Inc.

      4,945        248,239  

Investments

    Shares      Value($)  

Machinery — continued

      

John Bean Technologies Corp.

      1,013        112,038  

Kennametal, Inc.

      1,593        62,063  

LB Foster Co., Class A *

      473        11,612  

Lindsay Corp.

      402        37,844  

LS Starrett Co. (The), Class A

      1,113        7,123  

Manitowoc Co., Inc. (The) *

      995        26,358  

Meritor, Inc. *

      1,928        39,717  

Mueller Industries, Inc.

      2,815        93,205  

Mueller Water Products, Inc., Class A

      6,188        76,422  

Proto Labs, Inc. *

      737        91,867  

RBC Bearings, Inc. *

      1,170        170,095  

Rexnord Corp. *

      2,925        88,452  

Standex International Corp.

      654        67,787  

Tennant Co.

      1,153        93,797  

Titan International, Inc.

      8,751        92,673  

TriMas Corp. *

      1,874        55,470  

Wabash National Corp.

      3,904        77,299  

Watts Water Technologies, Inc., Class A

      1,467        125,502  

Woodward, Inc.

      1,096        91,198  
     

 

 

  
        3,008,348  
     

 

 

  

Marine — 0.1%

      

Matson, Inc.

      1,426        51,336  
     

 

 

  

Media — 1.7%

      

AMC Entertainment Holdings, Inc., Class A

      2,343        38,191  

Entercom Communications Corp., Class A

      5,957        44,975  

EW Scripps Co. (The), Class A

      2,957        38,737  

Gannett Co., Inc.

      7,365        77,848  

Gray Television, Inc. *

      4,596        71,008  

Liberty Media Corp.-Liberty Formula One, Class A *

      4,575        153,308  

Loral Space & Communications, Inc. *

      1,608        63,516  

Marcus Corp. (The)

      979        37,741  

MDC Partners, Inc., Class A *

      2,674        13,638  

Meredith Corp.

      2,002        106,406  

MSG Networks, Inc., Class A *

      2,982        70,226  

New York Times Co. (The), Class A

      7,416        183,917  

Nexstar Media Group, Inc., Class A

      1,636        121,800  

Scholastic Corp.

      2,530        105,653  

Sinclair Broadcast Group, Inc., Class A

      2,178        56,192  

TEGNA, Inc.

      14,793        163,167  

World Wrestling Entertainment, Inc., Class A

      3,494        276,410  
     

 

 

  
        1,622,733  
     

 

 

  

Metals & Mining — 1.6%

      

AK Steel Holding Corp. *

      7,142        33,068  

Allegheny Technologies, Inc. *

      4,234        117,705  

Carpenter Technology Corp.

      2,485        136,104  

Century Aluminum Co. *

      4,110        52,649  

Coeur Mining, Inc. *

      2,767        19,369  

Commercial Metals Co.

      6,488        144,942  

Compass Minerals International, Inc.

      3,438        233,268  

Haynes International, Inc.

      2,118        89,930  

Hecla Mining Co.

      19,775        63,280  

Kaiser Aluminum Corp.

      2,526        281,952  

Materion Corp.

      1,100        68,970  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Metals & Mining — continued

      

Olympic Steel, Inc.

      1,204        26,620  

SunCoke Energy, Inc. *

      5,545        63,269  

Warrior Met Coal, Inc.

      3,709        95,952  

Worthington Industries, Inc.

      2,872        134,467  
     

 

 

  
        1,561,545  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.5%

 

AG Mortgage Investment Trust, Inc.

      1,777        34,705  

ARMOUR Residential REIT, Inc.

      3,154        74,971  

Capstead Mortgage Corp.

      10,927        91,459  

CYS Investments, Inc.

      10,356        75,702  

Exantas Capital Corp.

      1,972        20,686  

Ladder Capital Corp.

      4,124        65,943  

New York Mortgage Trust, Inc.

      8,469        52,592  

Redwood Trust, Inc.

      3,016        50,699  

Western Asset Mortgage Capital Corp.

      4,179        46,262  
     

 

 

  
        513,019  
     

 

 

  

Multiline Retail — 0.3%

      

Big Lots, Inc.

      2,197        95,416  

Dillard’s, Inc., Class A

      916        73,527  

Fred’s, Inc., Class A

      1,591        3,468  

Ollie’s Bargain Outlet Holdings, Inc. *

      2,039        141,711  
     

 

 

  
        314,122  
     

 

 

  

Multi-Utilities — 1.7%

      

Avista Corp.

      10,412        526,639  

Black Hills Corp.

      11,186        670,824  

NorthWestern Corp.

      8,063        478,378  
     

 

 

  
        1,675,841  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.4%

      

Abraxas Petroleum Corp. *

      10,850        28,210  

Arch Coal, Inc., Class A

      1,515        128,154  

Callon Petroleum Co. *

      5,762        61,999  

Carrizo Oil & Gas, Inc. *

      3,006        84,709  

Contango Oil & Gas Co. *

      1,005        5,638  

CVR Energy, Inc.

      4,136        162,503  

Delek US Holdings, Inc.

      2,359        125,782  

Denbury Resources, Inc. *

      15,054        67,894  

DHT Holdings, Inc.

      7,766        33,005  

Frontline Ltd. (Norway) *

      1,201        6,137  

GasLog Ltd. (Monaco)

      2,339        39,412  

Golar LNG Ltd. (Bermuda)

      3,530        91,815  

Green Plains, Inc.

      6,301        104,597  

Gulfport Energy Corp. *

      8,505        97,893  

Halcon Resources Corp. *

      8,776        34,314  

Laredo Petroleum, Inc. *

      9,930        92,548  

Matador Resources Co. *

      4,476        149,946  

NACCO Industries, Inc., Class A

      1,196        39,468  

Nordic American Tankers Ltd.

      1,114        2,506  

Oasis Petroleum, Inc. *

      3,264        39,886  

Pacific Ethanol, Inc. *

      4,524        13,233  

Peabody Energy Corp.

      3,880        164,861  

REX American Resources Corp. *

      1,770        136,290  

Sanchez Energy Corp. *

      3,043        13,541  

Scorpio Tankers, Inc. (Monaco)

      5,134        11,038  

SemGroup Corp., Class A

      4,612        115,992  

Ship Finance International Ltd. (Norway)

      6,774        98,562  

Southwestern Energy Co. *

      19,169        98,529  

SRC Energy, Inc. *

      8,873        100,442  

Investments

    Shares      Value($)  

Oil, Gas & Consumable Fuels — continued

      

Teekay Tankers Ltd., Class A (Bermuda)

      10,521        9,979  

Ultra Petroleum Corp. *

      8,740        15,470  

W&T Offshore, Inc. *

      7,105        49,309  

WildHorse Resource Development Corp. *

      3,542        77,676  
     

 

 

  
        2,301,338  
     

 

 

  

Paper & Forest Products — 0.8%

      

Boise Cascade Co.

      2,078        89,873  

Clearwater Paper Corp. *

      1,797        40,612  

KapStone Paper and Packaging Corp.

      3,886        135,155  

Louisiana-Pacific Corp.

      3,203        86,225  

PH Glatfelter Co.

      6,870        112,462  

Schweitzer-Mauduit International, Inc.

      6,344        263,213  
     

 

 

  
        727,540  
     

 

 

  

Personal Products — 1.5%

      

Medifast, Inc.

      4,276        734,104  

Nature’s Sunshine Products, Inc. *

      598        4,724  

USANA Health Sciences, Inc. *

      5,228        691,403  
     

 

 

  
        1,430,231  
     

 

 

  

Pharmaceuticals — 0.8%

      

Aerie Pharmaceuticals, Inc. *

      1,039        70,184  

Amneal Pharmaceuticals, Inc. *

      1,946        37,305  

ANI Pharmaceuticals, Inc. *

      990        66,280  

Corcept Therapeutics, Inc. *

      3,687        48,410  

Depomed, Inc. *

      1,688        14,956  

Innoviva, Inc. *

      5,490        77,683  

Intersect ENT, Inc. *

      1,597        51,663  

Lannett Co., Inc. *

      1,455        18,551  

Mallinckrodt plc *

      3,610        84,655  

Melinta Therapeutics, Inc. *

      323        1,712  

Pacira Pharmaceuticals, Inc. *

      601        24,160  

Paratek Pharmaceuticals, Inc. *

      1,882        19,008  

Prestige Brands Holdings, Inc. *

      3,146        112,407  

Supernus Pharmaceuticals, Inc. *

      1,422        75,295  

Theravance Biopharma, Inc. *

      1,845        44,188  
     

 

 

  
        746,457  
     

 

 

  

Professional Services — 1.1%

      

Acacia Research Corp. *

      672        2,554  

ASGN, Inc. *

      1,480        133,644  

CRA International, Inc.

      1,338        72,413  

Forrester Research, Inc.

      2,058        95,182  

FTI Consulting, Inc. *

      1,453        114,729  

Heidrick & Struggles International, Inc.

      660        26,994  

Huron Consulting Group, Inc. *

      806        35,182  

Insperity, Inc.

      2,093        199,044  

Kelly Services, Inc., Class A

      1,039        25,237  

Korn/Ferry International

      944        62,285  

Navigant Consulting, Inc. *

      3,277        71,308  

Resources Connection, Inc.

      1,568        24,931  

TriNet Group, Inc. *

      2,441        131,448  

TrueBlue, Inc. *

      584        15,797  

WageWorks, Inc. *

      261        13,781  
     

 

 

  
        1,024,529  
     

 

 

  

Real Estate Management & Development — 0.1%

      

Kennedy-Wilson Holdings, Inc.

      2,113        44,162  

Rafael Holdings, Inc., Class B *

      3,550        32,305  
     

 

 

  
        76,467  
     

 

 

  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Road & Rail — 1.3%

 

AMERCO

      1,942        732,289  

ArcBest Corp.

      1,893        88,119  

Avis Budget Group, Inc. *

      1,868        65,100  

Covenant Transportation Group, Inc., Class A *

      2,370        68,683  

Heartland Express, Inc.

      3,159        60,621  

Saia, Inc. *

      1,162        87,557  

Schneider National, Inc., Class B

      838        21,905  

Werner Enterprises, Inc.

      3,147        117,226  
     

 

 

  
        1,241,500  
     

 

 

  

Semiconductors & Semiconductor Equipment — 2.4%

 

   

Advanced Energy Industries, Inc. *

      1,528        93,575  

Amkor Technology, Inc. *

      7,237        62,817  

Axcelis Technologies, Inc. *

      2,220        48,840  

Brooks Automation, Inc.

      2,728        83,422  

Cabot Microelectronics Corp.

      2,050        246,922  

CEVA, Inc. *

      1,737        52,284  

Cirrus Logic, Inc. *

      1,160        50,182  

Cohu, Inc.

      506        12,741  

Cree, Inc. *

      2,593        122,260  

Diodes, Inc. *

      2,816        104,643  

DSP Group, Inc. *

      696        8,700  

Entegris, Inc.

      3,679        129,317  

Integrated Device Technology, Inc. *

      2,981        102,636  

Lattice Semiconductor Corp. *

      10,015        77,015  

MaxLinear, Inc. *

      3,828        66,263  

Monolithic Power Systems, Inc.

      567        75,230  

Nanometrics, Inc. *

      3,701        139,380  

NeoPhotonics Corp. *

      4,291        27,334  

Photronics, Inc. *

      4,157        37,413  

Power Integrations, Inc.

      1,500        107,250  

Rambus, Inc. *

      5,800        71,688  

Semtech Corp. *

      3,128        148,424  

Sigma Designs, Inc. *

      45        272  

Silicon Laboratories, Inc. *

      1,262        120,205  

Synaptics, Inc. *

      591        29,615  

Ultra Clean Holdings, Inc. *

      2,389        32,060  

Veeco Instruments, Inc. *

      1,040        15,236  

Xcerra Corp. *

      10,559        150,360  

Xperi Corp.

      4,467        74,375  
     

 

 

  
        2,290,459  
     

 

 

  

Software — 2.9%

      

8x8, Inc. *

      10,295        205,385  

ACI Worldwide, Inc. *

      8,687        224,472  

Agilysys, Inc. *

      1,901        31,271  

Aspen Technology, Inc. *

      1,190        113,990  

Blackbaud, Inc.

      1,282        127,956  

Bottomline Technologies DE, Inc. *

      1,800        97,020  

CommVault Systems, Inc. *

      2,438        158,226  

Ebix, Inc.

      2,201        174,649  

Ellie Mae, Inc. *

      1,007        99,915  

Everbridge, Inc. *

      1,509        67,875  

Fair Isaac Corp. *

      1,078        217,174  

Globant SA (Argentina) *

      620        34,373  

HubSpot, Inc. *

      788        97,791  

MicroStrategy, Inc., Class A *

      726        94,489  

OneSpan, Inc. *

      2,907        47,384  

Paylocity Holding Corp. *

      1,345        78,010  

Investments

    Shares      Value($)  

Software — continued

      

Pegasystems, Inc.

      3,211        178,532  

Progress Software Corp.

      4,710        173,281  

Qualys, Inc. *

      3,608        314,257  

RealNetworks, Inc. *

      3,438        12,342  

Rosetta Stone, Inc. *

      3,169        46,584  

TiVo Corp.

      3,551        43,145  

Varonis Systems, Inc. *

      1,392        83,207  

Verint Systems, Inc. *

      2,475        111,128  
     

 

 

  
        2,832,456  
     

 

 

  

Specialty Retail — 3.8%

      

Aaron’s, Inc.

      2,254        97,621  

Abercrombie & Fitch Co., Class A

      2,277        53,942  

American Eagle Outfitters, Inc.

      5,869        147,781  

Asbury Automotive Group, Inc. *

      1,427        100,318  

At Home Group, Inc. *

      1,894        68,695  

Barnes & Noble, Inc.

      4,743        28,932  

Bed Bath & Beyond, Inc.

      5,171        96,853  

Boot Barn Holdings, Inc. *

      2,979        69,679  

Buckle, Inc. (The)

      4,870        117,124  

Build-A-Bear Workshop, Inc. *

      2,621        21,230  

Caleres, Inc.

      3,291        110,216  

Camping World Holdings, Inc., Class A

      4,811        106,660  

Cato Corp. (The), Class A

      2,744        68,326  

Chico’s FAS, Inc.

      7,070        61,509  

Children’s Place, Inc. (The)

      790        97,091  

Citi Trends, Inc.

      2,393        67,985  

Conn’s, Inc. *

      1,129        38,273  

DSW, Inc., Class A

      5,453        149,630  

Express, Inc. *

      2,945        28,360  

Five Below, Inc. *

      2,016        195,875  

Francesca’s Holdings Corp. *

      4,927        40,106  

GameStop Corp., Class A

      9,188        132,399  

GNC Holdings, Inc., Class A *

      2,775        8,825  

Group 1 Automotive, Inc.

      1,462        102,325  

Guess?, Inc.

      4,459        101,041  

Haverty Furniture Cos., Inc.

      2,556        50,609  

Hibbett Sports, Inc. *

      2,361        54,185  

Kirkland’s, Inc. *

      2,492        28,359  

Lithia Motors, Inc., Class A

      856        76,227  

Lumber Liquidators Holdings, Inc. *

      864        16,710  

Monro, Inc.

      4,074        274,791  

Murphy USA, Inc. *

      1,978        156,737  

Office Depot, Inc.

      12,343        30,981  

Pier 1 Imports, Inc.

      4,359        9,415  

Rent-A-Center, Inc. *

      2,648        39,296  

RH *

      473        64,262  

Shoe Carnival, Inc.

      4,385        137,558  

Signet Jewelers Ltd.

      1,856        107,165  

Sleep Number Corp. *

      4,190        119,373  

Sonic Automotive, Inc., Class A

      2,327        47,355  

Tailored Brands, Inc.

      1,890        38,102  

Tile Shop Holdings, Inc.

      2,701        22,418  

Zumiez, Inc. *

      13,622        308,538  
     

 

 

  
        3,692,877  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.3%

 

   

Cray, Inc. *

      2,120        52,894  

Diebold Nixdorf, Inc.

      2,986        33,891  

Electronics For Imaging, Inc. *

      1,891        64,521  
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Technology Hardware, Storage & Peripherals — continued

 

   

Stratasys Ltd. *

      3,534        68,630  

Super Micro Computer, Inc. *

      2,149        47,493  
     

 

 

  
        267,429  
     

 

 

  

Textiles, Apparel & Luxury Goods — 2.6%

      

Columbia Sportswear Co.

      7,021        610,687  

Deckers Outdoor Corp. *

      2,284        257,704  

G-III Apparel Group Ltd. *

      3,945        180,286  

Movado Group, Inc.

      2,488        123,902  

Oxford Industries, Inc.

      2,763        254,528  

Steven Madden Ltd.

      11,574        625,575  

Vera Bradley, Inc. *

      17,874        237,545  

Wolverine World Wide, Inc.

      8,042        284,526  
     

 

 

  
        2,574,753  
     

 

 

  

Thrifts & Mortgage Finance — 0.7%

      

BofI Holding, Inc. *

      1,814        70,782  

Capitol Federal Financial, Inc.

      5,281        69,023  

Dime Community Bancshares, Inc.

      3,562        61,266  

Kearny Financial Corp.

      4,369        62,695  

MGIC Investment Corp. *

      5,472        68,291  

Northwest Bancshares, Inc.

      4,083        73,576  

OceanFirst Financial Corp.

      3,424        99,878  

Oritani Financial Corp.

      3,160        50,560  

PHH Corp. *

      2,309        25,099  

TrustCo Bank Corp.

      3,614        32,887  

Washington Federal, Inc.

      2,746        92,128  
     

 

 

  
        706,185  
     

 

 

  

Tobacco — 1.0%

      

Universal Corp.

      5,696        393,594  

Vector Group Ltd.

      33,403        616,285  
     

 

 

  
        1,009,879  
     

 

 

  

Trading Companies & Distributors — 1.4%

      

Aircastle Ltd.

      3,890        80,640  

Applied Industrial Technologies, Inc.

      4,660        347,869  

Beacon Roofing Supply, Inc. *

      2,913        122,579  

DXP Enterprises, Inc. *

      544        22,489  

GATX Corp.

      1,642        135,202  

GMS, Inc. *

      1,908        50,066  

Kaman Corp.

      2,200        145,684  

Lawson Products, Inc. *

      823        22,262  

MRC Global, Inc. *

      6,363        144,122  

SiteOne Landscape Supply, Inc. *

      2,295        204,622  

Systemax, Inc.

      959        42,887  

Textainer Group Holdings Ltd. *

      1,384        22,006  

Titan Machinery, Inc. *

      2,866        43,391  
     

 

 

  
        1,383,819  
     

 

 

  

Water Utilities — 1.3%

      

American States Water Co.

      10,449        628,194  

California Water Service Group

      8,810        362,091  

Connecticut Water Service, Inc.

      1,755        113,057  

SJW Group

      2,426        156,914  
     

 

 

  
        1,260,256  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $86,095,599)

 

      96,862,253  
     

 

 

  

Investments

    No. of
Rights		      Value($)  

RIGHTS — 0.0%(a)

      

Media — 0.0%(a)

      

Media General, Inc., CVR *‡
(Cost $–)

      1,533        75  
     

 

 

  

Investments

    Shares         

SHORT-TERM INVESTMENTS — 0.4%

 

INVESTMENT COMPANIES — 0.4%

 

JPMorgan U.S. Government Money Market
Fund Class Institutional Shares, 1.77% (b)(c)
(Cost $368,103)

      368,103        368,103  
     

 

 

  

Total Investments — 99.9%
(Cost $86,463,702)

         97,230,431  

Other Assets Less Liabilities — 0.1%

         53,388  
     

 

 

  

Net Assets — 100.0%

         97,283,819  
     

 

 

  

 

Percentages indicated are based on net assets.

 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Abbreviations
CVR       Contingent Value Rights
(a)       Amount rounds to less than 0.05% of net assets.
(b)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.
‡       Value determined using significant unobservable inputs.

            

 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of 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.

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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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 Diversified Return U.S. Small Cap Equity ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

            

Common Stocks

            

Other Common Stocks

    $ 96,862,253      $ —        $ —        $ 96,862,253  

Rights

            

Media

      —          —          75        75  

Short-Term Investments

            

Investment Companies

      368,103        —          —          368,103  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 97,230,356      $ —        $ 75      $ 97,230,431  
  

 

 

     

 

 

     

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan U.S. Dividend ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.8%

 

Aerospace & Defense — 0.6%

 

Lockheed Martin Corp.

      481        156,854  
     

 

 

  

Air Freight & Logistics — 0.5%

 

United Parcel Service, Inc., Class B

      1,042        124,925  
     

 

 

  

Airlines — 0.4%

 

Copa Holdings SA, Class A (Panama)

      986        95,977  
     

 

 

  

Automobiles — 1.5%

 

Ford Motor Co.

      13,642        136,966  

General Motors Co.

      3,824        144,968  

Harley-Davidson, Inc.

      3,260        139,821  
     

 

 

  
        421,755  
     

 

 

  

Banks — 0.6%

 

PacWest Bancorp

      1,261        63,328  

People’s United Financial, Inc.

      6,084        110,911  
     

 

 

  
        174,239  
     

 

 

  

Beverages — 1.5%

 

Brown-Forman Corp., Class B

      182        9,686  

Coca-Cola Co. (The)

      3,934        183,442  

Molson Coors Brewing Co., Class B

      704        47,168  

PepsiCo, Inc.

      1,412        162,380  
     

 

 

  
        402,676  
     

 

 

  

Biotechnology — 1.8%

 

AbbVie, Inc.

      1,569        144,709  

Amgen, Inc.

      889        174,733  

Gilead Sciences, Inc.

      2,082        162,042  
     

 

 

  
        481,484  
     

 

 

  

Chemicals — 5.5%

 

Air Products & Chemicals, Inc.

      1,005        164,991  

CF Industries Holdings, Inc.

      3,880        172,350  

Eastman Chemical Co.

      1,544        159,989  

Huntsman Corp.

      3,588        120,306  

LyondellBasell Industries NV, Class A

      1,447        160,313  

Mosaic Co. (The)

      5,849        176,113  

Olin Corp.

      4,140        122,171  

Praxair, Inc.

      1,041        174,368  

RPM International, Inc.

      2,705        174,121  

Scotts Miracle-Gro Co. (The)

      1,037        82,369  
     

 

 

  
        1,507,091  
     

 

 

  

Commercial Services & Supplies — 0.6%

 

Waste Management, Inc.

      1,894        170,460  
     

 

 

  

Containers & Packaging — 2.2%

 

Bemis Co., Inc.

      558        25,618  

International Paper Co.

      2,717        145,984  

Packaging Corp. of America

      1,344        151,738  

Sonoco Products Co.

      2,947        164,501  

WestRock Co.

      2,159        125,179  
     

 

 

  
        613,020  
     

 

 

  

Distributors — 0.6%

 

Genuine Parts Co.

      1,703        165,719  
     

 

 

  
     

Investments

    Shares      Value($)  

Diversified Consumer Services — 0.4%

 

H&R Block, Inc.

      4,550        114,478  
     

 

 

  

Diversified Telecommunication Services — 2.0%

 

AT&T, Inc.

      5,202        166,308  

CenturyLink, Inc.

      8,848        166,077  

Verizon Communications, Inc.

      3,585        185,129  

Zayo Group Holdings, Inc. *

      797        29,561  
     

 

 

  
        547,075  
     

 

 

  

Electric Utilities — 9.7%

 

Alliant Energy Corp.

      3,517        151,126  

American Electric Power Co., Inc.

      2,172        154,516  

Avangrid, Inc.

      2,143        107,279  

Duke Energy Corp.

      2,115        172,626  

Edison International

      2,224        148,185  

Entergy Corp.

      1,991        161,828  

Evergy, Inc.

      2,741        153,743  

Eversource Energy

      2,566        155,808  

Exelon Corp.

      3,924        166,770  

FirstEnergy Corp.

      4,682        165,883  

Hawaiian Electric Industries, Inc.

      2,799        98,441  

NextEra Energy, Inc.

      831        139,226  

OGE Energy Corp.

      3,300        119,592  

PG&E Corp.

      3,727        160,559  

Pinnacle West Capital Corp.

      1,734        139,466  

PPL Corp.

      5,621        161,716  

Southern Co. (The)

      3,624        176,126  

Xcel Energy, Inc.

      3,185        149,249  
     

 

 

  
        2,682,139  
     

 

 

  

Electrical Equipment — 1.9%

 

Eaton Corp. plc

      2,023        168,253  

Emerson Electric Co.

      2,296        165,955  

Hubbell, Inc.

      1,219        150,241  

Rockwell Automation, Inc.

      166        31,135  
     

 

 

  
        515,584  
     

 

 

  

Energy Equipment & Services — 0.5%

 

Helmerich & Payne, Inc.

      2,420        148,467  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 10.2%

 

Apple Hospitality REIT, Inc.

      2,370        42,636  

Brandywine Realty Trust

      8,452        139,374  

Brixmor Property Group, Inc.

      1,388        24,554  

Colony Capital, Inc.

      2,654        16,349  

Corporate Office Properties Trust

      969        28,818  

DDR Corp.

      5,792        79,351  

Digital Realty Trust, Inc.

      1,433        173,995  

Duke Realty Corp.

      3,449        100,435  

EPR Properties

      581        38,631  

Gaming and Leisure Properties, Inc.

      3,619        131,442  

HCP, Inc.

      3,997        103,522  

Healthcare Trust of America, Inc., Class A

      741        20,244  

Hospitality Properties Trust

      4,400        124,388  

Iron Mountain, Inc.

      3,938        138,263  

Kimco Realty Corp.

      7,152        119,367  

Liberty Property Trust

      3,625        155,368  

Macerich Co. (The)

      1,201        70,931  

Medical Properties Trust, Inc.

      2,007        28,921  

National Retail Properties, Inc.

      2,375        105,949  
 

JPMorgan U.S. Dividend ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Equity Real Estate Investment Trusts (REITs) — continued

 

Omega Healthcare Investors, Inc.

      5,113        151,805  

Outfront Media, Inc.

      2,861        60,796  

Rayonier, Inc.

      3,009        105,345  

Retail Value, Inc. *

      583        19,262  

Senior Housing Properties Trust

      7,260        129,518  

Spirit Realty Capital, Inc.

      20,071        167,994  

Uniti Group, Inc.

      7,652        135,287  

Ventas, Inc.

      722        40,706  

VEREIT, Inc.

      17,642        134,609  

Welltower, Inc.

      1,647        103,102  

WP Carey, Inc.

      1,595        104,281  
     

 

 

  
        2,795,243  
     

 

 

  

Food & Staples Retailing — 0.6%

 

Sysco Corp.

      2,490        167,353  
     

 

 

  

Food Products — 3.5%

 

Archer-Daniels-Midland Co.

      1,074        51,831  

Campbell Soup Co.

      3,980        162,782  

Conagra Brands, Inc.

      4,019        147,538  

Flowers Foods, Inc.

      6,960        141,984  

General Mills, Inc.

      3,190        146,931  

JM Smucker Co. (The)

      83        9,223  

Kellogg Co.

      2,090        148,453  

Kraft Heinz Co. (The)

      2,356        141,949  
     

 

 

  
        950,691  
     

 

 

  

Gas Utilities — 0.3%

 

National Fuel Gas Co.

      1,733        93,062  
     

 

 

  

Health Care Equipment & Supplies — 3.1%

      

Abbott Laboratories

      2,697        176,761  

Becton Dickinson and Co.

      738        184,773  

Hill-Rom Holdings, Inc.

      413        38,905  

Medtronic plc

      1,876        169,271  

ResMed, Inc.

      1,252        132,437  

Stryker Corp.

      939        153,292  
     

 

 

  
        855,439  
     

 

 

  

Health Care Providers & Services — 0.9%

 

Cardinal Health, Inc.

      1,987        99,251  

Quest Diagnostics, Inc.

      1,455        156,732  
     

 

 

  
        255,983  
     

 

 

  

Hotels, Restaurants & Leisure — 3.7%

 

Darden Restaurants, Inc.

      1,738        185,862  

Extended Stay America, Inc.

      7,102        151,202  

International Game Technology plc

      2,703        68,332  

Las Vegas Sands Corp.

      2,007        144,303  

McDonald’s Corp.

      1,044        164,472  

Six Flags Entertainment Corp.

      2,292        148,865  

Wendy’s Co. (The)

      9,959        166,116  
     

 

 

  
        1,029,152  
     

 

 

  

Household Durables — 2.1%

 

Garmin Ltd.

      2,657        165,930  

Leggett & Platt, Inc.

      3,253        141,733  

Newell Brands, Inc.

      5,688        148,969  

Whirlpool Corp.

      913        119,694  
     

 

 

  
        576,326  
     

 

 

  

Household Products — 1.6%

 

Clorox Co. (The)

      1,015        137,198  

Kimberly-Clark Corp.

      1,343        152,914  

Investments

    Shares      Value($)  

Household Products — continued

 

Procter & Gamble Co. (The)

      2,000        161,760  
     

 

 

  
        451,872  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.6%

 

AES Corp.

      12,606        168,416  
     

 

 

  

Industrial Conglomerates — 1.1%

 

3M Co.

      746        158,391  

General Electric Co.

      10,459        142,556  
     

 

 

  
        300,947  
     

 

 

  

Insurance — 0.6%

 

Old Republic International Corp.

      7,639        162,787  
     

 

 

  

IT Services — 1.0%

      

International Business Machines Corp.

      669        96,958  

Paychex, Inc.

      2,461        169,858  
     

 

 

  
        266,816  
     

 

 

  

Leisure Products — 1.1%

 

Hasbro, Inc.

      1,511        150,511  

Mattel, Inc.

      9,026        143,242  
     

 

 

  
        293,753  
     

 

 

  

Life Sciences Tools & Services — 0.1%

 

Bio-Techne Corp.

      178        28,594  
     

 

 

  

Machinery — 1.8%

 

Caterpillar, Inc.

      1,086        156,167  

Cummins, Inc.

      964        137,669  

Stanley Black & Decker, Inc.

      988        147,676  

Timken Co. (The)

      1,183        58,263  
     

 

 

  
        499,775  
     

 

 

  

Media — 0.7%

 

Cinemark Holdings, Inc.

      3,308        118,823  

Viacom, Inc., Class B

      2,633        76,489  
     

 

 

  
        195,312  
     

 

 

  

Metals & Mining — 1.1%

 

Nucor Corp.

      2,468        165,183  

Reliance Steel & Aluminum Co.

      1,593        143,689  
     

 

 

  
        308,872  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 3.1%

 

AGNC Investment Corp.

      7,707        150,055  

Annaly Capital Management, Inc.

      13,088        140,304  

Chimera Investment Corp.

      6,652        127,053  

MFA Financial, Inc.

      16,845        135,602  

Starwood Property Trust, Inc.

      6,782        154,901  

Two Harbors Investment Corp.

      9,022        139,841  
     

 

 

  
        847,756  
     

 

 

  

Multiline Retail — 2.3%

 

Kohl’s Corp.

      2,410        178,027  

Macy’s, Inc.

      4,607        183,036  

Nordstrom, Inc.

      2,096        109,851  

Target Corp.

      2,173        175,318  
     

 

 

  
        646,232  
     

 

 

  

Multi-Utilities — 7.3%

 

Ameren Corp.

      2,589        160,673  

CenterPoint Energy, Inc.

      5,895        167,889  

CMS Energy Corp.

      3,153        152,416  

Consolidated Edison, Inc.

      1,989        156,992  

Dominion Energy, Inc.

      2,179        156,256  

DTE Energy Co.

      1,389        150,762  
 

JPMorgan U.S. Dividend ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Multi-Utilities — continued

 

MDU Resources Group, Inc.

      5,739        166,431  

NiSource, Inc.

      5,298        138,702  

Public Service Enterprise Group, Inc.

      3,052        157,361  

SCANA Corp.

      4,011        160,400  

Sempra Energy

      1,268        146,568  

Vectren Corp.

      1,895        135,436  

WEC Energy Group, Inc.

      2,403        159,487  
     

 

 

  
        2,009,373  
     

 

 

  

Oil, Gas & Consumable Fuels — 4.3%

 

Chevron Corp.

      1,392        175,768  

Exxon Mobil Corp.

      1,239        100,991  

Kinder Morgan, Inc.

      3,653        64,950  

Murphy Oil Corp.

      2,030        67,518  

Occidental Petroleum Corp.

      1,945        163,244  

ONEOK, Inc.

      2,373        167,154  

PBF Energy, Inc., Class A

      2,861        133,609  

Targa Resources Corp.

      3,153        161,024  

Williams Cos., Inc. (The)

      5,406        160,828  
     

 

 

  
        1,195,086  
     

 

 

  

Paper & Forest Products — 0.6%

 

Domtar Corp.

      3,334        160,765  
     

 

 

  
     

Personal Products — 0.7%

 

Coty, Inc., Class A

      10,105        135,508  

Nu Skin Enterprises, Inc., Class A

      731        53,253  
     

 

 

  
        188,761  
     

 

 

  

Pharmaceuticals — 3.3%

 

Bristol-Myers Squibb Co.

      2,581        151,634  

Eli Lilly & Co.

      1,752        173,115  

Johnson & Johnson

      1,473        195,202  

Merck & Co., Inc.

      2,838        186,939  

Pfizer, Inc.

      4,774        190,626  
     

 

 

  
        897,516  
     

 

 

  

Professional Services — 0.3%

 

Nielsen Holdings plc

      3,570        84,109  
     

 

 

  

Road & Rail — 0.2%

 

Norfolk Southern Corp.

      383        64,727  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.2%

 

Analog Devices, Inc.

      1,669        160,458  

Cypress Semiconductor Corp.

      9,134        162,677  

Intel Corp.

      3,155        151,755  

KLA-Tencor Corp.

      1,421        166,854  

Maxim Integrated Products, Inc.

      2,641        161,471  

Microchip Technology, Inc.

      1,389        129,774  

QUALCOMM, Inc.

      1,194        76,523  

Xilinx, Inc.

      2,045        147,383  
     

 

 

  
        1,156,895  
     

 

 

  

Software — 1.2%

 

CA, Inc.

      2,804        123,965  

Microsoft Corp.

      2,027        215,024  
     

 

 

  
        338,989  
     

 

 

  

Specialty Retail — 2.2%

 

Best Buy Co., Inc.

      98        7,353  

Foot Locker, Inc.

      2,936        143,306  

Gap, Inc. (The)

      5,057        152,570  

Home Depot, Inc. (The)

      859        169,670  

Investments

    Shares      Value($)  

Specialty Retail — continued

 

L Brands, Inc.

      3,951        125,128  
     

 

 

  
        598,027  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.6%

 

HP, Inc.

      1,692        39,051  

Xerox Corp.

      4,477        116,268  
     

 

 

  
        155,319  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.7%

 

Hanesbrands, Inc.

      6,184        137,656  

Tapestry, Inc.

      3,155        148,664  

VF Corp.

      1,992        183,403  
     

 

 

  
        469,723  
     

 

 

  

Thrifts & Mortgage Finance — 0.4%

 

New York Community Bancorp, Inc.

      10,239        110,274  
     

 

 

  

Tobacco — 1.1%

 

Altria Group, Inc.

      2,498        146,583  

Philip Morris International, Inc.

      1,763        152,147  
     

 

 

  
        298,730  
     

 

 

  

Transportation Infrastructure — 0.5%

 

Macquarie Infrastructure Corp.

      2,979        135,276  
     

 

 

  

Wireless Telecommunication Services — 1.4%

 

Sprint Corp. *

      21,315        115,741  

Telephone & Data Systems, Inc.

      4,933        124,558  

T-Mobile US, Inc. *

      2,450        147,000  
     

 

 

  
        387,299  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $26,661,604)

 

      27,467,193  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.4%

 

INVESTMENT COMPANIES — 0.4%

 

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.77% (a)(b)
(Cost $120,690)

      120,690        120,690  
     

 

 

  

Total Investments — 100.2%
(Cost $26,782,294)

 

      27,587,883  

Liabilities in Excess of Other Assets — (0.2%)

 

      (50,560 ) 
     

 

 

  

Net Assets — 100.0%

 

      27,537,323  
     

 

 

  

 

Percentages indicated are based on net assets.

 

JPMorgan U.S. Dividend ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

(a)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.

    

 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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”):

 

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

Total Investments in Securities (a)

    $ 27,587,883      $ —        $ —        $ 27,587,883  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan U.S. Minimum Volatility ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.8%

 

Aerospace & Defense — 2.2%

 

Harris Corp.

      963        158,847  

L3 Technologies, Inc.

      770        165,119  

Lockheed Martin Corp.

      454        148,049  

Raytheon Co.

      735        145,552  
     

 

 

  
        617,567  
     

 

 

  

Air Freight & Logistics — 0.5%

 

United Parcel Service, Inc., Class B

      1,196        143,388  
     

 

 

  

Banks — 0.5%

 

US Bancorp

      2,655        140,742  
     

 

 

  

Beverages — 2.6%

 

Brown-Forman Corp., Class B

      2,833        150,772  

Coca-Cola Co. (The)

      3,590        167,402  

Constellation Brands, Inc., Class A

      599        125,928  

Molson Coors Brewing Co., Class B

      1,746        116,982  

PepsiCo, Inc.

      1,410        162,150  
     

 

 

  
        723,234  
     

 

 

  

Biotechnology — 0.5%

 

Amgen, Inc.

      718        141,123  
     

 

 

  

Chemicals — 4.8%

 

Air Products & Chemicals, Inc.

      897        147,260  

Ashland Global Holdings, Inc.

      2,061        169,229  

DowDuPont, Inc.

      266        18,293  

Ecolab, Inc.

      1,124        158,147  

International Flavors & Fragrances, Inc.

      1,093        145,107  

NewMarket Corp.

      128        52,408  

PPG Industries, Inc.

      1,370        151,604  

Praxair, Inc.

      1,026        171,855  

RPM International, Inc.

      2,626        169,036  

Scotts Miracle-Gro Co. (The)

      1,465        116,365  

WR Grace & Co.

      525        38,776  
     

 

 

  
        1,338,080  
     

 

 

  

Commercial Services & Supplies — 1.6%

 

Copart, Inc. *

      1,888        108,352  

Republic Services, Inc.

      1,981        143,583  

Rollins, Inc.

      465        25,547  

Waste Management, Inc.

      1,765        158,850  
     

 

 

  
        436,332  
     

 

 

  

Communications Equipment — 0.2%

 

Motorola Solutions, Inc.

      513        62,227  
     

 

 

  

Containers & Packaging — 0.5%

 

Avery Dennison Corp.

      1,004        115,139  

Bemis Co., Inc.

      583        26,765  
     

 

 

  
        141,904  
     

 

 

  

Distributors — 1.0%

 

Genuine Parts Co.

      1,567        152,485  

Pool Corp.

      886        135,779  
     

 

 

  
        288,264  
     

 

 

  

Investments

    Shares      Value($)  

Diversified Financial Services — 0.6%

 

Berkshire Hathaway, Inc., Class B *

      840        166,211  
     

 

 

  

Diversified Telecommunication Services — 1.9%

 

AT&T, Inc.

      4,428        141,563  

CenturyLink, Inc.

      3,055        57,342  

Verizon Communications, Inc.

      3,261        168,398  

Zayo Group Holdings, Inc. *

      4,454        165,199  
     

 

 

  
        532,502  
     

 

 

  

Electric Utilities — 8.1%

 

Alliant Energy Corp.

      3,627        155,852  

American Electric Power Co., Inc.

      2,359        167,819  

Avangrid, Inc.

      1,889        94,563  

Duke Energy Corp.

      2,078        169,606  

Edison International

      1,228        81,822  

Entergy Corp.

      1,892        153,782  

Evergy, Inc.

      2,826        158,510  

Eversource Energy

      2,523        153,196  

Exelon Corp.

      3,228        137,190  

Hawaiian Electric Industries, Inc.

      2,298        80,821  

NextEra Energy, Inc.

      968        162,179  

OGE Energy Corp.

      4,103        148,693  

Pinnacle West Capital Corp.

      1,782        143,326  

PPL Corp.

      4,888        140,628  

Southern Co. (The)

      3,571        173,551  

Xcel Energy, Inc.

      3,171        148,593  
     

 

 

  
        2,270,131  
     

 

 

  

Electrical Equipment — 0.5%

 

Hubbell, Inc.

      1,218        150,119  
     

 

 

  

Energy Equipment & Services — 0.9%

 

Halliburton Co.

      2,786        118,182  

Schlumberger Ltd.

      2,003        135,243  
     

 

 

  
        253,425  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.2%

 

American Tower Corp.

      1,048        155,356  

Apple Hospitality REIT, Inc.

      1,168        21,012  

Camden Property Trust

      100        9,259  

Crown Castle International Corp.

      1,438        159,374  

Equity Commonwealth *

      1,429        46,071  

Federal Realty Investment Trust

      857        107,553  

Gaming and Leisure Properties, Inc.

      1,007        36,574  

National Retail Properties, Inc.

      923        41,175  

Regency Centers Corp.

      519        33,024  
     

 

 

  
        609,398  
     

 

 

  

Food & Staples Retailing — 2.5%

 

Costco Wholesale Corp.

      809        176,936  

Kroger Co. (The)

      4,875        141,375  

Sysco Corp.

      2,465        165,673  

US Foods Holding Corp. *

      1,450        49,025  

Walmart, Inc.

      1,688        150,620  
     

 

 

  
        683,629  
     

 

 

  

Food Products — 6.2%

 

Campbell Soup Co.

      2,551        104,336  

Conagra Brands, Inc.

      3,934        144,417  

General Mills, Inc.

      3,158        145,458  

Hershey Co. (The)

      1,215        119,325  

Hormel Foods Corp.

      3,755        135,067  

Ingredion, Inc.

      1,199        121,459  
 

JPMorgan U.S. Minimum Volatility ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Food Products — continued

      

JM Smucker Co. (The)

      1,197        133,011  

Kellogg Co.

      2,074        147,316  

Kraft Heinz Co. (The)

      2,324        140,021  

Lamb Weston Holdings, Inc.

      767        53,897  

McCormick & Co., Inc. (Non-Voting)

      1,496        175,840  

Mondelez International, Inc., Class A

      3,358        145,670  

Pinnacle Foods, Inc.

      2,341        155,489  
     

 

 

  
        1,721,306  
     

 

 

  

Gas Utilities — 1.2%

 

Atmos Energy Corp.

      1,745        160,313  

UGI Corp.

      3,124        166,010  
     

 

 

  
        326,323  
     

 

 

  

Health Care Equipment & Supplies — 9.0%

 

Abbott Laboratories

      2,609        170,994  

Baxter International, Inc.

      2,263        163,954  

Becton Dickinson and Co.

      724        181,268  

Cooper Cos., Inc. (The)

      577        150,309  

DENTSPLY SIRONA, Inc.

      2,394        115,175  

Hill-Rom Holdings, Inc.

      1,741        164,002  

IDEXX Laboratories, Inc. *

      770        188,596  

Intuitive Surgical, Inc. *

      349        177,358  

Medtronic plc

      1,671        150,774  

ResMed, Inc.

      1,559        164,911  

STERIS plc

      1,282        146,751  

STERIS plc

      4        458  

Stryker Corp.

      922        150,517  

Teleflex, Inc.

      600        163,626  

Varian Medical Systems, Inc. *

      1,338        154,472  

West Pharmaceutical Services, Inc.

      1,169        128,181  

Zimmer Biomet Holdings, Inc.

      1,197        150,247  
     

 

 

  
        2,521,593  
     

 

 

  

Health Care Providers & Services — 6.0%

 

Aetna, Inc.

      725        136,583  

AmerisourceBergen Corp.

      1,678        137,311  

Anthem, Inc.

      605        153,065  

Cardinal Health, Inc.

      1,864        93,107  

Cigna Corp.

      353        63,335  

CVS Health Corp.

      1,423        92,296  

DaVita, Inc. *

      2,217        155,811  

Express Scripts Holding Co. *

      1,704        135,400  

Henry Schein, Inc. *

      1,723        136,823  

Laboratory Corp. of America Holdings *

      887        155,526  

MEDNAX, Inc. *

      2,239        95,807  

Quest Diagnostics, Inc.

      1,433        154,363  

UnitedHealth Group, Inc.

      666        168,644  
     

 

 

  
        1,678,071  
     

 

 

  

Hotels, Restaurants & Leisure — 0.7%

 

McDonald’s Corp.

      955        150,451  

Yum! Brands, Inc.

      706        55,979  
     

 

 

  
        206,430  
     

 

 

  

Household Durables — 1.4%

 

Leggett & Platt, Inc.

      3,233        140,862  

Mohawk Industries, Inc. *

      655        123,376  

NVR, Inc. *

      47        129,693  
     

 

 

  
        393,931  
     

 

 

  

Investments

    Shares      Value($)  

Household Products — 3.1%

 

Church & Dwight Co., Inc.

      2,966        165,799  

Clorox Co. (The)

      1,175        158,825  

Colgate-Palmolive Co.

      2,184        146,350  

Kimberly-Clark Corp.

      1,367        155,647  

Procter & Gamble Co. (The)

      1,832        148,172  

Spectrum Brands Holdings, Inc. *

      1,111        97,068  
     

 

 

  
        871,861  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.5%

 

Vistra Energy Corp. *

      6,532        147,623  
     

 

 

  

Industrial Conglomerates — 0.5%

 

3M Co.

