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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-23117
JPMorgan Trust IV
(Exact name of registrant as specified in charter)
277 Park Avenue
New York, NY 10172
(Address of principal executive offices) (Zip code)
Gregory S. Samuels
277 Park Avenue
New York, NY 10172
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: (800) 480-4111
Date of fiscal year end: October 31
Date of reporting period: November 1, 2020 through October 31, 2021
Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.
A registrant is required to disclose the information specified by Form N-CSR, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-CSR 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 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. Section 3507.
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ITEM 1. REPORTS TO STOCKHOLDERS.
a.) The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).
b.) A copy of the notice transmitted to shareholders in reliance on Rule 30e-3 under the 1940 Act that contains disclosures specified by paragraph (c)(3) of that rule is included in the Annual Report. Not Applicable. Notices do not incorporate disclosures from the
shareholder reports.
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Annual Report
J.P. Morgan International Equity Funds
October 31, 2021
JPMorgan Emerging Markets Equity Fund
JPMorgan Emerging Markets Research Enhanced Equity Fund
JPMorgan Europe Dynamic Fund
JPMorgan International Equity Fund
JPMorgan International Focus Fund
JPMorgan International Hedged Equity Fund
JPMorgan International Research Enhanced Equity Fund
JPMorgan International Value Fund
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Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
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December 6, 2021 (Unaudited)
Dear Shareholders,
Equity markets largely rewarded investors with strong returns amid a global economic rebound in 2021 that withstood the emergence and spread of Covid variants, strained supply chains and accelerating inflation. Despite uneven progress against the pandemic, continued monetary and fiscal support helped bolster corporate profits and consumer spending throughout the twelve months ended October 21, 2021.
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“Regardless of the macro-economic backdrop, J.P. Morgan Asset Management will continue to provide investors with innovative solutions and risk management strategies to seek to help investors build durable portfolios and meet their investment goals.” — Andrea L. Lisher |
While leading central banks maintain accommodative policies throughout the period, select emerging market nations – particularly Brazil — raised interest rates and the U.S. Federal Reserve (the “Fed”) laid out a potential timetable for winding down its asset purchasing program and raising interest rates for the first time since the start of the pandemic. While the Fed initially insisted that price inflation fueled by the reopening of the global economy would likely be temporary, by the end of the period Fed officials conceded that inflation was stronger and more persistent than expected.
By the end of the period – and in subsequent weeks – financial market volatility increased amid investor uncertainty about the ongoing pandemic and concerns about the potential for the Fed to move more quickly to raise interest rates in the face of accelerating inflation. However, economic data point toward a continued rebound in the global economy into 2022.
Regardless of the macro-economic backdrop, J.P. Morgan Asset Management will continue to provide investors with innovative solutions and risk management strategies to seek to help investors build durable portfolios and meet their investment goals. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 1 | ||||||||
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J.P. Morgan International Equity Funds
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
Globally, equity markets outperformed fixed income markets by a wide margin amid a global economic rebound from the initial economic shock of the pandemic. While the development and distribution of multiple vaccines unleashed a sharp increase in economic activity in the first half of the period, uneven success against the pandemic, supply chain constraints and inflationary pressure weighed on growth in the latter part of the period. Overall, U.S. equity outperformed both developed market and emerging market equities.
For the twelve months ended October 31, 2021, the S&P 500 returned 42.91%; the MSCI EAFE Index returned 34.18% and the MSCI Emerging Markets Index returned 16.96%. Within fixed income, the Bloomberg U.S. Aggregate Index returned -0.48%, the Bloomberg U.S. High Yield Index returned 10.53% and the Bloomberg Emerging Markets Index returned 3.01% for the period.
At the start of the period, global equity prices began to rebound amid development of the first vaccines against COVID-19 and its leading variants. The rally in equity prices was largely led by investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on equity markets in June.