      679        144,165  
     

 

 

  

Insurance — 5.8%

 

Aflac, Inc.

      893        41,560  

Allstate Corp. (The)

      1,595        151,716  

American Financial Group, Inc.

      1,402        157,991  

Aon plc

      201        28,854  

Aon plc

      3        431  

Arch Capital Group Ltd. *

      4,765        145,618  

Arthur J Gallagher & Co.

      877        62,574  

Brown & Brown, Inc.

      1,484        43,422  

Chubb Ltd.

      979        136,786  

Cincinnati Financial Corp.

      1,845        139,537  

Everest Re Group Ltd.

      414        90,397  

Markel Corp. *

      144        168,480  

Marsh & McLennan Cos., Inc.

      1,925        160,468  

RenaissanceRe Holdings Ltd. (Bermuda)

      1,030        135,806  

White Mountains Insurance Group Ltd.

      77        70,303  

WR Berkley Corp.

      1,186        89,911  
     

 

 

  
        1,623,854  
     

 

 

  

IT Services — 1.9%

 

Amdocs Ltd.

      2,375        160,502  

Automatic Data Processing, Inc.

      1,233        166,443  

International Business Machines Corp.

      631        91,451  

Jack Henry & Associates, Inc.

      469        63,174  

Paychex, Inc.

      653        45,070  
     

 

 

  
        526,640  
     

 

 

  

Leisure Products — 0.3%

 

Hasbro, Inc.

      928        92,438  
     

 

 

  

Life Sciences Tools & Services — 3.1%

 

Bio-Rad Laboratories, Inc., Class A *

      558        171,111  

Bio-Techne Corp.

      969        155,660  

IQVIA Holdings, Inc. *

      1,354        165,107  

QIAGEN NV *

      1,380        49,846  

Thermo Fisher Scientific, Inc.

      767        179,884  

Waters Corp. *

      780        153,870  
     

 

 

  
        875,478  
     

 

 

  

Machinery — 1.0%

 

Snap-on, Inc.

      865        146,695  

Stanley Black & Decker, Inc.

      965        144,239  
     

 

 

  
        290,934  
     

 

 

  
 

JPMorgan U.S. Minimum Volatility ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Media — 0.8%

 

Omnicom Group, Inc.

      1,036        71,308  

Walt Disney Co. (The)

      1,347        152,965  
     

 

 

  
        224,273  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 2.1%

 

AGNC Investment Corp.

      8,461        164,736  

Annaly Capital Management, Inc.

      12,458        133,550  

Chimera Investment Corp.

      1,094        20,895  

MFA Financial, Inc.

      4,443        35,766  

Starwood Property Trust, Inc.

      7,379        168,536  

Two Harbors Investment Corp.

      3,915        60,683  
     

 

 

  
        584,166  
     

 

 

  

Multiline Retail — 0.8%

 

Dollar Tree, Inc. *

      750        68,460  

Target Corp.

      2,040        164,587  
     

 

 

  
        233,047  
     

 

 

  

Multi-Utilities — 6.0%

 

Ameren Corp.

      2,558        158,749  

CenterPoint Energy, Inc.

      5,110        145,533  

CMS Energy Corp.

      3,329        160,924  

Consolidated Edison, Inc.

      1,838        145,073  

Dominion Energy, Inc.

      2,082        149,300  

DTE Energy Co.

      1,564        169,757  

NiSource, Inc.

      5,753        150,614  

Public Service Enterprise Group, Inc.

      3,025        155,969  

Sempra Energy

      1,308        151,192  

Vectren Corp.

      1,920        137,222  

WEC Energy Group, Inc.

      2,355        156,301  
     

 

 

  
        1,680,634  
     

 

 

  

Oil, Gas & Consumable Fuels — 3.5%

 

Chevron Corp.

      1,295        163,520  

ConocoPhillips

      1,711        123,483  

EOG Resources, Inc.

      256        33,009  

Exxon Mobil Corp.

      1,707        139,137  

Kinder Morgan, Inc.

      1,003        17,833  

Occidental Petroleum Corp.

      1,905        159,887  

Phillips 66

      1,376        169,716  

Valero Energy Corp.

      1,323        156,577  
     

 

 

  
        963,162  
     

 

 

  

Personal Products — 0.5%

 

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

      1,073        144,791  
     

 

 

  

Pharmaceuticals — 3.4%

 

Bristol-Myers Squibb Co.

      2,055        120,731  

Eli Lilly & Co.

      1,732        171,139  

Johnson & Johnson

      1,186        157,169  

Merck & Co., Inc.

      2,478        163,226  

Pfizer, Inc.

      4,422        176,570  

Zoetis, Inc.

      1,915        165,609  
     

 

 

  
        954,444  
     

 

 

  

Professional Services — 0.6%

 

Dun & Bradstreet Corp. (The)

      1,236        155,600  
     

 

 

  

Road & Rail — 0.4%

 

Union Pacific Corp.

      766        114,816  
     

 

 

  

Investments

    Shares      Value($)  

Semiconductors & Semiconductor Equipment — 0.6%

 

Texas Instruments, Inc.

      1,435        159,744  
     

 

 

  

Software — 2.8%

 

ANSYS, Inc. *

      984        166,178  

CA, Inc.

      1,668        73,742  

CDK Global, Inc.

      790        49,336  

Intuit, Inc.

      796        162,575  

Microsoft Corp.

      1,645        174,502  

Synopsys, Inc. *

      1,810        161,868  
     

 

 

  
        788,201  
     

 

 

  

Specialty Retail — 1.8%

 

AutoZone, Inc. *

      188        132,639  

Home Depot, Inc. (The)

      763        150,708  

O’Reilly Automotive, Inc. *

      242        74,052  

TJX Cos., Inc. (The)

      1,565        152,212  
     

 

 

  
        509,611  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.2%

 

NIKE, Inc., Class B

      2,114        162,588  

VF Corp.

      1,975        181,838  
     

 

 

  
        344,426  
     

 

 

  

Thrifts & Mortgage Finance — 0.2%

 

TFS Financial Corp.

      2,700        41,094  
     

 

 

  

Tobacco — 1.0%

 

Altria Group, Inc.

      2,401        140,890  

Philip Morris International, Inc.

      1,549        133,679  
     

 

 

  
        274,569  
     

 

 

  

Water Utilities — 1.0%

 

American Water Works Co., Inc.

      1,787        157,703  

Aqua America, Inc.

      3,408        125,891  
     

 

 

  
        283,594  
     

 

 

  

Wireless Telecommunication Services — 1.3%

 

Telephone & Data Systems, Inc.

      4,611        116,428  

T-Mobile US, Inc. *

      2,635        158,100  

United States Cellular Corp. *

      2,829        97,204  
     

 

 

  
        371,732  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $26,460,179)

 

      27,946,827  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.4%

      

INVESTMENT COMPANIES — 0.4%

      

JPMorgan U.S. Government Money Market Fund
Class Institutional, 1.77% (a)(b)
(Cost $98,015)

      98,015        98,015  
     

 

 

  

Total Investments — 100.2%
(Cost $26,558,194)

 

      28,044,842  

Liabilities in Excess of Other Assets — (0.2%)

 

      (46,510 ) 
     

 

 

  

Net Assets — 100.0%

 

      27,998,332  
     

 

 

  

 

Percentages indicated are based on net assets.

 

JPMorgan U.S. Minimum Volatility ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

(a)       Affiliated company as defined under the Investment Company Act of 1940 as amended, and advised by J.P. Morgan Investment Management Inc.
(b)       The rate shown was the current yield as of July 31, 2018.
*       Non-income producing security.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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”):

 

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

Total Investments in Securities (a)

    $ 28,044,842      $ —        $ —        $ 28,044,842  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan U.S. Momentum Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.9%

 

Aerospace & Defense — 4.5%

 

Boeing Co. (The)

      1,246        443,950  

BWX Technologies, Inc.

      1,039        68,325  

Harris Corp.

      580        95,671  

HEICO Corp.

      286        21,842  

Huntington Ingalls Industries, Inc.

      294        68,517  

L3 Technologies, Inc.

      384        82,345  

Lockheed Martin Corp.

      633        206,421  

Northrop Grumman Corp.

      440        132,216  

Raytheon Co.

      750        148,522  

Teledyne Technologies, Inc. *

      165        36,204  
     

 

 

  
        1,304,013  
     

 

 

  

Air Freight & Logistics — 0.3%

      

XPO Logistics, Inc. *

      769        76,685  
     

 

 

  

Airlines — 0.1%

      

Copa Holdings SA, Class A (Panama)

      451        43,900  
     

 

 

  

Auto Components — 0.9%

      

BorgWarner, Inc.

      1,334        61,391  

Gentex Corp.

      2,882        66,862  

Lear Corp.

      411        74,033  

Visteon Corp. *

      396        46,364  
     

 

 

  
        248,650  
     

 

 

  

Automobiles — 0.5%

      

Tesla, Inc.*

      317        94,510  

Thor Industries, Inc.

      420        39,837  
     

 

 

  
        134,347  
     

 

 

  

Banks — 3.0%

      

Bank of America Corp.

      13,159        406,350  

Citigroup, Inc.

      923        66,354  

Comerica, Inc.

      898        87,052  

Commerce Bancshares, Inc.

      91        6,079  

Synovus Financial Corp.

      644        31,826  

TCF Financial Corp.

      1,742        43,742  

US Bancorp

      3,061        162,264  

Zions Bancorp

      1,368        70,726  
     

 

 

  
        874,393  
     

 

 

  

Beverages — 0.8%

      

Constellation Brands, Inc., Class A

      562        118,149  

Monster Beverage Corp. *

      1,661        99,693  
     

 

 

  
        217,842  
     

 

 

  

Biotechnology — 2.1%

      

AbbVie, Inc.

      3,239        298,733  

Agios Pharmaceuticals, Inc. *

      315        27,219  

Bluebird Bio, Inc. *

      413        63,974  

Exelixis, Inc. *

      2,258        46,740  

Neurocrine Biosciences, Inc. *

      710        71,348  

Sarepta Therapeutics, Inc. *

      721        83,809  
     

 

 

  
        591,823  
     

 

 

  

Building Products — 0.3%

      

AO Smith Corp.

      1,050        62,507  

Lennox International, Inc.

      90        19,537  
     

 

 

  
        82,044  
     

 

 

  

Investments

    Shares      Value($)  

Capital Markets — 4.1%

 

BGC Partners, Inc., Class A

      2,203        23,660  

BlackRock, Inc.

      340        170,938  

CBOE Global Markets, Inc.

      631        61,289  

CME Group, Inc.

      832        132,388  

E*TRADE Financial Corp. *

      1,410        84,332  

FactSet Research Systems, Inc.

      110        22,150  

Interactive Brokers Group, Inc., Class A

      907        54,293  

LPL Financial Holdings, Inc.

      971        64,368  

MarketAxess Holdings, Inc.

      286        55,418  

Moody’s Corp.

      649        111,057  

MSCI, Inc.

      520        86,419  

S&P Global, Inc.

      775        155,341  

SEI Investments Co.

      1,004        60,180  

T. Rowe Price Group, Inc.

      929        110,625  
     

 

 

  
        1,192,458  
     

 

 

  

Chemicals — 1.9%

      

Chemours Co. (The)

      1,115        51,078  

DowDuPont, Inc.

      2,172        149,368  

Eastman Chemical Co.

      253        26,216  

Ecolab, Inc.

      817        114,952  

FMC Corp.

      803        72,174  

Huntsman Corp.

      2,086        69,944  

LyondellBasell Industries NV, Class A

      143        15,843  

Westlake Chemical Corp.

      555        59,507  
     

 

 

  
        559,082  
     

 

 

  

Commercial Services & Supplies — 1.6%

      

Cintas Corp.

      481        98,355  

Copart, Inc. *

      1,426        81,838  

Republic Services, Inc.

      1,250        90,600  

Rollins, Inc.

      1,269        69,719  

Waste Management, Inc.

      1,418        127,620  
     

 

 

  
        468,132  
     

 

 

  

Communications Equipment — 0.6%

      

Arista Networks, Inc. *

      306        78,253  

Palo Alto Networks, Inc. *

      445        88,226  
     

 

 

  
        166,479  
     

 

 

  

Consumer Finance — 0.4%

      

American Express Co.

      1,253        124,698  
     

 

 

  

Containers & Packaging — 0.6%

      

AptarGroup, Inc.

      289        29,602  

Avery Dennison Corp.

      634        72,707  

Packaging Corp. of America

      607        68,531  
     

 

 

  
        170,840  
     

 

 

  

Distributors — 0.2%

      

Pool Corp.

      471        72,181  
     

 

 

  

Diversified Consumer Services — 0.4%

      

Bright Horizons Family Solutions, Inc. *

      360        38,516  

Graham Holdings Co., Class B

      44        24,596  

Service Corp. International

      539        21,210  

ServiceMaster Global Holdings, Inc. *

      707        40,292  
     

 

 

  
        124,614  
     

 

 

  
 

JPMorgan U.S. Momentum Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Diversified Financial Services — 1.6%

 

Berkshire Hathaway, Inc., Class B *

      2,254        445,999  
     

 

 

  

Diversified Telecommunication Services — 1.9%

      

Verizon Communications, Inc.

      8,966        463,004  

Zayo Group Holdings, Inc. *

      2,009        74,514  
     

 

 

  
        537,518  
     

 

 

  

Electric Utilities — 1.1%

      

American Electric Power Co., Inc.

      839        59,687  

Avangrid, Inc.

      1,056        52,863  

NextEra Energy, Inc.

      1,269        212,608  

OGE Energy Corp.

      93        3,370  
     

 

 

  
        328,528  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.9%

 

   

CDW Corp.

      589        49,529  

Dolby Laboratories, Inc., Class A

      507        32,676  

FLIR Systems, Inc.

      1,074        62,936  

IPG Photonics Corp. *

      303        49,704  

Keysight Technologies, Inc. *

      446        25,868  

Zebra Technologies Corp., Class A *

      303        41,793  
     

 

 

  
        262,506  
     

 

 

  

Energy Equipment & Services — 0.1%

      

RPC, Inc.

      1,212        17,938  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 1.8%

 

   

Alexandria Real Estate Equities, Inc.

      592        75,444  

CoreSite Realty Corp.

      529        59,301  

CyrusOne, Inc.

      752        46,564  

DCT Industrial Trust, Inc.

      946        63,259  

Duke Realty Corp.

      1,880        54,746  

Equity LifeStyle Properties, Inc.

      330        30,027  

Prologis, Inc.

      1,734        113,785  

SBA Communications Corp. *

      532        84,189  
     

 

 

  
        527,315  
     

 

 

  

Food & Staples Retailing — 0.4%

      

Sysco Corp.

      1,747        117,416  
     

 

 

  

Food Products — 0.6%

      

Lamb Weston Holdings, Inc.

      1,171        82,286  

Pilgrim’s Pride Corp. *

      853        15,200  

Pinnacle Foods, Inc.

      1,016        67,483  
     

 

 

  
        164,969  
     

 

 

  

Gas Utilities — 0.2%

      

Atmos Energy Corp.

      740        67,984  
     

 

 

  

Health Care Equipment & Supplies — 4.1%

      

ABIOMED, Inc. *

      231        81,896  

Align Technology, Inc. *

      326        116,268  

Becton Dickinson and Co.

      758        189,780  

Boston Scientific Corp. *

      3,803        127,819  

Hill-Rom Holdings, Inc.

      417        39,281  

ICU Medical, Inc. *

      130        37,284  

IDEXX Laboratories, Inc. *

      440        107,769  

Insulet Corp. *

      394        32,765  

Intuitive Surgical, Inc. *

      335        170,244  

Penumbra, Inc. *

      240        34,140  

ResMed, Inc.

      824        87,163  

STERIS plc

      420        48,077  

Teleflex, Inc.

      281        76,632  

Investments

    Shares      Value($)  

Health Care Equipment & Supplies — continued

      

West Pharmaceutical Services, Inc.

      304        33,334  
     

 

 

  
        1,182,452  
     

 

 

  

Health Care Providers & Services — 5.3%

      

Aetna, Inc.

      741        139,597  

Anthem, Inc.

      689        174,317  

Centene Corp. *

      879        114,560  

Chemed Corp.

      124        39,188  

Cigna Corp.

      695        124,697  

Encompass Health Corp.

      436        32,975  

HCA Healthcare, Inc.

      715        88,824  

Humana, Inc.

      451        141,695  

Laboratory Corp. of America Holdings *

      479        83,988  

UnitedHealth Group, Inc.

      1,991        504,161  

WellCare Health Plans, Inc. *

      329        87,981  
     

 

 

  
        1,531,983  
     

 

 

  

Health Care Technology — 0.1%

      

Veeva Systems, Inc., Class A *

      254        19,210  
     

 

 

  

Hotels, Restaurants & Leisure — 4.5%

      

Choice Hotels International, Inc.

      398        30,885  

Darden Restaurants, Inc.

      809        86,514  

Domino’s Pizza, Inc.

      306        80,374  

Hilton Grand Vacations, Inc. *

      923        31,927  

Hilton Worldwide Holdings, Inc.

      1,091        85,818  

Hyatt Hotels Corp., Class A

      778        60,863  

International Game Technology plc

      803        20,300  

Las Vegas Sands Corp.

      1,403        100,876  

Marriott International, Inc., Class A

      975        124,644  

McDonald’s Corp.

      1,744        274,750  

Vail Resorts, Inc.

      308        85,276  

Wendy’s Co. (The)

      3,149        52,525  

Wyndham Destinations, Inc.

      1,336        61,616  

Wynn Resorts Ltd.

      481        80,221  

Yum China Holdings, Inc. (China)

      1,978        71,366  

Yum! Brands, Inc.

      454        35,998  
     

 

 

  
        1,283,953  
     

 

 

  

Household Durables — 0.9%

      

DR Horton, Inc.

      1,746        76,300  

NVR, Inc. *

      25        68,986  

PulteGroup, Inc.

      2,082        59,316  

Toll Brothers, Inc.

      1,338        47,178  
     

 

 

  
        251,780  
     

 

 

  

Household Products — 0.3%

      

Church & Dwight Co., Inc.

      1,434        80,160  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.5%

 

NRG Energy, Inc.

      2,264        71,701  

Vistra Energy Corp. *

      3,102        70,105  
     

 

 

  
        141,806  
     

 

 

  

Insurance — 4.0%

      

Allstate Corp. (The)

      1,174        111,671  

American Financial Group, Inc.

      619        69,755  

Aon plc

      820        117,711  

Arthur J Gallagher & Co.

      1,133        80,840  

Brown & Brown, Inc.

      1,412        41,315  

CNA Financial Corp.

      797        37,284  

Fidelity National Financial, Inc.

      1,878        76,059  

First American Financial Corp.

      1,147        64,232  
 

JPMorgan U.S. Momentum Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Insurance — continued

      

Hanover Insurance Group, Inc. (The)

      115        14,423  

Hartford Financial Services Group, Inc. (The)

      1,548        81,580  

Markel Corp. *

      5        5,850  

Marsh & McLennan Cos., Inc.

      1,506        125,540  

Old Republic International Corp.

      1,268        27,021  

Progressive Corp. (The)

      2,048        122,900  

Reinsurance Group of America, Inc.

      435        61,553  

Torchmark Corp.

      83        7,310  

Travelers Cos., Inc. (The)

      867        112,831  
     

 

 

  
        1,157,875  
     

 

 

  

Internet & Direct Marketing Retail — 3.6%

      

Amazon.com, Inc. *

      345        613,217  

Netflix, Inc. *

      983        331,713  

Wayfair, Inc., Class A *

      719        78,242  
     

 

 

  
        1,023,172  
     

 

 

  

Internet Software & Services — 5.9%

      

2U, Inc. *

      682        51,600  

Alphabet, Inc., Class A *

      457        560,840  

Facebook, Inc., Class A *

      2,927        505,142  

GoDaddy, Inc., Class A *

      1,081        79,583  

GrubHub, Inc. *

      703        85,689  

IAC/InterActiveCorp *

      503        74,067  

Match Group, Inc. *

      1,462        52,807  

Nutanix, Inc., Class A *

      1,280        62,579  

Okta, Inc. *

      1,170        58,090  

Twilio, Inc., Class A *

      1,178        68,194  

VeriSign, Inc. *

      637        92,512  
     

 

 

  
        1,691,103  
     

 

 

  

IT Services — 7.4%

      

Broadridge Financial Solutions, Inc.

      719        81,233  

Cognizant Technology Solutions Corp., Class A

      1,796        146,374  

DXC Technology Co.

      1,249        105,840  

Fidelity National Information Services, Inc.

      359        37,024  

Fiserv, Inc. *

      1,547        116,768  

Jack Henry & Associates, Inc.

      602        81,089  

Leidos Holdings, Inc.

      140        9,579  

Mastercard, Inc., Class A

      2,102        416,196  

PayPal Holdings, Inc. *

      2,875        236,152  

Square, Inc., Class A *

      1,529        98,850  

Total System Services, Inc.

      1,015        92,913  

Visa, Inc., Class A

      3,959        541,354  

WEX, Inc. *

      400        75,928  

Worldpay, Inc. *

      887        72,902  
     

 

 

  
        2,112,202  
     

 

 

  

Leisure Products — 0.2%

      

Hasbro, Inc.

      631        62,854  
     

 

 

  

Life Sciences Tools & Services — 0.8%

      

Bio-Rad Laboratories, Inc., Class A *

      237        72,676  

Bruker Corp.

      1,161        37,617  

IQVIA Holdings, Inc. *

      412        50,239  

Waters Corp. *

      334        65,888  
     

 

 

  
        226,420  
     

 

 

  

Machinery — 1.2%

      

Illinois Tool Works, Inc.

      855        122,547  

Oshkosh Corp.

      723        54,406  

Investments

    Shares      Value($)  

Machinery — continued

      

Stanley Black & Decker, Inc.

      640        95,661  

Xylem, Inc.

      800        61,248  
     

 

 

  
        333,862  
     

 

 

  

Media — 0.4%

      

Cable One, Inc.

      22        15,925  

GCI Liberty, Inc., Class A *

      500        24,055  

Live Nation Entertainment, Inc. *

      1,482        73,033  
     

 

 

  
        113,013  
     

 

 

  

Metals & Mining — 0.2%

      

Southern Copper Corp. (Peru)

      1,192        58,837  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 0.4%

 

AGNC Investment Corp.

      2,126        41,393  

Chimera Investment Corp.

      2,552        48,743  

MFA Financial, Inc.

      1,722        13,862  

Two Harbors Investment Corp.

      747        11,579  
     

 

 

  
        115,577  
     

 

 

  

Multiline Retail — 0.3%

      

Kohl’s Corp.

      1,172        86,576  
     

 

 

  

Multi-Utilities — 0.9%

      

CenterPoint Energy, Inc.

      2,414        68,751  

Consolidated Edison, Inc.

      431        34,019  

DTE Energy Co.

      628        68,163  

NiSource, Inc.

      2,384        62,413  

Vectren Corp.

      298        21,298  
     

 

 

  
        254,644  
     

 

 

  

Oil, Gas & Consumable Fuels — 5.9%

      

Andeavor

      667        100,090  

Chevron Corp.

      2,515        317,569  

ConocoPhillips

      607        43,807  

Continental Resources, Inc. *

      1,008        64,381  

Diamondback Energy, Inc.

      629        82,997  

EOG Resources, Inc.

      1,306        168,396  

HollyFrontier Corp.

      1,049        78,234  

Marathon Petroleum Corp.

      1,614        130,460  

Occidental Petroleum Corp.

      2,065        173,315  

PBF Energy, Inc., Class A

      1,406        65,660  

Phillips 66

      1,312        161,822  

Targa Resources Corp.

      1,364        69,659  

Valero Energy Corp.

      1,313        155,394  

WPX Energy, Inc. *

      3,871        72,659  
     

 

 

  
        1,684,443  
     

 

 

  

Personal Products — 0.6%

      

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

      807        108,897  

Nu Skin Enterprises, Inc., Class A

      792        57,697  
     

 

 

  
        166,594  
     

 

 

  

Pharmaceuticals — 0.6%

      

Nektar Therapeutics *

      1,021        53,705  

Zoetis, Inc.

      1,461        126,347  
     

 

 

  
        180,052  
     

 

 

  

Professional Services — 0.5%

      

CoStar Group, Inc. *

      218        90,655  

TransUnion

      732        52,997  
     

 

 

  
        143,652  
     

 

 

  

Road & Rail — 1.0%

      

JB Hunt Transport Services, Inc.

      611        73,259  

Norfolk Southern Corp.

      905        152,945  
 

JPMorgan U.S. Momentum Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Road & Rail — continued

      

Old Dominion Freight Line, Inc.

      489        71,785  
     

 

 

  
        297,989  
     

 

 

  

Semiconductors & Semiconductor Equipment — 4.0%

 

First Solar, Inc. *

      989        51,774  

KLA-Tencor Corp.

      477        56,009  

Lam Research Corp.

      567        108,093  

Microchip Technology, Inc.

      1,032        96,420  

Micron Technology, Inc. *

      3,226        170,301  

NVIDIA Corp.

      1,346        329,582  

NXP Semiconductors NV (Netherlands) *

      1,057        100,774  

Texas Instruments, Inc.

      2,161        240,562  
     

 

 

  
        1,153,515  
     

 

 

  

Software — 8.6%

      

Activision Blizzard, Inc.

      2,176        159,762  

Adobe Systems, Inc. *

      1,197        292,882  

ANSYS, Inc. *

      507        85,622  

Autodesk, Inc. *

      327        42,000  

Cadence Design Systems, Inc. *

      1,717        75,703  

Electronic Arts, Inc. *

      944        121,540  

Intuit, Inc.

      688        140,517  

Microsoft Corp.

      5,679        602,428  

PTC, Inc. *

      791        72,701  

RealPage, Inc. *

      826        45,513  

Red Hat, Inc. *

      696        98,296  

RingCentral, Inc., Class A *

      618        45,577  

salesforce.com, Inc. *

      1,795        246,184  

ServiceNow, Inc. *

      662        116,485  

SS&C Technologies Holdings, Inc.

      328        17,407  

Synopsys, Inc. *

      861        76,999  

Take-Two Interactive Software, Inc. *

      705        79,679  

VMware, Inc., Class A *

      545        78,802  

Zendesk, Inc. *

      1,130        61,551  
     

 

 

  
        2,459,648  
     

 

 

  

Specialty Retail — 2.6%

      

Best Buy Co., Inc.

      1,240        93,037  

Burlington Stores, Inc. *

      516        78,850  

Home Depot, Inc. (The)

      2,417        477,406  

Ross Stores, Inc.

      233        20,371  

Urban Outfitters, Inc. *

      1,493        66,289  
     

 

 

  
        735,953  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.3%

 

Apple, Inc.

      3,004        571,631  

NetApp, Inc.

      1,285        99,613  
     

 

 

  
        671,244  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.2%

      

Columbia Sportswear Co.

      279        24,267  

Lululemon Athletica, Inc. *

      729        87,444  

PVH Corp.

      501        76,913  

Ralph Lauren Corp.

      524        70,730  

VF Corp.

      800        73,656  
     

 

 

  
        333,010  
     

 

 

  

Trading Companies & Distributors — 0.6%

      

United Rentals, Inc. *

      474        70,531  

WW Grainger, Inc.

      271        93,918  
     

 

 

  
        164,449  
     

 

 

  

Investments

    Shares      Value($)  

Wireless Telecommunication Services — 0.1%

      

Telephone & Data Systems, Inc.

      1,143        28,861  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $26,076,033)

 

      28,669,243  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.4%

 

INVESTMENT COMPANIES — 0.4%

 

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.77% (a)(b)
(Cost $125,011)

      125,011        125,011  
     

 

 

  

Total Investments — 100.3%
(Cost $26,201,044)

         28,794,254  

Liabilities in Excess of Other Assets — (0.3%)

         (81,672 ) 
     

 

 

  

Net Assets — 100.0%

         28,712,582  
     

 

 

  

 

Percentages indicated are based on net assets.

(a)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

JPMorgan U.S. Momentum Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (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”):

 

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

Total Investments in Securities (a)

    $ 28,794,254      $ —        $ —        $ 28,794,254  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan U.S. Quality Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.8%

 

Aerospace & Defense — 3.3%

 

Boeing Co. (The)

      1,216        433,261  

BWX Technologies, Inc.

      1,017        66,878  

General Dynamics Corp.

      392        78,306  

Lockheed Martin Corp.

      627        204,465  

Raytheon Co.

      392        77,628  

Spirit AeroSystems Holdings, Inc., Class A

      814        75,905  
     

 

 

  
        936,443  
     

 

 

  

Banks — 1.8%

      

Bank of Hawaii Corp.

      614        49,421  

Commerce Bancshares, Inc.

      771        51,503  

US Bancorp

      3,340        177,053  

Wells Fargo & Co.

      4,059        232,540  
     

 

 

  
        510,517  
     

 

 

  

Beverages — 3.0%

      

Brown-Forman Corp., Class B

      1,416        75,359  

Coca-Cola Co. (The)

      8,256        384,977  

Monster Beverage Corp. *

      1,387        83,248  

PepsiCo, Inc.

      2,827        325,105  
     

 

 

  
        868,689  
     

 

 

  

Biotechnology — 4.5%

      

AbbVie, Inc.

      3,071        283,238  

Amgen, Inc.

      1,412        277,529  

Biogen, Inc. *

      544        181,897  

Celgene Corp. *

      872        78,559  

Gilead Sciences, Inc.

      2,716        211,386  

Regeneron Pharmaceuticals, Inc. *

      219        80,594  

United Therapeutics Corp. *

      434        53,343  

Vertex Pharmaceuticals, Inc. *

      771        134,964  
     

 

 

  
        1,301,510  
     

 

 

  

Building Products — 0.2%

      

Allegion plc

      325        26,501  

AO Smith Corp.

      374        22,264  
     

 

 

  
        48,765  
     

 

 

  

Capital Markets — 2.0%

      

CBOE Global Markets, Inc.

      629        61,095  

Eaton Vance Corp.

      707        37,563  

FactSet Research Systems, Inc.

      335        67,456  

Franklin Resources, Inc.

      1,365        46,847  

MSCI, Inc.

      374        62,155  

S&P Global, Inc.

      728        145,920  

SEI Investments Co.

      830        49,750  

T. Rowe Price Group, Inc.

      776        92,406  
     

 

 

  
        563,192  
     

 

 

  

Chemicals — 2.0%

      

Air Products & Chemicals, Inc.

      688        112,949  

LyondellBasell Industries NV, Class A

      1,118        123,863  

NewMarket Corp.

      136        55,684  

PPG Industries, Inc.

      871        96,385  

Praxair, Inc.

      909        152,257  

WR Grace & Co.

      443        32,720  
     

 

 

  
        573,858  
     

 

 

  

Investments

    Shares      Value($)  

Commercial Services & Supplies — 0.3%

      

Copart, Inc. *

      1,399        80,289  
     

 

 

  

Communications Equipment — 1.9%

      

Arista Networks, Inc. *

      331        84,647  

Cisco Systems, Inc.

      4,627        195,676  

F5 Networks, Inc. *

      437        74,893  

Juniper Networks, Inc.

      2,588        68,168  

Palo Alto Networks, Inc. *

      437        86,639  

Ubiquiti Networks, Inc. *

      275        22,709  
     

 

 

  
        532,732  
     

 

 

  

Consumer Finance — 0.6%

      

American Express Co.

      1,846        183,714  
     

 

 

  

Containers & Packaging — 0.2%

      

Avery Dennison Corp.

      521        59,748  
     

 

 

  

Diversified Consumer Services — 0.2%

      

H&R Block, Inc.

      2,415        60,761  
     

 

 

  

Diversified Financial Services — 1.9%

      

Berkshire Hathaway, Inc., Class B *

      2,783        550,672  
     

 

 

  

Diversified Telecommunication Services — 1.9%

      

AT&T, Inc.

      7,734        247,256  

Verizon Communications, Inc.

      5,627        290,578  
     

 

 

  
        537,834  
     

 

 

  

Electric Utilities — 1.2%

      

Edison International

      1,131        75,359  

Evergy, Inc.

      805        45,152  

Hawaiian Electric Industries, Inc.

      112        3,939  

NextEra Energy, Inc.

      1,003        168,043  

PG&E Corp.

      1,440        62,035  
     

 

 

  
        354,528  
     

 

 

  

Electrical Equipment — 0.8%

      

Emerson Electric Co.

      1,959        141,597  

Rockwell Automation, Inc.

      506        94,905  
     

 

 

  
        236,502  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.1%

 

Dolby Laboratories, Inc., Class A

      492        31,709  
     

 

 

  

Energy Equipment & Services — 1.2%

      

National Oilwell Varco, Inc.

      2,079        101,081  

RPC, Inc.

      2,589        38,317  

Schlumberger Ltd.

      3,057        206,409  
     

 

 

  
        345,807  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.8%

 

American Tower Corp.

      848        125,708  

Camden Property Trust

      429        39,721  

Equity LifeStyle Properties, Inc.

      771        70,153  

Equity Residential

      908        59,410  

Federal Realty Investment Trust

      417        52,334  

Gaming and Leisure Properties, Inc.

      1,962        71,260  

Lamar Advertising Co., Class A

      775        57,063  

Public Storage

      425        92,578  

Simon Property Group, Inc.

      853        150,307  

Taubman Centers, Inc.

      786        48,771  
 

JPMorgan U.S. Quality Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Equity Real Estate Investment Trusts (REITs) — continued

 

Weingarten Realty Investors

      877        26,503  
     

 

 

  
        793,808  
     

 

 

  

Food & Staples Retailing — 1.9%

      

Costco Wholesale Corp.

      1,083        236,863  

Walmart, Inc.

      3,351        299,010  
     

 

 

  
        535,873  
     

 

 

  

Food Products — 0.4%

      

Hershey Co. (The)

      616        60,497  

Hormel Foods Corp.

      1,485        53,416  
     

 

 

  
        113,913  
     

 

 

  

Gas Utilities — 0.2%

      

National Fuel Gas Co.

      890        47,793  

UGI Corp.

      233        12,382  
     

 

 

  
        60,175  
     

 

 

  

Health Care Equipment & Supplies — 1.9%

      

Edwards Lifesciences Corp. *

      797        113,532  

IDEXX Laboratories, Inc. *

      433        106,055  

Intuitive Surgical, Inc. *

      333        169,227  

ResMed, Inc.

      751        79,441  

Varian Medical Systems, Inc. *

      629        72,618  
     

 

 

  
        540,873  
     

 

 

  

Health Care Technology — 0.3%

      

Cerner Corp. *

      1,344        83,436  

Veeva Systems, Inc., Class A *

      105        7,941  
     

 

 

  
        91,377  
     

 

 

  

Hotels, Restaurants & Leisure — 2.6%

      

Choice Hotels International, Inc.

      232        18,003  

Las Vegas Sands Corp.

      1,377        99,006  

Marriott International, Inc., Class A

      978        125,027  

McDonald’s Corp.

      1,590        250,489  

Six Flags Entertainment Corp.

      958        62,222  

Starbucks Corp.

      3,571        187,085  
     

 

 

  
        741,832  
     

 

 

  

Household Durables — 0.1%

      

Leggett & Platt, Inc.

      812        35,379  
     

 

 

  

Household Products — 1.7%

      

Church & Dwight Co., Inc.

      775        43,323  

Clorox Co. (The)

      543        73,397  

Colgate-Palmolive Co.

      2,233        149,633  

Kimberly-Clark Corp.

      1,021        116,251  

Procter & Gamble Co. (The)

      1,247        100,858  
     

 

 

  
        483,462  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.5%

 

NRG Energy, Inc.

      2,221        70,339  

Vistra Energy Corp. *

      3,042        68,749  
     

 

 

  
        139,088  
     

 

 

  

Industrial Conglomerates — 0.9%

      

3M Co.

      1,288        273,468  
     

 

 

  

Insurance — 5.3%

      

Aflac, Inc.

      2,713        126,263  

Alleghany Corp.

      15        9,439  

Allstate Corp. (The)

      1,275        121,278  

American Financial Group, Inc.

      614        69,192  

Aon plc

      870        124,888  

Arch Capital Group Ltd. *

      2,101        64,207  

Arthur J Gallagher & Co.

      1,182        84,336  

Investments

    Shares      Value($)  

Insurance — continued

      

Brown & Brown, Inc.

      2,373        69,434  

Chubb Ltd.

      942        131,616  

Cincinnati Financial Corp.

      840        63,529  

Erie Indemnity Co., Class A

      312        38,763  

Markel Corp. *

      46        53,820  

Marsh & McLennan Cos., Inc.

      1,674        139,545  

Old Republic International Corp.

      1,713        36,504  

Progressive Corp. (The)

      2,019        121,160  

Reinsurance Group of America, Inc.

      263        37,214  

Torchmark Corp.

      858        75,564  

Travelers Cos., Inc. (The)

      864        112,441  

WR Berkley Corp.

      706        53,522  
     

 

 

  
        1,532,715  
     

 

 

  

Internet & Direct Marketing Retail — 1.1%

      

Booking Holdings, Inc. *

      120        243,446  

TripAdvisor, Inc. *

      1,259        73,010  
     

 

 

  
        316,456  
     

 

 

  

Internet Software & Services — 4.3%

      

Akamai Technologies, Inc. *

      709        53,359  

Alphabet, Inc., Class A *

      491        602,565  

Facebook, Inc., Class A *

      2,881        497,203  

VeriSign, Inc. *

      627        91,059  
     

 

 

  
        1,244,186  
     

 

 

  

IT Services — 7.2%

      

Accenture plc, Class A

      1,463        233,100  

Automatic Data Processing, Inc.

      1,265        170,762  

Broadridge Financial Solutions, Inc.

      708        79,990  

Fiserv, Inc. *

      1,531        115,560  

International Business Machines Corp.

      1,722        249,569  

Jack Henry & Associates, Inc.

      590        79,473  

Mastercard, Inc., Class A

      2,077        411,246  

Paychex, Inc.

      1,433        98,906  

Teradata Corp. *

      1,044        39,975  

Visa, Inc., Class A

      3,898        533,013  

Western Union Co. (The)

      3,109        62,677  
     

 

 

  
        2,074,271  
     

 

 

  

Life Sciences Tools & Services — 1.0%

      

Agilent Technologies, Inc.

      1,195        78,918  

Bio-Techne Corp.

      272        43,694  

Mettler-Toledo International, Inc. *

      126        74,656  

Waters Corp. *

      408        80,486  
     

 

 

  
        277,754  
     

 

 

  

Machinery — 1.8%

      

Allison Transmission Holdings, Inc.

      1,542        72,474  

Donaldson Co., Inc.

      1,040        49,608  

Graco, Inc.

      1,535        70,825  

IDEX Corp.

      528        81,090  

Illinois Tool Works, Inc.

      920        131,863  

Lincoln Electric Holdings, Inc.

      673        63,222  

Toro Co. (The)

      1,057        63,621  
     

 

 

  
        532,703  
     

 

 

  

Media — 0.6%

      

Cable One, Inc.

      33        23,888  

Omnicom Group, Inc.

      1,151        79,223  

Sirius XM Holdings, Inc.

      10,260        72,025  
     

 

 

  
        175,136  
     

 

 

  
 

JPMorgan U.S. Quality Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Metals & Mining — 0.2%

 

Newmont Mining Corp.

      1,263        46,327  
     

 

 

  

Mortgage Real Estate Investment Trusts (REITs) — 1.2%

 

AGNC Investment Corp.

      3,746        72,935  

Annaly Capital Management, Inc.

      7,532        80,743  

Chimera Investment Corp.

      3,223        61,559  

MFA Financial, Inc.

      5,530        44,517  

Starwood Property Trust, Inc.

      1,618        36,955  

Two Harbors Investment Corp.

      3,566        55,273  
     

 

 

  
        351,982  
     

 

 

  

Multiline Retail — 0.7%

      

Nordstrom, Inc.

      1,265        66,299  

Target Corp.

      1,761        142,077  
     

 

 

  
        208,376  
     

 

 

  

Multi-Utilities — 0.8%

      

Ameren Corp.

      1,221        75,775  

CenterPoint Energy, Inc.

      2,533        72,140  

WEC Energy Group, Inc.

      1,205        79,976  
     

 

 

  
        227,891  
     

 

 

  

Oil, Gas & Consumable Fuels — 4.6%

      

Cabot Oil & Gas Corp.

      2,063        48,480  

Chevron Corp.

      561        70,837  

ConocoPhillips

      2,497        180,208  

Exxon Mobil Corp.

      5,368        437,546  

Marathon Petroleum Corp.

      1,590        128,520  

Occidental Petroleum Corp.

      2,122        178,099  

Phillips 66

      1,040        128,274  

Valero Energy Corp.

      1,293        153,027  
     

 

 

  
        1,324,991  
     

 

 

  

Personal Products — 0.1%

      

Nu Skin Enterprises, Inc., Class A

      302        22,001  
     

 

 

  

Pharmaceuticals — 6.3%

      

Bristol-Myers Squibb Co.

      3,439        202,041  

Eli Lilly & Co.

      1,681        166,100  

Johnson & Johnson

      3,663        485,421  

Merck & Co., Inc.

      5,597        368,674  

Pfizer, Inc.

      12,010        479,559  

Zoetis, Inc.

      1,195        103,344  
     

 

 

  
        1,805,139  
     

 

 

  

Professional Services — 0.6%

      

Equifax, Inc.

      496        62,248  

Robert Half International, Inc.

      1,103        83,563  

Verisk Analytics, Inc. *

      249        27,545  
     

 

 

  
        173,356  
     

 

 

  

Road & Rail — 1.2%

      

Landstar System, Inc.

      570        63,355  

Union Pacific Corp.

      1,829        274,149  
     

 

 

  
        337,504  
     

 

 

  

Semiconductors & Semiconductor Equipment — 5.9%

 

Applied Materials, Inc.

      2,917        141,854  

First Solar, Inc. *

      975        51,041  

Intel Corp.

      8,525        410,052  

KLA-Tencor Corp.

      792        92,997  

Lam Research Corp.

      598        114,003  

Maxim Integrated Products, Inc.

      1,485        90,793  

NVIDIA Corp.

      1,350        330,561  

Investments

    Shares      Value($)  

Semiconductors & Semiconductor Equipment — continued

 

Teradyne, Inc.

      1,832        79,234  

Texas Instruments, Inc.

      2,398        266,945  

Versum Materials, Inc.

      346        13,338  

Xilinx, Inc.

      1,308        94,268  
     

 

 

  
        1,685,086  
     

 

 

  

Software — 5.7%

      

Adobe Systems, Inc. *

      1,177        287,988  

ANSYS, Inc. *

      502        84,778  

Atlassian Corp. plc, Class A *

      1,061        76,827  

Cadence Design Systems, Inc. *

      1,711        75,438  

Citrix Systems, Inc. *

      787        86,546  

Electronic Arts, Inc. *

      238        30,643  

Intuit, Inc.

      747        152,567  

Manhattan Associates, Inc. *

      1,396        67,176  

Microsoft Corp.

      5,589        592,881  

Red Hat, Inc. *

      683        96,460  

VMware, Inc., Class A *

      534        77,211  
     

 

 

  
        1,628,515  
     

 

 

  

Specialty Retail — 5.2%

      

Best Buy Co., Inc.

      1,230        92,287  

Burlington Stores, Inc. *

      508        77,627  

Foot Locker, Inc.

      1,163        56,766  

Home Depot, Inc. (The)

      2,537        501,108  

Lowe’s Cos., Inc.

      2,031        201,760  

O’Reilly Automotive, Inc. *

      327        100,062  

Ross Stores, Inc.

      1,418        123,976  

Tiffany & Co.

      664        91,340  

TJX Cos., Inc. (The)

      1,831        178,083  

Tractor Supply Co.

      230        17,949  

Williams-Sonoma, Inc.

      877        51,296  
     

 

 

  
        1,492,254  
     

 

 

  

Technology Hardware, Storage & Peripherals — 2.0%

 

Apple, Inc.

      2,956        562,497  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.5%

      

Carter’s, Inc.

      348        36,481  

Michael Kors Holdings Ltd. *

      753        50,248  

NIKE, Inc., Class B

      3,208        246,727  

VF Corp.

      936        86,177  
     

 

 

  
        419,633  
     

 

 

  

Tobacco — 1.4%

      

Altria Group, Inc.

      4,093        240,177  

Philip Morris International, Inc.

      1,920        165,696  
     

 

 

  
        405,873  
     

 

 

  

Trading Companies & Distributors — 0.7%

      

MSC Industrial Direct Co., Inc., Class A

      667        56,448  

Watsco, Inc.

      363        62,621  

WW Grainger, Inc.

      267        92,532  
     

 

 

  
        211,601  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $26,445,234)

 

      28,642,765  
     

 

 

  
 

JPMorgan U.S. Quality Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

SHORT-TERM INVESTMENTS — 0.4%

 

INVESTMENT COMPANIES — 0.4%

 

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.77%, (a)(b)
(Cost $107,790)

      107,790        107,790  
     

 

 

  

Total Investments — 100.2% (Cost $26,553,024)

         28,750,555  

Liabilities in Excess of Other Assets — (0.2%)

         (56,138 ) 
     

 

 

  

Net Assets — 100.0%

         28,694,417  
     

 

 

  

 

Percentages indicated are based on net assets.

(a)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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

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

 

  •  

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

 

  •  

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

 

  •  

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

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

JPMorgan U.S. Quality Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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

 

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

Total Investments in Securities (a)

    $ 28,750,555      $ —        $ —        $ 28,750,555  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan U.S. Value Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 99.8%

 

Aerospace & Defense — 1.5%

 

Harris Corp.

      591        97,486  

L3 Technologies, Inc.

      421        90,279  

United Technologies Corp.

      1,734        235,373  
     

 

 

  
        423,138  
     

 

 

  

Airlines — 1.0%

      

Alaska Air Group, Inc.

      770        48,379  

Copa Holdings SA, Class A (Panama)

      471        45,847  

Delta Air Lines, Inc.

      2,235        121,629  

JetBlue Airways Corp. *

      2,921        52,578  
     

 

 

  
        268,433  
     

 

 

  

Auto Components — 0.6%

      

Gentex Corp.

      2,812        65,238  

Goodyear Tire & Rubber Co. (The)

      1,190        28,810  

Lear Corp.

      405        72,953  
     

 

 

  
        167,001  
     

 

 

  

Automobiles — 1.2%

      

Ford Motor Co.

      11,728        117,749  

General Motors Co.

      3,583        135,832  

Harley-Davidson, Inc.

      1,151        49,366  

Thor Industries, Inc.

      459        43,536  
     

 

 

  
        346,483  
     

 

 

  

Banks — 6.2%

      

Associated Banc-Corp.

      1,919        51,813  

Bank of America Corp.

      1,622        50,087  

BB&T Corp.

      2,533        128,702  

BOK Financial Corp.

      351        34,163  

Citizens Financial Group, Inc.

      1,440        57,283  

Cullen/Frost Bankers, Inc.

      591        65,300  

Fifth Third Bancorp

      3,044        90,072  

FNB Corp.

      2,641        33,884  

Huntington Bancshares, Inc.

      4,771        73,664  

PacWest Bancorp

      1,276        64,081  

People’s United Financial, Inc.

      3,259        59,412  

PNC Financial Services Group, Inc. (The)

      1,287        186,396  

Popular, Inc. (Puerto Rico)

      1,407        69,829  

Regions Financial Corp.

      5,089        94,706  

SunTrust Banks, Inc.

      1,709        123,168  

Wells Fargo & Co.

      9,503        544,427  
     

 

 

  
        1,726,987  
     

 

 

  

Beverages — 0.2%

      

Molson Coors Brewing Co., Class B

      728        48,776  
     

 

 

  

Biotechnology — 1.4%

      

Amgen, Inc.

      909        178,664  

Gilead Sciences, Inc.

      2,701        210,219  
     

 

 

  
        388,883  
     

 

 

  

Building Products — 0.6%

      

Johnson Controls International plc

      2,452        91,975  

Owens Corning

      838        52,140  

USG Corp. *

      350        15,127  
     

 

 

  
        159,242  
     

 

 

  

Capital Markets — 1.7%

      

Bank of New York Mellon Corp. (The)

      2,807        150,090  

Investments

    Shares      Value($)  

Capital Markets — continued

      

Goldman Sachs Group, Inc. (The)

      903        214,399  

Invesco Ltd.

      1,721        46,450  

Legg Mason, Inc.

      1,511        51,571  
     

 

 

  
        462,510  
     

 

 

  

Chemicals — 1.3%

      

Cabot Corp.

      430        28,423  

CF Industries Holdings, Inc.

      775        34,426  

Eastman Chemical Co.

      801        83,000  

Huntsman Corp.

      2,114        70,882  

LyondellBasell Industries NV, Class A

      1,109        122,866  

Mosaic Co. (The)

      1,149        34,596  
     

 

 

  
        374,193  
     

 

 

  

Commercial Services & Supplies — 0.6%

      

ADT, Inc.

      3,835        34,554  

KAR Auction Services, Inc.

      758        45,063  

Republic Services, Inc.

      1,238        89,730  
     

 

 

  
        169,347  
     

 

 

  

Communications Equipment — 2.3%

      

ARRIS International plc *

      1,173        29,630  

Cisco Systems, Inc.

      10,604        448,443  

CommScope Holding Co., Inc. *

      1,271        40,812  

Juniper Networks, Inc.

      2,703        71,197  

Motorola Solutions, Inc.

      384        46,579  
     

 

 

  
        636,661  
     

 

 

  

Construction & Engineering — 0.4%

      

AECOM *

      1,881        63,126  

Fluor Corp.

      828        42,435  
     

 

 

  
        105,561  
     

 

 

  

Consumer Finance — 0.9%

      

Ally Financial, Inc.

      1,874        50,148  

Capital One Financial Corp.

      1,504        141,858  

Navient Corp.

      4,477        59,141  
     

 

 

  
        251,147  
     

 

 

  

Containers & Packaging — 1.3%

      

Bemis Co., Inc.

      1,350        61,979  

Graphic Packaging Holding Co.

      4,248        61,723  

Packaging Corp. of America

      647        73,046  

Silgan Holdings, Inc.

      976        26,850  

Sonoco Products Co.

      1,183        66,035  

WestRock Co.

      1,422        82,448  
     

 

 

  
        372,081  
     

 

 

  

Distributors — 0.3%

      

Genuine Parts Co.

      794        77,264  
     

 

 

  

Diversified Consumer Services — 0.2%

      

Graham Holdings Co., Class B

      55        30,745  

H&R Block, Inc.

      1,473        37,061  
     

 

 

  
        67,806  
     

 

 

  

Diversified Telecommunication Services — 1.9%

      

AT&T, Inc.

      8,285        264,872  

CenturyLink, Inc.

      2,094        39,304  

Verizon Communications, Inc.

      4,392        226,803  
     

 

 

  
        530,979  
     

 

 

  

Electric Utilities — 2.1%

      

Avangrid, Inc.

      1,022        51,161  

Duke Energy Corp.

      654        53,380  

Eversource Energy

      767        46,572  

Exelon Corp.

      3,188        135,490  
 

JPMorgan U.S. Value Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Electric Utilities — continued

      

Hawaiian Electric Industries, Inc.

      1,648        57,960  

OGE Energy Corp.

      1,121        40,625  

PG&E Corp.

      2,264        97,533  

Pinnacle West Capital Corp.

      185        14,880  

PPL Corp.

      3,360        96,667  
     

 

 

  
        594,268  
     

 

 

  

Electrical Equipment — 1.6%

      

Eaton Corp. plc

      1,552        129,080  

Emerson Electric Co.

      1,986        143,548  

Hubbell, Inc.

      532        65,569  

nVent Electric plc (United Kingdom) *

      1,297        35,538  

Regal Beloit Corp.

      775        66,611  
     

 

 

  
        440,346  
     

 

 

  

Electronic Equipment, Instruments & Components — 0.9%

 

Arrow Electronics, Inc. *

      820        62,189  

Avnet, Inc.

      1,444        63,320  

Corning, Inc.

      3,330        110,489  

Jabil, Inc.

      560        15,775  
     

 

 

  
        251,773  
     

 

 

  

Energy Equipment & Services — 0.3%

      

Helmerich & Payne, Inc.

      669        41,043  

Transocean Ltd. *

      3,953        50,875  
     

 

 

  
        91,918  
     

 

 

  

Equity Real Estate Investment Trusts (REITs) — 2.3%

      

Apple Hospitality REIT, Inc.

      2,019        36,322  

Brandywine Realty Trust

      2,455        40,483  

Brixmor Property Group, Inc.

      2,052        36,300  

Colony Capital, Inc.

      2,726        16,792  

Columbia Property Trust, Inc.

      1,032        23,922  

EPR Properties

      597        39,694  

Hospitality Properties Trust

      1,990        56,257  

Kimco Realty Corp.

      3,701        61,770  

Medical Properties Trust, Inc.

      3,918        56,458  

Omega Healthcare Investors, Inc.

      1,975        58,638  

Park Hotels & Resorts, Inc.

      2,090        65,375  

Retail Properties of America, Inc., Class A

      2,729        34,249  

Senior Housing Properties Trust

      1,969        35,127  

Ventas, Inc.

      1,217        68,614  

Weingarten Realty Investors

      522        15,775  
     

 

 

  
        645,776  
     

 

 

  

Food & Staples Retailing — 1.7%

      

Walgreens Boots Alliance, Inc.

      2,285        154,512  

Walmart, Inc.

      3,423        305,434  
     

 

 

  
        459,946  
     

 

 

  

Food Products — 1.6%

      

Archer-Daniels-Midland Co.

      2,332        112,543  

Flowers Foods, Inc.

      3,034        61,894  

General Mills, Inc.

      1,835        84,520  

Ingredion, Inc.

      310        31,403  

JM Smucker Co. (The)

      636        70,672  

Pilgrim’s Pride Corp. *

      1,271        22,649  

Tyson Foods, Inc., Class A

      1,228        70,794  
     

 

 

  
        454,475  
     

 

 

  

Health Care Equipment & Supplies — 2.6%

      

Abbott Laboratories

      1,152        75,502  

Baxter International, Inc.

      1,591        115,268  

Becton Dickinson and Co.

      610        152,726  

DENTSPLY SIRONA, Inc.

      204        9,815  

Investments

    Shares      Value($)  

Health Care Equipment & Supplies — continued

      

Hill-Rom Holdings, Inc.

      547        51,527  

Medtronic plc

      2,766        249,576  

Zimmer Biomet Holdings, Inc.

      606        76,065  
     

 

 

  
        730,479  
     

 

 

  

Health Care Providers & Services — 5.7%

      

Aetna, Inc.

      918        172,942  

Anthem, Inc.

      715        180,895  

Cardinal Health, Inc.

      1,219        60,889  

Cigna Corp.

      722        129,541  

CVS Health Corp.

      2,406        156,053  

Express Scripts Holding Co. *

      1,156        91,856  

Humana, Inc.

      420        131,956  

McKesson Corp.

      558        70,085  

MEDNAX, Inc. *

      657        28,113  

Quest Diagnostics, Inc.

      729        78,528  

UnitedHealth Group, Inc.

      1,600        405,152  

Universal Health Services, Inc., Class B

      611        74,603  
     

 

 

  
        1,580,613  
     

 

 

  

Hotels, Restaurants & Leisure — 1.4%

      

Carnival Corp.

      1,629        96,502  

International Game Technology plc

      1,202        30,386  

Las Vegas Sands Corp.

      972        69,887  

MGM Resorts International

      1,791        56,184  

Royal Caribbean Cruises Ltd.

      591        66,641  

Wyndham Destinations, Inc.

      1,310        60,417  
     

 

 

  
        380,017  
     

 

 

  

Household Durables — 1.2%

      

Garmin Ltd.

      1,133        70,756  

Leggett & Platt, Inc.

      841        36,642  

Lennar Corp., Class A

      1,483        77,517  

Newell Brands, Inc.

      912        23,885  

PulteGroup, Inc.

      2,173        61,909  

Toll Brothers, Inc.

      331        11,671  

Whirlpool Corp.

      299        39,199  
     

 

 

  
        321,579  
     

 

 

  

Household Products — 1.4%

      

Procter & Gamble Co. (The)

      4,757        384,746  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.2%

 

Vistra Energy Corp. *

      2,000        45,200  
     

 

 

  

Industrial Conglomerates — 1.1%

      

Carlisle Cos., Inc.

      626        76,898  

General Electric Co.

      16,419        223,791  
     

 

 

  
        300,689  
     

 

 

  

Insurance — 4.4%

      

Aflac, Inc.

      2,046        95,221  

Aspen Insurance Holdings Ltd. (Bermuda)

      1,120        45,304  

Assurant, Inc.

      423        46,657  

Assured Guaranty Ltd.

      1,747        67,993  

Axis Capital Holdings Ltd.

      981        55,485  

Everest Re Group Ltd.

      270        58,954  

First American Financial Corp.

      1,171        65,576  

Hanover Insurance Group, Inc. (The)

      192        24,081  

Lincoln National Corp.

      1,130        76,953  

Mercury General Corp.

      877        45,104  

MetLife, Inc.

      2,859        130,771  
 

JPMorgan U.S. Value Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Insurance — continued

      

Old Republic International Corp.

      3,161        67,361  

Principal Financial Group, Inc.

      1,318        76,549  

Prudential Financial, Inc.

      1,279        129,064  

Reinsurance Group of America, Inc.

      462        65,373  

Travelers Cos., Inc. (The)

      874        113,742  

Unum Group

      1,401        55,662  
     

 

 

  
        1,219,850  
     

 

 

  

Internet & Direct Marketing Retail — 0.2%

      

Qurate Retail, Inc. *

      2,118        45,092  
     

 

 

  

Internet Software & Services — 0.3%

      

Akamai Technologies, Inc. *

      849        63,896  

LogMeIn, Inc.

      345        27,962  
     

 

 

  
        91,858  
     

 

 

  

IT Services — 1.9%

      

Amdocs Ltd.

      1,069        72,243  

Cognizant Technology Solutions Corp., Class A

      464        37,816  

DXC Technology Co.

      902        76,436  

International Business Machines Corp.

      2,022        293,048  

Leidos Holdings, Inc.

      763        52,204  
     

 

 

  
        531,747  
     

 

 

  

Machinery — 3.3%

      

Allison Transmission Holdings, Inc.

      1,561        73,367  

Crane Co.

      699        63,309  

Cummins, Inc.

      640        91,398  

Dover Corp.

      859        71,280  

Ingersoll-Rand plc

      1,104        108,755  

Oshkosh Corp.

      755        56,814  

PACCAR, Inc.

      1,453        95,491  

Parker-Hannifin Corp.

      545        92,132  

Pentair plc (United Kingdom)

      1,191        53,178  

Stanley Black & Decker, Inc.

      611        91,326  

Timken Co. (The)

      1,292        63,631  

Trinity Industries, Inc.

      1,839        70,066  
     

 

 

  
        930,747  
     

 

 

  

Media — 4.7%

      

Charter Communications, Inc., Class A *

      422        128,533  

Cinemark Holdings, Inc.

      1,002        35,992  

Comcast Corp., Class A

      9,415        336,869  

Discovery, Inc., Class A *

      1,762        46,834  

DISH Network Corp., Class A *

      1,321        41,691  

Interpublic Group of Cos., Inc. (The)

      2,783        62,757  

John Wiley & Sons, Inc., Class A

      895        56,519  

Liberty Media Corp.-Liberty SiriusXM, Class C *

      594        28,055  

Lions Gate Entertainment Corp., Class A

      1,271        30,313  

Omnicom Group, Inc.

      1,067        73,441  

Tribune Media Co., Class A

      919        31,108  

Viacom, Inc., Class B

      1,918        55,718  

Walt Disney Co. (The)

      3,340        379,290  
     

 

 

  
        1,307,120  
     

 

 

  

Metals & Mining — 0.8%

      

Nucor Corp.

      1,468        98,253  

Reliance Steel & Aluminum Co.

      722        65,125  

Steel Dynamics, Inc.

      1,546        72,801  
     

 

 

  
        236,179  
     

 

 

  

Investments

    Shares      Value($)  

Mortgage Real Estate Investment Trusts (REITs) — 1.5%

 

   

AGNC Investment Corp.

      3,727        72,565  

Annaly Capital Management, Inc.

      7,493        80,325  

Chimera Investment Corp.

      3,339        63,775  

MFA Financial, Inc.

      7,818        62,935  

Starwood Property Trust, Inc.

      3,020        68,977  

Two Harbors Investment Corp.

      3,863        59,876  
     

 

 

  
        408,453  
     

 

 

  

Multiline Retail — 1.4%

      

Kohl’s Corp.

      1,144        84,507  

Macy’s, Inc.

      2,162        85,896  

Nordstrom, Inc.

      1,167        61,163  

Target Corp.

      1,788        144,256  
     

 

 

  
        375,822  
     

 

 

  

Multi-Utilities — 0.7%

      

CenterPoint Energy, Inc.

      1,034        29,448  

Consolidated Edison, Inc.

      1,227        96,847  

SCANA Corp.

      1,553        62,105  
     

 

 

  
        188,400  
     

 

 

  

Oil, Gas & Consumable Fuels — 5.7%

      

Andeavor

      542        81,333  

Chevron Corp.

      3,424        432,348  

ConocoPhillips

      422        30,456  

Exxon Mobil Corp.

      5,719        466,156  

HollyFrontier Corp.

      1,023        76,295  

Kinder Morgan, Inc.

      5,430        96,545  

Marathon Oil Corp.

      1,057        22,324  

Marathon Petroleum Corp.

      1,454        117,527  

PBF Energy, Inc., Class A

      1,147        53,565  

Targa Resources Corp.

      1,024        52,296  

Valero Energy Corp.

      1,284        151,961  
     

 

 

  
        1,580,806  
     

 

 

  

Paper & Forest Products — 0.2%

      

Domtar Corp.

      1,261        60,805  
     

 

 

  

Personal Products — 0.2%

      

Nu Skin Enterprises, Inc., Class A

      776        56,531  
     

 

 

  

Pharmaceuticals — 4.7%

      

Johnson & Johnson

      3,348        443,677  

Merck & Co., Inc.

      5,916        389,687  

Pfizer, Inc.

      11,979        478,321  
     

 

 

  
        1,311,685  
     

 

 

  

Professional Services — 0.5%

      

ManpowerGroup, Inc.

      600        55,956  

Nielsen Holdings plc

      1,540        36,282  

Robert Half International, Inc.

      800        60,608  
     

 

 

  
        152,846  
     

 

 

  

Road & Rail — 1.7%

      

Genesee & Wyoming, Inc., Class A *

      496        42,656  

Kansas City Southern

      709        82,436  

Norfolk Southern Corp.

      907        153,283  

Ryder System, Inc.

      631        49,407  

Union Pacific Corp.

      881        132,053  
     

 

 

  
        459,835  
     

 

 

  

Semiconductors & Semiconductor Equipment — 8.3%

 

   

Analog Devices, Inc.

      1,093        105,081  

Applied Materials, Inc.

      2,804        136,358  
 

JPMorgan U.S. Value Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

 

Semiconductors & Semiconductor Equipment — continued

 

Broadcom, Inc.

      873        193,605  

Cypress Semiconductor Corp.

      2,300        40,963  

Intel Corp.

      9,947        478,451  

KLA-Tencor Corp.

      785        92,175  

Lam Research Corp.

      590        112,477  

Marvell Technology Group Ltd.

      1,978        42,151  

Maxim Integrated Products, Inc.

      1,464        89,509  

Micron Technology, Inc. *

      2,629        138,785  

MKS Instruments, Inc.

      340        32,062  

NXP Semiconductors NV (Netherlands) *

      802        76,463  

ON Semiconductor Corp. *

      2,214        48,819  

QUALCOMM, Inc.

      3,601        230,788  

Skyworks Solutions, Inc.

      693        65,544  

Teradyne, Inc.

      1,581        68,378  

Texas Instruments, Inc.

      2,365        263,272  

Xilinx, Inc.

      1,223        88,142  
     

 

 

  
        2,303,023  
     

 

 

  

Software — 3.8%

      

CA, Inc.

      2,140        94,610  

Microsoft Corp.

      5,555        589,274  

Oracle Corp.

      6,729        320,839  

Symantec Corp.

      2,415        48,831  
     

 

 

  
        1,053,554  
     

 

 

  

Specialty Retail — 1.7%

      

AutoNation, Inc. *

      860        41,736  

Best Buy Co., Inc.

      1,260        94,538  

Dick’s Sporting Goods, Inc.

      1,083        36,974  

Foot Locker, Inc.

      1,097        53,544  

Gap, Inc. (The)

      2,217        66,887  

L Brands, Inc.

      1,219        38,606  

Penske Automotive Group, Inc.

      789        41,186  

Urban Outfitters, Inc. *

      1,463        64,957  

Williams-Sonoma, Inc.

      695        40,650  
     

 

 

  
        479,078  
     

 

 

  

Technology Hardware, Storage & Peripherals — 3.8%

      

Apple, Inc.

      2,938        559,072  

Hewlett Packard Enterprise Co.

      6,066        93,659  

HP, Inc.

      5,608        129,433  

NCR Corp. *

      1,120        31,270  

NetApp, Inc.

      1,321        102,404  

Western Digital Corp.

      1,220        85,583  

Xerox Corp.

      2,054        53,342  
     

 

 

  
        1,054,763  
     

 

 

  

Textiles, Apparel & Luxury Goods — 1.2%

      

Hanesbrands, Inc.

      1,717        38,220  

Michael Kors Holdings Ltd. *

      927        61,859  

PVH Corp.

      491        75,378  

Ralph Lauren Corp.

      514        69,380  

Tapestry, Inc.

      1,649        77,701  
     

 

 

  
        322,538  
     

 

 

  

Thrifts & Mortgage Finance — 0.2%

      

New York Community Bancorp, Inc.

      5,007        53,925  
     

 

 

  

Trading Companies & Distributors — 0.6%

      

MSC Industrial Direct Co., Inc., Class A

      502        42,484  

WESCO International, Inc. *

      610        37,210  

Investments

    Shares      Value($)  

Trading Companies & Distributors — continued

 

   

WW Grainger, Inc.

      265        91,839  
     

 

 

  
        171,533  
     

 

 

  

Transportation Infrastructure — 0.3%

      

Macquarie Infrastructure Corp.

      1,571        71,339  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $26,499,662)

         27,725,846  
     

 

 

  

SHORT-TERM INVESTMENTS — 0.5%

      

INVESTMENT COMPANIES — 0.5%

 

JPMorgan U.S. Government Money Market Fund
Class Institutional Shares, 1.77% (a)(b)
(Cost $125,241)

      125,241        125,241  
     

 

 

  

Total Investments — 100.3%
(Cost $26,624,903)

         27,851,087  

Liabilities in Excess of Other Assets — (0.3%)

         (70,132 ) 
     

 

 

  

Net Assets — 100.0%

         27,780,955  
     

 

 

  

 

Percentages indicated are based on net assets.

(a)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)       The rate shown is the current yield as of July 31, 2018.
*       Non-income producing security.
 

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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.

JPMorgan U.S. Value Factor ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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 (the “Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.

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”):

 

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

Total Investments in Securities (a)

    $ 27,851,087      $ —        $ —        $ 27,851,087  
  

 

 

     

 

 

     

 

 

     

 

 

  

 

  (a)

All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

JPMorgan Diversified Alternatives ETF

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments    Shares      Value($)  

COMMON STOCKS — 51.1%

 

Aerospace & Defense — 1.8%

 

Boeing Co. (The)

      838        298,579  

L3 Technologies, Inc.

      1,468        314,798  

Rockwell Collins, Inc.

      22,312        3,101,145  
     

 

 

  
        3,714,522  
     

 

 

  

Auto Components — 0.5%

      

BorgWarner, Inc.

      5,048        232,309  

Cooper-Standard Holdings, Inc. *

      1,682        226,734  

Gentex Corp.

      10,067        233,554  

Lear Corp.

      1,239        223,181  
     

 

 

  
        915,778  
     

 

 

  

Automobiles — 0.1%

      

Thor Industries, Inc.

      2,286        216,827  
     

 

 

  

Banks — 0.2%

      

Customers Bancorp, Inc. *

      6,200        157,914  

Umpqua Holdings Corp.

      13,238        281,969  
     

 

 

  
        439,883  
     

 

 

  

Beverages — 0.2%

      

PepsiCo, Inc.

      2,588        297,620  
     

 

 

  

Biotechnology — 0.2%

      

Sirtex Medical Ltd. (Australia)

      16,679        394,035  
     

 

 

  

Building Products — 1.8%

      

Continental Building Products, Inc. *

      9,189        293,129  

Owens Corning

      4,470        278,124  

USG Corp. *

      73,151        3,161,586  
     

 

 

  
        3,732,839  
     

 

 

  

Capital Markets — 0.6%

      

Artisan Partners Asset Management, Inc., Class A

      9,414        324,312  

BGC Partners, Inc., Class A

      36,214        388,938  

Houlihan Lokey, Inc.

      5,657        278,098  

Waddell & Reed Financial, Inc., Class A

      15,539        321,813  
     

 

 

  
        1,313,161  
     

 

 

  

Chemicals — 1.1%

      

CF Industries Holdings, Inc.

      6,843        303,966  

Eastman Chemical Co.

      2,969        307,648  

Huntsman Corp.

      9,600        321,888  

LyondellBasell Industries NV, Class A

      2,747        304,340  

Platform Specialty Products Corp. *

      62,800        776,208  

Westlake Chemical Corp.

      2,764        296,356  
     

 

 

  
        2,310,406  
     

 

 

  

Commercial Services & Supplies — 0.6%

      

Brady Corp., Class A

      7,984        305,388  

Deluxe Corp.

      4,597        270,901  

KAR Auction Services, Inc.

      4,976        295,823  

Quad/Graphics, Inc.

      15,005        308,503  
     

 

 

  
        1,180,615  
     

 

 

  

Communications Equipment — 0.8%

      

Cisco Systems, Inc.

      7,515        317,810  

Mitel Networks Corp. *

      78,231        858,194  

Motorola Solutions, Inc.

      2,864        347,403  
     

 

 

  
        1,523,407  
     

 

 

  

Construction & Engineering — 0.3%

      

EMCOR Group, Inc.

      3,835        295,103  

Jacobs Engineering Group, Inc.

      4,502        304,471  
     

 

 

  
        599,574  
     

 

 

  
Investments    Shares      Value($)  

Consumer Finance — 0.3%

      

Ally Financial, Inc.

      10,645        284,860  

Discover Financial Services

      4,079        291,282  
     

 

 

  
        576,142  
     

 

 

  

Containers & Packaging — 0.3%

      

Greif, Inc., Class A

      5,608        305,356  

Sealed Air Corp.

      8,900        392,223  
     

 

 

  
        697,579  
     

 

 

  

Diversified Consumer Services — 0.1%

      

H&R Block, Inc.

      9,075        228,327  
     

 

 

  

Diversified Financial Services — 0.3%

      

Kinnevik AB, Class B (Sweden)

      19,001        655,796  
     

 

 

  

Diversified Telecommunication Services — 0.1%

      

Vonage Holdings Corp. *

      22,323        285,958  
     

 

 

  

Electric Utilities — 0.4%

      

Exelon Corp.

      7,094        301,495  

FirstEnergy Corp.

      8,448        299,313  

IDACORP, Inc.

      3,194        301,002  
     

 

 

  
        901,810  
     

 

 

  

Electrical Equipment — 0.6%

      

Eaton Corp. plc

      3,829        318,458  

Generac Holdings, Inc. *

      5,788        311,105  

Regal Beloit Corp.

      3,587        308,303  

Sensata Technologies Holding plc *

      5,912        321,435  
     

 

 

  
        1,259,301  
     

 

 

  

Electronic Equipment, Instruments & Components — 2.0%

 

FLIR Systems, Inc.

      6,107        357,870  

Littelfuse, Inc.

      1,319        285,985  

VeriFone Systems, Inc. *

      134,154        3,072,127  

Vishay Intertechnology, Inc.

      13,776        344,400  
     

 

 

  
        4,060,382  
     

 

 

  

Energy Equipment & Services — 0.5%

      

Diamond Offshore Drilling, Inc. *

      16,079        308,717  

National Oilwell Varco, Inc.

      6,954        338,103  

Seadrill Ltd. (United Kingdom) *

      6,500        130,520  

Tidewater, Inc. *

      5,100        175,083  
     

 

 

  
        952,423  
     

 

 

  

Food & Staples Retailing — 1.1%

      

SUPERVALU, Inc. *

      44,164        1,427,381  

United Natural Foods, Inc. *

      6,892        221,922  

Walgreens Boots Alliance, Inc.

      4,555        308,009  

Walmart, Inc.

      3,382        301,776  
     

 

 

  
        2,259,088  
     

 

 

  

Food Products — 0.6%

      

Flowers Foods, Inc.

      14,487        295,535  

Ingredion, Inc.

      3,718        376,633  

JM Smucker Co. (The)

      2,717        301,913  

Sanderson Farms, Inc.

      3,007        303,196  
     

 

 

  
        1,277,277  
     

 

 

  

Health Care Equipment & Supplies — 1.4%

      

Abaxis, Inc.

      10,956        909,348  

Baxter International, Inc. (a)

      3,966        287,336  

Becton Dickinson and Co. (a)

      1,202        300,945  

Danaher Corp.

      2,919        299,431  

NxStage Medical, Inc. *

      23,311        654,340  

STERIS plc

      2,647        303,002  
     

 

 

  
        2,754,402  
     

 

 

  

Health Care Providers & Services — 4.5%

      

Aetna, Inc.

      4,368        822,888  

Chemed Corp.

      903        285,375  

Encompass Health Corp.

      4,251        321,503  

Envision Healthcare Corp. *

      70,188        3,106,521  
 

JPMorgan Diversified Alternatives ETF

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments    Shares      Value($)  

COMMON STOCKS — continued

      

Health Care Providers & Services — continued

      

Express Scripts Holding Co. *

      5,164        410,332  

Humana, Inc.

      928        291,559  

LifePoint Health, Inc.*

      46,479        3,011,839  

MEDNAX, Inc. *

      2,300        98,417  

Quest Diagnostics, Inc.

      2,582        278,133  

UnitedHealth Group, Inc.

      1,165        295,001  

WellCare Health Plans, Inc. *

      1,150        307,533  
     

 

 

  
        9,229,101  
     

 

 

  

Health Care Technology — 1.5%

      

athenahealth, Inc. *

      5,274        794,844  

Cotiviti Holdings, Inc. *

      48,834        2,179,950  
     

 

 

  
        2,974,794  
     

 

 

  

Hotels, Restaurants & Leisure — 0.8%

      

Brinker International, Inc.

      10,900        514,153  

Churchill Downs, Inc.

      1,400        400,330  

Hyatt Hotels Corp., Class A

      2,721        212,864  

Royal Caribbean Cruises Ltd.

      2,019        227,662  

Sonic Corp.

      2,600        91,390  

Wyndham Destinations, Inc.

      4,806        221,653  
     

 

 

  
        1,668,052  
     

 

 

  

Household Durables — 0.4%

      

PulteGroup, Inc.

      7,132        203,191  

Taylor Morrison Home Corp., Class A *

      10,582        206,666  

Toll Brothers, Inc.

      6,014        212,054  

William Lyon Homes, Class A *

      9,429        205,835  
     

 

 

  
        827,746  
     

 

 

  

Household Products — 0.2%

      

Energizer Holdings, Inc.

      4,626        294,584  
     

 

 

  

Independent Power and Renewable Electricity Producers — 0.4%

 

NRG Energy, Inc.

      9,334        295,608  

NRG Yield, Inc., Class C

      16,604        308,834  

Vistra Energy Corp. *

      12,776        288,738  
     

 

 

  
        893,180  
     

 

 

  

Insurance — 3.0%

      

Aflac, Inc. (a)

      6,857        319,125  

AmTrust Financial Services, Inc.

      109,454        1,584,894  

First American Financial Corp.

      5,482        306,992  

Old Republic International Corp.

      14,559        310,252  

Prudential Financial, Inc.

      3,085        311,307  

Stewart Information Services Corp.

      401        18,222  

Universal Insurance Holdings, Inc.

      7,883        350,005  

XL Group Ltd. (Bermuda)

      53,330        2,998,746  
     

 

 

  
        6,199,543  
     

 

 

  

Internet Software & Services — 0.7%

      

Match Group, Inc. *

      7,544        272,489  

Web.com Group, Inc. *

      41,580        1,045,737  
     

 

 

  
        1,318,226  
     

 

 

  

IT Services — 2.6%

      

Accenture plc, Class A

      2,028        323,121  

Amdocs Ltd.

      4,727        319,451  

Cognizant Technology Solutions Corp., Class A

      4,168        339,692  

Convergys Corp.

      13,060        321,276  

CSG Systems International, Inc.

      7,651        311,166  

ManTech International Corp., Class A

      6,050        362,092  

Mastercard, Inc., Class A

      1,653        327,294  

MAXIMUS, Inc.

      5,233        339,151  

Syntel, Inc. *

      41,506        1,684,728  

Total System Services, Inc.

      3,789        346,845  

Visa, Inc., Class A

      2,440        333,646  

Western Union Co. (The)

      15,810        318,730  
     

 

 

  
        5,327,192  
     

 

 

  
Investments    Shares      Value($)  

Life Sciences Tools & Services — 0.8%

      

Agilent Technologies, Inc.

      4,666        308,142  

Cambrex Corp. *

      5,300        331,250  

Charles River Laboratories International, Inc. *

      2,386        296,580  

ICON plc *

      2,108        293,349  

Medpace Holdings, Inc. *

      6,145        377,119  
     

 

 

  
        1,606,440  
     

 

 

  

Machinery — 1.6%

      

Allison Transmission Holdings, Inc.

      7,110        334,170  

Caterpillar, Inc.

      2,176        312,909  

Crane Co.

      3,591        325,237  

Cummins, Inc.

      2,193        313,182  

Greenbrier Cos., Inc. (The)

      5,171        292,937  

Hillenbrand, Inc.

      5,996        300,999  

Illinois Tool Works, Inc.

      2,181        312,603  

Ingersoll-Rand plc

      3,257        320,847  

Terex Corp.

      10,300        454,436  

Trinity Industries, Inc.

      2,200        83,820  

Watts Water Technologies, Inc., Class A

      3,559        304,473  
     

 

 

  
        3,355,613  
     

 

 

  

Marine — 0.1%

      

DryShips, Inc. (Greece)

      24,000        126,480  
     

 

 

  

Media — 2.4%

      

APN Outdoor Group Ltd. (Australia)

      142,276        666,631  

John Wiley & Sons, Inc., Class A

      3,401        214,773  

Madison Square Garden Co. (The), Class A *

      2,100        655,578  

Omnicom Group, Inc.

      3,245        223,353  

Sinclair Broadcast Group, Inc., Class A

      8,352        215,482  

Twenty-First Century Fox, Inc., Class A

      65,738        2,958,210  
     

 

 

  
        4,934,027  
     

 

 

  

Metals & Mining — 0.5%

      

Alcoa Corp. *

      7,278        314,919  

Sandstorm Gold Ltd. (Canada) *

      18,700        82,801  

Schnitzer Steel Industries, Inc., Class A

      8,913        293,684  

Steel Dynamics, Inc.

      6,254        294,501  
     

 

 

  
        985,905  
     

 

 

  

Multiline Retail — 0.3%

      

Kohl’s Corp.

      3,048        225,156  

Macy’s, Inc.

      5,719        227,216  

Target Corp.

      2,861        230,825  
     

 

 

  
        683,197  
     

 

 

  

Multi-Utilities — 2.7%

      

Avista Corp.

      8,779        444,042  

Innogy SE (Germany) *

      37,559        1,614,739  

MDU Resources Group, Inc.

      10,180        295,220  

Vectren Corp.

      43,278        3,093,078  
     

 

 

  
        5,447,079  
     

 

 

  

Oil, Gas & Consumable Fuels — 1.3%

      

Chevron Corp.

      2,416        305,068  

ConocoPhillips

      4,210        303,836  

CONSOL Energy, Inc. *

      7,034        292,826  

Delek US Holdings, Inc.

      6,126        326,638  

HollyFrontier Corp.

      4,174        311,297  

Murphy Oil Corp.

      9,342        310,715  

Peabody Energy Corp.

      11,582        492,119  

Valero Energy Corp.

      2,784        329,486  
     

 

 

  
        2,671,985  
     

 

 

  
 

JPMorgan Diversified Alternatives ETF

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments    Shares      Value($)  

COMMON STOCKS — continued

      

Paper & Forest Products — 1.7%

 

Domtar Corp.

      6,275        302,580  

KapStone Paper and Packaging Corp.

      83,369        2,899,574  

Louisiana-Pacific Corp.

      11,189        301,208  
     

 

 

  
        3,503,362  
     

 

 

  

Personal Products — 0.7%

      

Herbalife Nutrition Ltd. *

      5,676        293,052  

Nu Skin Enterprises, Inc., Class A

      3,979        289,870  

Ontex Group NV (Belgium)

      27,328        826,283  
     

 

 

  
        1,409,205  
     

 

 

  

Pharmaceuticals — 1.5%

      

Bristol-Myers Squibb Co.

      5,338        313,608  

Eli Lilly & Co.

      6,600        652,146  

Green Organic Dutchman Holdings Ltd. (The) (Canada) *

      5,400        21,378  

Horizon Pharma plc *

      16,959        298,987  

Johnson & Johnson

      2,353        311,820  

Novartis AG (Registered) (Switzerland)

      8,563        718,622  

Pfizer, Inc.

      7,958        317,763  

STADA Arzneimittel AG (Germany)

      2,118        202,097  

Taro Pharmaceutical Industries Ltd. *

      2,596        291,427  
     

 

 

  
        3,127,848  
     

 

 

  

Professional Services — 0.3%

      

FTI Consulting, Inc. *

      4,459        352,083  

ICF International, Inc.

      4,105        302,333  
     

 

 

  
        654,416  
     

 

 

  

Road & Rail — 0.1%

      

ArcBest Corp.

      6,321        294,243  
     

 

 

  

Semiconductors & Semiconductor Equipment — 2.6%

 

Applied Materials, Inc.

      6,835        332,386  

Cabot Microelectronics Corp.

      2,975        358,339  

Entegris, Inc.

      9,082        319,232  

First Solar, Inc. *

      6,167        322,842  

Lam Research Corp.

      1,901        362,407  

Maxim Integrated Products, Inc.

      5,495        335,964  

MKS Instruments, Inc.

      3,214        303,080  

NXP Semiconductors NV (Netherlands) *

      21,358        2,036,272  

Rudolph Technologies, Inc. *

      10,357        296,210  

Teradyne, Inc.

      8,543        369,485  

Texas Instruments, Inc.

      2,914        324,387  
     

 

 

  
        5,360,604  
     

 

 

  

Software — 1.2%

      

Avaya Holdings Corp. *

      6,000        123,480  

Blackbaud, Inc.

      3,024        301,826  

Citrix Systems, Inc. *

      3,065        337,058  

Intuit, Inc.

      1,576        321,882  

Oracle Corp.

      7,135        340,197  

Progress Software Corp.

      7,567        278,390  

Synopsys, Inc. *

      3,689        329,907  

VMware, Inc., Class A *

      2,199        317,953  
     

 

 

  
        2,350,693  
     

 

 

  

Specialty Retail — 1.8%

      

Abercrombie & Fitch Co., Class A

      8,624        204,303  

American Eagle Outfitters, Inc.

      9,138        230,095  

Best Buy Co., Inc.

      2,945        220,963  

Caleres, Inc.

      6,204        207,772  

Chico’s FAS, Inc.

      25,169        218,970  

Children’s Place, Inc. (The)

      2,494        306,513  

Dick’s Sporting Goods, Inc.

      6,371        217,506  

DSW, Inc., Class A

      8,119        222,785  

Foot Locker, Inc.

      4,316        210,664  

Gap, Inc. (The)

      7,420        223,861  
Investments    Shares      Value($)  

Specialty Retail — continued

      

Rent-A-Center, Inc. *

      56,038        831,604  

Tailored Brands, Inc.

      11,200        225,792  

Zumiez, Inc. *

      12,647        286,455  
     

 

 

  
        3,607,283  
     

 

 

  

Technology Hardware, Storage & Peripherals — 0.6%

 

Apple, Inc.

      1,778        338,335  

HP, Inc.

      13,083        301,956  

NetApp, Inc.

      3,632        281,553  

Seagate Technology plc

      5,704        300,144  
     

 

 

  
        1,221,988  
     

 

 

  

Textiles, Apparel & Luxury Goods — 0.4%

 

Deckers Outdoor Corp. *

      1,898        214,151  

Movado Group, Inc.

      4,601        229,130  

Ralph Lauren Corp.

      1,644        221,907  

Wolverine World Wide, Inc.

      6,236        220,630  
     

 

 

  
        885,818  
     

 

 

  

Trading Companies & Distributors — 0.2%

 

Applied Industrial Technologies, Inc.

      3,941        294,196  

WESCO International, Inc. *

      2,500        152,500  
     

 

 

  
        446,696  
     

 

 

  

Water Utilities — 0.3%

      

SJW Group

      9,081        587,359  
     

 

 

  

TOTAL COMMON STOCKS
(Cost $100,397,970)

 

      104,539,811  
     

 

 

  

SHORT-TERM INVESTMENTS — 41.9%

 

INVESTMENT COMPANIES — 41.9%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (b)(c)
(Cost $85,614,658)

      85,614,658        85,614,658  
     

 

 

  

Total Investments — 93.0%
(Cost $186,012,628)

 

      190,154,469  

Other Assets Less Liabilities — 7.0%

 

      14,379,657  
     

 

 

  

Net Assets — 100.0%

 

      204,534,126  
     

 

 

  

 

Percentages indicated are based on net assets.