In the following months global economic growth was increasingly hindered by uneven progress against the pandemic, supply chain bottlenecks and rising prices for both commodities and finished goods. Energy prices rose sharply amid a rebound in demand, which helped petroleum exporting nations but weighed on the economies of net importers. Extended inflationary pressures led to modest divergence in central bank policies at the end of the period. Leading central banks maintained their ultra-low interest rate policies, while monetary authorities in select nations, including Brazil, Norway and New Zealand, raised rates to head off rising prices.
Global equity prices largely continued their upward trajectory in the final months of the period, with the exception of a modest retreat in September 2021. While developed markets equity and emerging markets equity generally provided positive returns, equity markets slumped in select nations facing political unrest and/or rapidly rising inflationary pressures. Notably, equity prices in China were weighed down by real estate company China Evergrande’s struggles to meet debt payments as investors worried about the potential impact on financial markets. Additionally, shares of large information technology companies in China were hurt by investor uncertainty over increased domestic regulatory scrutiny.
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JPMorgan Emerging Markets Equity Fund
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class L Shares)* | 11.63% | |||
| MSCI Emerging Markets Index (net of foreign withholding taxes) | 16.96% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $13,835,784 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Emerging Markets Equity Fund (the “Fund”) seeks to provide high total return.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares underperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s security selection and overweight position in the consumer discretionary sector and its underweight position and security selection in the materials sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the health care and communication services sectors was a leading contributor to relative performance.
By country, the Fund’s underweight position in Russia and its security selection in Brazil were leading detractors from relative performance. The Fund’s out-of-Benchmark positions in Belarus and Singapore, which solely consisted of EPAM Systems Inc. and Sea Ltd., respectively, were leading contributors to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in New Oriental Education & Technology Group Inc., KE Holdings Inc. and Magazine Luiza SA. Shares of New Oriental Education & Technology Group, a Chinese provider of educational services, fell amid efforts by Chinese government regulators to tighten controls on private education providers. Shares of KE Holdings, a Chinese online platform provider for new and existing home sales, fell as China Evergrande Group’s struggles to meet debt payments weighed on China’s real estate sector. Shares of Magazine Luiza, a Brazilian consumer goods retailer, fell amid the con-
tinued spread of COVID-19 in Brazil and the Brazilian central bank’s decision to sharply raise interest rates.
Leading individual contributors to relative performance included the Fund’s out-of-Benchmark positions in Sea Ltd. and EPAM Systems Inc., and its overweight position in Wuxi Biologics Inc. Shares of Sea, a Singapore internet and mobile platform provider, rose as the company continued to increase its market share during the period. Shares of EPAM Systems, a global provider of software development and digital platform services that largely operates from Belarus, rose amid several consecutive quarters of better-than-expected earnings during the period. Shares of Wuxi Biologics (Cayman), a Chinese developer of biological testing and drug research, rose amid increased demand for its products and services driven by the pandemic.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed an active strategy in which portfolio construction was focused on the highest-conviction ideas found at the security level. The Fund’s portfolio managers used bottom-up fundamental research to determine the Fund’s security weightings, researching companies in an attempt to determine their underlying value and potential for future earnings growth.