 

JPMorgan Diversified Alternatives ETF

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Futures contracts outstanding as of July 31, 2018:

 

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

Long Contracts

 

CAC 40 10 Euro Index

      29       08/2018        EUR        1,865,564       29,678  

Feeder Cattle

      4       08/2018        USD        298,650       (9,887 ) 

Hang Seng Index

      1       08/2018        HKD        181,466       (3,566 ) 

LME Aluminum Base Metal

      39       08/2018        USD        2,015,569       (105,731 ) 

LME Nickel Base Metal

      16       08/2018        USD        1,339,488       (33,456 ) 

LME Zinc Base Metal

      41       08/2018        USD        2,701,900       (95,449 ) 

WTI Crude Oil

      11       08/2018        USD        756,360       15,931  

Australia 10 Year Bond

      293       09/2018        AUD        28,126,737       273,806  

Canada 10 Year Bond

      27       09/2018        CAD        2,797,240       3,140  

Cocoa

      12       09/2018        USD        260,400       (19,686 ) 

EURO STOXX 50 Index

      8       09/2018        EUR        329,420       6,934  

Euro-Bobl

      54       09/2018        EUR        8,310,500       (23,246 ) 

Euro-Bund

      22       09/2018        EUR        4,156,759       (12,100 ) 

Euro-Buxl

      16       09/2018        EUR        3,285,406       (7,919 ) 

Euro-Schatz

      254       09/2018        EUR        33,237,452       (37,960 ) 

Feeder Cattle

      20       09/2018        USD        1,495,750       (3,284 ) 

FTSE 100 Index

      22       09/2018        GBP        2,221,616       25,469  

FTSE/MIB Index

      3       09/2018        EUR        388,338       2,470  

Japan 10 Year Bond

      24       09/2018        JPY        32,344,140       (14,120 ) 

LME Aluminum Base Metal

      42       09/2018        USD        2,179,538       (46,744 ) 

LME Nickel Base Metal

      24       09/2018        USD        2,014,200       (67,056 ) 

Long Gilt

      3       09/2018        GBP        483,071       (3,467 ) 

Natural Gas

      35       09/2018        USD        979,300       (2,660 ) 

S&P 500 E-Mini Index

      8       09/2018        USD        1,126,840       21,029  

SPI 200 Index

      24       09/2018        AUD        2,775,728       52,654  

TOPIX Index

      4       09/2018        JPY        628,044       (1,793 ) 

U.S. Treasury 10 Year Note

      196       09/2018        USD        23,406,688       27,131  

Wheat

      10       09/2018        USD        276,875       32,333  

WTI Crude Oil

      48       09/2018        USD        3,246,240       (59,758 ) 

Lean Hogs

      40       10/2018        USD        811,600       (140,538 ) 

Live Cattle

      37       10/2018        USD        1,617,640       (20,019 ) 

LME Zinc Base Metal

      24       10/2018        USD        1,575,450       30,378  

WTI Crude Oil

      20       10/2018        USD        1,345,400       (18,233 ) 

Cotton No. 2

      122       12/2018        USD        5,464,990       153,973  

Lean Hogs

      68       12/2018        USD        1,266,160       (491 ) 

Cotton No. 2

      40       03/2019        USD        1,790,000       1,680  
            

 

 

  
               (50,557 ) 
            

 

 

  

Short Contracts

             

IBEX 35 Index

      (7 )      08/2018        EUR        (807,026 )      (10,663 ) 

LME Aluminum Base Metal

      (39 )      08/2018        USD        (2,015,569 )      (5,606 ) 

LME Nickel Base Metal

      (16 )      08/2018        USD        (1,339,488 )      (14,784 ) 

LME Zinc Base Metal

      (41 )      08/2018        USD        (2,701,900 )      (61,624 ) 

Natural Gas

      (2 )      08/2018        USD        (55,640 )      (1,920 ) 

Australia 3 Year Bond

      (28 )      09/2018        AUD        (2,314,309 )      (6,152 ) 

Canada 10 Year Bond

      (5 )      09/2018        CAD        (518,007 )      4,008  

Coffee ‘C’

      (36 )      09/2018        USD        (1,483,650 )      219,154  

Copper

      (5 )      09/2018        USD        (353,938 )      (18,576 ) 

Euro-Bund

      (125 )      09/2018        EUR        (23,617,946 )      (34,147 ) 

Japan 10 Year Bond

      (15 )      09/2018        JPY        (20,215,087 )      (1,579 ) 

LME Aluminum Base Metal

      (12 )      09/2018        USD        (622,725 )      (13,200 ) 

LME Zinc Base Metal

      (9 )      09/2018        USD        (592,425 )      58,754  

Long Gilt

      (19 )      09/2018        GBP        (3,059,449 )      (24,895 ) 

S&P 500 E-Mini Index

      (160 )      09/2018        USD        (22,536,800 )      (250,100 ) 

Silver

      (16 )      09/2018        USD        (1,244,720 )      56,282  

Soybean

      (29 )      09/2018        USD        (1,317,688 )      (65,461 ) 

Sugar No. 11

      (51 )      09/2018        USD        (602,616 )      131,133  

U.S. Treasury 10 Year Note

      (31 )      09/2018        USD        (3,702,078 )      1,213  

U.S. Treasury 2 Year Note

      (135 )      09/2018        USD        (28,531,406 )      38,239  

JPMorgan Diversified Alternatives ETF

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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

U.S. Treasury 5 Year Note

      (69 )      09/2018        USD        (7,804,547 )      683  

U.S. Treasury Long Bond

      (10 )      09/2018        USD        (1,430,313 )      2,493  

Lean Hogs

      (35 )      10/2018        USD        (710,150 )      126,877  

Live Cattle

      (28 )      10/2018        USD        (1,224,160 )      5,817  

Soybean

      (17 )      11/2018        USD        (781,150 )      (21,088 ) 

100 oz Gold

      (13 )      12/2018        USD        (1,603,680 )      5,555  

Coffee ‘C’

      (97 )      12/2018        USD        (4,114,013 )      50,764  

Corn

      (155 )      12/2018        USD        (2,995,375 )      (21,007 ) 

Live Cattle

      (36 )      12/2018        USD        (1,626,840 )      20,734  

Wheat

      (66 )      12/2018        USD        (1,891,725 )      (55,295 ) 

Sugar No. 11

      (171 )      02/2019        USD        (2,198,650 )      191,498  

Coffee ‘C’

      (38 )      03/2019        USD        (1,661,550 )      5,173  

Corn

      (41 )      03/2019        USD        (813,850 )      (12,421 ) 

Wheat

      (43 )      03/2019        USD        (1,263,663 )      (11,402 ) 

Sugar No. 11

      (48 )      04/2019        USD        (628,454 )      21,840  
            

 

 

  
               310,297  
            

 

 

  
               259,740  
            

 

 

  

JPMorgan Diversified Alternatives ETF

CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Forward foreign currency exchange contracts outstanding as of July 31, 2018:

 

Currency Purchased      Currency Sold     

Counterparty

    Settlement
Date		    Unrealized
Appreciation
(Depreciation) ($)		  
AUD      13,406,941      USD      9,897,151      Merrill Lynch International    8/17/2018      64,468  
CAD      15,556,315      USD      11,854,991      HSBC Bank, NA    8/17/2018      106,853  
CHF      503,974      USD      509,247      Merrill Lynch International    8/17/2018      398  
MXN      38,431,138      USD      1,988,821      Credit Suisse International    8/17/2018      67,781  
NZD      12,624,502      USD      8,599,230      Deutsche Bank AG    8/17/2018      5,454  
PHP      99,530,939      USD      1,853,808      Merrill Lynch International**    8/17/2018      23,396  
SEK      3,773,330      USD      427,767      BNP Paribas SA    8/17/2018      1,874  
USD      20,422,004      EUR      17,384,075      Barclays Bank plc    8/17/2018      70,495  
USD      841,062      EUR      716,965      HSBC Bank, NA    8/17/2018      1,712  
USD      2,982,977      GBP      2,249,023      HSBC Bank, NA    8/17/2018      29,111  
USD      1,795,638      ILS      6,519,315      Credit Suisse International    8/17/2018      18,542  
USD      12,117,878      JPY      1,337,327,828      HSBC Bank, NA    8/17/2018      145,337  
USD      18,865,006      SEK      164,436,449      State Street Corp.    8/17/2018      141,863  
USD      1,817,764      THB      60,284,144      Citibank NA    8/17/2018      5,214  
USD      1,767,403      TWD      53,703,770      Merrill Lynch International**    8/17/2018      8,798  
ZAR      24,303,887      USD      1,796,408      Citibank NA    8/17/2018      45,397  
IDR      26,118,870,084      USD      1,803,167      Merrill Lynch International**    8/20/2018      7,785  
INR      120,979,717      USD      1,750,108      Merrill Lynch International**    8/20/2018      12,214  
                 

 

 

  

Total unrealized appreciation

         756,692  
                 

 

 

  
USD      1,192,668      AUD      1,617,030      BNP Paribas SA    8/3/2018      (8,714 ) 
AUD      8,223,818      USD      6,116,212      State Street Corp.    8/17/2018      (5,754 ) 
CHF      5,790,888      USD      5,859,770      Credit Suisse International    8/17/2018      (3,720 ) 
EUR      400,177      AUD      634,230      Goldman Sachs International    8/17/2018      (2,758 ) 
EUR      5,829,202      USD      6,842,783      State Street Corp.    8/17/2018      (18,546 ) 
GBP      1,867,080      USD      2,475,628      Standard Chartered Bank    8/17/2018      (23,406 ) 
JPY      486,993,480      USD      4,418,716      Barclays Bank plc    8/17/2018      (58,866 ) 
NOK      6,345,430      USD      786,308      Goldman Sachs International    8/17/2018      (7,851 ) 
NOK      79,612,188      USD      9,917,058      State Street Corp.    8/17/2018      (150,247 ) 
SEK      21,559,273      USD      2,473,535      HSBC Bank, NA    8/17/2018      (18,743 ) 
THB      60,284,144      USD      1,816,335      Standard Chartered Bank    8/17/2018      (3,785 ) 
TRY      8,528,350      USD      1,777,142      Citibank NA    8/17/2018      (57,703 ) 
USD      898,103      AUD      1,217,331      Standard Chartered Bank    8/17/2018      (6,398 ) 
USD      7,516,377      CAD      9,875,302      Royal Bank of Canada    8/17/2018      (77,119 ) 
USD      819,141      CHF      820,752      Barclays Bank plc    8/17/2018      (10,846 ) 
USD      24,016,715      CHF      23,801,484      State Street Corp.    8/17/2018      (52,595 ) 
USD      1,916,442      EUR      1,645,123      TD Bank Financial Group    8/17/2018      (9,501 ) 
USD      1,826,436      HUF      505,731,122      Citibank NA    8/17/2018      (19,198 ) 
USD      1,803,167      KRW      2,016,264,974      Merrill Lynch International**    8/17/2018      (3,776 ) 
USD      152,343      MXN      2,981,095      State Street Corp.    8/17/2018      (7,187 ) 
USD      1,347,596      NZD      1,989,376      HSBC Bank, NA    8/17/2018      (8,335 ) 
USD      1,855,363      PHP      99,530,939      Merrill Lynch International**    8/17/2018      (21,841 ) 
USD      1,837,352      PLN      6,782,578      Citibank NA    8/17/2018      (18,906 ) 
USD      1,199,352      AUD      1,617,030      Barclays Bank plc    9/5/2018      (2,229 ) 
                 

 

 

  

Total unrealized depreciation

         (598,024 ) 
                 

 

 

  

Net unrealized appreciation

         158,668  
                 

 

 

  

Over the Counter (“OTC”) Total Return Swap contracts outstanding as of July 31, 2018:

 

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 Gen, Inc. CVR ‡   Total appreciation of the position at maturity  

Total appreciation/depreciation

of the position at maturity

   At Termination   Bank of America     11/16/2018    

USD

1,329

     —       65
             

 

 

    

 

                —       65
             

 

 

    

 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited)

 

Over the Counter (“OTC”) Total Return Basket Swaps Outstanding at July 31, 2018

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

    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 GBP based on the local currencies of the positions within the swaps.    3/29/2019    $ (1,120,206 )    $ 89,699      $ (17,214 )    $ 72,485  
               

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Airlines

         

International Consolidated Airlines Group SA

      33,528       312,036       6,703       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

Kier Group plc

      9,799       124,372       1,293       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

Petrofac Ltd.

      17,304       139,142       14,546       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Carnival plc

      453       26,296       (302 )      (0.0 )(d) 

William Hill plc

      5,283       20,621       (399 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     5,736       46,917       (701 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Berkeley Group Holdings plc

      1,426       69,797       980       0.0 (d) 

Bovis Homes Group plc

      15,290       231,143       (306 )      (0.0 )(d) 

Redrow plc

      9,543       67,277       78       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     26,259       368,217       752       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Pearson plc

      18,964       229,694       952       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Anglo American plc

      14,105       319,278       6,388       0.0 (d) 

BHP Billiton plc

      13,918       320,305       15,557       0.0 (d) 

Centamin plc

      42,403       66,107       (1,059 )      (0.0 )(d) 

Rio Tinto plc

      2,231       122,484       1,859       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     72,657       828,174       22,745       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Centrica plc

      6,876       13,425       (455 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

Vodafone Group plc

      32,078       78,365       2,622       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      223,201       2,140,342       48,457       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Aerospace & Defense

         

Cobham plc*

      (125,466 )      (205,702 )      10,902       0.0 (d) 

Rolls-Royce Holdings plc*

      (16,680 )      (216,866 )      (596 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (142,146 )      (422,568 )      10,306       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Standard Chartered plc

      (24,307 )      (219,185 )      (2,938 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

St James’s Place plc

      (13,674 )      (216,355 )      462       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Johnson Matthey plc

      (4,461 )      (219,784 )      138       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Consumer Services

         

Dignity plc

      (12,128 )      (160,833 )      (1,181 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Compass Group plc

      (7,415 )      (159,492 )      1,323       0.0 (d) 

InterContinental Hotels Group plc

      (2,494 )      (153,933 )      7,546       0.0 (d) 

Merlin Entertainments plc

      (30,134 )      (155,776 )      2,848       0.0 (d) 

 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Hotels, Restaurants & Leisure — continued

 

    

Whitbread plc

      (3,107 )      (159,607 )      3,646       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (43,150 )      (628,808 )      15,363       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

DCC plc

      (2,307 )      (213,437 )      496       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Weir Group plc (The)

      (8,435 )      (216,150 )      5,634       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

ITV plc

      (71,614 )      (154,778 )      9,024       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Fresnillo plc

      (15,038 )      (204,818 )      16,670       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multiline Retail

         

B&M European Value Retail SA

      (29,425 )      (159,218 )      1,110       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Tobacco

         

British American Tobacco plc

      (4,174 )      (229,454 )      (19,166 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

Bunzl plc

      (7,241 )      (215,160 )      5,324       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (378,100 )      (3,260,548 )      41,242       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (154,899 )      (1,120,206 )      89,699       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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 USD based on the local currencies of the positions within the swaps.    10/18/2018    $ (11,604,263 )    $ 469,944      $ 75,654      $ 545,598  
                

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

         

Common Stocks

         

Aerospace & Defense

         

TransDigm Group, Inc.

      (597 )      (224,197 )      (9,230 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Airlines

         

Spirit Airlines, Inc.*

      (5,330 )      (231,535 )      (12,952 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Signature Bank

      (1,794 )      (196,820 )      27,932       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

Clean Harbors, Inc.*

      (3,813 )      (217,074 )      (4,575 )      (0.0 )(d) 

Covanta Holding Corp.

      (13,260 )      (238,680 )      (20,553 )      (0.0 )(d) 

Healthcare Services Group, Inc.

      (4,330 )      (174,326 )      (7,621 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (21,403 )      (630,080 )      (32,749 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Communications Equipment

         

Infinera Corp.*

      (27,781 )      (231,138 )      19,169       0.0 (d) 

Lumentum Holdings, Inc.*

      (6,597 )      (344,693 )      46,509       0.0 (d) 

ViaSat, Inc.*

      (3,157 )      (222,063 )      (5,936 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (37,535 )      (797,894 )      59,742       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Consumer Finance

         

LendingClub Corp.*

      (40,899 )      (168,504 )      11,452       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Distributors

         

Core-Mark Holding Co., Inc.

      (6,587 )      (159,274 )      (1,515 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Diversified Consumer Services

 

    

Chegg, Inc.*

      (5,530 )      (153,181 )      8,793       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

Weatherford International plc*

      (64,035 )      (217,079 )      1,281       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Casey’s General Stores, Inc.

      (1,962 )      (214,604 )      (1,452 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Equipment & Supplies

         

DexCom, Inc.*

      (2,104 )      (200,153 )      17,653       0.0 (d) 

Insulet Corp.*

      (2,470 )      (205,405 )      13,560       0.0 (d) 

Nevro Corp.*

      (2,876 )      (161,804 )      11,101       0.0 (d) 

Wright Medical Group NV*

      (3,097 )      (78,757 )      (1,301 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (10,547 )      (646,119 )      41,013       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

MGM Resorts International

      (5,184 )      (162,622 )      (1,815 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

iRobot Corp.*

      (834 )      (66,094 )      (475 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet & Direct Marketing Retail

         

Netflix, Inc.*

      (449 )      (151,515 )      16,918       0.0 (d) 

Wayfair, Inc.*

      (1,269 )      (138,093 )      19,581       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,718 )      (289,608 )      36,499       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

ANGI Homeservices, Inc.*

      (12,864 )      (202,093 )      11,063       0.0 (d) 

Cornerstone OnDemand, Inc.*

      (3,990 )      (197,106 )      19,192       0.0 (d) 

GTT Communications, Inc.*

      (4,565 )      (202,914 )      6,619       0.0 (d) 

MINDBODY, Inc.*

      (5,100 )      (190,485 )      30,855       0.0 (d) 

Nutanix, Inc.*

      (3,914 )      (191,356 )      36,087       0.0 (d) 

Pandora Media, Inc.*

      (65,657 )      (442,528 )      97,829       0.0 (d) 

Wix.com Ltd.*

      (2,011 )      (191,045 )      27,651       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (98,101 )      (1,617,527 )      229,296       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Liberty Broadband Corp.*

      (2,102 )      (167,046 )      (1,051 )      (0.0 )(d) 

Lions Gate Entertainment Corp.

      (6,536 )      (155,883 )      131       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (8,638 )      (322,929 )      (920 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Coeur Mining, Inc.*

      (27,070 )      (189,490 )      27,882       0.0 (d) 

Compass Minerals International, Inc.

      (3,188 )      (216,306 )      (159 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (30,258 )      (405,796 )      27,723       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Dominion Energy, Inc.

      (3,031 )      (217,353 )      (5,334 )      (0.0 )(d) 

NiSource, Inc.

      (8,318 )      (217,765 )      (2,329 )      (0.0 )(d) 

Sempra Energy

      (1,884 )      (217,772 )      (2,393 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,233 )      (652,890 )      (10,056 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Cheniere Energy, Inc.*

      (3,448 )      (218,948 )      (4,275 )      (0.0 )(d) 

Chesapeake Energy Corp.*

      (47,567 )      (224,516 )      (2,854 )      (0.0 )(d) 

Concho Resources, Inc.*

      (1,827 )      (266,468 )      6,961       0.0 (d) 

Extraction Oil & Gas, Inc.*

      (15,270 )      (230,882 )      (18,324 )      (0.0 )(d) 

Parsley Energy, Inc.*

      (6,916 )      (217,370 )      1,936       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (75,028 )      (1,158,184 )      (16,556 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Aclaris Therapeutics, Inc.*

      (3,784 )      (64,858 )      11,579       0.0 (d) 

Aerie Pharmaceuticals, Inc.*

      (2,955 )      (199,610 )      17,878       0.0 (d) 

Nektar Therapeutics*

      (3,628 )      (190,833 )      (17,124 )      (0.0 )(d) 

Pacira Pharmaceuticals, Inc.*

      (5,684 )      (228,497 )      (17,905 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (16,051 )      (683,798 )      (5,572 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

AMERCO

      (577 )      (217,575 )      (6,601 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Advanced Micro Devices, Inc.*

      (8,166 )      (149,683 )      (12,086 )      (0.0 )(d) 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Semiconductors & Semiconductor Equipment — continued

 

    

Inphi Corp.*

      (6,594 )      (207,315 )      24,068       0.0 (d) 

MACOM Technology Solutions Holdings, Inc.*

      (9,369 )      (195,156 )      34,103       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (24,129 )      (552,154 )      46,085       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

Autodesk, Inc.*

      (1,615 )      (207,431 )      14,519       0.0 (d) 

HubSpot, Inc.*

      (1,619 )      (200,918 )      16,190       0.0 (d) 

PROS Holdings, Inc.*

      (4,744 )      (176,192 )      3,938       0.0 (d) 

Snap, Inc.*

      (16,330 )      (204,125 )      13,880       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (24,308 )      (788,666 )      48,527       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

CarMax, Inc.*

      (2,075 )      (154,961 )      5,582       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Diebold Nixdorf, Inc.

      (4,465 )      (50,678 )      3,795       0.0 (d) 

Pure Storage, Inc.*

      (9,150 )      (198,189 )      23,241       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,615 )      (248,867 )      27,036       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

SiteOne Landscape Supply, Inc.*

      (2,326 )      (207,386 )      2,652       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Water Utilities

         

American Water Works Co., Inc.

      (2,468 )      (217,801 )      (1,653 )      (0.0 )(d) 

California Water Service Group

      (5,307 )      (218,118 )      (2,123 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,775 )      (435,919 )      (3,776 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (520,069 )      (11,604,263 )      469,944       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month BA on short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.50%), which is denominated in CAD based on the local currencies of the positions within the swaps.    10/15/2018    $ (1,684,032 )    $ 79,659      $ 63,442      $ 143,101  
                

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

          

Common Stocks

          

Aerospace & Defense

          

Bombardier, Inc.*

      (60,060 )      (226,232 )      916        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Independent Power and Renewable Electricity Producers

          

Northland Power, Inc.

      (11,524 )      (210,663 )      9,930        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Metals & Mining

          

Agnico Eagle Mines Ltd.

      (4,755 )      (199,214 )      19,618        0.0 (d) 

B2Gold Corp.*

      (84,622 )      (210,766 )      6,505        0.0 (d) 

Franco-Nevada Corp.

      (2,921 )      (214,261 )      6,626        0.0 (d) 

Goldcorp, Inc.

      (16,007 )      (200,080 )      16,895        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  
     (108,305 )      (824,321 )      49,644        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Oil, Gas & Consumable Fuels

          

MEG Energy Corp.*

      (32,214 )      (209,997 )      16,389        0.0 (d) 

Paramount Resources Ltd.*

      (18,962 )      (212,819 )      2,780        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  
     (51,176 )      (422,816 )      19,169        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Short Positions of Total Return Basket Swaps

      (231,065 )      (1,684,032 )      79,659        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   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 CHF based on the local currencies of the positions within the swaps.   3/29/2019   $ 908,480     $ 50,828     $ 9,816     $ 60,644  
           

 

 

  

 

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*(e)

      1,504       132,559       2,982       0.0 (d) 

Swisscom AG (Registered)

      652       306,111       13,057       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     2,156       438,670       16,039       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Bucher Industries AG (Registered)

      918       297,438       (3,842 )      (0.0 )(d) 

OC Oerlikon Corp. AG (Registered)*

      20,153       313,125       9,060       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     21,071       610,563       5,218       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Galenica AG*(e)

      5,432       310,288       3,941       0.0 (d) 

Novartis AG (Registered)

      1,135       95,251       2,781       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,567       405,539       6,722       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      29,794       1,454,772       27,979       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Household Durables

         

Forbo Holding AG (Registered)

      (111 )      (175,500 )      (14,019 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

ams AG*

      (3,349 )      (240,940 )      5,213       0.0 (d) 

Meyer Burger Technology AG*

      (184,300 )      (129,852 )      31,655       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (187,649 )      (370,792 )      36,868       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (187,760 )      (546,292 )      22,849       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (157,966 )      908,480       50,828       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one month EURIBOR on short positions, which is denominated in EUR based on the local currencies of the positions within the swaps.   3/29/2019   $ (5,645,391 )    $ (12,606 )    $ (94,217 )    $ (106,823 ) 
           

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

         

Common Stocks

         

Banks

         

Bankia SA

      (58,396 )      (229,561 )      (19,108 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

Deutsche Bank AG (Registered)

      (17,759 )      (232,266 )      (17,285 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

LANXESS AG

      (2,730 )      (224,325 )      (2,261 )      (0.0 )(d) 

Lenzing AG

      (1,737 )      (220,589 )      995       0.0 (d) 

OCI NV*

      (4,496 )      (135,925 )      (4,643 )      (0.0 )(d) 

Symrise AG

      (2,401 )      (217,024 )      3,566       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,364 )      (797,863 )      (2,343 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

Boskalis Westminster

      (7,131 )      (218,647 )      (4,939 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

Huhtamaki OYJ

      (6,280 )      (225,535 )      (2,609 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Iliad SA

      (1,263 )      (199,676 )      (1,024 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Nexans SA

      (6,472 )      (216,472 )      7,615       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Distribuidora Internacional de Alimentacion SA

      (104,656 )      (233,892 )      27,897       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Glanbia plc

      (12,153 )      (199,950 )      15,054       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Elior Group SA(e)

      (10,263 )      (167,566 )      (9,867 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Neinor Homes SA*(e)

      (8,513 )      (161,041 )      3,012       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Siemens AG (Registered)

      (1,574 )      (222,153 )      (4,294 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet & Direct Marketing Retail

         

Zalando SE*(e)

      (2,824 )      (162,015 )      (3,021 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Life Sciences Tools & Services

         

Eurofins Scientific SE

      (392 )      (213,672 )      (1,457 )      (0.0 )(d) 

MorphoSys AG*

      (1,534 )      (201,771 )      1,304       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,926 )      (415,443 )      (153 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Alstom SA*

      (4,809 )      (215,597 )      698       0.0 (d) 

ANDRITZ AG

      (3,818 )      (216,439 )      (6,527 )      (0.0 )(d) 

GEA Group AG

      (5,920 )      (231,382 )      (13,526 )      (0.0 )(d) 

IMA Industria Macchine Automatiche SpA

      (2,483 )      (208,503 )      11,284       0.0 (d) 

Metso OYJ

      (6,263 )      (229,392 )      (13,001 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (23,293 )      (1,101,313 )      (21,072 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Altice NV*

      (33,430 )      (111,400 )      8,961       0.0 (d) 

JCDecaux SA

      (4,822 )      (157,606 )      4,208       0.0 (d) 

Telenet Group Holding NV*

      (3,483 )      (167,720 )      (3,797 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (41,735 )      (436,726 )      9,372       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

thyssenkrupp AG

      (8,151 )      (216,923 )      1,077       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Getlink

      (15,784 )      (208,349 )      9,082       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (339,537 )      (5,645,391 )      (12,606 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

    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 (3.50)% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swaps.    10/19/2018    $ (6,410,753 )    $ (107,151 )    $ (50,202 )    $ (157,353 ) 
              

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Chemicals

         

Mitsubishi Chemical Holdings Corp.

      10,900       95,478       2,244       0.0 (d) 

Mitsubishi Gas Chemical Co., Inc.

      4,100       91,606       (984 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     15,000       187,084       1,260       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

Taisei Corp.

      2,200       122,351       1,356       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Nippon Telegraph & Telephone Corp.

      600       27,752       (65 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

Mixi, Inc.

      2,800       73,736       2,440       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

JXTG Holdings, Inc.

      14,700       107,771       6,427       0.0 (d) 

Showa Shell Sekiyu KK

      10,700       175,613       9,392       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     25,400       283,384       15,819       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Astellas Pharma, Inc.

      8,800       143,536       673       0.0 (d) 

Shionogi & Co. Ltd.

      2,700       147,373       9,422       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     11,500       290,909       10,095       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Ulvac, Inc.

      1,600       63,084       1,907       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

Sumitomo Corp.

      8,700       143,261       (745 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

NTT DOCOMO, Inc.

      5,200       133,874       (441 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      73,000       1,325,435       31,626       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Air Freight & Logistics

         

Yamato Holdings Co. Ltd.

      (7,100 )      (205,782 )      7,500       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Suruga Bank Ltd.

      (24,400 )      (218,616 )      (6,607 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Kansai Paint Co. Ltd.

      (9,600 )      (220,917 )      (19,341 )      (0.0 )(d) 

Toray Industries, Inc.

      (27,600 )      (213,895 )      1,522       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (37,200 )      (434,812 )      (17,819 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

Park24 Co. Ltd.

      (7,700 )      (216,068 )      (3,663 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

JGC Corp.

      (11,700 )      (227,030 )      (13,631 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Consumer Finance

         

Aiful Corp.*

      (67,200 )      (214,836 )      (2,743 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Consumer Services

         

Benesse Holdings, Inc.

      (4,500 )      (163,942 )      (4,612 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electric Utilities

         

Hokkaido Electric Power Co., Inc.

      (34,300 )      (221,360 )      (5,781 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Electronic Equipment, Instruments & Components

         

Alps Electric Co. Ltd.

      (7,800 )      (225,019 )      (13,353 )      (0.0 )(d) 

Murata Manufacturing Co. Ltd.

      (1,200 )      (209,971 )      2,039       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,000 )      (434,990 )      (11,314 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Aeon Co. Ltd.

      (10,800 )      (219,443 )      (3,462 )      (0.0 )(d) 

Tsuruha Holdings, Inc.

      (1,700 )      (209,123 )      5,391       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (12,500 )      (428,566 )      1,929       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Nissin Foods Holdings Co. Ltd.

      (3,100 )      (213,883 )      1,522       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

HIS Co. Ltd.

      (5,100 )      (154,241 )      (9,952 )      (0.0 )(d) 

Kyoritsu Maintenance Co. Ltd.

      (3,200 )      (158,884 )      7,357       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (8,300 )      (313,125 )      (2,595 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Pioneer Corp.*

      (122,500 )      (166,735 )      (5,702 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Keihan Holdings Co. Ltd.

      (5,900 )      (214,835 )      (4,068 )      (0.0 )(d) 

Toshiba Corp.*

      (69,000 )      (210,844 )      5,171       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (74,900 )      (425,679 )      1,103       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Japan Post Insurance Co. Ltd.

      (10,200 )      (217,114 )      (10,265 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

GMO internet, Inc.

      (9,300 )      (197,248 )      22,972       0.0 (d) 

Yahoo Japan Corp.

      (64,800 )      (246,538 )      (34,014 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (74,100 )      (443,786 )      (11,042 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

Shimano, Inc.

      (1,100 )      (158,629 )      1,972       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

FANUC Corp.

      (1,200 )      (241,969 )      (13,800 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Marine

         

Kawasaki Kisen Kaisha Ltd.*

      (12,400 )      (225,185 )      (10,958 )      (0.0 )(d) 

Mitsui OSK Lines Ltd.

      (9,000 )      (233,529 )      (19,671 )      (0.0 )(d) 

Nippon Yusen KK

      (11,300 )      (217,926 )      (2,057 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (32,700 )      (676,640 )      (32,686 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multiline Retail

         

Don Quijote Holdings Co. Ltd.

      (3,500 )      (163,605 )      7,268       0.0 (d) 

Marui Group Co. Ltd.

      (8,000 )      (158,953 )      587       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,500 )      (322,558 )      7,855       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Keio Corp.

      (4,400 )      (216,080 )      (1,257 )      (0.0 )(d) 

Kintetsu Group Holdings Co. Ltd.

      (5,500 )      (218,868 )      (1,996 )      (0.0 )(d) 

Odakyu Electric Railway Co. Ltd.

      (10,400 )      (220,280 )      (3,989 )      (0.0 )(d) 

Tokyu Corp.

      (12,700 )      (218,649 )      (1,998 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (33,000 )      (873,877 )      (9,240 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Renesas Electronics Corp.*

      (29,100 )      (260,038 )      4,276       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

LINE Corp.*

      (4,700 )      (205,327 )      4,315       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

MonotaRO Co. Ltd.

      (4,500 )      (226,628 )      (8,181 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Mitsubishi Logistics Corp.

      (9,800 )      (224,198 )      (9,568 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (636,300 )      (7,736,188 )      (138,777 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (563,300 )      (6,410,753 )      (107,151 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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, plus or minus a specified spread (rates range from (0.35)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps.    10/18/2018    $ 392,650      $ 10,526      $ 18,556      $ 29,082  
                 

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Food & Staples Retailing

         

Metcash Ltd.

      39,581       77,383       1,212       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Fortescue Metals Group Ltd.

      59,835       194,616       (1,829 )      (0.0 )(d) 

Sandfire Resources NL

      46,206       253,822       (47,447 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     106,041       448,438       (49,276 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Beach Energy Ltd.

      223,950       317,748       24,909       0.0 (d) 

Whitehaven Coal Ltd.

      26,081       105,417       195       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     250,031       423,165       25,104       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      395,653       948,986       (22,960 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Chemicals

         

Nufarm Ltd.

      (39,018 )      (207,359 )      33,397       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Domino’s Pizza Enterprises Ltd.

      (3,517 )      (130,601 )      1,011       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

NEXTDC Ltd.*

      (40,648 )      (218,376 )      (922 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (83,183 )      (556,336 )      33,486       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      312,470       392,650       10,526       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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 respectively, plus or minus a specified spread of (rates range from 0.00% to 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps.    3/29/2019    $ 2,366,435      $ (27,689 )    $ 90,000      $ 62,311  
                

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Biotechnology

           

Shire plc

      14,161        806,528        (12,135 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Capital Markets

           

NEX Group plc

      14,752        195,455        (7,868 )      (0.0 )(d) 

Sole Realisation Co. plc*‡

      153        —          —         0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     14,905        195,455        (7,868 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Media

           

Sky plc

      68,293        1,364,452        (7,686 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      97,359        2,366,435        (27,689 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

    The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on short positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps.    10/18/2018    $ 1,271,798      $ (6,273 )    $ (1,061 )    $ (7,334 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Biotechnology

           

Sirtex Medical Ltd.

      23,635        558,369        (5,285 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Providers & Services

           

Healthscope Ltd.

      439,143        713,429        (988 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      462,778        1,271,798        (6,273 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

    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, plus or minus a specified spread (0.35) %, which is denominated in JPY based on the local currencies of the positions within the swaps.    5/27/2019    $ (498,231 )    $ 524      $ (182 )    $ 342  
               

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

          

Common Stocks

          

Pharmaceuticals

          

Takeda Pharmaceutical Co. Ltd.

      (11,800 )      (498,231 )      524        0.0 (d) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR 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 SEK based on the local currencies of the positions within the swaps.    7/31/2019    $ 61,178      $ (1,431 )    $ (36 )    $ (1,467 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Diversified Telecommunication Services

         

Com Hem Holding AB

      14,972       267,498       5,349       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Wireless Telecommunication Services

         

Tele2 AB

      (15,376 )      (206,320 )      (6,780 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (404 )      61,178       (1,431 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    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 GBP based on the local currencies of the positions within the swaps.    9/12/2019    $ 4,154,815      $ (67,734 )    $ (70,990 )    $ (138,724 ) 
               

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Aerospace & Defense

           

Meggitt plc

      40,225        300,795        724       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Air Freight & Logistics

           

Royal Mail plc

      48,790        300,183        812       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Airlines

           

Wizz Air Holdings plc*(b)(c)

      6,280        285,688        (27,384 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

Kier Group plc

      14,233        180,650        1,878       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Distributors

           

Inchcape plc

      21,590        199,736        (26,650 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

           

Spectris plc

      8,962        272,213        (37,002 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Energy Equipment & Services

           

Hunting plc*

      29,690        304,208        5,568       0.0 (d) 

Petrofac Ltd.

      22,963        184,646        19,303       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     52,653        488,854        24,871       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Equity Real Estate Investment Trusts (REITs)

           

UNITE Group plc (The)

      27,144        311,595        9,320       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

J Sainsbury plc

      69,528        298,155        1,607       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Hotels, Restaurants & Leisure

           

Carnival plc

      3,430        199,103        (2,282 )      (0.0 )(d) 

TUI AG

      10,484        224,281        566       0.0 (d) 

William Hill plc

      52,989        206,830        (4,004 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     66,903        630,214        (5,720 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Household Durables

           

Berkeley Group Holdings plc

      3,230        158,097        2,220       0.0 (d) 

Persimmon plc

      6,985        227,184        (1,182 )      (0.0 )(d) 

Redrow plc

      23,163        163,296        189       0.0 (d) 

Taylor Wimpey plc

      99,541        228,433        (2,336 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     132,919        777,010        (1,109 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

Bodycote plc

      22,086        290,075        (15,707 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Metals & Mining

           

Antofagasta plc

      24,017        315,418        11,325       0.0 (d) 

Centamin plc

      146,802        228,866        (3,665 )      (0.0 )(d) 

Rio Tinto plc

      3,335        183,094        2,778       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     174,154        727,378        10,438       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Multi-Utilities

           

Centrica plc

      139,793        272,934        (9,251 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

           

BP plc

      39,849        299,483        5,409       0.0 (d) 

Royal Dutch Shell plc

      8,267        289,570        (4,566 )      (0.0 )(d) 

Tullow Oil plc*

      104,276        309,987        4,798       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     152,392        899,040        5,641       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Pharmaceuticals

           

Dechra Pharmaceuticals plc

      7,648        299,500        3,580       0.0 (d) 

Hikma Pharmaceuticals plc

      13,850        298,036        9,884       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     21,498        597,536        13,464       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

         

Common Stocks — continued

         

Wireless Telecommunication Services

         

Vodafone Group plc

      94,947       231,952       7,761       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      1,094,097       7,064,008       (46,307 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Banks

         

Metro Bank plc*

      (4,895 )      (205,429 )      7,782       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

DS Smith plc

      (32,991 )      (217,971 )      121       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

BT Group plc

      (73,820 )      (225,822 )      (10,249 )      (0.0 )(d) 

Inmarsat plc

      (29,927 )      (223,610 )      (9,923 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (103,747 )      (449,432 )      (20,172 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Melrose Industries plc

      (76,482 )      (216,418 )      (1,404 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

John Wood Group plc

      (26,365 )      (224,940 )      (14,048 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

         

Spire Healthcare Group plc(b)(c)

      (66,275 )      (215,595 )      (1,356 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Crest Nicholson Holdings plc

      (32,371 )      (161,434 )      382       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Products

         

Reckitt Benckiser Group plc

      (2,548 )      (227,156 )      (14,532 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Cineworld Group plc

      (45,791 )      (162,620 )      (4,713 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

National Grid plc

      (19,490 )      (208,211 )      (44 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Capital & Counties Properties plc

      (58,037 )      (209,669 )      7,964       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

Travis Perkins plc

      (12,225 )      (191,845 )      24,164       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Water Utilities

         

Severn Trent plc

      (8,608 )      (218,473 )      (5,571 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (489,825 )      (2,909,193 )      (21,427 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      604,272       4,154,815       (67,734 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    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 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps.    9/12/2019    $ 3,334,891      $ (151,158 )    $ (29,657 )    $ (180,815 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Auto Components

         

Linamar Corp.

      5,335       243,814       (866 )      (0.0 )(d) 

Magna International, Inc.

      3,790       230,864       (4,388 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     9,125       474,678       (5,254 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Canadian Imperial Bank of Commerce

      3,355       306,189       7,309       0.0 (d) 

National Bank of Canada

      6,178       302,856       3,063       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     9,533       609,045       10,372       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Methanex Corp.

      4,213       291,025       (13,124 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

Star Group, Inc. (The)*

      5,979       204,808       (20,228 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Empire Co. Ltd.

      14,679       302,641       3,560       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Power Corp. of Canada

      13,245       301,280       (1,418 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

CGI Group, Inc.*

      5,296       341,898       (11,030 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

BRP, Inc.

      4,600       214,574       (16,559 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Cogeco Communications, Inc.

      4,231       229,626       1,992       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Hudbay Minerals, Inc.

      66,698       347,116       (13,642 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Enerplus Corp.

      22,728       296,494       (767 )      (0.0 )(d) 

Husky Energy, Inc.

      19,065       324,186       23,813       0.0 (d) 

Imperial Oil Ltd.

      9,106       311,852       12,567       0.0 (d) 

Parex Resources, Inc.*

      16,903       298,338       (19,570 )      (0.0 )(d) 

Suncor Energy, Inc.

      7,170       301,935       6,118       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     74,972       1,532,805       22,161       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Paper & Forest Products

         

Canfor Corp.*

      13,388       293,520       (34,378 )      (0.0 )(d) 

Norbord, Inc.

      7,902       284,286       (29,691 )      (0.0 )(d) 

West Fraser Timber Co. Ltd.

      4,728       293,672       (39,000 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     26,018       871,478       (103,069 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

First Capital Realty, Inc.

      19,513       304,204       5,413       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Genworth MI Canada, Inc.

      8,759       308,317       8,488       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      266,861       6,333,495       (132,338 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Capital Markets

         

Thomson Reuters Corp.

      (5,109 )      (212,003 )      5,002       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

SNC-Lavalin Group, Inc.

      (5,053 )      (223,779 )      (5,604 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Diversified Financial Services

         

Onex Corp.

      (2,917 )      (218,341 )      3,333       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Saputo, Inc.

      (6,386 )      (212,908 )      (651 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Gas Utilities

         

AltaGas Ltd.

      (10,322 )      (210,034 )      4,589       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

         

Algonquin Power & Utilities Corp.

      (21,959 )      (215,733 )      2,105       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Cineplex, Inc.

      (7,244 )      (162,716 )      (2,828 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Kinross Gold Corp.*

      (59,059 )      (213,381 )      4,862       0.0 (d) 

Yamana Gold, Inc.

      (76,825 )      (245,089 )      (29,617 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (135,884 )      (458,470 )      (24,755 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Canadian Utilities Ltd.

      (8,606 )      (214,679 )      3,127       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

ARC Resources Ltd.

      (19,154 )      (227,489 )      (1,280 )      (0.0 )(d) 

PrairieSky Royalty Ltd.

      (11,299 )      (214,367 )      (6,149 )      (0.0 )(d) 

TransCanada Corp.

      (4,883 )      (219,629 )      (1,136 )      (0.0 )(d) 

Whitecap Resources, Inc.

      (31,568 )      (208,456 )      5,427       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (66,904 )      (869,941 )      (3,138 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (270,384 )      (2,998,604 )      (18,820 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (3,523 )      3,334,891       (151,158 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    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 respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps.    9/12/2019    $ (26,042,863 )    $ 111,363      $ (259,162 )    $ (147,799 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

         

Common Stocks

         

Aerospace & Defense

         

Cubic Corp.

      (3,143 )      (214,038 )      1,407       0.0 (d) 

Kratos Defense & Security Solutions, Inc.*

      (16,424 )      (212,198 )      2,956       0.0 (d) 

Mercury Systems, Inc.*

      (5,327 )      (222,296 )      (13,425 )      (0.0 )(d) 

Triumph Group, Inc.

      (11,807 )      (246,176 )      (16,530 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (36,701 )      (894,708 )      (25,592 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Air Freight & Logistics

         

United Parcel Service, Inc.

      (1,914 )      (229,470 )      (14,624 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Airlines

         

American Airlines Group, Inc.

      (5,728 )      (226,485 )      (11,639 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Auto Components

         

Cooper Tire & Rubber Co.

      (6,344 )      (181,121 )      (18,732 )      (0.0 )(d) 

Gentherm, Inc.*

      (4,005 )      (181,427 )      (17,222 )      (0.0 )(d) 

Visteon Corp.*

      (1,272 )      (148,926 )      10,325       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,621 )      (511,474 )      (25,629 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Banks

         

First Republic Bank

      (3,587 )      (354,611 )      (3,085 )      (0.0 )(d) 

Pinnacle Financial Partners, Inc.

      (3,399 )      (212,437 )      (1,529 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,986 )      (567,048 )      (4,614 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Beverages

         

Brown-Forman Corp.

      (4,122 )      (219,373 )      (1,609 )      (0.0 )(d) 

National Beverage Corp.*

      (1,993 )      (210,281 )      3,291       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,115 )      (429,654 )      1,682       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

Cboe Global Markets, Inc.

      (2,051 )      (199,214 )      18,233       0.0 (d) 

Donnelley Financial Solutions, Inc.*

      (10,501 )      (218,421 )      (5,775 )      (0.0 )(d) 

MarketAxess Holdings, Inc.

      (1,025 )      (198,614 )      15,990       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,577 )      (616,249 )      28,448       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Albemarle Corp.

      (2,374 )      (223,631 )      (8,048 )      (0.0 )(d) 

International Flavors & Fragrances, Inc.

      (1,682 )      (223,302 )      (7,426 )      (0.0 )(d) 

NewMarket Corp.

      (536 )      (219,460 )      (713 )      (0.0 )(d) 

Valvoline, Inc.

      (9,689 )      (218,875 )      (6,201 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (14,281 )      (885,268 )      (22,388 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

ABM Industries, Inc.

      (7,253 )      (226,293 )      (10,046 )      (0.0 )(d) 

Healthcare Services Group, Inc.

      (1,172 )      (47,185 )      (2,063 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (8,425 )      (273,478 )      (12,109 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Communications Equipment

         

Acacia Communications, Inc.*

      (6,482 )      (208,331 )      2,022       0.0 (d) 

ADTRAN, Inc.

      (13,199 )      (214,484 )      (2,640 )      (0.0 )(d) 

Infinera Corp.*

      (1,810 )      (15,059 )      1,249       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (21,491 )      (437,874 )      631       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction Materials

         

Martin Marietta Materials, Inc.

      (960 )      (191,443 )      25,315       0.0 (d) 

Summit Materials, Inc.*

      (8,487 )      (213,024 )      1,607       0.0 (d) 

Vulcan Materials Co.

      (1,745 )      (195,440 )      21,690       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,192 )      (599,907 )      48,612       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Consumer Finance

         

LendingClub Corp.*

      (8,636 )      (35,580 )      2,418       0.0 (d) 

PRA Group, Inc.*

      (4,988 )      (195,530 )      16,290       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,624 )      (231,110 )      18,708       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Cincinnati Bell, Inc.*

      (16,801 )      (224,293 )      1,110       0.0 (d) 

Zayo Group Holdings, Inc.*

      (5,796 )      (214,974 )      (575 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (22,597 )      (439,267 )      535       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

         

Cognex Corp.

      (4,896 )      (258,411 )      (35,251 )      (0.0 )(d) 

Fabrinet*

      (5,506 )      (215,394 )      4,570       0.0 (d) 

Fitbit, Inc.*

      (35,943 )      (213,142 )      2,042       0.0 (d) 

II-VI, Inc.*

      (4,939 )      (193,609 )      28,152       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (51,284 )      (880,556 )      (487 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

Baker Hughes a GE Co.

      (6,675 )      (230,822 )      (13,550 )      (0.0 )(d) 

Ensco plc

      (31,595 )      (234,751 )      (11,374 )      (0.0 )(d) 

Forum Energy Technologies, Inc.*

      (18,145 )      (238,607 )      (12,702 )      (0.0 )(d) 

Keane Group, Inc.*

      (17,764 )      (250,650 )      (37,521 )      (0.0 )(d) 

Patterson-UTI Energy, Inc.

      (13,417 )      (230,772 )      (13,968 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (87,596 )      (1,185,602 )      (89,115 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

PriceSmart, Inc.

      (2,689 )      (219,826 )      (7,395 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Kraft Heinz Co. (The)

      (3,560 )      (214,490 )      4,770       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Gas Utilities

         

Southwest Gas Holdings, Inc.

      (2,747 )      (214,816 )      102       0.0 (d) 

Spire, Inc.

      (2,982 )      (213,511 )      1,556       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (5,729 )      (428,327 )      1,658       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Health Care Equipment & Supplies

         

Heska Corp.*

      (1,991 )      (199,598 )      14,674       0.0 (d) 

Hologic, Inc.*

      (5,243 )      (224,977 )      (6,731 )      (0.0 )(d) 

iRhythm Technologies, Inc.*

      (2,595 )      (196,052 )      13,125       0.0 (d) 

K2M Group Holdings, Inc.*

      (10,174 )      (207,244 )      16,482       0.0 (d) 

Nevro Corp.*

      (1,450 )      (81,577 )      5,597       0.0 (d) 

Penumbra, Inc.*

      (1,552 )      (220,772 )      (4,964 )      (0.0 )(d) 

Wright Medical Group NV*

      (5,581 )      (141,925 )      (2,344 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (28,586 )      (1,272,145 )      35,839       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Technology

         

Evolent Health, Inc.*

      (9,409 )      (190,062 )      25,875       0.0 (d) 

Medidata Solutions, Inc.*

      (2,471 )      (183,620 )      3,925       0.0 (d) 

Omnicell, Inc.*

      (3,914 )      (232,883 )      (25,853 )      (0.0 )(d) 

Teladoc, Inc.*

      (3,125 )      (187,031 )      11,701       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (18,919 )      (793,596 )      15,648       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Caesars Entertainment Corp.*

      (13,638 )      (154,109 )      2,728       0.0 (d) 

Eldorado Resorts, Inc.*

      (3,685 )      (157,902 )      2,413       0.0 (d) 

Golden Entertainment, Inc.*

      (4,778 )      (148,739 )      8,936       0.0 (d) 

Papa John’s International, Inc.

      (3,327 )      (139,601 )      13,211       0.0 (d) 

Shake Shack, Inc.*

      (2,368 )      (147,598 )      6,712       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (27,796 )      (747,949 )      34,000       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Installed Building Products, Inc.*

      (2,808 )      (153,317 )      (768 )      (0.0 )(d) 

iRobot Corp.*

      (1,396 )      (110,633 )      (796 )      (0.0 )(d) 

Mohawk Industries, Inc.*

      (729 )      (137,314 )      26,259       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,933 )      (401,264 )      24,695       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Products

         

Spectrum Brands Holdings, Inc.*

      (2,786 )      (243,413 )      (29,048 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

         

TerraForm Power, Inc.

      (20,328 )      (207,955 )      11,180       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Alleghany Corp.

      (355 )      (223,391 )      (5,671 )      (0.0 )(d) 

Arch Capital Group Ltd.*

      (7,451 )      (227,702 )      (11,498 )      (0.0 )(d) 

Markel Corp.*

      (189 )      (221,130 )      (6,391 )      (0.0 )(d) 

ProAssurance Corp.

      (5,539 )      (228,761 )      (8,605 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,534 )      (900,984 )      (32,165 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

Benefitfocus, Inc.*

      (5,670 )      (170,667 )      35,980       0.0 (d) 

Box, Inc.*

      (8,184 )      (196,089 )      23,979       0.0 (d) 

Cloudera, Inc.*

      (14,984 )      (200,636 )      20,978       0.0 (d) 

Hortonworks, Inc.*

      (11,305 )      (196,933 )      21,598       0.0 (d) 

TrueCar, Inc.*

      (19,069 )      (212,047 )      4,683       0.0 (d) 

Twilio, Inc.*

      (3,416 )      (197,752 )      14,413       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (62,628 )      (1,174,124 )      121,631       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

Gartner, Inc.*

      (1,553 )      (210,323 )      7,299       0.0 (d) 

InterXion Holding NV*

      (3,311 )      (214,818 )      (438 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,864 )      (425,141 )      6,861       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

Mattel, Inc.

      (9,675 )      (153,542 )      1,064       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Albany International Corp.

      (3,385 )      (223,918 )      (3,768 )      (0.0 )(d) 

CIRCOR International, Inc.

      (5,395 )      (239,268 )      (22,767 )      (0.0 )(d) 

Evoqua Water Technologies Corp.*

      (10,236 )      (218,436 )      1,095       0.0 (d) 

John Bean Technologies Corp.

      (2,261 )      (250,066 )      (37,339 )      (0.0 )(d) 

Mueller Water Products, Inc.

      (17,882 )      (220,843 )      (3,996 )      (0.0 )(d) 

REV Group, Inc.

      (13,293 )      (228,241 )      (17,943 )      (0.0 )(d) 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Machinery — continued

         

Wabtec Corp.

      (2,072 )      (228,583 )      (13,406 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (54,524 )      (1,609,355 )      (98,124 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Altice USA, Inc.

      (9,491 )      (162,581 )      6,929       0.0 (d) 

Cable One, Inc.

      (217 )      (157,077 )      (726 )      (0.0 )(d) 

Charter Communications, Inc.*

      (565 )      (172,088 )      (12,299 )      (0.0 )(d) 

Liberty Global plc*

      (5,768 )      (162,831 )      2,769       0.0 (d) 

Liberty Latin America Ltd.*

      (8,400 )      (160,272 )      (4,151 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (24,441 )      (814,849 )      (7,478 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

AK Steel Holding Corp.*

      (43,663 )      (202,160 )      12,226       0.0 (d) 

Constellium NV*

      (19,544 )      (256,026 )      (15,859 )      (0.0 )(d) 

Hecla Mining Co.

      (65,495 )      (209,584 )      16,374       0.0 (d) 

Royal Gold, Inc.

      (2,360 )      (199,680 )      13,857       0.0 (d) 

TimkenSteel Corp.*

      (12,117 )      (168,426 )      49,437       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (143,179 )      (1,035,876 )      76,035       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Dominion Energy, Inc.

      (2,396 )      (171,817 )      (4,217 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Concho Resources, Inc.*

      (768 )      (112,013 )      2,926       0.0 (d) 

Extraction Oil & Gas, Inc.*

      (88 )      (1,331 )      (106 )      (0.0 )(d) 

Matador Resources Co.*

      (6,742 )      (225,857 )      (7,999 )      (0.0 )(d) 

Oasis Petroleum, Inc.*

      (17,691 )      (216,184 )      (5,661 )      (0.0 )(d) 

QEP Resources, Inc.*

      (17,793 )      (184,869 )      36,120       0.0 (d) 

Ring Energy, Inc.*

      (16,165 )      (199,799 )      7,424       0.0 (d) 

SemGroup Corp.

      (8,706 )      (218,956 )      (6,727 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (67,953 )      (1,159,009 )      25,977       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Aclaris Therapeutics, Inc.*

      (6,867 )      (117,700 )      21,013       0.0 (d) 

Intra-Cellular Therapies, Inc.*

      (10,485 )      (210,434 )      18,057       0.0 (d) 

Medicines Co. (The)*

      (5,395 )      (214,343 )      162       0.0 (d) 

Nektar Therapeutics*

      (812 )      (42,711 )      (3,833 )      (0.0 )(d) 

Pacira Pharmaceuticals, Inc.*

      (62 )      (2,493 )      (195 )      (0.0 )(d) 

Revance Therapeutics, Inc.*

      (7,267 )      (208,926 )      363       0.0 (d) 

Theravance Biopharma, Inc.*

      (8,447 )      (202,306 )      12,924       0.0 (d) 

WaVe Life Sciences Ltd.*

      (5,518 )      (222,927 )      (6,418 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (44,853 )      (1,221,840 )      42,073       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Kennedy-Wilson Holdings, Inc.

      (10,164 )      (212,428 )      672       0.0 (d) 

Redfin Corp.*

      (8,853 )      (216,898 )      3,436       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (19,017 )      (429,326 )      4,108       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Heartland Express, Inc.

      (10,032 )      (192,514 )      3,621       0.0 (d) 

Hertz Global Holdings, Inc.*

      (19,257 )      (293,284 )      (29,656 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (29,289 )      (485,798 )      (26,035 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Advanced Micro Devices, Inc.*

      (5,119 )      (93,831 )      (7,576 )      (0.0 )(d) 

MaxLinear, Inc.*

      (12,616 )      (218,383 )      (2,523 )      (0.0 )(d) 

SMART Global Holdings, Inc.*

      (7,055 )      (215,389 )      14,463       0.0 (d) 

Veeco Instruments, Inc.*

      (14,223 )      (208,367 )      21,334       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (39,013 )      (735,970 )      25,698       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

FireEye, Inc.*

      (12,750 )      (198,008 )      18,615       0.0 (d) 

PROS Holdings, Inc.*

      (964 )      (35,803 )      800       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,714 )      (233,811 )      19,415       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

L Brands, Inc.

      (5,111 )      (161,865 )      (2,002 )      (0.0 )(d) 

Murphy USA, Inc.*

      (2,040 )      (161,650 )      (913 )      (0.0 )(d) 

National Vision Holdings, Inc.*

      (3,993 )      (162,355 )      (3,855 )      (0.0 )(d) 

Ulta Beauty, Inc.*

      (633 )      (154,699 )      2,870       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,777 )      (640,569 )      (3,900 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Technology Hardware, Storage & Peripherals

         

Cray, Inc.*

      (8,417 )      (210,004 )      8,404       0.0 (d) 

Diebold Nixdorf, Inc.

      (14,313 )      (162,453 )      12,166       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (22,730 )      (372,457 )      20,570       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Kearny Financial Corp.

      (15,530 )      (222,856 )      (11,098 )      (0.0 )(d) 

LendingTree, Inc.*

      (883 )      (210,860 )      2,951       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (16,413 )      (433,716 )      (8,147 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Tobacco

         

Philip Morris International, Inc.

      (2,590 )      (223,517 )      (10,749 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

MRC Global, Inc.*

      (9,706 )      (219,841 )      (7,085 )      (0.0 )(d) 

NOW, Inc.*

      (15,347 )      (229,438 )      (12,431 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (25,053 )      (449,279 )      (19,516 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Macquarie Infrastructure Corp.

      (4,765 )      (216,379 )      (2,843 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Water Utilities

         

Aqua America, Inc.

      (5,912 )      (218,389 )      (2,661 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (1,046,778 )      (26,042,863 )      111,363       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    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.    9/12/2019    $ 13,971,307      $ 104,154      $ (205,537 )    $ (101,383 ) 
                

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Airlines

           

Deutsche Lufthansa AG (Registered)

      14,557        408,432        44,964       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Auto Components

           

CIE Automotive SA

      7,002        215,225        (7,758 )      (0.0 )(d) 

Cie Generale des Etablissements Michelin SCA

      1,777        228,198        2,504       0.0 (d) 

Cie Plastic Omnium SA

      5,461        228,559        (13,616 )      (0.0 )(d) 

Faurecia SA

      3,294        223,755        (17,694 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     17,534        895,737        (36,564 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Automobiles

           

Peugeot SA

      9,366        269,010        36,687       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Capital Markets

           

AURELIUS Equity Opportunities SE & Co. KGaA

      4,963        306,507        3,240       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

           

Arkema SA

      2,467        308,925        7,008       0.0 (d) 

Covestro AG(e)

      3,183        305,685        2,259       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     5,650        614,610        9,267       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

ACS Actividades de Construccion y Servicios SA

      6,899        302,361        13,087       0.0 (d) 

Eiffage SA

      2,685        300,051        (1,053 )      (0.0 )(d) 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET  UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

           

Common Stocks — continued

           

Construction & Engineering — continued

           

Maire Tecnimont SpA

      60,845        314,868        13,706       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     70,429        917,280        25,740       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Telecommunication Services

           

Deutsche Telekom AG (Registered)*

      18,504        305,965        7,782       0.0 (d) 

DNA OYJ

      14,320        283,838        (35,834 )      (0.0 )(d) 

Orange SA

      17,938        305,694        11,124       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     50,762        895,497        (16,928 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electric Utilities

           

Endesa SA

      12,926        298,908        (1,411 )      (0.0 )(d) 

Enel SpA

      53,525        298,184        (8,824 )      (0.0 )(d) 

Terna Rete Elettrica Nazionale SpA

      53,649        300,523        1,619       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     120,100        897,615        (8,616 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electrical Equipment

           

Schneider Electric SE

      3,664        294,094        (12,728 )      (0.0 )(d) 

Signify NV(e)

      11,628        321,984        9,213       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     15,292        616,078        (3,515 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Energy Equipment & Services

           

SBM Offshore NV

      27,278        422,663        62,910       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

Koninklijke Ahold Delhaize NV

      11,749        298,785        4,646       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Gas Utilities

           

Italgas SpA

      51,946        298,790        2,465       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Equipment & Supplies

           

Koninklijke Philips NV

      7,046        309,316        672       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

           

ERG SpA

      13,188        296,411        (4,644 )      (0.0 )(d) 

Uniper SE

      9,543        297,970        5,111       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     22,731        594,381        467       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Industrial Conglomerates

           

Rheinmetall AG

      2,524        305,029        9,355       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Insurance

           

Aegon NV

      47,598        313,768        17,760       0.0 (d) 

ASR Nederland NV

      6,884        307,966        10,431       0.0 (d) 

NN Group NV

      6,922        305,794        3,745       0.0 (d) 

Poste Italiane SpA(e)

      32,824        305,377        7,427       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     94,228        1,232,905        39,363       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

IT Services

           

Amadeus IT Group SA

      3,963        338,067        (6,720 )      (0.0 )(d) 

CANCOM SE

      5,487        297,035        (23,701 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     9,450        635,102        (30,421 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

Aalberts Industries NV

      6,295        285,251        (13,935 )      (0.0 )(d) 

Fincantieri SpA

      262,783        395,467        28,519       0.0 (d) 

Valmet OYJ

      14,393        299,018        3,288       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     283,471        979,736        17,872       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Media

           

ProSiebenSat.1 Media SE

      8,622        232,707        7,443       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Metals & Mining

           

Aurubis AG

      3,799        310,960        12,202       0.0 (d) 

Eramet

      2,605        257,740        (80,713 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     6,404        568,700        (68,511 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Multi-Utilities

           

A2A SpA

      163,297        299,554        (637 )      (0.0 )(d) 

Engie SA

      18,688        301,784        7,942       0.0 (d) 

Hera SpA

      92,018        305,182        3,214       0.0 (d) 

Iren SpA

      112,114        316,986        14,875       0.0 (d) 

Veolia Environnement SA

      13,076        298,378        3,423       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     399,193        1,521,884        28,817       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

           

Enagas SA

      10,602        296,396        125       0.0 (d) 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

         

Common Stocks — continued

         

Oil, Gas & Consumable Fuels — continued

         

Eni SpA

      15,697       302,144       5,979       0.0 (d) 

Galp Energia SGPS SA

      14,900       306,019       12,848       0.0 (d) 

Neste OYJ

      3,739       308,416       17,549       0.0 (d) 

OMV AG

      5,490       310,257       13,646       0.0 (d) 

Repsol SA

      14,997       297,465       3,709       0.0 (d) 

Saras SpA

      132,822       318,006       14,428       0.0 (d) 

TOTAL SA

      4,813       313,930       16,163       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     203,060       2,452,633       84,447       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Paper & Forest Products

         

Ence Energia y Celulosa SA

      32,534       306,883       2,796       0.0 (d) 

UPM-Kymmene OYJ

      8,790       311,805       (4,513 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     41,324       618,688       (1,717 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Bayer AG (Registered)

      2,738       304,814       7,172       0.0 (d) 

Merck KGaA

      2,989       307,257       8,392       0.0 (d) 

UCB SA

      3,595       309,079       11,199       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     9,322       921,150       26,763       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

LEG Immobilien AG

      2,677       301,098       5,592       0.0 (d) 

Nexity SA

      4,678       287,848       (12,386 )      (0.0 )(d) 

TAG Immobilien AG

      13,120       296,579       (1,034 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     20,475       885,525       (7,828 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

BE Semiconductor Industries NV

      10,157       219,591       (49,441 )      (0.0 )(d) 

Siltronic AG

      2,173       379,001       28,500       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     12,330       598,592       (20,941 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Textiles, Apparel & Luxury Goods

         

Christian Dior SE

      527       224,220       (2,586 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Aareal Bank AG

      6,439       295,909       (1,179 )      (0.0 )(d) 

Deutsche Pfandbriefbank AG(e)

      18,869       295,549       (2,080 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     25,308       591,458       (3,259 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      1,545,641       19,513,030       204,232       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Air Freight & Logistics

         

bpost SA

      (13,823 )      (217,911 )      (10,042 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Auto Components

         

Gestamp Automocion SA(e)

      (21,624 )      (162,969 )      (1,087 )      (0.0 )(d) 

Nokian Renkaat OYJ

      (3,925 )      (170,222 )      (6,012 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (25,549 )      (333,191 )      (7,099 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

Banca Generali SpA

      (8,460 )      (227,727 )      (7,074 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

OCI NV*

      (2,964 )      (89,609 )      (3,061 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

Elis SA

      (9,857 )      (226,262 )      (9,377 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Financial Services

         

Wendel SA

      (1,492 )      (217,283 )      964       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Cellnex Telecom SA(e)

      (7,923 )      (210,548 )      2,054       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Siemens Gamesa Renewable Energy SA*

      (15,192 )      (214,298 )      (9,076 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

CGG SA*

      (85,005 )      (231,883 )      (18,551 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

         

Fresenius SE & Co. KGaA

      (2,684 )      (206,906 )      6,515       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

Delivery Hero AG*(e)

      (3,664 )      (208,086 )      6,083       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

IT Services

         

Bechtle AG

      (2,447 )      (219,719 )      (3,417 )      (0.0 )(d) 

Indra Sistemas SA*

      (19,340 )      (234,638 )      (10,173 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (21,787 )      (454,357 )      (13,590 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Duerr AG

      (4,780 )      (209,848 )      (8,134 )      (0.0 )(d) 

Outotec OYJ*

      (26,777 )      (219,917 )      (1,190 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (31,557 )      (429,765 )      (9,324 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Altice NV*

      (12,189 )      (40,618 )      3,267       0.0 (d) 

Technicolor SA (Registered)*

      (126,240 )      (176,716 )      (13,782 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (138,429 )      (217,334 )      (10,515 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

AMG Advanced Metallurgical Group NV

      (3,755 )      (221,699 )      (3,787 )      (0.0 )(d) 

Bekaert SA

      (8,345 )      (234,403 )      (14,614 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (12,100 )      (456,102 )      (18,401 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

E.ON SE

      (18,929 )      (213,561 )      2,644       0.0 (d) 

RWE AG

      (8,264 )      (216,883 )      (5,260 )      (0.0 )(d) 

Suez

      (15,750 )      (222,799 )      (10,728 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (42,943 )      (653,243 )      (13,344 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Professional Services

         

Bureau Veritas SA

      (8,078 )      (207,810 )      7,752       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

SOITEC*

      (2,596 )      (221,827 )      (1,740 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Industria de Diseno Textil SA

      (4,722 )      (154,743 )      3,235       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Textiles, Apparel & Luxury Goods

         

OVS SpA*(e)

      (47,123 )      (154,049 )      (730 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Aeroports de Paris

      (934 )      (208,789 )      5,243       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (486,882 )      (5,541,723 )      (100,078 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      1,058,759       13,971,307       104,154       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

UBS

    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 CHF based on the local currencies of the positions within the swaps.    9/12/2019    $ 1,293,488      $ 3,094      $ 71,032      $ 74,126  
                 

 

 

  

 

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*(e)

      1,884        166,050        3,735       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food Products

           

Barry Callebaut AG (Registered)

      169        287,921        (8,041 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

         

Common Stocks — continued

         

Insurance

         

Zurich Insurance Group AG*

      984       301,744       2,858       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Georg Fischer AG (Registered)

      233       300,628       1,674       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Novartis AG (Registered)

      2,460       206,448       6,027       0.0 (d) 

Roche Holding AG

      1,242       307,731       8,674       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     3,702       514,179       14,701       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

PSP Swiss Property AG (Registered)

      3,171       298,521       (916 )      (0.0 )(d) 

Swiss Prime Site AG (Registered)*

      3,266       299,305       293       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,437       597,826       (623 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      13,409       2,168,348       14,304       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Chemicals

         

Clariant AG (Registered)*

      (8,962 )      (214,293 )      (4,159 )      (0.0 )(d) 

EMS-Chemie Holding AG (Registered)

      (335 )      (214,859 )      2,168       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,297 )      (429,152 )      (1,991 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Marine

         

Kuehne + Nagel International AG (Registered)

      (1,385 )      (221,046 )      (7,516 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Professional Services

         

DKSH Holding AG

      (3,019 )      (220,705 )      (1,789 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

ams AG*

      (55 )      (3,957 )      86       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (13,756 )      (874,860 )      (11,210 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (347 )      1,293,488       3,094       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    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 JPY based on the local currencies of the positions within the swaps.    9/12/2019    $ 12,010,546      $ (70,390 )    $ (256,058 )    $ (326,448 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Auto Components

           

Keihin Corp.*

      11,200        231,240        8,290       0.0 (d) 

Showa Corp.*

      13,500        227,055        (2,858 )      (0.0 )(d) 

TS Tech Co. Ltd.

      5,500        227,026        (435 )      (0.0 )(d) 

Unipres Corp.

      11,400        231,743        8,493       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     41,600        917,064        13,490       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Beverages

           

Kirin Holdings Co. Ltd.

      10,800        276,495        (12,067 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

           

Asahi Kasei Corp.

      22,700        303,430        5,769       0.0 (d) 

KH Neochem Co. Ltd.*

      9,600        309,625        10,536       0.0 (d) 

Mitsubishi Chemical Holdings Corp.

      23,600        206,723        4,859       0.0 (d) 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

           

Common Stocks — continued

           

Chemicals — continued

           

Mitsubishi Gas Chemical Co., Inc.

      9,300        207,790        (2,232 )      (0.0 )(d) 

Sumitomo Bakelite Co. Ltd.

      30,000        303,378        753       0.0 (d) 

Sumitomo Chemical Co. Ltd.

      54,000        310,971        9,560       0.0 (d) 

Tokuyama Corp.

      9,700        306,843        2,003       0.0 (d) 

Tosoh Corp.

      19,300        315,230        16,000       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     178,200        2,263,990        47,248       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

Kyowa Exeo Corp.

      11,200        303,493        7,229       0.0 (d) 

Okumura Corp.

      9,600        315,533        15,995       0.0 (d) 

Taisei Corp.

      3,300        183,527        2,034       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     24,100        802,553        25,258       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Distributors

           

Canon Marketing Japan, Inc.

      11,100        232,909        9,161       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Financial Services

           

ORIX Corp.

      18,000        291,555        (10,398 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Telecommunication Services

           

Nippon Telegraph & Telephone Corp.

      5,900        272,896        (637 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electric Utilities

           

Chubu Electric Power Co., Inc.

      19,200        296,328        (2,980 )      (0.0 )(d) 

Kansai Electric Power Co., Inc. (The)

      20,300        288,980        (13,566 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     39,500        585,308        (16,546 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

           

Azbil Corp.

      7,900        346,538        (2,811 )      (0.0 )(d) 

Maruwa Co. Ltd.

      4,100        315,959        (16,853 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     12,000        662,497        (19,664 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

Matsumotokiyoshi Holdings Co. Ltd.

      6,800        294,907        (21,799 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food Products

           

Fuji Oil Holdings, Inc.

      8,900        293,016        (9,700 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Providers & Services

           

Alfresa Holdings Corp.

      12,300        294,474        (2,643 )      (0.0 )(d) 

Medipal Holdings Corp.

      14,600        296,868        (187 )      (0.0 )(d) 

Suzuken Co. Ltd.

      6,900        302,155        5,058       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     33,800        893,497        2,228       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Hotels, Restaurants & Leisure

           

Round One Corp.*

      14,900        221,863        (2,690 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Household Durables

           

Haseko Corp.

      16,900        224,259        (4,706 )      (0.0 )(d) 

Nikon Corp.

      13,600        229,581        1,542       0.0 (d) 

Sony Corp.

      4,200        225,737        4,935       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     34,700        679,577        1,771       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Internet Software & Services

           

Mixi, Inc.

      8,400        221,209        7,321       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

IT Services

           

NET One Systems Co. Ltd.*

      17,300        377,594        69,874       0.0 (d) 

Nihon Unisys Ltd.*

      13,200        304,693        (16,488 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     30,500        682,287        53,386       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

DMG Mori Co. Ltd.

      21,000        322,450        12,334       0.0 (d) 

Hitachi Construction Machinery Co. Ltd.

      9,200        295,892        (23,209 )      (0.0 )(d) 

Japan Steel Works Ltd. (The)*

      12,200        300,784        (17,841 )      (0.0 )(d) 

OKUMA Corp.

      5,700        321,858        6,759       0.0 (d) 

Takeuchi Manufacturing Co. Ltd.*

      13,000        304,557        (2,546 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     61,100        1,545,541        (24,503 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

           

Cosmo Energy Holdings Co. Ltd.

      8,500        299,979        (11,745 )      (0.0 )(d) 

JXTG Holdings, Inc.

      26,800        196,482        11,717       0.0 (d) 

Showa Shell Sekiyu KK

      7,900        129,658        6,934       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     43,200        626,119        6,906       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Paper & Forest Products

           

Oji Holdings Corp.

      49,000        290,745        (11,583 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

         

Common Stocks — continued

         

Personal Products

         

YA-MAN Ltd.*

      19,100       304,033       1,026       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Astellas Pharma, Inc.

      9,400       153,322       718       0.0 (d) 

Kaken Pharmaceutical Co. Ltd.

      5,700       295,724       2,338       0.0 (d) 

Shionogi & Co. Ltd.

      3,100       169,206       10,818       0.0 (d) 

Sumitomo Dainippon Pharma Co. Ltd.

      13,600       263,928       (38,936 )      (0.0 )(d) 

Taisho Pharmaceutical Holdings Co. Ltd.

      2,600       294,529       (15,808 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     34,400       1,176,709       (40,870 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Leopalace21 Corp.

      55,400       304,418       1,758       0.0 (d) 

Nomura Real Estate Holdings, Inc.

      13,800       301,223       (3,299 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     69,200       605,641       (1,541 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Central Japan Railway Co.

      1,400       291,589       3,807       0.0 (d) 

Sankyu, Inc.

      5,800       305,666       7,548       0.0 (d) 

Seino Holdings Co. Ltd.

      16,500       288,181       (563 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     23,700       885,436       10,792       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Ulvac, Inc.

      7,400       291,762       8,818       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

Capcom Co. Ltd.

      13,800       357,883       18,985       0.0 (d) 

GungHo Online Entertainment, Inc.*

      131,600       280,959       (32,349 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     145,400       638,842       (13,364 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Shimachu Co. Ltd.*

      6,800       216,101       (9,830 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Brother Industries Ltd.

      16,900       344,745       4,869       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

ITOCHU Corp.

      17,000       301,859       (488 )      (0.0 )(d) 

Kanamoto Co. Ltd.

      9,900       308,693       1,098       0.0 (d) 

Marubeni Corp.

      39,100       298,516       (4,023 )      (0.0 )(d) 

Mitsubishi Corp.

      10,700       299,097       2,584       0.0 (d) 

Mitsui & Co. Ltd.

      17,700       296,653       (3,884 )      (0.0 )(d) 

Sojitz Corp.

      83,700       303,888       960       0.0 (d) 

Sumitomo Corp.

      9,700       159,727       (831 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     187,800       1,968,433       (4,584 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

KDDI Corp.

      10,600       295,071       (701 )      (0.0 )(d) 

NTT DOCOMO, Inc.

      6,300       162,193       (535 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     16,900       457,264       (1,236 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      1,160,100       18,942,994       (8,738 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Auto Components

         

Toyo Tire & Rubber Co. Ltd.

      (11,100 )      (175,505 )      (11,848 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Seven Bank Ltd.

      (71,600 )      (216,735 )      (3,804 )      (0.0 )(d) 

Shinsei Bank Ltd.

      (13,600 )      (214,201 )      3,532       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (85,200 )      (430,936 )      (272 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Hitachi Chemical Co. Ltd.

      (11,100 )      (219,815 )      (11,168 )      (0.0 )(d) 

Nippon Paint Holdings Co. Ltd.

      (5,000 )      (218,510 )      (7,906 )      (0.0 )(d) 

Tokyo Ohka Kogyo Co. Ltd.

      (6,300 )      (228,633 )      3,972       0.0 (d) 

Toyobo Co. Ltd.

      (12,900 )      (218,360 )      (5,131 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (35,300 )      (885,318 )      (20,233 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Commercial Services & Supplies

 

    

Toppan Printing Co. Ltd.

      (29,000 )      (223,134 )      (3,406 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

FP Corp.

      (3,900 )      (214,691 )      4,307       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Mabuchi Motor Co. Ltd.

      (4,500 )      (221,716 )      (8,474 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

         

Hirose Electric Co. Ltd.

      (1,800 )      (219,475 )      (1,749 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Cosmos Pharmaceutical Corp.

      (900 )      (198,416 )      2,000       0.0 (d) 

Kusuri no Aoki Holdings Co. Ltd.

      (2,800 )      (205,536 )      4,171       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,700 )      (403,952 )      6,171       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Calbee, Inc.

      (5,900 )      (195,718 )      12,357       0.0 (d) 

Ezaki Glico Co. Ltd.

      (4,600 )      (213,051 )      (3,596 )      (0.0 )(d) 

Kewpie Corp.

      (8,300 )      (206,422 )      13,917       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (18,800 )      (615,191 )      22,678       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

HIS Co. Ltd.

      (400 )      (12,097 )      (781 )      (0.0 )(d) 

Toridoll Holdings Corp.*

      (7,500 )      (166,704 )      (3,694 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,900 )      (178,801 )      (4,475 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Seibu Holdings, Inc.

      (13,200 )      (222,754 )      (5,033 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

T&D Holdings, Inc.

      (14,500 )      (216,660 )      2,118       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

Bandai Namco Holdings, Inc.

      (4,000 )      (160,034 )      1,682       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Kawasaki Heavy Industries Ltd.

      (7,500 )      (220,523 )      (318 )      (0.0 )(d) 

Mitsui E&S Holdings Co. Ltd.*

      (16,300 )      (233,529 )      (13,152 )      (0.0 )(d) 

NGK Insulators Ltd.

      (12,400 )      (217,763 )      (2,139 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (36,200 )      (671,815 )      (15,609 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Hitachi Metals Ltd.

      (21,300 )      (230,834 )      (12,011 )      (0.0 )(d) 

UACJ Corp.

      (10,300 )      (223,172 )      (6,582 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (31,600 )      (454,006 )      (18,593 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multiline Retail

         

Takashimaya Co. Ltd.

      (20,000 )      (167,500 )      (5,592 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Paper & Forest Products

         

Nippon Paper Industries Co. Ltd.

      (13,900 )      (227,732 )      (5,592 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Ono Pharmaceutical Co. Ltd.

      (9,100 )      (215,026 )      (2,292 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Keikyu Corp.

      (13,500 )      (221,033 )      (8,910 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Renesas Electronics Corp.*

      (200 )      (1,787 )      30       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Nitori Holdings Co. Ltd.

      (1,100 )      (165,777 )      823       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Seiko Epson Corp.

      (12,400 )      (223,853 )      (8,634 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

MISUMI Group, Inc.

      (8,100 )      (206,946 )      14,245       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

SoftBank Group Corp.

      (2,500 )      (208,806 )      7,006       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (381,500 )      (6,932,448 )      (61,652 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      778,600       12,010,546       (70,390 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY  

DESCRIPTION

   

TERMINATION
DATE

    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

   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 0.25%), which is denominated in AUD based on the local currencies of the positions within the swaps.    9/12/2019    $ 999,003      $ 39,920      $ (68,502 )    $ (28,582 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Airlines

         

Qantas Airways Ltd.

      59,893       299,353       349       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Metcash Ltd.

      112,688       220,310       3,451       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Flight Centre Travel Group Ltd.

      4,522       228,679       4,295       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

Computershare Ltd.

      22,552       305,259       4,365       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Alumina Ltd.

      148,296       312,567       (859 )      (0.0 )(d) 

Fortescue Metals Group Ltd.

      28,904       94,012       (883 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     177,200       406,579       (1,742 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Origin Energy Ltd.*

      42,629       309,305       12,277       0.0 (d) 

Whitehaven Coal Ltd.

      49,481       199,998       370       0.0 (d) 

Woodside Petroleum Ltd.

      11,575       310,250       11,197       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     103,685       819,553       23,844       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      480,540       2,279,733       34,562       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Chemicals

         

Orica Ltd.

      (16,433 )      (214,664 )      2,320       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction Materials

         

Boral Ltd.

      (43,679 )      (215,861 )      (395 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

Amcor Ltd.

      (19,990 )      (223,780 )      (8,417 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Financial Services

         

Challenger Ltd.

      (23,587 )      (218,187 )      (2,225 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Domino’s Pizza Enterprises Ltd.

      (900 )      (33,421 )      259       0.0 (d) 

Tabcorp Holdings Ltd.

      (47,061 )      (163,453 )      (4 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (47,961 )      (196,874 )      255       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Independence Group NL

      (63,155 )      (211,364 )      13,820       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (214,805 )      (1,280,730 )      5,358       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      265,735       999,003       39,920       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

UBS

    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 GBP based on the local currencies of the positions within the swaps.    9/12/2019    $ 4,322,009      $ (65,850 )    $ 336,937      $ 271,087  
                

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Banks

         

Virgin Money Holdings UK plc

      213,834       1,112,250       38,677       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

NEX Group plc

      76,474       1,013,234       (40,789 )      (0.0 )(d) 

Sole Realisation Co. plc*‡

      698       —         (635 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     77,172       1,013,234       (41,424 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Prudential plc

      24,093       568,439       6,728       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Sky plc

      139,685       2,790,821       (15,721 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      454,784       5,484,744       (11,740 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Banks

         

CYBG plc

      (256,680 )      (1,162,735 )      (54,110 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      198,104       4,322,009       (65,850 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

UBS

    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 USD based on the local currencies of the positions within the swaps.    9/12/2019    $ 33,710,750      $ (199,792 )    $ 320,655      $ 120,863  
                

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Airlines

           

United Continental Holdings, Inc.*

      6,300        506,520        8,820       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Automobiles

           

Fiat Chrysler Automobiles NV*

      26,400        448,272        (64,680 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Banks

           

Green Bancorp, Inc.*

      6,681        162,348        (672 )      (0.0 )(d) 

Guaranty Bancorp

      7,425        223,121        (4,826 )      (0.0 )(d) 

MB Financial, Inc.

      38,990        1,889,066        (9,358 )      (0.0 )(d) 

Webster Financial Corp.

      6,800        438,804        (9,860 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     59,896        2,713,339        (24,716 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

     

Biotechnology

 

     

Amgen, Inc.

      2,400        471,720        9,000       0.0 (d) 

Celgene Corp.*

      5,600        504,504        24,136       0.0 (d) 

Ironwood Pharmaceuticals, Inc.*

      35,800        690,224        (22,196 )      (0.0 )(d) 

Spark Therapeutics, Inc.*

      1,800        138,096        (15,534 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     45,600        1,804,544        (4,594 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Building Products

           

Apogee Enterprises, Inc.

      3,500        177,660        5,425       0.0 (d) 

NCI Building Systems, Inc.*

      22,800        363,660        (50,160 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     26,300        541,320        (44,735 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Capital Markets

           

BGC Partners, Inc.

      46,500        499,410        (19,065 )      (0.0 )(d) 

Legg Mason, Inc.

      11,300        385,669        5,989       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     57,800        885,079        (13,076 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Commercial Services & Supplies

           

KAR Auction Services, Inc.

      11,900        707,455        (4,046 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Communications Equipment

           

Juniper Networks, Inc.

      16,000        421,440        (30,880 )      (0.0 )(d) 

NETGEAR, Inc.*

      10,200        671,670        (121,380 )      (0.0 )(d) 

NetScout Systems, Inc.*

      15,800        423,440        (71,100 )      (0.0 )(d) 

Oclaro, Inc.*

      197,185        1,668,185        (128,170 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     239,185        3,184,735        (351,530 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Distributors

           

Genuine Parts Co.

      7,000        681,170        18,760       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Consumer Services

           

Bright Horizons Family Solutions, Inc.*

      4,300        460,057        (13,545 )      (0.0 )(d) 

Capella Education Co.

      3,871        402,584        (1,161 )      (0.0 )(d) 

ServiceMaster Global Holdings, Inc.*

      11,700        666,783        (2,574 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     19,871        1,529,424        (17,280 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Financial Services

           

Voya Financial, Inc.

      8,600        434,472        12,126       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electrical Equipment

           

Atkore International Group, Inc.*

      19,800        468,468        22,572       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

           

Orbotech Ltd.*

      26,308        1,690,026        34,463       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

Kroger Co. (The)

      17,700        513,300        15,222       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food Products

           

Pinnacle Foods, Inc.

      48,367        3,212,536        55,138       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Providers & Services

           

Aetna, Inc.

      8,911        1,678,743        (26,198 )      (0.0 )(d) 

DaVita, Inc.*

      6,500        456,820        (2,145 )      (0.0 )(d) 

Express Scripts Holding Co.*

      30,132        2,394,289        47,307       0.0 (d) 

Henry Schein, Inc.*

      9,200        730,572        52,164       0.0 (d) 

Premier, Inc.*

      13,400        501,160        3,216       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     68,143        5,761,584        74,344       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Hotels, Restaurants & Leisure

           

Dunkin’ Brands Group, Inc.

      7,100        494,373        (17,182 )      (0.0 )(d) 

Hilton Worldwide Holdings, Inc.

      5,400        424,764        (23,220 )      (0.0 )(d) 

ILG, Inc.

      90,983        3,123,447        (910 )      (0.0 )(d) 

Pinnacle Entertainment, Inc.*

      26,447        879,098        (39,670 )      (0.0 )(d) 

Sonic Corp.

      20,100        706,515        (21,306 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     150,030        5,628,197        (102,288 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Insurance

           

Loews Corp.

      9,000        457,020        5,400       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

IT Services

           

Black Knight, Inc.*

      8,700        449,355        (33,930 )      (0.0 )(d) 

Convergys Corp.

      84,878        2,087,999        (30,152 )      (0.0 )(d) 

Travelport Worldwide Ltd.

      8,000        151,200        (3,360 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     101,578        2,688,554        (67,442 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Leisure Products

         

Brunswick Corp.

      10,300       662,290       (40,067 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Life Sciences Tools & Services

         

Medpace Holdings, Inc.*

      10,200       625,974       155,652       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Trinity Industries, Inc.

      15,800       601,980       49,770       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

AMC Networks, Inc.*

      7,300       440,117       (7,665 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

SCANA Corp.

      46,680       1,866,733       54,149       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Anadarko Petroleum Corp.

      6,400       468,160       10,560       0.0 (d) 

Andeavor

      22,421       3,364,495       294,612       0.0 (d) 

Antero Resources Corp.*

      6,600       135,564       (3,102 )      (0.0 )(d) 

Arch Coal, Inc.

      4,300       363,737       18,060       0.0 (d) 

Concho Resources, Inc.*

      2,805       409,109       51,322       0.0 (d) 

EQT Corp.

      12,100       601,128       (62,799 )      (0.0 )(d) 

Phillips 66

      3,700       456,358       46,028       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     58,326       5,798,551       354,681       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Innoviva, Inc.*

      29,900       423,085       1,196       0.0 (d) 

Mallinckrodt plc*

      26,000       609,700       42,380       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     55,900       1,032,785       43,576       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Realogy Holdings Corp.

      18,300       400,221       (23,607 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Applied Materials, Inc.

      8,300       403,629       2,905       0.0 (d) 

Nanometrics, Inc.*

      10,900       410,494       (3,597 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     19,200       814,123       (692 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

Citrix Systems, Inc.*

      4,000       439,880       (3,040 )      (0.0 )(d) 

CommVault Systems, Inc.*

      2,000       129,800       (9,100 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,000       569,680       (12,140 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Asbury Automotive Group, Inc.*

      1,800       126,540       900       0.0 (d) 

Children’s Place, Inc. (The)

      3,500       430,150       (3,325 )      (0.0 )(d) 

Party City Holdco, Inc.*

      29,800       469,350       (20,860 )      (0.0 )(d) 

Shoe Carnival, Inc.

      13,300       417,221       (42,560 )      (0.0 )(d) 

Sleep Number Corp.*

      15,200       433,048       (29,032 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     63,600       1,876,309       (94,877 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Stratasys Ltd.*

      25,100       487,442       (29,618 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

AerCap Holdings NV*

      7,800       437,814       2,184       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      1,294,284       49,470,034       3,804       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Banks

         

Fifth Third Bancorp

      (53,708 )      (1,589,220 )      34,910       0.0 (d) 

Independent Bank Group, Inc.

      (3,308 )      (221,967 )      5,954       0.0 (d) 

Veritex Holdings, Inc.*

      (5,132 )      (158,168 )      479       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (62,148 )      (1,969,355 )      41,343       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

CME Group, Inc.

      (4,010 )      (638,071 )      47,719       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Communications Equipment

         

Lumentum Holdings, Inc.*

      (5,818 )      (303,990 )      41,017       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Consumer Services

         

Strayer Education, Inc.

      (3,353 )      (395,118 )      4,963       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Electronic Equipment, Instruments & Components

         

SYNNEX Corp.

      (11,002 )      (1,061,363 )      22,920       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Conagra Brands, Inc.

      (31,095 )      (1,141,497 )      (31,717 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

         

Cigna Corp.

      (8,505 )      (1,525,967 )      (14,203 )      (0.0 )(d) 

CVS Health Corp.

      (11,014 )      (714,368 )      33,482       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (19,519 )      (2,240,335 )      19,279       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Marriott Vacations Worldwide Corp.

      (14,862 )      (1,770,213 )      8,323       0.0 (d) 

Penn National Gaming, Inc.*

      (10,996 )      (352,422 )      40,245       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (25,858 )      (2,122,635 )      48,568       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Kemper Corp.

      (3,395 )      (270,921 )      (10,015 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Dominion Energy, Inc.

      (27,885 )      (1,999,633 )      (49,077 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Marathon Petroleum Corp.

      (35,282 )      (2,851,844 )      (291,782 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

KLA-Tencor Corp.

      (6,511 )      (764,522 )      (46,814 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (235,876 )      (15,759,284 )      (203,596 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      1,058,408       33,710,750       (199,792 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

UBS

    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 0.15%), which is denominated in CAD based on the local currencies of the positions within the swaps.    9/12/2019    $ 32,044      $ (18,132 )    $ 65,239      $ 47,107  
                

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Oil, Gas & Consumable Fuels

         

Enbridge Income Fund Holdings, Inc.

      96,724       2,422,468       41,536       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Oil, Gas & Consumable Fuels

         

Enbridge, Inc.

      (67,307 )      (2,390,424 )      (59,668 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      29,417       32,044       (18,132 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    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 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.    9/12/2019    $ 5,265,452      $ 19,408      $ (15,254 )    $ 4,154  
                

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Electric Utilities

           

EDP - Energias de Portugal SA

      523,616        2,136,260        22,594       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Pharmaceuticals

           

STADA Arzneimittel AG

      2,810        268,127        (992 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Software

           

Gemalto NV*

      49,052        2,861,065        (2,194 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      575,478        5,265,452        19,408       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

UBS

    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 JPY based on the local currencies of the positions within the swaps.    9/12/2019    $ 2,195      $ (1,393 )    $ 5,427      $ 4,034  
                

 

 

  

 

REFERENCE ENTITY    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Metals & Mining

         

Nisshin Steel Co. Ltd.

      69,500       977,421       35,984       0.0 (d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Metals & Mining

         

Nippon Steel & Sumitomo Metal Corp.

      (48,900 )      (975,226 )      (37,377 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      20,600       2,195       (1,393 )      (0.0 )(d) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

UBS

    The Fund receives the total return on a portfolio of long positions and pays or receives the net of one month BBSW on long positions respectively, plus or minus a specified spread (rates range from 0.00% to 0.25%), which is denominated in AUD based on the local currencies of the positions within the swaps.    9/12/2019 –
4/6/2021		    $ 1,292,102      $ (3,590 )    $ (18,902 )    $ (22,492 ) 
               

 

 

  

 

REFERENCE ENTITY    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Food & Staples Retailing

           

Wesfarmers Ltd.

      19,705        724,522        (3,997 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Metals & Mining

           

South32 Ltd.

      213,265        567,580        407       0.0 (d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      232,970        1,292,102        (3,590 )      (0.0 )(d) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

The following reference rates, and their values as of period-end, are used for security descriptions:

 

     Value  

BA

      1.82 % 

BBR

      1.88 % 

BBSW

      1.88 % 

CDOR

      1.82 % 

CHF LIBOR

      (0.78 )% 

EUR LIBOR

      (0.40 )% 

EURIBOR

      (0.37 )% 

GBP LIBOR

      0.68 % 

JPY LIBOR

      (0.07 )% 

STIBOR

      (0.47 )% 

USD LIBOR

      2.08 % 
 

 

Summary of total OTC swap contracts outstanding as of July 31, 2018:

 

     Net Upfront
Payments
(Receipts) ($)		      Value ($)  

Assets

      

OTC Total return basket swaps contracts outstanding

      —          1,444,950  

OTC Total return swap contracts outstanding

      —          65  
  

 

 

     

 

 

  

Total OTC swap contracts outstanding

      —          1,445,015  
  

 

 

     

 

 

  

Liabilities

      
  

 

 

     

 

 

  

Total OTC Total return basket swaps outstanding

      —          (1,219,220 ) 
  

 

 

     

 

 

  

JPMorgan Diversified Alternatives ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Abbreviations

 

BA    Banker’s Acceptance Rate
BBR    Bank Base Rate
BBSW    ASX Australia Bank Bill Short Term Rates
CAC    Continuous Assisted Quotation
CAD    Canadian Dollar
CDOR    Canadian Dollar Offered Rate
CHF    Swiss Franc
CVR    Contingent Value Rights
EUR    Euro
EURIBOR    Euro Interbank Offered Rate
FTSE    Financial Times and the London Stock Exchange
GBP    British Pound
HKD    Hong Kong Dollar
HUF    Hungarian Forint
IBEX    Madrid Stock Exchange
IDR    Indonesian Rupiah
ILS    Israeli Shekel
INR    Indian Rupee
JPY    Japanese Yen
KRW    Korean Republic Won
LIBOR    London Interbank Offered Rate
LME    London Metal Exchange
MIB    Milan, Italian Stock Exchange
MXN    Mexican Peso
NOK    Norwegian Krone
NZD    New Zealand Dollar
OYJ    Public Limited Company
PHP    Philippine Peso
PLN    Polish Zloty
SCA    Limited partnership with share capital
SEK    Swedish Krona
SPI    Australian Securities Exchange
STIBOR    Stockholm Interbank Offered Rates
THB    Thai Bhat
TOPIX    Tokyo Stock Price Index
TRY    Turkish Lira
TWD    Taiwan Dollar
USD    United States Dollar
WTI    West Texas Intermediate
ZAR    South African Rand
(a)    Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration.
(b)    Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)    The rate shown was the current yield as of July 31, 2018.
(d)    Amounts rounds to less than 0.05%.
(e)    Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. 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 July 31, 2018, 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.
**    Non-deliverable forward.
‡    Value determined using significant unobservable inputs.

JPMorgan Diversified Alternatives ETF

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Diversified Alternatives Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on August 17, 2015 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. 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 — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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 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 related or comparable assets or liabilities, recent transactions, market multiples, book values, and other relevant information for the investment to determine the fair value of 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.

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.

Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors provided by an approved Pricing Services. 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 (the “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 Diversified Alternatives ETF

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (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

         

Biotechnology

    $  —       $ 394,035     $  —       $ 394,035  

Diversified Financial Services

      —         655,796       —         655,796  

Media

      4,267,396       666,631       —         4,934,027  

Multi-Utilities

      3,832,340       1,614,739       —         5,447,079  

Personal Products

      582,922       826,283       —         1,409,205  

Pharmaceuticals

      2,409,226       718,622       —         3,127,848  

Other Common Stocks

      88,571,821       —         —         88,571,821  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Common Stocks

      99,663,705       4,876,106       —         104,539,811  
  

 

 

    

 

 

    

 

 

    

 

 

  

Short-Term Investments

         

Investment Companies

      85,614,658       —         —         85,614,658  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Investments in Securities

    $ 185,278,363     $ 4,876,106     $ —       $ 190,154,469  
  

 

 

    

 

 

    

 

 

    

 

 

  

Appreciation in Other Financial Instruments

         

Forward Foreign Currency Exchange Contracts

    $ —       $ 756,692     $ —       $ 756,692  

Futures Contracts

      1,499,618       117,205       —         1,616,823  

Swaps

      —         979,119       65       979,184  
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Appreciation in Other Financial Instruments

    $ 1,499,618     $ 1,853,016     $ 65     $ 3,352,699  
  

 

 

    

 

 

    

 

 

    

 

 

  

Depreciation in Other Financial Instruments

         

Forward Foreign Currency Exchange Contracts

    $ —       $ (598,024 )    $ —       $ (598,024 ) 

Futures Contracts

      (1,341,061 )      (16,022 )      —         (1,357,083 ) 

Swaps

      —         (722,539 )      (635 )      (723,174 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Depreciation in Other Financial Instruments

    $ (1,341,061 )    $ (1,336,585 )    $ (635 )    $ (2,678,281 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transfers between fair value levels are valued utilizing values as of the beginning of the period.

There were no significant transfers among any levels during the period ended July 31, 2018.

JPMorgan Diversified Alternatives ETF

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

B. 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, commodities and treasury futures contracts to obtain long and short exposure to the underlying commodities markets, to gain or reduce exposure to the stock market, to gain or reduce exposure to particular countries or regions, maintain liquidity, minimize transaction costs or to manage and hedge interest rate risk associated with portfolio investments.

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.

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

JPMorgan Diversified Alternatives ETF

NOTES TO CONSOLIDATED SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

(3). Swaps — The Fund engaged in various swap transactions, including total return swaps and total return basket swaps, to manage credit, interest rate (e.g., duration, yield curve), currency, credit risks and inflation risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to 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 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. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net 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 for Over the Counter Swaps 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.

The Fund may be required to post or receive collateral for Over the Counter Swaps.

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

Total Return Swaps

The Fund used total return swaps to gain long or short exposure to an underlying stock. To the extent the total return of the stock underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment from or make a payment to the counterparty. These arrangements involve the periodic exchange of cash flows based on the total return of the underlying stock and interest rate obligations.

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 agreements, each swap is designed to function as a portfolio of direct investments in long and 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.

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 swap swaps.

JPMorgan Event Driven ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 39.4%

 

Aerospace & Defense — 1.5%

 

Rockwell Collins, Inc.

      2,886        401,125  
     

 

 

  

Banks — 0.6%

 

Commonwealth Bank of Australia (Australia)

      3,006        167,395  
     

 

 

  

Biotechnology — 0.7%

 

Sirtex Medical Ltd. (Australia)

      1,993        47,084  

Spark Therapeutics, Inc. *

      1,900        145,768  
     

 

 

  
        192,852  
     

 

 

  

Building Products — 2.8%

 

Advanced Drainage Systems, Inc.

      6,100        170,495  

Apogee Enterprises, Inc.

      3,800        192,888  

USG Corp. *

      9,477        409,596  
     

 

 

  
        772,979  
     

 

 

  

Communications Equipment — 0.4%

 

Mitel Networks Corp. *

      9,715        106,574  
     

 

 

  

Diversified Financial Services — 0.6%

 

Kinnevik AB, Class B (Sweden)

      4,773        164,734  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.5%

 

VeriFone Systems, Inc. *

      17,287        395,872  
     

 

 

  

Energy Equipment & Services — 0.2%

 

Seadrill Ltd. (United Kingdom) *

      2,400        48,192  
     

 

 

  

Food & Staples Retailing — 0.7%

 

SUPERVALU, Inc. *

      5,864        189,524  
     

 

 

  

Food Products — 0.6%

 

Pinnacle Foods, Inc.

      2,600        172,692  
     

 

 

  

Health Care Equipment & Supplies — 1.9%

 

Abaxis, Inc.

      1,383        114,789  

NxStage Medical, Inc. *

      14,351        402,833  
     

 

 

  
        517,622  
     

 

 

  

Health Care Providers & Services — 3.5%

 

Envision Healthcare Corp. *

      9,093        402,456  

LifePoint Health, Inc. *

      6,226        403,445  

MEDNAX, Inc. *

      3,000        128,370  
     

 

 

  
        934,271  
     

 

 

  

Health Care Technology — 1.4%

 

athenahealth, Inc. *

      669        100,825  

Cotiviti Holdings, Inc. *

      6,314        281,857  
     

 

 

  
        382,682  
     

 

 

  

Hotels, Restaurants & Leisure — 1.3%

 

Jack in the Box, Inc.

      1,700        143,208  

Sonic Corp.

      6,500        228,475  
     

 

 

  
        371,683  
     

 

 

  

Household Durables — 0.5%

 

Newell Brands, Inc.

      5,400        141,426  
     

 

 

  

Insurance — 2.3%

 

AmTrust Financial Services, Inc.

      15,765        228,277  

Stewart Information Services Corp.

      100        4,544  

XL Group Ltd. (Bermuda)

      6,994        393,273  
     

 

 

  
        626,094  
     

 

 

  

Investments

    Shares      Value($)  

Internet Software & Services — 0.5%

 

Web.com Group, Inc. *

      5,391        135,584  
     

 

 

  

IT Services — 2.1%

 

Cardtronics plc, Class A *

      6,100        154,452  

Syntel, Inc. *

      5,560        225,680  

Travelport Worldwide Ltd.

      9,400        177,660  
     

 

 

  
        557,792  
     

 

 

  

Machinery — 0.7%

 

Tennant Co.

      2,400        195,240  
     

 

 

  

Marine — 0.1%

 

DryShips, Inc. (Greece)

      6,000        31,620  
     

 

 

  

Media — 2.3%

 

APN Outdoor Group Ltd. (Australia)

      18,584        87,075  

Madison Square Garden Co. (The), Class A *

      500        156,090  

Twenty-First Century Fox, Inc., Class A

      8,530        383,850  
     

 

 

  
        627,015  
     

 

 

  

Multi-Utilities — 3.5%

 

Avista Corp.

      7,219        365,137  

Innogy SE (Germany) *

      4,786        205,760  

Vectren Corp.

      5,426        387,796  
     

 

 

  
        958,693  
     

 

 

  

Oil, Gas & Consumable Fuels — 2.4%

 

Antero Resources Corp. *

      8,300        170,482  

CNX Resources Corp. *

      9,400        153,032  

Peabody Energy Corp.

      3,800        161,462  

Range Resources Corp.

      9,800        151,214  
     

 

 

  
        636,190  
     

 

 

  

Paper & Forest Products — 1.4%

 

KapStone Paper and Packaging Corp.

      10,851        377,398  
     

 

 

  

Personal Products — 0.4%

 

Ontex Group NV (Belgium)

      3,540        107,035  
     

 

 

  

Pharmaceuticals — 1.3%

 

Eli Lilly & Co.

      1,700        167,977  

Green Organic Dutchman Holdings Ltd. (The) (Canada) *

      1,400        5,542  

Novartis AG (Registered) (Switzerland)

      2,152        180,600  
     

 

 

  
        354,119  
     

 

 

  

Semiconductors & Semiconductor Equipment — 1.0%

 

NXP Semiconductors NV (Netherlands) *

      2,951        281,348  
     

 

 

  

Software — 0.5%

 

CommVault Systems, Inc. *

      2,200        142,780  
     

 

 

  

Specialty Retail — 1.2%

 

Asbury Automotive Group, Inc. *

      2,300        161,690  

Rent-A-Center, Inc. *

      10,162        150,804  
     

 

 

  
        312,494  
     

 

 

  

Trading Companies & Distributors — 1.2%

 

MRC Global, Inc. *

      7,600        172,140  

WESCO International, Inc. *

      2,800        170,800  
     

 

 

  
        342,940  
     

 

 

  
 

JPMorgan Event Driven ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

      Shares      Value($)  

Water Utilities — 0.3%

 

SJW Group

 

      1,175        75,999  
        

 

 

  

TOTAL COMMON STOCKS
(Cost $10,546,118)

 

      10,721,964  
        

 

 

  

Investments

      Principal
Amount($)		         

FOREIGN GOVERNMENT SECURITIES — 1.0%

 

Japan Government Bond (Japan) 0.10%, 7/15/2019
(Cost $274,422)

      JPY        30,900,000        276,919  
        

 

 

  

Investments

      Shares         

SHORT-TERM INVESTMENTS — 59.4%

 

INVESTMENT COMPANIES — 59.4%

 

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.77% (a)(b)
(Cost $16,199,497)

 

      16,199,497        16,199,497  
        

 

 

  

Total Investments — 99.8%
(Cost $27,020,037)

 

      27,198,380  

Other Assets Less Liabilities — 0.2%

            57,280  
        

 

 

  

Net Assets — 100.0%

            27,255,660  
        

 

 

  

 

Percentages indicated are based on net assets.

                

 

JPMorgan Event Driven ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Forward foreign currency exchange contracts outstanding as of July 31, 2018:

 

  

 

Currency Purchased

      Currency Sold     

Counterparty

    Settlement
Date		      Unrealized
Appreciation
(Depreciation) ($)		  
USD      151,668      EUR      129,188      Goldman Sachs International      8/17/2018        428  
                 

 

 

  

Total unrealized appreciation

         428  
                 

 

 

  
USD      296,351      AUD      401,689      Standard Chartered Bank      8/17/2018        (2,111 ) 
USD      160,910      CHF      161,458      Standard Chartered Bank      8/17/2018        (2,365 ) 
USD      155,686      EUR      133,429      Australia & New Zealand Banking Group Ltd.      8/17/2018        (519 ) 
USD      162,922      SEK      1,450,652      Merrill Lynch International      8/17/2018        (2,253 ) 
USD      281,812      JPY      30,900,000      State Street Corp.      7/16/2019        (2,475 ) 
                 

 

 

  

Total unrealized depreciation

         (9,723 ) 
                 

 

 

  

Net unrealized depreciation

         (9,295 ) 
     

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited)

 

Total Return Basket Swaps Outstanding at July 31, 2018

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   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 0.25%), which is denominated in GBP based on the local currencies of the positions within the swaps.   5/31/2019   $ 964,790     $ 10,024     $ 473     $ 10,497  
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

        

Biotechnology

 

        

Shire plc

      1,771        100,866        877       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Capital Markets

 

        

NEX Group plc

      10,140        134,349        (1,277 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Insurance

 

        

Prudential plc

      5,790        136,607        2,231       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Media

 

        

Sky plc

      29,679        592,968        8,193       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      47,380        964,790        10,024       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   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 USD based on the local currencies of the positions within the swaps.   12/31/2018   $ 5,616,837     $ (56,100 )    $ (5,500 )    $ (61,600 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

        

Airlines

 

        

United Continental Holdings, Inc. *

      2,300        184,920        20,930       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Automobiles

 

        

Fiat Chrysler Automobiles NV *

      7,000        118,860        (22,960 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Banks

 

        

Customers Bancorp, Inc. *

      2,000        50,940        (7,900 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Building Products

 

        

NCI Building Systems, Inc. *

      8,500        135,575        (43,350 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Capital Markets

 

        

BGC Partners, Inc.

      11,400        122,436        (5,814 )      (0.0 )(c) 

Legg Mason, Inc.

      3,900        133,107        (3,744 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     15,300        255,543        (9,558 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

 

        

Platform Specialty Products Corp. *

      15,200        187,872        (2,128 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Commercial Services & Supplies

 

        

KAR Auction Services, Inc.

      2,900        172,405        2,639       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Communications Equipment

 

        

Juniper Networks, Inc.

      6,000        158,040        (11,760 )      (0.0 )(c) 

NETGEAR, Inc. *

      2,700        177,795        (15,390 )      (0.0 )(c) 

Oclaro, Inc. *

      22,818        193,040        (13,234 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     31,518        528,875        (40,384 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

  

Common Stocks — continued

 

      

Containers & Packaging

 

      

Sealed Air Corp.

      3,700       163,059       4,366       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Distributors

 

      

Genuine Parts Co.

      1,700       165,427       6,613       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Consumer Services

 

      

Capella Education Co.

      4,409       458,536       (220 )      (0.0 )(c) 

ServiceMaster Global Holdings, Inc. *

      2,900       165,271       (10,237 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     7,309       623,807       (10,457 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

 

      

Orbotech Ltd. *

      3,210       206,211       4,911       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

 

      

Tidewater, Inc. *

      2,000       68,660       4,860       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

 

      

Aetna, Inc.

      2,069       389,779       269       0.0 (c) 

Express Scripts Holding Co. *

      4,667       370,840       (5,134 )      (0.0 )(c) 

Henry Schein, Inc. *

      2,300       182,643       8,165       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     9,036       943,262       3,300       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

 

      

Brinker International, Inc.

      3,800       179,246       (6,726 )      (0.0 )(c) 

Churchill Downs, Inc.

      500       142,975       (6,450 )      (0.0 )(c) 

Dunkin’ Brands Group, Inc.

      2,500       174,075       (3,400 )      (0.0 )(c) 

Pinnacle Entertainment, Inc. *

      4,501       149,613       (5,941 )      (0.0 )(c) 

Sonic Corp.

      6,300       221,445       1,197       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     17,601       867,354       (21,320 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

 

      

Brunswick Corp.

      2,500       160,750       (10,300 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Life Sciences Tools & Services

 

      

Medpace Holdings, Inc. *

      3,800       233,206       64,942       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

 

      

Terex Corp.

      3,600       158,832       36       0.0 (c) 

Trinity Industries, Inc.

      4,400       167,640       14,256       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     8,000       326,472       14,292       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

 

      

SCANA Corp.

      7,885       315,321       2,917       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

 

      

Arch Coal, Inc.

      1,600       135,344       5,904       0.0 (c) 

EQT Corp.

      3,100       154,008       (20,832 )      (0.0 )(c) 

Phillips 66

      1,400       172,676       14,210       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,100       462,028       (718 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

 

      

Innoviva, Inc. *

      10,000       141,500       (3,900 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

 

      

Nanometrics, Inc. *

      4,100       154,406       3,198       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

 

      

Avaya Holdings Corp. *

      2,500       51,450       (1,175 )      (0.0 )(c) 

Citrix Systems, Inc. *

      1,500       164,955       4,650       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     4,000       216,405       3,475       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

 

      

Sleep Number Corp. *

      4,600       131,054       (7,544 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

 

      

Stratasys Ltd. *

      6,600       128,172       (3,696 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      186,859       6,942,084       (47,772 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

 

      

Common Stocks

 

      

Capital Markets

 

      

CME Group, Inc.

      (446 )      (70,968 )      2,252       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Communications Equipment

 

      

Lumentum Holdings, Inc. *

      (1,436 )      (75,031 )      7,252       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

  

Common Stocks — continued

 

      

Diversified Consumer Services

 

      

Strayer Education, Inc.

      (3,818 )      (449,913 )      5,345       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

 

      

Cigna Corp.

      (1,124 )      (201,668 )      (6,710 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

 

      

Penn National Gaming, Inc. *

      (1,871 )      (59,966 )      6,287       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

 

      

Dominion Energy, Inc.

      (5,222 )      (374,470 )      (13,734 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

 

      

KLA-Tencor Corp.

      (794 )      (93,231 )      (9,020 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (14,711 )      (1,325,247 )      (8,328 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      172,148       5,616,837       (56,100 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month EURIBOR on long positions, 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.   6/28/2019   $ 746,297     $ (873 )    $ 355     $ (518 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

        

Pharmaceuticals

 

        

STADA Arzneimittel AG

      3,903        372,420        904       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Software

 

        

Gemalto NV *

      6,410        373,877        (1,777 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      10,313        746,297        (873 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BBR on long positions, plus or minus a specified spread (rates range from 0.00% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps.   1/1/2019   $ 412,664     $ (4,264 )    $ (595 )    $ (4,859 ) 
           

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

        

Biotechnology

 

        

Sirtex Medical Ltd.

      3,454        81,599        69       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

Wesfarmers Ltd.

      4,642        170,679        440       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Metals & Mining

           

South32 Ltd.

      60,264        160,386        (4,773 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      68,360        412,664        (4,264 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   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, plus or minus a specified spread of (0.35) %, which is denominated in JPY based on the local currencies of the positions within the swaps.   5/27/2019   $ (63,334 )    $ (1,199 )    $ (39 )    $ (1,238 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

         

Common Stocks

         

Pharmaceuticals

         

Takeda Pharmaceutical Co. Ltd.

      (1,500 )      (63,334 )      (1,199 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one month BA on long positions, plus or minus a specified spread of 0.50%, which is denominated in CAD based on the local currencies of the positions within the swaps.   12/31/2018   $ 23,911     $ (698 )    $ (40 )    $ (738 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Metals & Mining

           

Sandstorm Gold Ltd. *

      5,400        23,911        (698 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one month STIBOR 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 SEK based on the local currencies of the positions within the swaps.   7/31/2019   $ 9,581     $ (459 )    $ (9 )    $ (468 ) 
           

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

      

Diversified Telecommunication Services

 

      

Com Hem Holding AB

      2,344       41,879       3,004       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

 

      

Common Stocks

         

Wireless Telecommunication Services

         

Tele2 AB

      (2,407 )      (32,298 )      (3,463 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (63 )      9,581       (459 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day FEDEF and one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.29) % to 0.25%), which is denominated in USD based on the local currencies of the positions within the swaps.   5/3/2028 -
7/27/2028		   $ 5,133,728     $ (49,149 )    $ (6,765 )    $ (55,914 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

        

Banks

 

        

Green Bancorp, Inc. *

      3,558        86,460        (746 )      (0.0 )(c) 

Guaranty Bancorp

      944        28,367        (473 )      (0.0 )(c) 

MB Financial, Inc.

      4,965        240,554        2,532       0.0 (c) 

Webster Financial Corp.

      2,600        167,778        (806 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     12,067        523,159        507       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Biotechnology

 

        

Amgen, Inc.

      900        176,895        774       0.0 (c) 

Celgene Corp. *

      2,100        189,189        11,613       0.0 (c) 

Ironwood Pharmaceuticals, Inc. *

      8,800        169,664        (5,104 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     11,800        535,748        7,283       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Communications Equipment

 

        

NetScout Systems, Inc. *

      5,900        158,120        (23,011 )      (0.0 )(c) 

Oclaro, Inc.*

      3,358        28,409        (1,947 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     9,258        186,529        (24,958 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Consumer Services

 

        

Bright Horizons Family Solutions, Inc. *

      1,600        171,184        (560 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Financial Services

 

        

Voya Financial, Inc.

      3,200        161,664        6,880       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electrical Equipment

 

        

Atkore International Group, Inc. *

      7,400        175,084        11,397       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

 

        

Orbotech Ltd. *

      525        33,726        803       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

 

        

Kroger Co. (The)

      6,600        191,400        1,518       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food Products

 

        

Pinnacle Foods, Inc.

      3,649        242,367        2,262       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Providers & Services

 

        

DaVita, Inc. *

      2,400        168,672        (768 )      (0.0 )(c) 

Premier, Inc. *

      5,000        187,000        1,500       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     7,400        355,672        732       0.0 (c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions— continued

 

  

Common Stocks — continued

 

      

Hotels, Restaurants & Leisure

 

      

Hilton Worldwide Holdings, Inc.

      2,000       157,320       (5,240 )      (0.0 )(c) 

ILG, Inc.

      11,315       388,444       2,942       0.0 (c) 

Norwegian Cruise Line Holdings Ltd. *

      3,100       155,093       7,533       0.0 (c) 

Papa John’s International, Inc.

      3,100       130,076       (27,373 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     19,515       830,933       (22,138 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

 

      

General Electric Co.

      11,500       156,745       (6,210 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

 

      

Loews Corp.

      3,400       172,652       2,958       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

 

      

Black Knight, Inc. *

      3,300       170,445       (8,250 )      (0.0 )(c) 

Convergys Corp.

      13,659       336,011       (8,529 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     16,959       506,456       (16,779 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

 

      

AMC Networks, Inc. *

      2,700       162,783       (9,288 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

 

      

Anadarko Petroleum Corp.

      2,400       175,560       (5,568 )      (0.0 )(c) 

Andeavor

      2,788       418,367       39,840       0.0 (c) 

Gulfport Energy Corp. *

      15,400       177,254       (18,480 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     20,588       771,181       15,792       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

 

      

Mallinckrodt plc *

      9,700       227,465       23,959       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

 

      

Realogy Holdings Corp.

      6,800       148,716       (9,588 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

 

      

Applied Materials, Inc.

      3,100       150,753       5,859       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

 

      

Children’s Place, Inc. (The)

      1,300       159,770       5,720       0.0 (c) 

Party City Holdco, Inc. *

      11,200       176,400       (7,280 )      (0.0 )(c) 

Shoe Carnival, Inc.

      5,000       156,850       (7,899 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     17,500       493,020       (9,459 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

 

      

AerCap Holdings NV *

      2,900       162,777       3,132       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      178,161       6,360,014       (15,898 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

 

  

Common Stocks

 

      

Banks

 

      

Fifth Third Bancorp

      (6,839 )      (202,366 )      752       0.0 (c) 

Independent Bank Group, Inc.

      (420 )      (28,182 )      588       0.0 (c) 

Veritex Holdings, Inc. *

      (2,782 )      (85,741 )      740       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (10,041 )      (316,289 )      2,080       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

 

      

CME Group, Inc.

      (81 )      (12,889 )      409       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Communications Equipment

 

      

Lumentum Holdings, Inc. *

      (211 )      (11,025 )      1,065       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

 

      

SYNNEX Corp.

      (1,542 )      (148,757 )      5,853       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

 

      

Conagra Brands, Inc.

      (4,017 )      (147,464 )      (361 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

 

      

Marriott Vacations Worldwide Corp.

      (1,847 )      (219,996 )      (1,514 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

 

      

Marathon Petroleum Corp.

      (4,387 )      (354,601 )      (39,307 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

 

      

KLA-Tencor Corp.

      (130 )      (15,265 )      (1,476 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (22,256 )      (1,226,286 )      (33,251 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      155,905       5,133,728       (49,149 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   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 CDOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.20) % to 0.25%), which is denominated in CAD based on the local currencies of the positions within the swaps.   5/23/2028   $ 4,064     $ 4,996     $ 2,971     $ 7,967  
           

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

          

Common Stocks

          

Oil, Gas & Consumable Fuels

          

Enbridge Income Fund Holdings, Inc.

      12,288       307,755       54        0.0 (c) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Short Positions

          

Common Stocks

          

Oil, Gas & Consumable Fuels

          

Enbridge, Inc.

      (8,551 )      (303,691 )      4,942        0.0 (c) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      3,737       4,064       4,996        0.0 (c) 
  

 

 

    

 

 

    

 

 

     

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one day EONIA on long positions, plus or minus a specified spread of 0.30%, which is denominated in EUR based on the local currencies of the positions within the swaps.   5/17/2028   $ 271,174     $ (80 )    $ 9     $ (71 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($) 
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

 

        

Electric Utilities

 

        

EDP - Energias de Portugal SA

      66,467        271,174        (80 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day BOJ on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.30)% to 0.60%), which is denominated in JPY based on the local currencies of the positions within the swaps.   5/23/2018   $ (476 )    $ (64 )    $ (57 )    $ (121 ) 
           

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

 

      

Metals & Mining

 

      

Nisshin Steel Co. Ltd.

      8,900       125,166       5,864       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Metals & Mining

         

Nippon Steel & Sumitomo Metal Corp.

      (6,300 )      (125,642 )      (5,928 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      2,600       (476 )      (64 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day SONIA on long positions and short positions respectively, plus or minus a specified spread (rates range from (6.00)% to 0.30%), which is denominated in GBP based on the local currencies of the positions within the swaps.   5/12/2028 -

6/7/2028

   $ 18,221     $ (1,414 )    $ (890 )    $ (2,304 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)
(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

 

      

Banks

 

      

Virgin Money Holdings UK plc

      27,253       141,755       2,707       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

 

      

NEX Group plc

      1,861       24,657       (235 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      29,114       166,412       2,472       0.0 (c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Banks

         

CYBG plc

      (32,714 )      (148,191 )      (3,886 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (3,600 )      18,221       (1,414 )      (0.0 )(c) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE (1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION) (2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long equity positions and pays or receives the net of one day OIS-RBA on long positions, plus or minus a specified spread of 0.30%, which is denominated in AUD based on the local currencies of the positions within the swaps.   4/28/2028 –5/3/2028   $ 89,416     $ (940 )    $ (5,491 )    $ (6,431 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)
(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)
(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Health Care Providers & Services

           

Healthscope Ltd.

      55,039        89,416        (940 )      (0.0 )(c) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Event Driven ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

The following reference rates, and their values as of period-end, are used for security descriptions:

 

     Value  

BA

      1.82 % 

BA CDOR

      1.82 % 

BBR

      1.88 % 

BOJ

      (0.10 )% 

EONIA

      (0.36 )% 

EURIBOR

      (0.37 )% 

FEDEF

      1.91 % 

GBP LIBOR

      0.68 % 

JPY LIBOR

      (0.07 )% 

OIS-RBA

      1.50 % 

SONIA

      0.45 % 

STIBOR

      (0.47 )% 

USD LIBOR

      2.08 % 

Summary of total swap contracts outstanding as of July 31, 2018:

 

    Net Upfront
Payments
(Receipts) ($)		     Value ($)  

Assets

    
 

 

 

    

 

 

  

Total OTC Total return basket swaps outstanding

     —         18,464  
 

 

 

    

 

 

  

Liabilities

    
 

 

 

    

 

 

  

Total OTC Total return basket swaps outstanding

     —         (134,262 ) 
 

 

 

    

 

 

  

 

Abbreviations

AUD

    Australian Dollar
BA    Banker’s Acceptance Rate
BBR    Bank Base Rate
BOJ    Bank of Japan
CAD    Canadian Dollar
CDOR    Canadian Dollar Offered Rate
CHF    Swiss Franc
EONIA    Euro Over Night Index Average
EUR    Euro
EURIBOR    Euro Interbank Offered Rate
FEDEF    US Federal Fund Effective Rate (Continuous Series)
GBP    British Pound
JPY    Japanese Yen
LIBOR    London Interbank Offered Rate
OIS-RBA    Overnight Indexed Swap-Reserve Bank of Australia
SEK    Swedish Krona
SONIA    Sterling Overnight Index Average
STIBOR    Stockholm Interbank Offered Rate
USD    United States Dollar
(a)    Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)    The rate shown is the current yield as of July 31, 2018.
(c)    Amounts rounds to less than 0.05%.
*    Non-income producing security.
(1)    Notional value represents market value, as of July 31, 2018, 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.

JPMorgan Event Driven ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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.

Certain foreign equity instruments are valued by applying international fair value factors provided by an approved Pricing Services. 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 (the “Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.

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.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

            

Common Stocks

            

Banks

    $ —        $ 167,395      $ —        $ 167,395  

Biotechnology

      145,768        47,084        —          192,852  

Diversified Financial Services

      —          164,734        —          164,734  

Media

      539,940        87,075        —          627,015  

Multi-Utilities

      752,933        205,760        —          958,693  

Personal Products

      —          107,035        —          107,035  

Pharmaceuticals

      173,519        180,600        —          354,119  

Other Common Stocks

      8,150,121        —          —          8,150,121  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Common Stocks

      9,762,281        959,683        —          10,721,964  
  

 

 

     

 

 

     

 

 

     

 

 

  

Debt Securities

 

      

Foreign Government Securities

      —          276,919        —          276,919  

Short-Term Investments

 

      

Investment Companies

      16,199,497        —          —          16,199,497  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Investments in Securities

    $ 25,961,778      $ 1,236,602      $ —        $ 27,198,380  
  

 

 

     

 

 

     

 

 

     

 

 

  

Appreciation in Other Financial Instruments

 

      

Forward Foreign Currency Exchange Contracts

    $ —        $ 428      $ —        $ 428  

Swaps

      —          15,020        —          15,020  
  

 

 

     

 

 

     

 

 

     

 

 

  

Total Appreciation in Other Financial Instruments

    $ —        $ 15,448      $ —        $ 15,448  
  

 

 

     

 

 

     

 

 

     

 

 

  

JPMorgan Event Driven ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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

Depreciation in Other Financial Instruments

 

     

Forward Foreign Currency Exchange Contracts

    $ —        $ (9,723 )    $ —        $ (9,723 ) 

Swaps

      —          (115,240 )      —          (115,240 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Depreciation in Other Financial Instruments

    $ —        $ (124,963 )    $ —        $ (124,963 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

B. Derivatives — The Fund used derivative instruments including 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) — (2) below describe the various derivatives used by the Fund.

(1). Forward Foreign Currency Exchange Contracts — The Fund may be 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. dollars 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). The Fund may be required to post or receive collateral for non-deliverable forward foreign currency exchange contracts.

(2). Swaps — The Fund engaged in various swap transactions, including total return basket swaps, to manage credit, interest rate (e.g., duration, yield curve), currency, credit risks and inflation risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to 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 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. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net 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.

JPMorgan Event Driven ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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.

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 agreements, each swap is designed to function as a portfolio of direct investments in long and 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.

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 swap swaps.

JPMorgan Long/Short ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

COMMON STOCKS — 58.7%

      

Aerospace & Defense — 0.7%

 

Boeing Co. (The)

      232        82,662  

L3 Technologies, Inc.

      410        87,920  
     

 

 

  
        170,582  
     

 

 

  

Auto Components — 0.9%

 

BorgWarner, Inc.

      1,184        54,488  

Cooper-Standard Holdings, Inc. *

      400        53,920  

Gentex Corp.

      2,382        55,262  

Lear Corp.

      295        53,138  
     

 

 

  
        216,808  
     

 

 

  

Automobiles — 0.2%

 

Thor Industries, Inc.

      550        52,168  
     

 

 

  

Banks — 0.4%

 

Umpqua Holdings Corp.

      4,255        90,632  
     

 

 

  

Beverages — 0.4%

 

PepsiCo, Inc.

      729        83,835  
     

 

 

  

Building Products — 0.7%

 

Continental Building Products, Inc. *

      2,585        82,461  

Owens Corning

      1,244        77,402  
     

 

 

  
        159,863  
     

 

 

  

Capital Markets — 1.5%

 

Artisan Partners Asset Management, Inc., Class A

      2,565        88,364  

BGC Partners, Inc., Class A

      8,666        93,073  

Houlihan Lokey, Inc.

      1,560        76,690  

Waddell & Reed Financial, Inc., Class A

      5,220        108,106  
     

 

 

  
        366,233  
     

 

 

  

Chemicals — 1.9%

 

CF Industries Holdings, Inc.

      2,279        101,233  

Eastman Chemical Co.

      827        85,694  

Huntsman Corp.

      2,662        89,257  

LyondellBasell Industries NV, Class A

      766        84,865  

Westlake Chemical Corp.

      893        95,747  
     

 

 

  
        456,796  
     

 

 

  

Commercial Services & Supplies — 1.5%

 

Brady Corp., Class A

      2,511        96,046  

Deluxe Corp.

      1,286        75,784  

KAR Auction Services, Inc.

      1,385        82,338  

Quad/Graphics, Inc.

      4,979        102,368  
     

 

 

  
        356,536  
     

 

 

  

Communications Equipment — 0.7%

 

Cisco Systems, Inc.

      1,851        78,279  

Motorola Solutions, Inc.

      703        85,274  
     

 

 

  
        163,553  
     

 

 

  

Construction & Engineering — 0.7%

 

EMCOR Group, Inc.

      1,069        82,259  

Jacobs Engineering Group, Inc.

      1,247        84,335  
     

 

 

  
        166,594  
     

 

 

  

Consumer Finance — 0.7%

 

Ally Financial, Inc.

      2,959        79,183  

Discover Financial Services

      1,135        81,050  
     

 

 

  
        160,233  
     

 

 

  

Containers & Packaging — 0.4%

 

Greif, Inc., Class A

      1,812        98,663  
     

 

 

  

Investments

    Shares      Value($)  

Diversified Consumer Services — 0.2%

 

H&R Block, Inc.

      2,205        55,478  
     

 

 

  

Diversified Telecommunication Services — 0.3%

 

Vonage Holdings Corp. *

      6,245        79,999  
     

 

 

  

Electric Utilities — 1.1%

 

Exelon Corp.

      2,008        85,340  

FirstEnergy Corp.

      2,394        84,820  

IDACORP, Inc.

      897        84,533  
     

 

 

  
        254,693  
     

 

 

  

Electrical Equipment — 1.5%

 

Eaton Corp. plc

      1,063        88,410  

Generac Holdings, Inc. *

      1,615        86,806  

Regal Beloit Corp.

      998        85,778  

Sensata Technologies Holding plc *

      1,943        105,641  
     

 

 

  
        366,635  
     

 

 

  

Electronic Equipment, Instruments & Components — 1.1%

 

FLIR Systems, Inc.

      1,502        88,017  

Littelfuse, Inc.

      372        80,657  

Vishay Intertechnology, Inc.

      3,384        84,600  
     

 

 

  
        253,274  
     

 

 

  

Energy Equipment & Services — 0.8%

 

Diamond Offshore Drilling, Inc. *

      4,464        85,709  

National Oilwell Varco, Inc.

      1,942        94,420  
     

 

 

  
        180,129  
     

 

 

  

Food & Staples Retailing — 1.0%

 

United Natural Foods, Inc. *

      1,939        62,436  

Walgreens Boots Alliance, Inc.

      1,261        85,269  

Walmart, Inc.

      942        84,054  
     

 

 

  
        231,759  
     

 

 

  

Food Products — 1.5%

 

Flowers Foods, Inc.

      4,092        83,477  

Ingredion, Inc.

      932        94,411  

JM Smucker Co. (The)

      875        97,230  

Sanderson Farms, Inc.

      824        83,084  
     

 

 

  
        358,202  
     

 

 

  

Health Care Equipment & Supplies — 1.4%

 

Baxter International, Inc. (a)

      1,105        80,057  

Becton Dickinson and Co. (a)

      333        83,373  

Danaher Corp.

      804        82,474  

STERIS plc

      739        84,594  
     

 

 

  
        330,498  
     

 

 

  

Health Care Providers & Services — 2.1%

 

Chemed Corp.

      251        79,323  

Encompass Health Corp.

      1,189        89,924  

Humana, Inc.

      260        81,687  

Quest Diagnostics, Inc.

      782        84,237  

UnitedHealth Group, Inc.

      326        82,550  

WellCare Health Plans, Inc. *

      323        86,377  
     

 

 

  
        504,098  
     

 

 

  

Hotels, Restaurants & Leisure — 0.7%

 

Hyatt Hotels Corp., Class A

      659        51,554  

Royal Caribbean Cruises Ltd.

      490        55,252  

Wyndham Destinations, Inc.

      1,160        53,499  
     

 

 

  
        160,305  
     

 

 

  

Household Durables — 0.9%

 

PulteGroup, Inc.

      1,755        50,000  

Taylor Morrison Home Corp., Class A *

      2,563        50,056  

Toll Brothers, Inc.

      1,459        51,444  

William Lyon Homes, Class A *

      2,286        49,903  
     

 

 

  
        201,403  
     

 

 

  
 

JPMorgan Long/Short ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

    Shares      Value($)  

COMMON STOCKS — continued

      

Household Products — 0.4%

 

Energizer Holdings, Inc.

      1,307        83,230  
     

 

 

  

Independent Power and Renewable Electricity Producers — 1.1%

 

NRG Energy, Inc.

      2,623        83,071  

NRG Yield, Inc., Class C

      4,624        86,006  

Vistra Energy Corp. *

      3,643        82,332  
     

 

 

  
        251,409  
     

 

 

  

Insurance — 2.1%

      

Aflac, Inc. (a)

      2,249        104,668  

First American Financial Corp.

      1,533        85,848  

Old Republic International Corp.

      4,822        102,757  

Prudential Financial, Inc.

      999        100,809  

Universal Insurance Holdings, Inc.

      2,162        95,993  
     

 

 

  
        490,075  
     

 

 

  

Internet Software & Services — 0.9%

      

Akamai Technologies, Inc. *

      1,038        78,120  

LogMeIn, Inc.

      758        61,436  

Match Group, Inc. *

      1,844        66,605  
     

 

 

  
        206,161  
     

 

 

  

IT Services — 4.5%

      

Accenture plc, Class A

      501        79,824  

Amdocs Ltd.

      1,164        78,663  

CACI International, Inc., Class A *

      463        81,118  

Cognizant Technology Solutions Corp., Class A

      1,026        83,619  

CSG Systems International, Inc.

      1,884        76,622  

EVERTEC, Inc. (Puerto Rico)

      3,532        82,296  

Fidelity National Information Services, Inc.

      756        77,966  

ManTech International Corp., Class A

      1,486        88,937  

Mastercard, Inc., Class A

      408        80,784  

MAXIMUS, Inc.

      1,287        83,410  

Total System Services, Inc.

      932        85,315  

Visa, Inc., Class A

      602        82,318  

Western Union Co. (The)

      3,891        78,443  
     

 

 

  
        1,059,315  
     

 

 

  

Life Sciences Tools & Services — 1.9%

 

Agilent Technologies, Inc.

      1,301        85,918  

Cambrex Corp. *

      1,408        88,000  

Charles River Laboratories International, Inc. *

      664        82,535  

ICON plc *

      589        81,965  

Medpace Holdings, Inc. *

      1,688        103,593  
     

 

 

  
        442,011  
     

 

 

  

Machinery — 3.3%

      

Allison Transmission Holdings, Inc.

      1,976        92,872  

Caterpillar, Inc.

      592        85,130  

Crane Co.

      957        86,675  

Cummins, Inc.

      609        86,971  

Greenbrier Cos., Inc. (The)

      1,447        81,972  

Hillenbrand, Inc.

      1,668        83,734  

Illinois Tool Works, Inc.

      608        87,145  

Ingersoll-Rand plc

      910        89,644  

Watts Water Technologies, Inc., Class A

      994        85,037  
     

 

 

  
        779,180  
     

 

 

  

Media — 0.7%

      

John Wiley & Sons, Inc., Class A

      832        52,541  

Omnicom Group, Inc.

      787        54,169  

Sinclair Broadcast Group, Inc., Class A

      2,020        52,116  
     

 

 

  
        158,826  
     

 

 

  

Metals & Mining — 1.1%

      

Alcoa Corp. *

      1,945        84,160  

Investments

    Shares      Value($)  

Metals & Mining — continued

      

Schnitzer Steel Industries, Inc., Class A

      2,899        95,522  

Steel Dynamics, Inc.

      1,741        81,984  
     

 

 

  
        261,666  
     

 

 

  

Multiline Retail — 0.7%

      

Kohl’s Corp.

      731        53,999  

Macy’s, Inc.

      1,384        54,986  

Target Corp.

      682        55,024  
     

 

 

  
        164,009  
     

 

 

  

Multi-Utilities — 0.3%

      

MDU Resources Group, Inc.

      2,869        83,201  
     

 

 

  

Oil, Gas & Consumable Fuels — 3.0%

 

Chevron Corp.

      679        85,737  

ConocoPhillips

      1,179        85,089  

CONSOL Energy, Inc. *

      1,982        82,511  

Delek US Holdings, Inc.

      1,701        90,697  

HollyFrontier Corp.

      1,161        86,587  

Murphy Oil Corp.

      2,609        86,775  

Peabody Energy Corp.

      2,212        93,988  

Valero Energy Corp.

      905        107,107  
     

 

 

  
        718,491  
     

 

 

  

Paper & Forest Products — 0.7%

      

Domtar Corp.

      1,720        82,938  

Louisiana-Pacific Corp.

      3,151        84,825  
     

 

 

  
        167,763  
     

 

 

  

Personal Products — 0.8%

      

Herbalife Nutrition Ltd. *

      1,880        97,064  

Nu Skin Enterprises, Inc., Class A

      1,116        81,301  
     

 

 

  
        178,365  
     

 

 

  

Pharmaceuticals — 1.9%

      

Bristol-Myers Squibb Co.

      1,472        86,480  

Horizon Pharma plc *

      4,689        82,667  

Johnson & Johnson

      652        86,403  

Pfizer, Inc.

      2,222        88,725  

Taro Pharmaceutical Industries Ltd. *

      851        95,533  
     

 

 

  
        439,808  
     

 

 

  

Professional Services — 0.8%

      

FTI Consulting, Inc. *

      1,223        96,568  

ICF International, Inc.

      1,143        84,182  
     

 

 

  
        180,750  
     

 

 

  

Road & Rail — 0.3%

      

ArcBest Corp.

      1,724        80,252  
     

 

 

  

Semiconductors & Semiconductor Equipment — 3.1%

 

Applied Materials, Inc.

      1,682        81,796  

Cabot Microelectronics Corp.

      729        87,808  

Entegris, Inc.

      2,225        78,209  

First Solar, Inc. *

      1,558        81,561  

Lam Research Corp.

      467        89,029  

Maxim Integrated Products, Inc.

      1,353        82,722  

MKS Instruments, Inc.

      784        73,931  

Rudolph Technologies, Inc. *

      2,560        73,216  

Texas Instruments, Inc.

      718        79,928  
     

 

 

  
        728,200  
     

 

 

  

Software — 2.7%

      

Blackbaud, Inc.

      743        74,159  

Citrix Systems, Inc. *

      753        82,807  

Intuit, Inc.

      388        79,245  

Microsoft Corp.

      766        81,257  

Oracle Corp.

      1,758        83,822  

Progress Software Corp.

      2,085        76,707  

Synopsys, Inc. *

      911        81,471  

VMware, Inc., Class A *

      542        78,368  
     

 

 

  
        637,836  
     

 

 

  
 

JPMorgan Long/Short ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Investments

           Shares      Value($)  

COMMON STOCKS — continued

 

Specialty Retail — 2.6%

 

Abercrombie & Fitch Co., Class A

 

      2,055        48,683  

American Eagle Outfitters, Inc.

 

      2,158        54,339  

Best Buy Co., Inc.

 

      696        52,221  

Caleres, Inc.

 

      1,497        50,135  

Chico’s FAS, Inc.

 

      5,970        51,939  

Children’s Place, Inc. (The)

 

      416        51,126  

Dick’s Sporting Goods, Inc.

 

      1,538        52,507  

DSW, Inc., Class A

 

      1,951        53,535  

Foot Locker, Inc.

 

      1,041        50,811  

Gap, Inc. (The)

 

      1,787        53,914  

Tailored Brands, Inc.

 

      2,472        49,836  

Zumiez, Inc. *

 

      2,465        55,832  
        

 

 

  
     624,878  
        

 

 

  

Technology Hardware, Storage & Peripherals — 1.3%

 

Apple, Inc.

 

      438        83,347  

HP, Inc.

 

      3,573        82,465  

NetApp, Inc.

 

      1,014        78,605  

Seagate Technology plc

 

      1,403        73,826  
        

 

 

  
     318,243  
        

 

 

  

Textiles, Apparel & Luxury Goods — 0.9%

 

Deckers Outdoor Corp. *

 

      459        51,789  

Movado Group, Inc.

 

      1,090        54,282  

Ralph Lauren Corp.

 

      398        53,722  

Wolverine World Wide, Inc.

 

      1,495        52,893  
        

 

 

  
     212,686  
        

 

 

  

Trading Companies & Distributors — 0.3%

 

Applied Industrial Technologies, Inc.

 

      1,100        82,115  
        

 

 

  

TOTAL COMMON STOCKS
(Cost $13,903,050)

 

      13,867,439  
        

 

 

  

Investments

           Principal
Amount($)		         

FOREIGN GOVERNMENT SECURITIES — 1.0%

 

Japan Government Bond (Japan) 0.10%, 7/15/2019
(Cost $232,681)

      JPY        26,200,000        234,798  
        

 

 

  

Investments

           Shares         

SHORT-TERM INVESTMENTS — 36.6%

 

INVESTMENT COMPANIES — 28.3%

 

JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 1.77% (b)(c)
(Cost $6,688,256)

 

      6,688,256        6,688,256  
        

 

 

  
            Principal
Amount($)		         

U.S. TREASURY OBLIGATIONS — 8.3%

 

U.S. Treasury Bills 2.38%, 7/18/2019 (d)
(Cost $1,954,614)

         2,000,000        1,954,151  

TOTAL SHORT-TERM INVESTMENTS
(Cost $8,642,870)

 

      8,642,407  
        

 

 

  

Total Investments — 96.3%
(Cost $22,778,601)

 

      22,744,644  

Other Assets Less Liabilities — 3.7%

 

      885,443  
        

 

 

  

Net Assets — 100.0%

 

      23,630,087  
        

 

 

  

 

Percentages indicated are based on net assets.

 

JPMorgan Long/Short ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Futures contracts outstanding as of July 31, 2018:

 

Description

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

Long Contracts

 

CAC 40 10 Euro Index

      8     08/2018    EUR      514,638       8,187  

EURO STOXX 50 Index

      2     09/2018    EUR      82,355       1,443  

FTSE 100 Index

      6     09/2018    GBP      605,895       5,866  

FTSE/MIB Index

      1     09/2018    EUR      129,446       823  

S&P 500 E-Mini Index

      2     09/2018    USD      281,710       3,816  

SPI 200 Index

      7     09/2018    AUD      809,588       15,510  

TOPIX Index

      1     09/2018    JPY      157,011       (1,695 ) 
            

 

 

  
               33,950  
            

 

 

  

Short Contracts

             

IBEX 35 Index

      (2 )    08/2018    EUR      (230,579 )      (3,044 ) 
            

 

 

  
               (3,044 ) 
            

 

 

  
               30,906  
            

 

 

  

 

Forward foreign currency exchange contracts outstanding as of July 31, 2018:

 

Currency Purchased

     

Currency Sold

     

Counterparty

    Settlement
Date		    Unrealized
Appreciation
(Depreciation) ($)		  

JPY

      7,082,637      USD      63,087      National Australia Bank Ltd.    8/17/2018      321  
                 

 

 

  

Total unrealized appreciation

         321  
                 

 

 

  

USD

      62,997      JPY      7,082,637      National Australia Bank Ltd.    8/17/2018      (412 ) 

USD

      238,948      JPY      26,200,000      State Street Corp.    7/16/2019      (2,098 ) 
                 

 

 

  

Total unrealized depreciation

         (2,510 ) 
                 

 

 

  

Net unrealized depreciation

         (2,189 ) 
                 

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited)

 

Over the Counter (“OTC”) Total Return Basket Swaps Outstanding at July 31, 2018

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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 GBP based on the local currencies of the positions within the swaps.    2/28/2019 -
7/31/2019		    $ 321,553      $ 23,001      $ 12,026      $ 35,027  
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

  

Common Stocks

 

  

Airlines

 

  

International Consolidated Airlines Group SA

      10,734       99,898       4,507       0.0 (e) 

Wizz Air Holdings plc *(f)

      1,753       79,747       (4,533 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     12,487       179,645       (26 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

 

  

Kier Group plc

      6,740       85,546       (697 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

 

  

Petrofac Ltd.

      11,080       89,094       6,709       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Equity Real Estate Investment Trusts (REITs)

 

  

UNITE Group plc (The)

      7,387       84,798       4,628       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

 

  

Carnival plc

      929       53,926       1,246       0.0 (e) 

William Hill plc

      13,807       53,892       (334 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     14,736       107,818       912       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

 

  

Berkeley Group Holdings plc

      1,105       54,086       2,269       0.0 (e) 

Bovis Homes Group plc

      3,636       54,966       1,916       0.0 (e) 

Persimmon plc

      1,666       54,186       (393 )      (0.0 )(e) 

Redrow plc

      7,732       54,510       1,846       0.0 (e) 

Taylor Wimpey plc

      23,743       54,487       317       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     37,882       272,235       5,955       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

 

  

Pearson plc

      4,528       54,844       867       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

 

  

Anglo American plc

      4,330       98,013       112       0.0 (e) 

BHP Billiton plc

      4,652       107,060       2,778       0.0 (e) 

Centamin plc

      35,270       54,987       2,031       0.0 (e) 

Rio Tinto plc

      1,481       81,308       715       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     45,733       341,368       5,636       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

 

  

Centrica plc

      41,577       81,176       (7,815 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

 

  

Vodafone Group plc

      35,492       86,706       (1,356 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      217,642       1,383,230       14,813       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

 

  

Common Stocks

 

  

Aerospace & Defense

 

  

Cobham plc *

      (42,978 )      (70,462 )      2,559       0.0 (e) 

Rolls-Royce Holdings plc *

      (5,691 )      (73,992 )      279       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (48,669 )      (144,454 )      2,838       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Standard Chartered plc

      (8,090 )      (72,950 )      477       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

St James’s Place plc

      (4,650 )      (73,574 )      (1,460 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Johnson Matthey plc

      (1,513 )      (74,542 )      (3,600 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

         

Common Stocks — continued

         

Diversified Consumer Services

         

Dignity plc

      (3,618 )      (47,979 )      (784 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Compass Group plc

      (2,220 )      (47,751 )      (1,175 )      (0.0 )(e) 

InterContinental Hotels Group plc

      (740 )      (45,674 )      601       0.0 (e) 

Merlin Entertainments plc

      (8,997 )      (46,509 )      1,983       0.0 (e) 

Whitbread plc

      (925 )      (47,517 )      1,171       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (12,882 )      (187,451 )      2,580       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

DCC plc

      (785 )      (72,626 )      (1,498 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Weir Group plc (The)

      (2,881 )      (73,827 )      2,594       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

ITV plc

      (21,204 )      (45,828 )      4,272       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Fresnillo plc

      (5,053 )      (68,822 )      6,447       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multiline Retail

         

B&M European Value Retail SA

      (8,844 )      (47,855 )      193       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Tobacco

         

British American Tobacco plc

      (1,423 )      (78,226 )      (4,779 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

Bunzl plc

      (2,475 )      (73,543 )      908       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (122,087 )      (1,061,677 )      8,188       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      95,555       321,553       23,001       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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 USD based on the local currencies of the positions within the swaps.    2/25/2019    $ (6,005,043 )     $ 231,822      $ 49,346      $ 281,168  
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

         

Common Stocks

         

Aerospace & Defense

         

TransDigm Group, Inc.

      (205 )      (76,986 )      (4,750 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Airlines

         

Spirit Airlines, Inc. *

      (1,781 )      (77,367 )      (10,757 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Auto Components

         

Gentherm, Inc. *

      (1,171 )      (53,046 )      (5,855 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Pinnacle Financial Partners, Inc.

      (1,168 )      (73,000 )      642       0.0 (e) 

Signature Bank

      (631 )      (69,227 )      12,469       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,799 )      (142,227 )      13,111       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

NewMarket Corp.

      (185 )      (75,747 )      (722 )      (0.0 )(e) 

Valvoline, Inc.

      (3,329 )      (75,202 )      (2,230 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,514 )      (150,949 )      (2,952 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

Clean Harbors, Inc. *

      (1,309 )      (74,521 )      (288 )      (0.0 )(e) 

Covanta Holding Corp.

      (4,548 )      (81,864 )      (3,639 )      (0.0 )(e) 

Healthcare Services Group, Inc.

      (1,827 )      (73,555 )      7,016       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,684 )      (229,940 )      3,089       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Communications Equipment

         

Infinera Corp. *

      (5,534 )      (46,043 )      10,238       0.0 (e) 

ViaSat, Inc. *

      (1,079 )      (75,897 )      (1,500 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,613 )      (121,940 )      8,738       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction Materials

         

Martin Marietta Materials, Inc.

      (328 )      (65,410 )      8,718       0.0 (e) 

Vulcan Materials Co.

      (593 )      (66,416 )      9,103       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  
     (921 )      (131,826 )      17,821       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Consumer Finance

         

LendingClub Corp. *

      (16,496 )      (67,964 )      5,609       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Distributors

         

Core-Mark Holding Co., Inc.

      (1,052 )      (25,437 )      (200 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Consumer Services

         

Chegg, Inc. *

      (1,631 )      (45,179 )      2,153       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

         

Fabrinet *

      (1,844 )      (72,137 )      (940 )      (0.0 )(e) 

II-VI, Inc. *

      (1,831 )      (71,775 )      7,324       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,675 )      (143,912 )      6,384       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

Baker Hughes a GE Co.

      (2,241 )      (77,494 )      (695 )      (0.0 )(e) 

Forum Energy Technologies, Inc. *

      (6,236 )      (82,003 )      (1,871 )      (0.0 )(e) 

Weatherford International plc *

      (22,027 )      (74,672 )      2,864       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (30,504 )      (234,169 )      298       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Casey’s General Stores, Inc.

      (678 )      (74,159 )      (1,119 )      (0.0 )(e) 

PriceSmart, Inc.

      (917 )      (74,965 )      (3,530 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,595 )      (149,124 )      (4,649 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Equipment & Supplies

         

DexCom, Inc. *

      (708 )      (67,352 )      3,448       0.0 (e) 

Heska Corp. *

      (682 )      (68,371 )      3,171       0.0 (e) 

Insulet Corp. *

      (856 )      (71,185 )      4,965       0.0 (e) 

K2M Group Holdings, Inc. *

      (3,429 )      (69,849 )      6,790       0.0 (e) 

Nevro Corp. *

      (994 )      (55,922 )      7,733       0.1  

Wright Medical Group NV *

      (2,926 )      (74,408 )      527       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,595 )      (407,087 )      26,634       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Caesars Entertainment Corp. *

      (4,096 )      (46,285 )      410       0.0 (e) 

MGM Resorts International

      (1,526 )      (47,870 )      (2,198 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (5,622 )      (94,155 )      (1,788 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

iRobot Corp. *

      (647 )      (51,275 )      1,106       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

         

TerraForm Power, Inc.

      (7,072 )      (72,347 )      10,537       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet & Direct Marketing Retail

         

Netflix, Inc. *

      (131 )      (44,206 )      10,241       0.1  

Wayfair, Inc. *

      (377 )      (41,025 )      4,479       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (508 )      (85,231 )      14,720       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

ANGI Homeservices, Inc. *

      (5,273 )      (82,839 )      1,951       0.0 (e) 

Box, Inc. *

      (3,101 )      (74,300 )      6,853       0.1  

Cornerstone OnDemand, Inc. *

      (1,621 )      (80,077 )      1,313       0.0 (e) 

GTT Communications, Inc. *

      (1,701 )      (75,609 )      936       0.0 (e) 

MINDBODY, Inc. *

      (1,707 )      (63,756 )      4,950       0.0 (e) 

Nutanix, Inc. *

      (1,394 )      (68,153 )      6,635       0.0 (e) 

Pandora Media, Inc. *

      (20,551 )      (138,514 )      20,346       0.1  

Wix.com Ltd. *

      (490 )      (46,550 )      4,459       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (35,838 )      (629,798 )      47,443       0.2  
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

Gartner, Inc. *

      (621 )      (84,102 )      2,838       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

Mattel, Inc.

      (2,918 )      (46,309 )      4,406       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Machinery

 

    

Wabtec Corp.

      (705 )      (77,776 )      (5,957 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Liberty Broadband Corp. *

      (624 )      (49,589 )      6       0.0 (e) 

Lions Gate Entertainment Corp.

      (1,936 )      (46,174 )      3,446       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (2,560 )      (95,763 )      3,452       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

AK Steel Holding Corp. *

      (14,308 )      (66,246 )      1,144       0.0 (e) 

Coeur Mining, Inc. *

      (9,203 )      (64,421 )      13,344       0.1  

Compass Minerals International, Inc.

      (1,075 )      (72,939 )      (806 )      (0.0 )(e) 

Hecla Mining Co.

      (21,483 )      (68,746 )      9,238       0.0 (e) 

TimkenSteel Corp. *

      (4,045 )      (56,225 )      15,250       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  
     (50,114 )      (328,577 )      38,170       0.2  
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Dominion Energy, Inc.

      (1,053 )      (75,511 )      (2,769 )      (0.0 )(e) 

NiSource, Inc.

      (2,889 )      (75,634 )      173       0.0 (e) 

Sempra Energy

      (650 )      (75,133 )      1,111       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,592 )      (226,278 )      (1,485 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Cheniere Energy, Inc. *

      (1,183 )      (75,120 )      864       0.0 (e) 

Chesapeake Energy Corp. *

      (16,314 )      (77,002 )      11,094       0.1  

Extraction Oil & Gas, Inc. *

      (5,175 )      (78,246 )      931       0.0 (e) 

Oasis Petroleum, Inc. *

      (6,087 )      (74,383 )      6,391       0.0 (e) 

Parsley Energy, Inc. *

      (2,360 )      (74,175 )      3,398       0.0 (e) 

QEP Resources, Inc. *

      (6,215 )      (64,574 )      18,521       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  
     (37,334 )      (443,500 )      41,199       0.2  
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Aclaris Therapeutics, Inc. *

      (3,591 )      (61,550 )      12,892       0.1  

Aerie Pharmaceuticals, Inc. *

      (1,008 )      (68,090 )      (302 )      (0.0 )(e) 

Medicines Co. (The) *

      (1,837 )      (72,984 )      (1,947 )      (0.0 )(e) 

Nektar Therapeutics *

      (1,074 )      (56,492 )      (5,886 )      (0.0 )(e) 

Pacira Pharmaceuticals, Inc. *

      (1,973 )      (79,315 )      (11,246 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,483 )      (338,431 )      (6,489 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

AMERCO

      (197 )      (74,285 )      (924 )      (0.0 )(e) 

Hertz Global Holdings, Inc. *

      (4,215 )      (64,194 )      927       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,412 )      (138,479 )      3       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Advanced Micro Devices, Inc. *

      (5,102 )      (93,520 )      (9,082 )      (0.0 )(e) 

Inphi Corp. *

      (1,847 )      (58,070 )      5,412       0.0 (e) 

MACOM Technology Solutions Holdings, Inc. *

      (3,536 )      (73,655 )      14,179       0.1  

MaxLinear, Inc. *

      (3,259 )      (56,413 )      (619 )      (0.0 )(e) 

SMART Global Holdings, Inc. *

      (2,067 )      (63,105 )      2,563       0.0 (e) 

Veeco Instruments, Inc. *

      (4,374 )      (64,079 )      5,249       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (20,185 )      (408,842 )      17,702       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

Autodesk, Inc. *

      (423 )      (54,330 )      2,508       0.0 (e) 

HubSpot, Inc. *

      (624 )      (77,438 )      3,245       0.0 (e) 

PROS Holdings, Inc. *

      (1,853 )      (68,821 )      2,224       0.0 (e) 

Snap, Inc. *

      (6,562 )      (82,025 )      5,315       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,462 )      (282,614 )      13,292       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

CarMax, Inc. *

      (614 )      (45,854 )      1,142       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Pure Storage, Inc. *

      (3,478 )      (75,333 )      8,312       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Tobacco

         

Philip Morris International, Inc.

      (556 )      (47,983 )      (2,018 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

MRC Global, Inc. *

      (3,327 )      (75,357 )      133       0.0 (e) 

NOW, Inc. *

      (5,212 )      (77,919 )      (3,544 )      (0.0 )(e) 

SiteOne Landscape Supply, Inc. *

      (814 )      (72,576 )      (4,322 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,353 )      (225,852 )      (7,733 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Water Utilities

 

    

American Water Works Co., Inc.

      (848 )      (74,836 )      (1,704 )      (0.0 )(e) 

California Water Service Group

      (1,814 )      (74,555 )      —         0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (2,662 )      (149,391 )      (1,704 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (296,972 )      (6,005,043 )      231,822       1.0  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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, plus or minus a specified spread (rates range from 0.00% to 0.50%), which is denominated in CAD based on the local currencies of the positions within the swaps.    2/25/2019    $ 356,307      $ 17,208      $ 48,950      $ 66,158  
                 

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Auto Components

         

Linamar Corp.

      1,296       59,228       2,678       0.0 (e) 

Magna International, Inc.

      917       55,858       (654 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     2,213       115,086       2,024       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

National Bank of Canada

      1,721       84,367       (75 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Methanex Corp.

      1,195       82,548       (4,677 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

CGI Group, Inc. *

      1,305       84,248       (1,082 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Cogeco Communications, Inc.

      1,011       54,869       3,147       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Husky Energy, Inc.

      5,293       90,004       3,879       0.0 (e) 

Parex Resources, Inc. *

      4,963       87,597       (8,122 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     10,256       177,601       (4,243 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Paper & Forest Products

         

Canfor Corp. *

      3,811       83,553       (9,141 )      (0.0 )(e) 

Norbord, Inc.

      2,470       88,862       (13,910 )      (0.1 ) 

West Fraser Timber Co. Ltd.

      1,331       82,672       (13,116 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     7,612       255,087       (36,167 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Genworth MI Canada, Inc.

      2,412       84,903       3,623       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      27,725       938,709       (37,450 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Aerospace & Defense

         

Bombardier, Inc. *

      (20,332 )      (76,586 )      7,729       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

         

Northland Power, Inc.

      (3,970 )      (72,573 )      3,119       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Agnico Eagle Mines Ltd.

      (1,666 )      (69,798 )      7,882       0.0 (e) 

B2Gold Corp. *

      (29,185 )      (72,691 )      29       0.0 (e) 

Franco-Nevada Corp.

      (1,004 )      (73,645 )      775       0.0 (e) 

Goldcorp, Inc.

      (5,595 )      (69,935 )      8,321       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  
     (37,450 )      (286,069 )      17,007       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		      PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

     

Oil, Gas & Consumable Fuels

          

MEG Energy Corp. *

      (11,248 )      (73,324 )      24,084        0.1  

Paramount Resources Ltd. *

      (6,580 )      (73,850 )      2,719        0.0 (e) 
  

 

 

    

 

 

    

 

 

     

 

 

  
     (17,828 )      (147,174 )      26,803        0.1  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Short Positions of Total Return Basket Swaps

      (79,580 )      (582,402 )      54,658        0.2  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (51,855 )      356,307       17,208        0.1  
  

 

 

    

 

 

    

 

 

     

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

   

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, 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.

    2/28/2019 -
7/31/2029		    $ 1,419,820      $ 60,953      $ (30,408 )     $ 30,545  
                 

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Airlines

           

Deutsche Lufthansa AG (Registered)

      3,625        101,708        15,509       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  

Auto Components

           

Faurecia SA

      768        52,169        (3,036 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Automobiles

           

Peugeot SA

      2,003        57,530        7,821       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

           

Covestro AG (f)

      876        84,128        5,402       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

Eiffage SA

      734        82,025        7       0.0 (e) 

Maire Tecnimont SpA

      16,885        87,379        1,632       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     17,619        169,404        1,639       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Telecommunication Services

           

Deutsche Telekom AG (Registered) *

      5,174        85,553        1,510       0.0 (e) 

DNA OYJ

      4,291        85,052        (25,094 )      (0.1 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     9,465        170,605        (23,584 )      (0.1 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electric Utilities

           

Endesa SA

      3,665        84,751        (1,043 )      (0.0 )(e) 

Enel SpA

      15,124        84,255        (1,454 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     18,789        169,006        (2,497 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electrical Equipment

           

Signify NV (f)

      2,847        78,834        4,655       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Energy Equipment & Services

           

SBM Offshore NV

      6,592        102,141        3,043       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Equipment & Supplies

           

Koninklijke Philips NV

      1,929        84,682        317       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Insurance

           

ASR Nederland NV

      1,917        85,760        4,916       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

IT Services

           

Amadeus IT Group SA

      977        83,344        4,386       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

Fincantieri SpA

      64,810        97,534        8,848       0.1  

Valmet OYJ

      3,962        82,311        5,440       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     68,772        179,845        14,288       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Media

 

    

ProSiebenSat.1 Media SE

      1,996       53,872       1,887       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Aurubis AG

      1,027       84,063       4,136       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

A2A SpA

      46,716       85,696       2,300       0.0 (e) 

Engie SA

      5,253       84,828       1,892       0.0 (e) 

Hera SpA

      26,304       87,238       2,330       0.0 (e) 

Iren SpA

      31,829       89,992       6,672       0.1  

Veolia Environnement SA

      3,739       85,320       2,221       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     113,841       433,074       15,415       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Enagas SA

      3,007       84,065       (2,383 )      (0.0 )(e) 

Eni SpA

      4,404       84,771       (351 )      (0.0 )(e) 

Neste OYJ

      1,054       86,941       3,760       0.0 (e) 

OMV AG

      1,501       84,826       (1,278 )      (0.0 )(e) 

Repsol SA

      4,222       83,743       (1,594 )      (0.0 )(e) 

TOTAL SA

      1,343       87,598       1,811       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     15,531       511,944       (35 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Paper & Forest Products

         

Ence Energia y Celulosa SA

      9,034       85,215       (2,285 )      (0.0 )(e) 

UPM-Kymmene OYJ

      2,824       100,175       (1,087 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     11,858       185,390       (3,372 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Bayer AG (Registered)

      906       100,862       609       0.0 (e) 

Merck KGaA

      826       84,910       1,664       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     1,732       185,772       2,273       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

LEG Immobilien AG

      742       83,457       1,290       0.0 (e) 

TAG Immobilien AG

      3,659       82,712       (589 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     4,401       166,169       701       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

BE Semiconductor Industries NV

      1,296       28,019       (5,192 )      (0.0 )(e) 

Siltronic AG

      425       74,126       12,295       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     1,721       102,145       7,103       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Deutsche Pfandbriefbank AG (f)

      5,288       82,827       (456 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      293,574       3,224,412       60,511       0.3  
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Banks

         

Bankia SA

      (19,568 )      (76,924 )      (2,018 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

Deutsche Bank AG (Registered)

      (6,047 )      (79,087 )      (10,221 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

LANXESS AG

      (910 )      (74,775 )      (1,920 )      (0.0 )(e) 

Lenzing AG

      (591 )      (75,053 )      (2,285 )      (0.0 )(e) 

OCI NV *

      (2,571 )      (77,728 )      (8,450 )      (0.0 )(e) 

Symrise AG

      (818 )      (73,938 )      947       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,890 )      (301,494 )      (11,708 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

Boskalis Westminster

      (2,478 )      (75,979 )      (1,398 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

Huhtamaki OYJ

      (2,096 )      (75,274 )      1,847       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Iliad SA

      (311 )      (49,168 )      3,377       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Nexans SA

      (1,629 )      (54,486 )      3,512       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Distribuidora Internacional de Alimentacion SA

      (31,334 )      (70,028 )      29,294       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Food Products

 

    

Glanbia plc

      (4,247 )      (69,875 )      7,137       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Elior Group SA (f)

      (3,044 )      (49,700 )      (2,893 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Neinor Homes SA *(f)

      (2,591 )      (49,014 )      980       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Siemens AG (Registered)

      (532 )      (75,086 )      (2,046 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet & Direct Marketing Retail

         

Zalando SE *(f)

      (836 )      (47,962 )      785       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Life Sciences Tools & Services

         

Eurofins Scientific SE

      (133 )      (72,496 )      (1,180 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Alstom SA *

      (1,650 )      (73,973 )      1,998       0.0 (e) 

ANDRITZ AG

      (1,301 )      (73,753 )      (4,290 )      (0.0 )(e) 

GEA Group AG

      (1,373 )      (53,663 )      (8,822 )      (0.1 ) 

IMA Industria Macchine Automatiche SpA

      (853 )      (71,628 )      1,036       0.0 (e) 

Metso OYJ

      (2,101 )      (76,952 )      (6,150 )      (0.0 )(e) 

Outotec OYJ *

      (8,942 )      (73,440 )      (3,429 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (16,220 )      (423,409 )      (19,657 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Altice NV *

      (2,381 )      (7,934 )      1,075       0.0 (e) 

JCDecaux SA

      (1,432 )      (46,805 )      2,152       0.0 (e) 

Telenet Group Holding NV *

      (742 )      (35,730 )      1,009       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,555 )      (90,469 )      4,236       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

thyssenkrupp AG

      (2,715 )      (72,254 )      (3,817 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Getlink

      (5,446 )      (71,887 )      4,212       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (108,672 )      (1,804,592 )      442       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      184,902       1,419,820       60,953       0.3  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		      NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		      VALUE  

Bank of America

    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 CHF based on the local currencies of the positions within the swaps.    7/31/2019    $ 461,549      $ 28,870      $ (1,277 )     $ 27,593  
                 

 

 

  

 

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 *(f)

      943        83,113        1,727       0.0 (e) 

Swisscom AG (Registered)

      183        85,918        1,407       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     1,126        169,031        3,134       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

Bucher Industries AG (Registered)

      257        83,270        (724 )      (0.0 )(e) 

OC Oerlikon Corp. AG (Registered) *

      6,238        96,922        3,734       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     6,495        180,192        3,010       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Pharmaceuticals

           

Galenica AG *(f)

      1,503        85,855        3,340       0.0 (e) 

Novartis AG (Registered)

      1,008        84,593        6,330       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  
     2,511        170,448        9,670       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Real Estate Management & Development

 

    

Swiss Prime Site AG (Registered) *

      914       83,761       538       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      11,046       603,432       16,352       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Household Durables

         

Forbo Holding AG (Registered)

      (33 )      (52,176 )      (2,540 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

ams AG *

      (675 )      (48,562 )      (533 )      (0.0 )(e) 

Meyer Burger Technology AG *

      (58,398 )      (41,145 )      15,591       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (59,073 )      (89,707 )      15,058       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (59,106 )      (141,883 )      12,518       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (48,060 )      461,549       28,870       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   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 (3.00)% to 0.35%), which is denominated in JPY based on the local currencies of the positions within the swaps.   2/25/2019   $ (1,873 )    $ (25,648 )    $ (8,995 )    $ (34,643 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Auto Components

           

TS Tech Co. Ltd.

      1,300        53,661        1,391       0.0 (e) 

Unipres Corp.

      2,700        54,886        2,458       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     4,000        108,547        3,849       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Beverages

           

Kirin Holdings Co. Ltd.

      3,100        79,364        (618 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

           

Mitsubishi Chemical Holdings Corp.

      9,700        84,967        2,686       0.0 (e) 

Mitsubishi Gas Chemical Co., Inc.

      3,700        82,669        354       0.0 (e) 

Sumitomo Bakelite Co. Ltd.

      8,000        80,901        4,184       0.0 (e) 

Tosoh Corp.

      6,100        99,632        4,822       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  
     27,500        348,169        12,046       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

Okumura Corp.

      2,800        92,031        416       0.0 (e) 

Taisei Corp.

      1,800        100,105        1,110       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     4,600        192,136        1,526       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Telecommunication Services

           

Nippon Telegraph & Telephone Corp.

      1,800        83,256        2,300       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

           

Azbil Corp.

      1,800        78,958        2,637       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

Matsumotokiyoshi Holdings Co. Ltd.

      2,200        95,411        2,527       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Household Durables

           

Haseko Corp.

      4,000        53,079        86       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Internet Software & Services

           

Mixi, Inc.

      2,500        65,836        3,435       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

           

JXTG Holdings, Inc.

      11,600        85,044        2,260       0.0 (e) 

Showa Shell Sekiyu KK

      5,100        83,704        6,995       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     16,700        168,748        9,255       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Paper & Forest Products

         

Oji Holdings Corp.

      16,000       94,937       (805 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Astellas Pharma, Inc.

      5,100       83,185       2,967       0.0 (e) 

Shionogi & Co. Ltd.

      1,600       87,332       7,122       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,700       170,517       10,089       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Leopalace21 Corp.

      14,700       80,775       1,237       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Sankyu, Inc.

      1,800       94,862       4,414       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Ulvac, Inc.

      1,800       70,969       1,340       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

GungHo Online Entertainment, Inc. *

      20,000       42,699       (4,565 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Brother Industries Ltd.

      4,500       91,796       4,081       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

ITOCHU Corp.

      4,700       83,455       (417 )      (0.0 )(e) 

Marubeni Corp.

      13,100       100,014       659       0.0 (e) 

Sumitomo Corp.

      5,100       83,981       15       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     22,900       267,450       257       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

NTT DOCOMO, Inc.

      3,200       82,384       1,899       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      159,800       2,269,893       54,990       0.2  
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Air Freight & Logistics

         

Yamato Holdings Co. Ltd.

      (2,500 )      (72,458 )      (5,751 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Suruga Bank Ltd.

      (8,400 )      (75,261 )      (1,001 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Kansai Paint Co. Ltd.

      (3,300 )      (75,941 )      (8,316 )      (0.0 )(e) 

Toray Industries, Inc.

      (9,400 )      (72,848 )      422       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (12,700 )      (148,789 )      (7,894 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction & Engineering

         

JGC Corp.

      (4,000 )      (77,617 )      (4,773 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Consumer Finance

         

Aiful Corp. *

      (22,600 )      (72,251 )      (1,723 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Consumer Services

         

Benesse Holdings, Inc.

      (1,400 )      (51,004 )      (1,119 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electric Utilities

         

Hokkaido Electric Power Co., Inc.

      (11,600 )      (74,862 )      (1,325 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

         

Alps Electric Co. Ltd.

      (1,400 )      (40,388 )      (2,848 )      (0.0 )(e) 

Murata Manufacturing Co. Ltd.

      (400 )      (69,990 )      1,432       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,800 )      (110,378 )      (1,416 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Aeon Co. Ltd.

      (3,700 )      (75,180 )      (1,638 )      (0.0 )(e) 

Tsuruha Holdings, Inc.

      (600 )      (73,808 )      (1,401 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,300 )      (148,988 )      (3,039 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Nissin Foods Holdings Co. Ltd.

      (1,100 )      (75,894 )      (2,286 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

HIS Co. Ltd.

      (1,600 )      (48,389 )      (5,322 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Pioneer Corp. *

      (36,500 )      (49,680 )      (1,372 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Keihan Holdings Co. Ltd.

      (2,000 )      (72,826 )      (3,510 )      (0.0 )(e) 

Toshiba Corp. *

      (24,000 )      (73,337 )      2,015       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (26,000 )      (146,163 )      (1,495 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Internet Software & Services

         

GMO internet, Inc.

      (3,300 )      (69,991 )      4,506       0.0 (e) 

Yahoo Japan Corp.

      (20,300 )      (77,234 )      (4,500 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (23,600 )      (147,225 )      6       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

Shimano, Inc.

      (300 )      (43,263 )      (233 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

FANUC Corp.

      (400 )      (80,656 )      (2,936 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Marine

         

Kawasaki Kisen Kaisha Ltd. *

      (4,200 )      (76,272 )      (5,197 )      (0.0 )(e) 

Mitsui OSK Lines Ltd.

      (3,000 )      (77,843 )      (6,042 )      (0.1 ) 

Nippon Yusen KK

      (3,900 )      (75,214 )      (456 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,100 )      (229,329 )      (11,695 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multiline Retail

         

Don Quijote Holdings Co. Ltd.

      (1,000 )      (46,744 )      (683 )      (0.0 )(e) 

Marui Group Co. Ltd.

      (2,400 )      (47,686 )      (1,332 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,400 )      (94,430 )      (2,015 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Keio Corp.

      (1,500 )      (73,663 )      (4,150 )      (0.0 )(e) 

Kintetsu Group Holdings Co. Ltd.

      (1,900 )      (75,609 )      (2,794 )      (0.0 )(e) 

Odakyu Electric Railway Co. Ltd.

      (3,500 )      (74,133 )      (3,885 )      (0.0 )(e) 

Tokyu Corp.

      (4,300 )      (74,031 )      (4,336 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,200 )      (297,436 )      (15,165 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Renesas Electronics Corp. *

      (4,900 )      (43,786 )      3,034       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

LINE Corp. *

      (700 )      (30,581 )      1,175       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

MonotaRO Co. Ltd.

      (1,500 )      (75,543 )      (11,411 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Mitsubishi Logistics Corp.

      (3,400 )      (77,783 )      (2,882 )      (0.0 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (195,000 )      (2,271,766 )      (80,638 )      (0.3 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (35,200 )      (1,873 )      (25,648 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Bank of America

   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, plus or minus a specified spread (rates range from (0.35)% to 0.35%), which is denominated in AUD based on the local currencies of the positions within the swaps.   2/25/2019   $ 267,279     $ (11,514 )    $ 1,510     $ (10,004 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Food & Staples Retailing

           

Metcash Ltd.

      42,514        83,117        2,878       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Metals & Mining

           

Fortescue Metals Group Ltd.

      24,643        80,152        (566 )      (0.0 )(e) 

Sandfire Resources NL

      14,754        81,048        (19,727 )      (0.1 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     39,397        161,200        (20,293 )      (0.1 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Oil, Gas & Consumable Fuels

         

Beach Energy Ltd.

      62,678       88,930       (683 )      (0.0 )(e) 

Whitehaven Coal Ltd.

      21,030       85,001       (4,362 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     83,708       173,931       (5,045 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      165,619       418,248       (22,460 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Chemicals

         

Nufarm Ltd.

      (13,248 )      (70,405 )      12,510       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

NEXTDC Ltd. *

      (14,996 )      (80,564 )      (1,564 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (28,244 )      (150,969 )      10,946       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      137,375       267,279       (11,514 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day SONIA and one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.00) % to 0.30%), which is denominated in GBP based on the local currencies of the positions within the swaps.   5/25/2028 -
7/27/2028		   $ 176,468     $ (15,961 )    $ 31,187     $ 15,226  
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Aerospace & Defense

           

Meggitt plc

      11,110        83,079        201       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Air Freight & Logistics

           

Royal Mail plc

      14,805        91,089        (3,653 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Distributors

           

Inchcape plc

      5,135        47,505        (6,202 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

           

Spectris plc

      2,211        67,157        (8,323 )      (0.1 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Energy Equipment & Services

           

Hunting plc *

      8,282        84,859        1,553       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

J Sainsbury plc

      19,551        83,840        452       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Hotels, Restaurants & Leisure

           

TUI AG

      2,501        53,503        135       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

Bodycote plc

      7,433        97,624        (500 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Metals & Mining

           

Antofagasta plc

      7,673        100,770        3,154       0.0 (e) 

Centamin plc

      15,744        24,545        907       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     23,417        125,315        4,061       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

           

BP plc

      11,148        83,782        (2,510 )      (0.0 )(e) 

Royal Dutch Shell plc

      2,314        81,053        (3,423 )      (0.0 )(e) 

Tullow Oil plc *

      29,115        86,552        1,340       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     42,577        251,387        (4,593 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Pharmaceuticals

           

Dechra Pharmaceuticals plc

      2,126        83,255        781       0.0 (e) 

Hikma Pharmaceuticals plc

      3,997        86,011        2,852       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     6,123        169,266        3,633       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      143,145        1,154,624        (13,236 )      (0.1 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

         

Common Stocks

         

Banks

         

Metro Bank plc *

      (1,647 )      (69,120 )      2,618       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

DS Smith plc

      (11,188 )      (73,919 )      41       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

BT Group plc

      (25,092 )      (76,759 )      (3,484 )      (0.0 )(e) 

Inmarsat plc

      (10,239 )      (76,504 )      (3,395 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (35,331 )      (153,263 )      (6,879 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Melrose Industries plc

      (25,537 )      (72,261 )      (469 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

John Wood Group plc

      (8,907 )      (75,992 )      (344 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

         

Spire Healthcare Group plc (f)

      (22,511 )      (73,229 )      (460 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Crest Nicholson Holdings plc

      (9,700 )      (48,374 )      115       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Products

         

Reckitt Benckiser Group plc

      (880 )      (78,453 )      (5,019 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Cineworld Group plc

      (13,537 )      (48,075 )      (1,393 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

National Grid plc

      (6,804 )      (72,687 )      (16 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Capital & Counties Properties plc

      (19,772 )      (71,430 )      2,713       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

Travis Perkins plc

      (4,196 )      (65,847 )      8,294       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Water Utilities

         

Severn Trent plc

      (2,975 )      (75,506 )      (1,926 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (162,985 )      (978,156 )      (2,725 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (19,840 )      176,468       (15,961 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day CORRA and one month BA on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.40)% to 0.25%), which is denominated in CAD based on the local currencies of the positions within the swaps.   5/25/2028 -
7/27/2028		   $ (409,417 )    $ (17,476 )    $ (3,208 )    $ (20,684 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Banks

           

Canadian Imperial Bank of Commerce

      937        85,514        2,035       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

Star Group, Inc. (The) *

      1,441        49,361        (4,865 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food & Staples Retailing

           

Empire Co. Ltd.

      4,075        84,015        999       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Insurance

 

    

Power Corp. of Canada

      3,695       84,049       (420 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

BRP, Inc.

      1,081       50,425       (3,590 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Hudbay Minerals, Inc.

      15,012       78,127       (4,655 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Imperial Oil Ltd.

      2,571       88,048       3,549       0.0 (e) 

Suncor Energy, Inc.

      2,026       85,317       160       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     4,597       173,365       3,709       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

First Capital Realty, Inc.

      5,444       84,871       1,514       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      36,282       689,727       (5,273 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Construction & Engineering

         

SNC-Lavalin Group, Inc.

      (1,723 )      (76,305 )      (1,903 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Saputo, Inc.

      (2,171 )      (72,381 )      (192 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Gas Utilities

         

AltaGas Ltd.

      (3,554 )      (72,318 )      1,600       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

         

Algonquin Power & Utilities Corp.

      (7,535 )      (74,026 )      735       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Cineplex, Inc.

      (2,171 )      (48,766 )      (837 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Kinross Gold Corp. *

      (20,335 )      (73,471 )      1,687       0.0 (e) 

Yamana Gold, Inc.

      (26,413 )      (84,263 )      (10,186 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (46,748 )      (157,734 )      (8,499 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

Canadian Utilities Ltd.

      (2,934 )      (73,189 )      934       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

ARC Resources Ltd.

      (6,450 )      (76,606 )      (396 )      (0.0 )(e) 

Enbridge, Inc.

      (2,134 )      (75,790 )      (606 )      (0.0 )(e) 

Encana Corp.

      (5,779 )      (79,742 )      (4,086 )      (0.0 )(e) 

PrairieSky Royalty Ltd.

      (3,776 )      (71,639 )      (2,010 )      (0.0 )(e) 

Seven Generations Energy Ltd. *

      (6,407 )      (73,189 )      1,512       0.0 (e) 

TransCanada Corp.

      (1,666 )      (74,934 )      (393 )      (0.0 )(e) 

Whitecap Resources, Inc.

      (10,983 )      (72,525 )      1,938       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (37,195 )      (524,425 )      (4,041 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (104,031 )      (1,099,144 )      (12,203 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (67,749 )      (409,417 )      (17,476 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of short equity positions and pays or receives the net of one day FEDEF on short positions, plus or minus a specified spread (rates range from (3.59)% to (0.20)%), which is denominated in USD based on the local currencies of the positions within the swaps.   5/24/2028 -
7/26/2028		   $ (5,961,425 )    $ (18,607 )    $ (30,098 )    $ (48,705 ) 
           

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions

 

Common Stocks

 

    

Aerospace & Defense

 

    

Cubic Corp.

      (1,068 )      (72,731 )      522       0.0 (e) 

Mercury Systems, Inc. *

      (1,847 )      (77,075 )      (4,661 )      (0.0 )(e) 

Triumph Group, Inc.

      (4,038 )      (84,192 )      (4,038 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,953 )      (233,998 )      (8,177 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Air Freight & Logistics

         

United Parcel Service, Inc.

      (651 )      (78,048 )      (4,951 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Auto Components

         

Cooper Tire & Rubber Co.

      (1,865 )      (53,246 )      (5,529 )      (0.0 )(e) 

Visteon Corp. *

      (374 )      (43,788 )      3,082       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (2,239 )      (97,034 )      (2,447 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

First Republic Bank

      (1,053 )      (104,100 )      452       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Beverages

         

Brown-Forman Corp.

      (1,400 )      (74,508 )      (485 )      (0.0 )(e) 

National Beverage Corp. *

      (680 )      (71,747 )      1,180       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (2,080 )      (146,255 )      695       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

Cboe Global Markets, Inc.

      (708 )      (68,768 )      4,085       0.0 (e) 

Donnelley Financial Solutions, Inc. *

      (3,547 )      (73,778 )      (8,619 )      (0.0 )(e) 

MarketAxess Holdings, Inc.

      (352 )      (68,207 )      5,524       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,607 )      (210,753 )      990       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Albemarle Corp.

      (805 )      (75,831 )      (2,719 )      (0.0 )(e) 

International Flavors & Fragrances, Inc.

      (579 )      (76,868 )      (2,528 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,384 )      (152,699 )      (5,247 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

ABM Industries, Inc.

      (2,468 )      (77,002 )      (3,367 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Communications Equipment

         

Acacia Communications, Inc. *

      (2,265 )      (72,797 )      767       0.0 (e) 

ADTRAN, Inc.

      (4,438 )      (72,117 )      (3,994 )      (0.0 )(e) 

Infinera Corp. *

      (3,137 )      (26,100 )      5,803       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (9,840 )      (171,014 )      2,576       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction Materials

         

Summit Materials, Inc. *

      (2,887 )      (72,464 )      553       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Consumer Finance

         

PRA Group, Inc. *

      (1,689 )      (66,209 )      5,550       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Distributors

         

Core-Mark Holding Co., Inc.

      (946 )      (22,874 )      (179 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Cincinnati Bell, Inc. *

      (5,652 )      (75,454 )      348       0.0 (e) 

Zayo Group Holdings, Inc. *

      (1,983 )      (73,550 )      (180 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,635 )      (149,004 )      168       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

         

Cognex Corp.

      (1,875 )      (98,962 )      (8,400 )      (0.0 )(e) 

Fitbit, Inc. *

      (12,276 )      (72,797 )      695       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (14,151 )      (171,759 )      (7,705 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

Ensco plc

      (10,860 )      (80,690 )      4,996       0.0 (e) 

Keane Group, Inc. *

      (6,077 )      (85,746 )      (12,859 )      (0.1 ) 

Patterson-UTI Energy, Inc.

      (4,639 )      (79,791 )      (4,807 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (21,576 )      (246,227 )      (12,670 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Kraft Heinz Co. (The)

      (1,236 )      (74,469 )      4,635       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Gas Utilities

         

Southwest Gas Holdings, Inc.

      (946 )      (73,977 )      60       0.0 (e) 

Spire, Inc.

      (1,029 )      (73,677 )      640       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,975 )      (147,654 )      700       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Equipment & Supplies

         

Hologic, Inc. *

      (1,783 )      (76,509 )      (2,275 )      (0.0 )(e) 

iRhythm Technologies, Inc. *

      (881 )      (66,560 )      4,371       0.0 (e) 

Nevro Corp. *

      (267 )      (15,021 )      2,078       0.0 (e) 

Penumbra, Inc. *

      (517 )      (73,543 )      (1,788 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,448 )      (231,633 )      2,386       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Health Care Technology

         

Evolent Health, Inc. *

      (3,192 )      (64,478 )      7,820       0.0 (e) 

Medidata Solutions, Inc. *

      (912 )      (67,771 )      1,281       0.0 (e) 

Omnicell, Inc. *

      (1,351 )      (80,384 )      (8,959 )      (0.0 )(e) 

Teladoc, Inc. *

      (1,089 )      (65,177 )      4,122       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,544 )      (277,810 )      4,264       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Eldorado Resorts, Inc. *

      (1,069 )      (45,806 )      688       0.0 (e) 

Golden Entertainment, Inc. *

      (1,408 )      (43,831 )      2,665       0.0 (e) 

Shake Shack, Inc. *

      (702 )      (43,756 )      1,997       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,179 )      (133,393 )      5,350       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Durables

         

Installed Building Products, Inc. *

      (833 )      (45,482 )      (310 )      (0.0 )(e) 

Mohawk Industries, Inc. *

      (221 )      (41,627 )      6,787       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,054 )      (87,109 )      6,477       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Household Products

         

Spectrum Brands Holdings, Inc. *

      (964 )      (84,225 )      (10,030 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Alleghany Corp.

      (120 )      (75,513 )      (2,005 )      (0.0 )(e) 

Arch Capital Group Ltd. *

      (2,548 )      (77,867 )      (3,928 )      (0.0 )(e) 

Markel Corp. *

      (65 )      (76,050 )      (2,165 )      (0.0 )(e) 

ProAssurance Corp.

      (1,871 )      (77,272 )      (2,866 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,604 )      (306,702 )      (10,964 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

Cloudera, Inc. *

      (5,525 )      (73,980 )      7,735       0.1  

Hortonworks, Inc. *

      (3,780 )      (65,848 )      7,167       0.0 (e) 

TrueCar, Inc. *

      (6,471 )      (71,957 )      1,548       0.0 (e) 

Twilio, Inc. *

      (1,150 )      (66,573 )      4,849       0.0 (e) 

Wix.com Ltd. *

      (313 )      (29,735 )      2,848       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (17,239 )      (308,093 )      24,147       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

InterXion Holding NV *

      (1,123 )      (72,860 )      (138 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Albany International Corp.

      (1,153 )      (76,271 )      (1,625 )      (0.0 )(e) 

CIRCOR International, Inc.

      (1,850 )      (82,047 )      (8,232 )      (0.0 )(e) 

Evoqua Water Technologies Corp. *

      (3,484 )      (74,349 )      473       0.0 (e) 

John Bean Technologies Corp.

      (781 )      (86,379 )      (12,866 )      (0.1 ) 

Mueller Water Products, Inc.

      (6,062 )      (74,866 )      (1,365 )      (0.0 )(e) 

REV Group, Inc.

      (4,537 )      (77,900 )      (6,177 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (17,867 )      (471,812 )      (29,792 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Altice USA, Inc.

      (2,835 )      (48,563 )      4,904       0.0 (e) 

Cable One, Inc.

      (65 )      (47,051 )      (206 )      (0.0 )(e) 

Charter Communications, Inc. *

      (167 )      (50,865 )      (3,644 )      (0.0 )(e) 

Liberty Global plc *

      (1,696 )      (47,878 )      1,798       0.0 (e) 

Liberty Latin America Ltd. *

      (2,507 )      (47,834 )      (1,170 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,270 )      (242,191 )      1,682       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Constellium NV *

      (5,663 )      (74,185 )      (4,643 )      (0.0 )(e) 

Royal Gold, Inc.

      (814 )      (68,873 )      4,771       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,477 )      (143,058 )      128       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Matador Resources Co. *

      (2,284 )      (76,514 )      (2,696 )      (0.0 )(e) 

Ring Energy, Inc. *

      (5,641 )      (69,723 )      2,575       0.0 (e) 

SemGroup Corp.

      (2,986 )      (75,098 )      (2,348 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (10,911 )      (221,335 )      (2,469 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Intra-Cellular Therapies, Inc. *

      (3,378 )      (67,796 )      5,928       0.0 (e) 

Nektar Therapeutics *

      (406 )      (21,356 )      (2,225 )      (0.0 )(e) 

Revance Therapeutics, Inc. *

      (2,476 )      (71,185 )      743       0.0 (e) 

Theravance Biopharma, Inc. *

      (2,851 )      (68,281 )      9,095       0.0 (e) 

WaVe Life Sciences Ltd. *

      (1,892 )      (76,437 )      (2,239 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (11,003 )      (305,055 )      11,302       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Real Estate Management & Development

         

Kennedy-Wilson Holdings, Inc.

      (3,507 )      (73,296 )      214       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Heartland Express, Inc.

      (3,424 )      (65,707 )      1,380       0.0 (e) 

Hertz Global Holdings, Inc. *

      (1,441 )      (21,946 )      316       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,865 )      (87,653 )      1,696       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Inphi Corp. *

      (627 )      (19,713 )      1,837       0.0 (e) 

MaxLinear, Inc. *

      (1,754 )      (30,362 )      (334 )      (0.0 )(e) 

Veeco Instruments, Inc. *

      (1,108 )      (16,232 )      1,330       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,489 )      (66,307 )      2,833       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

Autodesk, Inc. *

      (179 )      (22,991 )      1,061       0.0 (e) 

FireEye, Inc. *

      (5,021 )      (77,976 )      6,176       0.0 (e) 

PROS Holdings, Inc. *

      (446 )      (16,564 )      536       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (5,646 )      (117,531 )      7,773       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

L Brands, Inc.

      (1,523 )      (48,233 )      (570 )      (0.0 )(e) 

Murphy USA, Inc. *

      (604 )      (47,861 )      (277 )      (0.0 )(e) 

National Vision Holdings, Inc. *

      (1,031 )      (41,920 )      (1,008 )      (0.0 )(e) 

Ulta Beauty, Inc. *

      (189 )      (46,190 )      840       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,347 )      (184,204 )      (1,015 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Cray, Inc. *

      (2,881 )      (71,881 )      2,832       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Kearny Financial Corp.

      (5,260 )      (75,481 )      (3,768 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Tobacco

         

Philip Morris International, Inc.

      (331 )      (28,565 )      (1,201 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Macquarie Infrastructure Corp.

      (1,634 )      (74,200 )      (994 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Water Utilities

         

Aqua America, Inc.

      (2,043 )      (75,468 )      (896 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

    $ (208,056 )      (5,961,425 )      (18,607 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   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 and one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.50) % to 0.30%), which is denominated in CHF based on the local currencies of the positions within the swaps.   5/26/2028 -
7/27/2028		   $ 74,957     $ (1,206 )    $ (2,510 )    $ (3,716 ) 
           

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Food Products

         

Barry Callebaut AG (Registered)

      47       80,073       (4,926 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

 

    

Zurich Insurance Group AG *

      275       84,329       799       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Georg Fischer AG (Registered)

      64       82,576       460       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Roche Holding AG

      347       85,976       2,423       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

PSP Swiss Property AG (Registered)

      890       83,785       632       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      1,623       416,739       (612 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Chemicals

         

Clariant AG (Registered) *

      (3,067 )      (73,336 )      (1,423 )      (0.0 )(e) 

EMS-Chemie Holding AG (Registered)

      (115 )      (73,757 )      (2,303 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (3,182 )      (147,093 )      (3,726 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Marine

         

Kuehne + Nagel International AG (Registered)

      (475 )      (75,810 )      (2,578 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Professional Services

         

DKSH Holding AG

      (1,017 )      (74,348 )      (2,075 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

ams AG *

      (324 )      (23,310 )      (256 )      (0.0 )(e) 

Meyer Burger Technology AG *

      (30,119 )      (21,221 )      8,041       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (30,443 )      (44,531 )      7,785       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (35,117 )      (341,782 )      (594 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (33,494 )      74,957       (1,206 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

 

COUNTERPARTY

  

DESCRIPTION

   TERMINATION
DATE		   NOTIONAL
VALUE(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

   The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day EONIA and one month EURIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.50)% to 0.30%), which is denominated in EUR based on the local currencies of the positions within the swaps.   5/25/2028 -
7/27/2028		   $ 110,122     $ (29,025 )    $ (7,871 )    $ (36,896 ) 
           

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

           

Common Stocks

           

Auto Components

           

CIE Automotive SA

      1,685        51,793        (1,867 )      (0.0 )(e) 

Cie Generale des Etablissements Michelin SCA

      419        53,807        591       0.0 (e) 

Cie Plastic Omnium SA

      1,302        54,492        (2,990 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     3,406        160,092        (4,266 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Capital Markets

           

AURELIUS Equity Opportunities SE & Co. KGaA

      1,599        98,752        1,879       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

           

Arkema SA

      679        85,026        1,929       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

ACS Actividades de Construccion y Servicios SA

      1,891        82,877        2,044       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Diversified Telecommunication Services

 

    

Orange SA

      5,013       85,430       3,109       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electric Utilities

         

Terna Rete Elettrica Nazionale SpA

      15,293       85,666       2,247       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Schneider Electric SE

      1,198       96,159       (3,045 )      (0.0 )(e) 

Signify NV (f)

      814       22,540       1,331       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     2,012       118,699       (1,714 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Koninklijke Ahold Delhaize NV

      3,298       83,870       2,231       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Gas Utilities

         

Italgas SpA

      14,731       84,732       3,312       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Independent Power and Renewable Electricity Producers

         

ERG SpA

      3,688       82,891       (823 )      (0.0 )(e) 

Uniper SE

      2,681       83,711       1,436       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,369       166,602       613       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Rheinmetall AG

      699       84,475       2,591       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

Aegon NV

      16,125       106,297       8,354       0.1  

NN Group NV

      1,915       84,599       1,036       0.0 (e) 

Poste Italiane SpA (f)

      9,162       85,238       4,237       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     27,202       276,134       13,627       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Aalberts Industries NV

      1,735       78,620       (3,841 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Eramet

      767       75,887       (27,707 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Galp Energia SGPS SA

      4,194       86,137       1,463       0.0 (e) 

Saras SpA

      36,514       87,423       3,967       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     40,708       173,560       5,430       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

UCB SA

      995       85,545       6,005       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Nexity SA

      1,307       80,423       (3,460 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

BE Semiconductor Industries NV

      1,834       39,650       (7,723 )      (0.0 )(e) 

Siltronic AG

      111       19,360       3,212       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     1,945       59,010       (4,511 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Textiles, Apparel & Luxury Goods

         

Christian Dior SE

      125       53,183       523       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Thrifts & Mortgage Finance

         

Aareal Bank AG

      1,802       82,812       (330 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      131,576       2,101,395       (289 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Air Freight & Logistics

         

bpost SA

      (4,723 )      (74,455 )      (3,868 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Auto Components

         

Gestamp Automocion SA (f)

      (6,378 )      (48,068 )      (321 )      (0.0 )(e) 

Nokian Renkaat OYJ

      (1,144 )      (49,613 )      (1,752 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,522 )      (97,681 )      (2,073 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Capital Markets

         

Banca Generali SpA

      (2,844 )      (76,555 )      (2,378 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

Elis SA

      (3,390 )      (77,816 )      (1,012 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Financial Services

         

Wendel SA

      (507 )      (73,836 )      (1,152 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Telecommunication Services

         

Cellnex Telecom SA (f)

      (2,782 )      (73,930 )      (1,230 )      (0.0 )(e) 

Iliad SA

      (127 )      (20,078 )      1,379       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (2,909 )      (94,008 )      149       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Electrical Equipment

         

Nexans SA

      (499 )      (16,690 )      1,076       0.0 (e) 

Siemens Gamesa Renewable Energy SA *

      (5,232 )      (73,803 )      (3,830 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (5,731 )      (90,493 )      (2,754 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Energy Equipment & Services

         

CGG SA *

      (29,046 )      (79,234 )      (4,101 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Health Care Providers & Services

         

Fresenius SE & Co. KGaA

      (907 )      (69,919 )      2,202       0.0 (e) 

Orpea

      (521 )      (71,547 )      1,891       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,428 )      (141,466 )      4,093       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

Delivery Hero AG *(f)

      (1,240 )      (70,422 )      2,864       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

Bechtle AG

      (813 )      (73,000 )      (6,686 )      (0.1 ) 

Indra Sistemas SA *

      (6,881 )      (83,482 )      (1,890 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (7,694 )      (156,482 )      (8,576 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Life Sciences Tools & Services

         

MorphoSys AG *

      (515 )      (67,740 )      5,960       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Duerr AG

      (1,691 )      (74,237 )      (2,878 )      (0.0 )(e) 

GEA Group AG

      (624 )      (24,389 )      (4,009 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (2,315 )      (98,626 )      (6,887 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Media

         

Altice NV *

      (11,408 )      (38,016 )      5,149       0.0 (e) 

Technicolor SA (Registered) *

      (37,475 )      (52,459 )      (6,153 )      (0.0 )(e) 

Telenet Group Holding NV *

      (293 )      (14,109 )      399       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (49,176 )      (104,584 )      (605 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

AMG Advanced Metallurgical Group NV

      (1,262 )      (74,510 )      (1,273 )      (0.0 )(e) 

Bekaert SA

      (2,849 )      (80,026 )      (4,989 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,111 )      (154,536 )      (6,262 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multi-Utilities

         

E.ON SE

      (6,585 )      (74,293 )      521       0.0 (e) 

RWE AG

      (2,860 )      (75,059 )      (2,353 )      (0.0 )(e) 

Suez

      (5,351 )      (75,695 )      (5,552 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (14,796 )      (225,047 )      (7,384 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Professional Services

         

Bureau Veritas SA

      (2,739 )      (70,462 )      2,629       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

SOITEC *

      (850 )      (72,632 )      (570 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Industria de Diseno Textil SA

      (1,411 )      (46,239 )      967       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Textiles, Apparel & Luxury Goods

         

OVS SpA *(f)

      (14,439 )      (47,202 )      423       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Transportation Infrastructure

         

Aeroports de Paris

      (321 )      (71,757 )      1,801       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (157,707 )      (1,991,273 )      (28,736 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      (26,131 )      110,122       (29,025 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day BOJ and one month LIBOR on long positions and short positions respectively, plus or minus a specified spread (rates range from (3.50) % to 0.60%), which is denominated in JPY based on the local currencies of the positions within the swaps.    5/26/2028 -
7/28/2028		    $ 640,566      $ (8,177 )    $ (421 )    $ (8,598 ) 
               

 

 

  

 

REFERENCE ENTITY

    SHARES      NOTIONAL
VALUE($)(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

 

        

Common Stocks

 

        

Auto Components

 

        

Keihin Corp. *

      2,700        55,745        3,285       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Chemicals

           

Asahi Kasei Corp.

      6,300        84,212        1,601       0.0 (e) 

KH Neochem Co. Ltd. *

      2,700        87,082        6,307       0.0 (e) 

Sumitomo Chemical Co. Ltd.

      15,000        86,381        2,656       0.0 (e) 

Tokuyama Corp.

      2,600        82,246        537       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     26,600        339,921        11,101       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Construction & Engineering

           

Kyowa Exeo Corp.

      3,700        100,261        4,159       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Distributors

           

Canon Marketing Japan, Inc.

      2,700        56,654        2,228       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Diversified Financial Services

           

ORIX Corp.

      4,900        79,368        (2,831 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electric Utilities

           

Chubu Electric Power Co., Inc.

      5,300        81,799        2,299       0.0 (e) 

Kansai Electric Power Co., Inc. (The)

      5,600        79,719        (3,742 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     10,900        161,518        (1,443 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

           

Maruwa Co. Ltd.

      1,000        77,063        (6,076 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Food Products

           

Fuji Oil Holdings, Inc.

      2,500        82,308        (2,725 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Health Care Providers & Services

           

Alfresa Holdings Corp.

      3,500        83,793        (752 )      (0.0 )(e) 

Medipal Holdings Corp.

      4,600        93,534        2,380       0.0 (e) 

Suzuken Co. Ltd.

      1,900        83,202        4,425       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     10,000        260,529        6,053       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Hotels, Restaurants & Leisure

           

Round One Corp. *

      3,600        53,604        (650 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Household Durables

           

Nikon Corp.

      3,200        54,019        2,948       0.0 (e) 

Sony Corp.

      1,000        53,747        1,175       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     4,200        107,766        4,123       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Internet Software & Services

           

Mixi, Inc.

      700        18,434        962       0.0 (e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

IT Services

           

NET One Systems Co. Ltd. *

      4,800        104,766        19,387       0.1  

Nihon Unisys Ltd. *

      3,300        76,173        (6,034 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     8,100        180,939        13,353       0.1  
  

 

 

     

 

 

     

 

 

    

 

 

  

Machinery

           

DMG Mori Co. Ltd.

      5,700        87,522        3,348       0.0 (e) 

Hitachi Construction Machinery Co. Ltd.

      2,400        77,189        (6,055 )      (0.0 )(e) 

Japan Steel Works Ltd. (The) *

      3,300        81,360        (4,826 )      (0.0 )(e) 

OKUMA Corp.

      1,500        84,700        1,779       0.0 (e) 

Takeuchi Manufacturing Co. Ltd. *

      3,500        81,996        (685 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  
     16,400        412,767        (6,439 )      (0.0 )(e) 
  

 

 

     

 

 

     

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions — continued

 

Common Stocks — continued

 

    

Oil, Gas & Consumable Fuels

         

Cosmo Energy Holdings Co. Ltd.

      2,300       81,171       (3,178 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Personal Products

         

YA-MAN Ltd. *

      5,200       82,774       279       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Kaken Pharmaceutical Co. Ltd.

      1,600       83,010       656       0.0 (e) 

Sumitomo Dainippon Pharma Co. Ltd.

      3,800       73,745       (10,879 )      (0.0 )(e) 

Taisho Pharmaceutical Holdings Co. Ltd.

      700       79,296       (908 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     6,100       236,051       (11,131 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Real Estate Management & Development

         

Nomura Real Estate Holdings, Inc.

      3,800       82,946       (908 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Central Japan Railway Co.

      400       83,311       5,206       0.0 (e) 

Seino Holdings Co. Ltd.

      5,300       92,567       2,396       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     5,700       175,878       7,602       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Ulvac, Inc.

      500       19,714       372       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

Capcom Co. Ltd.

      3,400       88,174       11,953       0.0 (e) 

GungHo Online Entertainment, Inc. *

      12,500       26,687       (2,853 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     15,900       114,861       9,100       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Shimachu Co. Ltd. *

      1,600       50,847       2,084       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

Kanamoto Co. Ltd.

      3,100       96,661       (2,004 )      (0.0 )(e) 

Mitsubishi Corp.

      3,000       83,859       724       0.0 (e) 

Mitsui & Co. Ltd.

      4,900       82,124       (1,075 )      (0.0 )(e) 

Sojitz Corp.

      22,900       83,143       263       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     33,900       345,787       (2,092 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

KDDI Corp.

      3,000       83,511       (198 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      176,000       3,260,417       27,030       0.1  
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Auto Components

         

Toyo Tire & Rubber Co. Ltd.

      (3,300 )      (52,177 )      (3,807 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Banks

         

Seven Bank Ltd.

      (24,500 )      (74,162 )      (1,302 )      (0.0 )(e) 

Shinsei Bank Ltd.

      (4,600 )      (72,450 )      1,195       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (29,100 )      (146,612 )      (107 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Chemicals

         

Air Water, Inc.

      (4,000 )      (73,121 )      476       0.0 (e) 

Hitachi Chemical Co. Ltd.

      (3,900 )      (77,233 )      (3,924 )      (0.0 )(e) 

Nippon Paint Holdings Co. Ltd.

      (1,700 )      (74,294 )      (5,631 )      (0.0 )(e) 

Tokyo Ohka Kogyo Co. Ltd.

      (2,100 )      (76,211 )      2,469       0.0 (e) 

Toyobo Co. Ltd.

      (4,400 )      (74,479 )      (1,750 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (16,100 )      (375,338 )      (8,360 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Commercial Services & Supplies

         

Toppan Printing Co. Ltd.

      (10,000 )      (76,943 )      (1,175 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

FP Corp.

      (1,300 )      (71,564 )      1,436       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electrical Equipment

         

Mabuchi Motor Co. Ltd.

      (1,500 )      (73,906 )      (2,950 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Electronic Equipment, Instruments & Components

         

Alps Electric Co. Ltd.

      (1,300 )      (37,503 )      (2,645 )      (0.0 )(e) 

Murata Manufacturing Co. Ltd.

      (100 )      (17,498 )      358       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,400 )      (55,001 )      (2,287 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Short Positions — continued

 

Common Stocks — continued

 

    

Food & Staples Retailing

         

Cosmos Pharmaceutical Corp.

      (300 )      (66,139 )      666       0.0 (e) 

Kusuri no Aoki Holdings Co. Ltd.

      (1,000 )      (73,405 )      1,490       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (1,300 )      (139,544 )      2,156       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food Products

         

Calbee, Inc.

      (2,100 )      (69,662 )      4,398       0.0 (e) 

Ezaki Glico Co. Ltd.

      (1,600 )      (74,105 )      (1,251 )      (0.0 )(e) 

Kewpie Corp.

      (2,900 )      (72,123 )      3,638       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (6,600 )      (215,890 )      6,785       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Toridoll Holdings Corp. *

      (2,200 )      (48,900 )      (1,084 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Industrial Conglomerates

         

Seibu Holdings, Inc.

      (4,500 )      (75,939 )      (1,716 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Insurance

         

T&D Holdings, Inc.

      (4,900 )      (73,216 )      716       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Internet Software & Services

         

Yahoo Japan Corp.

      (5,200 )      (19,784 )      (1,153 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Leisure Products

         

Bandai Namco Holdings, Inc.

      (1,200 )      (48,010 )      505       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Machinery

         

Kawasaki Heavy Industries Ltd.

      (2,500 )      (73,508 )      (106 )      (0.0 )(e) 

Mitsui E&S Holdings Co. Ltd. *

      (5,400 )      (77,365 )      (4,357 )      (0.0 )(e) 

NGK Insulators Ltd.

      (4,200 )      (73,758 )      (724 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (12,100 )      (224,631 )      (5,187 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Hitachi Metals Ltd.

      (7,200 )      (78,028 )      (4,060 )      (0.1 ) 

Mitsubishi Materials Corp.

      (2,700 )      (76,782 )      (3,290 )      (0.0 )(e) 

UACJ Corp.

      (3,500 )      (75,835 )      (2,236 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (13,400 )      (230,645 )      (9,586 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Multiline Retail

         

Takashimaya Co. Ltd.

      (6,000 )      (50,250 )      (1,678 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Paper & Forest Products

         

Nippon Paper Industries Co. Ltd.

      (4,700 )      (77,003 )      (2,422 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Pharmaceuticals

         

Nippon Shinyaku Co. Ltd.

      (1,300 )      (73,997 )      (2,867 )      (0.0 )(e) 

Ono Pharmaceutical Co. Ltd.

      (3,100 )      (73,251 )      (781 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     (4,400 )      (147,248 )      (3,648 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Road & Rail

         

Keikyu Corp.

      (4,600 )      (75,315 )      (3,036 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Semiconductors & Semiconductor Equipment

         

Renesas Electronics Corp. *

      (3,700 )      (33,063 )      2,291       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Software

         

LINE Corp. *

      (1,000 )      (43,687 )      1,678       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Specialty Retail

         

Nitori Holdings Co. Ltd.

      (300 )      (45,212 )      224       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Technology Hardware, Storage & Peripherals

         

Seiko Epson Corp.

      (4,200 )      (75,821 )      (2,924 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Trading Companies & Distributors

         

MISUMI Group, Inc.

      (2,700 )      (68,982 )      4,748       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Wireless Telecommunication Services

         

SoftBank Group Corp.

      (900 )      (75,170 )      (4,626 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (146,600 )      (2,619,851 )      (35,207 )      (0.1 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      29,400       640,566       (8,177 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

COUNTERPARTY

   

DESCRIPTION

    TERMINATION
DATE		    NOTIONAL
VALUE(1)		      NET UNREALIZED
APPRECIATION
(DEPRECIATION)(2)		     NET CASH
AND OTHER
RECEIVABLES
(PAYABLES)		     VALUE  

Goldman Sachs

    The Fund receives the total return on a portfolio of long and short equity positions and pays or receives the net of one day OIS-RBA and one month BBR on long positions and short positions respectively, plus or minus a specified spread (rates range from (0.30)% to 0.30%), which is denominated in AUD based on the local currencies of the positions within the swaps.    5/25/2028 -
7/27/2028		    $ 214,974      $ (2,382 )    $ (293 )    $ (2,675 ) 
               

 

 

  

 

REFERENCE ENTITY

    SHARES     NOTIONAL
VALUE($)(1)		     NET UNREALIZED
APPRECIATION
(DEPRECIATION)($)(2)		     PERCENTAGE
OF NET
ASSETS (%)		  

Long Positions

         

Common Stocks

         

Airlines

         

Qantas Airways Ltd.

      16,646       83,199       101       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Food & Staples Retailing

         

Metcash Ltd.

      7,487       14,637       507       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Hotels, Restaurants & Leisure

         

Flight Centre Travel Group Ltd.

      1,090       55,122       1,027       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

IT Services

         

Computershare Ltd.

      6,215       84,125       1,202       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Metals & Mining

         

Alumina Ltd.

      40,384       85,118       (201 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Oil, Gas & Consumable Fuels

         

Origin Energy Ltd. *

      13,988       101,493       (3,299 )      (0.0 )(e) 

Woodside Petroleum Ltd.

      3,227       86,495       3,121       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  
     17,215       187,988       (178 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Long Positions of Total Return Basket Swaps

      89,037       510,189       2,458       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Short Positions

         

Common Stocks

         

Chemicals

         

Orica Ltd.

      (5,584 )      (72,944 )      1,039       0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Construction Materials

         

Boral Ltd.

      (14,845 )      (73,364 )      (127 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Containers & Packaging

         

Amcor Ltd.

      (6,754 )      (75,608 )      (4,994 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Diversified Financial Services

         

Challenger Ltd.

      (7,924 )      (73,299 )      (758 )      (0.0 )(e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total Short Positions of Total Return Basket Swaps

      (35,107 )      (295,215 )      (4,840 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Total of Long and Short Positions of Total Return Basket Swaps

      53,930       214,974       (2,382 )      0.0 (e) 
  

 

 

    

 

 

    

 

 

    

 

 

  

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

The following reference rates, and their values as of period-end, are used for security descriptions:

 

          Value  

1 day CHF LIBOR

         (0.78 )% 

1 month CHF LIBOR

         (0.78 )% 

BA

         1.82 % 

BBR

         1.88 % 

BOJ

         (0.10 )% 

CORRA

         1.55 % 

EONIA

         (0.36 )% 

EURIBOR

         (0.37 )% 

FEDEF

         1.91 % 

GBP LIBOR

         0.68 % 

JPY LIBOR

         (0.07 )% 

OIS-RBA

         1.50 % 

SONIA

         0.45 % 

USD LIBOR

         2.08 % 

Summary of total OTC swap contracts outstanding as of July 31, 2018:

 

     Net Upfront
Payments
(Receipts) ($)		      Value ($)  

Assets

      
  

 

 

     

 

 

  

Total OTC Total return basket swaps contracts outstanding

      —          455,717  
  

 

 

     

 

 

  

Liabilities

      
  

 

 

     

 

 

  

Total OTC Total return basket swaps contracts outstanding

      —          (165,921 ) 
  

 

 

     

 

 

  

 

Abbreviations

 

AUD    Australian Dollar
BA    Banker’s Acceptance Rate
BBR    Bank Base Rate
BOJ    Bank of Japan
CAD    Canadian Dollar
CHF    Swiss Franc
CORRA    Canadian Overnight Repo Rate Average
EONIA    Euro Over Night Index Average
EUR    Euro
EURIBOR    Euro Interbank Offered Rate
FEDEF    US Federal Fund Effective Rate (Continuous Series)
GBP    British Pound
JPY    Japanese Yen
LIBOR    London Interbank Offered Rate
OIS-RBA    Overnight Indexed Swap-Reserve Bank of Australia
SEK    Swedish Krona
SONIA    Sterling Overnight Index Average
STIBOR    Stockholm Interbank Offered Rate
USD    United States Dollar
(a)    Securities exempt from registration under Rule 144A or section 4(2), of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities have been determined to be liquid by the investment adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration.
(b)    Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(c)    The rate shown is the current yield as of July 31, 2018.
(d)    The rate shown is the effective yield as of July 31, 2018.
(e)    Amounts rounds to less than 0.05%.

JPMorgan Long/Short ETF

ADDITIONAL INFORMATION-TOTAL RETURN BASKET SWAPS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

(f)    Security exempt from registration pursuant to Regulation S under the Securities Act of 1933. 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.
*    Non-income producing security.
(1)    Notional value represents market value, as of July 31, 2018, 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.

JPMorgan Long/Short ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

A. Valuation of Investments — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, are valued by applying international fair value factors 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 (the “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.

The following table represents each valuation input as presented on the Schedule of Portfolio Investments:

 

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

Investments in Securities

           

Common Stocks

           

Other Common Stocks

    $ 13,867,439      $ —       $ —        $ 13,867,439  

Debt Securities

           

Foreign Government Securities

      —          234,798       —          234,798  

Short-Term Investments

           

Investment Companies

      6,688,256        —         —          6,688,256  

Other U.S. Treasury Obligations

      —          1,954,151       —          1,954,151  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Investments in Securities

    $ 20,555,695      $ 2,188,949     $ —        $ 22,744,644  
  

 

 

     

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

           

Forward Foreign Currency Exchange Contracts

    $ —        $ 321     $ —        $ 321  

Futures Contracts

      3,816        31,829       —          35,645  

Swaps

      —          361,854       —          361,854  
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Appreciation in Other Financial Instruments

    $ 3,816      $ 394,004     $ —        $ 397,820  
  

 

 

     

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

           

Forward Foreign Currency Exchange Contracts

    $ —        $ (2,510 )    $ —        $ (2,510 ) 

Futures Contracts

      —          (4,739 )      —          (4,739 ) 

Swaps

      —          (129,996 )      —          (129,996 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

Total Depreciation in Other Financial Instruments

    $ —        $ (137,245 )    $ —        $ (137,245 ) 
  

 

 

     

 

 

    

 

 

     

 

 

  

JPMorgan Long/Short ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

B. 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 futures contracts to gain or reduce exposure to the stock market, to gain or reduce exposure to particular countries or regions, maintain liquidity or to minimize transaction costs associated with portfolio investments.

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.

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

JPMorgan Long/Short ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

(3). Swaps — The Fund engaged in various swap transactions, including total return basket swaps, to manage credit, interest rate (e.g., duration, yield curve), currency, credit risks and inflation risks within its portfolio. The Fund also used swaps as alternatives to direct investments. Swap transactions are negotiated contracts over the counter (“OTC swaps”) between the Fund and a counterparty or centrally cleared (“centrally cleared swaps”) with a central clearinghouse through a Futures Commission Merchant (“FCM”), to 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 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. The change in the value of swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is reported as Change in net 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.

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 agreements, each swap is designed to function as a portfolio of direct investments in long and 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.

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 swap swaps.

JPMorgan Managed Futures Strategy ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Investments

    Shares      Value($)  

SHORT-TERM INVESTMENTS — 89.4%

 

   

INVESTMENT COMPANIES — 89.4%

 

   

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.77% (a)(b)
(Cost $46,112,505)

      46,112,505        46,112,505  
     

 

 

  

Total Investments — 89.4%
(Cost $46,112,505)

         46,112,505  

Other Assets Less Liabilities — 10.6%

         5,480,045  
     

 

 

  

Net Assets — 100.0%

         51,592,550  
     

 

 

  

 

Percentages indicated are based on net assets.

                    

 

JPMorgan Managed Futures Strategy ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Futures contracts outstanding as of July 31, 2018:

 

Description

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

Long Contracts

             

CAC 40 10 Euro Index

      24     08/2018      EUR        1,543,915       24,561  

Feeder Cattle

      3     08/2018      USD        223,987       (7,834 ) 

Hang Seng Index

      1     08/2018      HKD        181,466       (3,566 ) 

LME Aluminum Base Metal

      24     08/2018      USD        1,240,350       (38,669 ) 

LME Nickel Base Metal

      5     08/2018      USD        418,590       (10,455 ) 

LME Zinc Base Metal

      24     08/2018      USD        1,581,600       (55,872 ) 

WTI Crude Oil

      9     08/2018      USD        618,840       12,016  

Australia 10 Year Bond

      168     09/2018      AUD        16,127,276       153,540  

Canada 10 Year Bond

      15     09/2018      CAD        1,554,022       (25,055 ) 

Cocoa

      10     09/2018      USD        217,000       (16,030 ) 

EURO STOXX 50 Index

      7     09/2018      EUR        288,243       6,200  

Euro-Bobl

      44     09/2018      EUR        6,771,519       (19,637 ) 

Euro-Bund

      18     09/2018      EUR        3,400,984       (11,112 ) 

Euro-Buxl

      13     09/2018      EUR        2,669,392       (10,077 ) 

Euro-Schatz

      208     09/2018      EUR        27,218,071       (31,608 ) 

Feeder Cattle

      12     09/2018      USD        897,450       (1,973 ) 

FTSE 100 Index

      18     09/2018      GBP        1,817,686       22,209  

FTSE/MIB Index

      2     09/2018      EUR        258,892       1,646  

Japan 10 Year Bond

      20     09/2018      JPY        26,953,450       (14,512 ) 

LME Aluminum Base Metal

      21     09/2018      USD        1,089,769       (34,256 ) 

LME Nickel Base Metal

      13     09/2018      USD        1,091,025       (67,272 ) 

LME Zinc Base Metal

      1     09/2018      USD        65,825       (7,278 ) 

Long Gilt

      2     09/2018      GBP        322,047       (2,311 ) 

Natural Gas

      21     09/2018      USD        587,580       (1,600 ) 

S&P 500 E-Mini Index

      7     09/2018      USD        985,985       18,713  

SPI 200 Index

      20     09/2018      AUD        2,313,107       40,304  

TOPIX Index

      4     09/2018      JPY        628,044       (3,033 ) 

U.S. Treasury 10 Year Note

      110     09/2018      USD        13,136,406       15,227  

Wheat

      8     09/2018      USD        221,500       25,801  

WTI Crude Oil

      23     09/2018      USD        1,555,490       (30,331 ) 

Lean Hogs

      40     10/2018      USD        811,600       (118,078 ) 

Live Cattle

      30     10/2018      USD        1,311,600       (16,238 ) 

LME Zinc Base Metal

      15     10/2018      USD        984,656       18,986  

WTI Crude Oil

      12     10/2018      USD        807,240       (10,942 ) 

Cotton No. 2

      69     12/2018      USD        3,090,855       70,832  

Lean Hogs

      41     12/2018      USD        763,420       (291 ) 

Cotton No. 2

      24     03/2019      USD        1,074,000       1,008  
            

 

 

  
               (126,987 ) 
            

 

 

  

Short Contracts

             

IBEX 35 Index

      (5 )    08/2018      EUR        (576,447 )      (7,610 ) 

LME Aluminum Base Metal

      (24 )    08/2018      USD        (1,240,350 )      (3,450 ) 

LME Nickel Base Metal

      (5 )    08/2018      USD        (418,590 )      (4,620 ) 

LME Zinc Base Metal

      (24 )    08/2018      USD        (1,581,600 )      (36,072 ) 

Natural Gas

      (2 )    08/2018      USD        (55,640 )      (1,920 ) 

Australia 3 Year Bond

      (23 )    09/2018      AUD        (1,901,039 )      (5,053 ) 

Canada 10 Year Bond

      (4 )    09/2018      CAD        (414,406 )      3,387  

Coffee ‘C’

      (29 )    09/2018      USD        (1,195,163 )      110,969  

Copper

      (4 )    09/2018      USD        (283,150 )      (15,011 ) 

Euro-Bund

      (70 )    09/2018      EUR        (13,226,050 )      (8,254 ) 

Japan 10 Year Bond

      (8 )    09/2018      JPY        (10,781,380 )      (842 ) 

LME Aluminum Base Metal

      (8 )    09/2018      USD        (415,150 )      (11,175 ) 

LME Nickel Base Metal

      (1 )    09/2018      USD        (83,925 )      (4,404 ) 

LME Zinc Base Metal

      (8 )    09/2018      USD        (526,600 )      45,388  

Long Gilt

      (11 )    09/2018      GBP        (1,771,260 )      (11,287 ) 

JPMorgan Managed Futures Strategy ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Description

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

Silver

      (13 )      09/2018        USD        (1,011,335 )      44,255  

Soybean

      (9 )      09/2018        USD        (408,938 )      (25,451 ) 

Sugar No. 11

      (42 )      09/2018        USD        (496,272 )      97,974  

U.S. Treasury 10 Year Note

      (26 )      09/2018        USD        (3,104,969 )      (292 ) 

U.S. Treasury 2 Year Note

      (111 )      09/2018        USD        (23,459,156 )      31,507  

U.S. Treasury 5 Year Note

      (57 )      09/2018        USD        (6,447,234 )      701  

U.S. Treasury Long Bond

      (8 )      09/2018        USD        (1,144,250 )      1,091  

Lean Hogs

      (28 )      10/2018        USD        (568,120 )      101,307  

Live Cattle

      (17 )      10/2018        USD        (743,240 )      3,530  

Soybean

      (14 )      11/2018        USD        (643,300 )      (18,479 ) 

100 oz Gold

      (11 )      12/2018        USD        (1,356,960 )      4,701  

Coffee ‘C’

      (47 )      12/2018        USD        (1,993,388 )      24,590  

Corn

      (100 )      12/2018        USD        (1,932,500 )      (63,457 ) 

Live Cattle

      (22 )      12/2018        USD        (994,180 )      12,515  

Wheat

      (40 )      12/2018        USD        (1,146,500 )      (67,205 ) 

Sugar No. 11

      (74 )      02/2019        USD        (951,462 )      70,528  

Coffee ‘C’

      (23 )      03/2019        USD        (1,005,675 )      3,137  

Corn

      (25 )      03/2019        USD        (496,250 )      (7,574 ) 

Wheat

      (26 )      03/2019        USD        (764,075 )      (6,889 ) 

Sugar No. 11

      (29 )      04/2019        USD        (379,691 )      13,140  
            

 

 

  
               269,675  
            

 

 

  
               142,688  
            

 

 

  

Forward foreign currency exchange contracts outstanding as of July 31, 2018:

 

Currency Purchased

     Currency Sold    

Counterparty

   Settlement
Date		   Unrealized
Appreciation
(Depreciation) ($)		  

AUD

     3,765,536     USD     2,779,760     Merrill Lynch International   8/17/2018     18,107  

CAD

     5,028,954     USD     3,840,706     State Street Corp.   8/17/2018     26,249  

CHF

     123,350     USD     124,641     Merrill Lynch International   8/17/2018     98  

HUF

     68,647,357     USD     248,493     Societe Generale   8/17/2018     2,031  

MXN

     11,063,996     USD     576,356     Goldman Sachs International   8/17/2018     15,722  

PHP

     28,655,690     USD     533,725     Merrill Lynch International **   8/17/2018     6,736  

PLN

     855,578     USD     228,978     Societe Generale   8/17/2018     5,177  

SEK

     1,009,575     USD     113,895     Barclays Bank plc   8/17/2018     1,058  

USD

     8,209,372     CHF     8,101,530     State Street Corp.   8/17/2018     16,679  

USD

     7,396,899     EUR     6,282,486     State Street Corp.   8/17/2018     42,002  

USD

     187,005     GBP     140,726     National Australia Bank Ltd.   8/17/2018     2,176  

USD

     526,312     ILS     1,910,849     Credit Suisse International   8/17/2018     5,435  

USD

     3,678,644     JPY     406,224,141     Goldman Sachs International   8/17/2018     41,887  

USD

     1,325,969     SEK     11,572,330     Goldman Sachs International   8/17/2018     8,315  

USD

     5,380,436     SEK     46,898,461     State Street Corp.   8/17/2018     40,460  

USD

     523,348     THB     17,356,249     Citibank, NA   8/17/2018     1,501  

USD

     248,797     TRY     1,179,947     State Street Corp.   8/17/2018     10,902  

USD

     517,843     TWD     15,735,033     Merrill Lynch International **   8/17/2018     2,578  

ZAR

     6,994,622     USD     517,004     Citibank, NA   8/17/2018     13,065  

IDR

     3,922,912,437     USD     270,826     Merrill Lynch International **   8/20/2018     1,169  

INR

     35,455,597     USD     512,905     Merrill Lynch International **   8/20/2018     3,580  
           

 

 

  

Total unrealized appreciation

 

         264,927  
           

 

 

  

AUD

     3,979,850     USD     2,959,891     State Street Corp.   8/17/2018     (2,785 ) 

CHF

     1,471,501     USD     1,489,004     Credit Suisse International   8/17/2018     (945 ) 

JPMorgan Managed Futures Strategy ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

Currency Purchased

     Currency Sold    

Counterparty

   Settlement
Date		     Unrealized
Appreciation
(Depreciation) ($)		  

EUR

     222,430     USD     260,616     Goldman Sachs International     8/17/2018       (217 ) 

EUR

     3,076,964     USD     3,612,053     Standard Chartered Bank     8/17/2018       (9,856 ) 

GBP

     615,096     USD     815,902     Barclays Bank plc     8/17/2018       (8,036 ) 

ILS

     917,036     USD     252,601     Societe Generale     8/17/2018       (2,627 ) 

JPY

     119,453,516     USD     1,083,821     Citibank, NA     8/17/2018       (14,403 ) 

NOK

     17,769,909     USD     2,201,997     Goldman Sachs International     8/17/2018       (21,987 ) 

NOK

     20,526,192     USD     2,556,888     State Street Corp.     8/17/2018       (38,738 ) 

NZD

     5,382,630     USD     3,679,555     National Australia Bank Ltd.     8/17/2018       (10,830 ) 

SEK

     947,997     USD     108,262     Goldman Sachs International     8/17/2018       (321 ) 

THB

     17,356,249     USD     522,936     Standard Chartered Bank     8/17/2018       (1,090 ) 

TRY

     2,430,430     USD     506,454     Citibank, NA     8/17/2018       (16,444 ) 

TWD

     7,434,035     USD     243,736     Merrill Lynch International **     8/17/2018       (298 ) 

USD

     484,313     AUD     656,461     Standard Chartered Bank     8/17/2018       (3,450 ) 

USD

     2,746,475     CAD     3,605,290     Goldman Sachs International     8/17/2018       (25,770 ) 

USD

     115,472     CHF     115,034     State Street Corp.     8/17/2018       (856 ) 

USD

     258,744     EUR     222,430     Standard Chartered Bank     8/17/2018       (1,655 ) 

USD

     525,753     HUF     145,578,269     Citibank, NA     8/17/2018       (5,526 ) 

USD

     270,826     KRW     302,832,049     Merrill Lynch International **     8/17/2018       (567 ) 

USD

     292,149     MXN     5,716,423     National Australia Bank Ltd.     8/17/2018       (13,760 ) 

USD

     1,861,832     NZD     2,748,603     Goldman Sachs International     8/17/2018       (11,577 ) 

USD

     534,173     PHP     28,655,690     Merrill Lynch International **     8/17/2018       (6,288 ) 

USD

     510,216     PLN     1,883,460     Citibank, NA     8/17/2018       (5,250 ) 

USD

     110,224     SEK     970,014     Goldman Sachs International     8/17/2018       (224 ) 

USD

     239,172     ZAR     3,284,005     Merrill Lynch International     8/17/2018       (9,696 ) 

USD

     245,982     INR     17,012,356     Merrill Lynch International **     8/20/2018       (1,839 ) 

JPY

     58,668,118     USD     541,210     Australia & New Zealand Banking Group Ltd.     7/16/2019       (1,450 ) 

USD

     533,984     JPY     58,550,000     State Street Corp.     7/16/2019       (4,689 ) 
           

 

 

  

Total unrealized depreciation

 

         (221,174 ) 
   

 

 

  

Net unrealized appreciation

 

         43,753  
   

 

 

  

 

Abbreviations

AUD    —   

Australian Dollar

CAC    —   

Continuous Assisted Quotation

CAD    —   

Canadian Dollar

CHF    —   

Swiss Franc

EUR    —   

Euro

FTSE    —   

Financial Times and the London Stock Exchange

GBP    —   

British Pound

HKD    —   

Hong Kong Dollar

HUF    —   

Hungarian Forint

IBEX    —   

Madrid Stock Exchange

IDR    —   

Indonesian Rupiah

ILS    —   

Israeli Shekel

INR    —   

India Rupee

JPY    —   

Japanese Yen

KRW    —   

Korean Republic Won

LME    —   

London Metal Exchange

MIB    —   

Milan, Italian Stock Exchange

MXN    —   

Mexican Peso

NOK    —   

Norwegian Krone

NZD    —   

New Zealand Dollar

PHP    —   

Philippines Peso

PLN    —   

Polish Zloty

SEK    —   

Swedish Krona

SPI    —   

Australian Securities Exchange

THB    —   

Thai Baht

JPMorgan Managed Futures Strategy ETF

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

TOPIX    —   

Tokyo Stock Price Index

TRY    —   

New Turkish Lira

TWD    —   

Taiwan Dollar

USD    —   

United States Dollar

WTI    —   

West Texas Intermediate

ZAR    —   

South African Rand

 

(a)       Investment in affiliate. Fund is registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.
(b)       The rate shown is the current yield as of July 31, 2018.
**       Non-deliverable forward.

JPMorgan Managed Futures Strategy ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited)

 

Managed Futures Fund CS Ltd. (the “Subsidiary”), a Cayman Islands exempted company, was incorporated on August 17, 2017 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. 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 — The valuation of investments is in accordance with U.S. generally accepted accounting principles (“GAAP”) and the Fund’s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (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 such unadjusted quoted prices 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 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.

Investments in open-end investment companies (the “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. Forward foreign currency exchange contracts are generally valued on the basis of available 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.

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  

Total Investments in Securities (a)

    $ 46,112,505     $ —       $ —        $ 46,112,505  
  

 

 

    

 

 

    

 

 

     

 

 

  

Appreciation in Other Financial Instruments

          

Forward Foreign Currency Exchange Contracts

    $ —       $ 264,927     $ —        $ 264,927  

Futures Contracts

      884,843       94,920       —          979,763  
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Appreciation in Other Financial Instruments

    $ 884,843     $ 359,847     $ —        $ 1,244,690  
  

 

 

    

 

 

    

 

 

     

 

 

  

Depreciation in Other Financial Instruments

          

Forward Foreign Currency Exchange Contracts

    $ —       $ (221,174 )    $ —        $ (221,174 ) 

Futures Contracts

      (822,866 )      (14,209 )      —          (837,075 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

Total Depreciation in Other Financial Instruments

    $ (822,866 )    $ (235,383 )    $ —        $ (1,058,249 ) 
  

 

 

    

 

 

    

 

 

     

 

 

  

JPMorgan Managed Futures Strategy ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

  (a)

All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 1 consists of a money market mutual fund that is held for daily investments of cash. Level 2 consists of Foreign Futures that is held as initial margin for futures contracts.

Transfers between fair value levels are valued utilizing values as of beginning of the period.

There were no transfers among any levels during the period ended July 31, 2018.

B. Derivatives — The Fund used derivative instruments including futures and forward foreign currency exchange contracts, 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) & (2) below describe the various derivatives used by the Fund.

(1). Futures Contracts — The Fund used index, commodities and treasury futures contracts to obtain long and short exposure to the underlying commodities markets, to gain or reduce exposure to the stock market, to gain or reduce exposure to particular countries or regions, maintain liquidity, minimize transaction costs or to manage and hedge interest rate risk associated with portfolio investments.

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.

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 may be 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. dollars 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.

JPMorgan Managed Futures Strategy ETF

NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF JULY 31, 2018 (Unaudited) (continued)

 

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

ITEM 2. CONTROLS AND PROCEDURES.

 

  (a)

The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-Q is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-Q is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

 

  (b)

There were no changes in the Registrant’s internal control over financial reporting that occurred during the Registrant’s most recent fiscal quarter that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal controls over financial reporting.

ITEM 3. EXHIBITS.

CERTIFICATIONS PURSUANT TO RULE 30a-2(a) UNDER THE INVESTMENT COMPANY ACT OF 1940 ARE ATTACHED HERETO.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

J.P. Morgan Exchange-Traded Fund Trust

 

By:  

/s/ Joanna M. Gallegos

  Joanna M. Gallegos
  President and Principal Executive Officer
  September 25, 2018

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Joanna M. Gallegos

  Joanna M. Gallegos
  President and Principal Executive Officer
  September 25, 2018
 

/s/ Lauren A. Paino

  Lauren A. Paino
  Treasurer and Principal Financial Officer
  September 25, 2018