As a result of this process, the Fund’s largest sector overweight allocations relative to the Benchmark during the period were in the consumer staples and consumer discretionary sectors and its largest relative underweight allocations were in the materials and energy sectors. The Fund’s largest country overweight allocations relative to the Benchmark during the period were in China and India and its largest relative underweight allocations were in Taiwan and South Korea.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 3 | ||||||||
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JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 6.4 | % | |||||
| 2. | Samsung Electronics Co. Ltd. (South Korea) | 4.8 | ||||||
| 3. | EPAM Systems, Inc. (United States) | 4.2 | ||||||
| 4. | Sea Ltd., ADR (Taiwan) | 4.1 | ||||||
| 5. | Tencent Holdings Ltd. (China) | 3.4 | ||||||
| 6. | MercadoLibre, Inc. (Argentina) | 2.7 | ||||||
| 7. | Housing Development Finance Corp. Ltd. (India) | 2.6 | ||||||
| 8. | Meituan (China) | 2.6 | ||||||
| 9. | Techtronic Industries Co. Ltd. (Hong Kong) | 2.6 | ||||||
| 10. | JD.com, Inc., Class A (China) | 2.2 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| China | 36.9 | % | ||
| India | 16.4 | |||
| Taiwan | 11.8 | |||
| South Korea | 7.7 | |||
| Hong Kong | 5.0 | |||
| United States | 4.7 | |||
| Indonesia | 2.8 | |||
| Argentina | 2.7 | |||
| Brazil | 2.4 | |||
| Russia | 1.3 | |||
| Mexico | 1.3 | |||
| United Kingdom | 1.3 | |||
| Others (each less than 1.0%) | 3.7 | |||
| Short-Term Investments | 2.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
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| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| CLASS A SHARES |
September 28, 2001 | |||||||||||||
| With Sales Charge* |
5.41 | % | 12.38 | % | 6.59 | % | ||||||||
| Without Sales Charge |
11.25 | 13.61 | 7.16 | |||||||||||
| CLASS C SHARES |
February 28, 2006 | |||||||||||||
| With CDSC** |
9.68 | 13.03 | 6.73 | |||||||||||
| Without CDSC |
10.68 | 13.03 | 6.73 | |||||||||||
| CLASS I SHARES |
September 10, 2001 | 11.52 | 13.88 | 7.43 | ||||||||||
| CLASS L SHARES |
November 15, 1993 | 11.63 | 14.01 | 7.57 | ||||||||||
| CLASS R2 SHARES |
July 31, 2017 | 10.93 | 13.28 | 6.99 | ||||||||||
| CLASS R3 SHARES |
July 31, 2017 | 11.17 | 13.56 | 7.14 | ||||||||||
| CLASS R4 SHARES |
July 31, 2017 | 11.48 | 13.83 | 7.41 | ||||||||||
| CLASS R5 SHARES |
September 9, 2016 | 11.64 | 14.01 | 7.58 | ||||||||||
| CLASS R6 SHARES |
December 23, 2013 | 11.75 | 14.13 | 7.66 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (10/31/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R5 Shares and Class R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares and Class R6 Shares would have been different than those shown because Class R5 Shares and Class R6 Shares have different expenses than Class L Shares.
Returns shown for Class R2 Shares and Class R3 Shares prior to their inception dates are based on the performance of Class A Shares. The actual returns of Class R2 Shares and Class R3 Shares would have been lower than those shown because Class R2 Shares and Class R3 Shares have higher expenses than Class A Shares.
Returns for Class R4 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R4 Shares would have been lower than those shown because Class R4 Shares have higher expenses than Class I Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Emerging Markets Equity Fund and the MSCI Emerging Markets Index (net of foreign withholding taxes) from October 31, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI Emerging Markets Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. Investors cannot invest directly in an index.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 5 | ||||||||
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JPMorgan Emerging Markets Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
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JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class R6 Shares)* | 17.02% | |||
| MSCI Emerging Markets Index (net of foreign withholding taxes) | 16.96% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $3,793,388 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Emerging Markets Research Enhanced Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class R6 Shares outperformed the MSCI Emerging Markets Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
By sector, the Fund’s security selections in the health care and financials sectors were leading contributors to performance relative to the Benchmark, while the Fund’s security selections in the consumer discretionary and utilities sectors were leading detractors from relative performance.
By country, the Fund’s security selections China and South Korea were leading contributors to relative performance, while the Fund’s security selections in India and Poland were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight position in TAL Education Group and its overweight positions in Yunnan Energy New Material Co. and Contemporary Amperex Technology Co. Shares of TAL Education Group, a Chinese provider of after-school tutoring services, fell amid efforts by Chinese government regulators to tighten controls on private education providers. Shares of Yunnan Energy New Material, a Chinese maker of electric vehicle battery materials, rose amid growth in domestic demand and investor expectations of accelerating U.S. adoption of electric vehicle technology due to proposed U.S. government incentives. Shares of Contemporary Amperex Technology, a Chinese batteries and energy storage systems maker, rose after the company reported its earnings more than doubled in the third quarter of 2021 amid surging sales.
Leading individual detractors from relative performance included the Fund’s overweight positions in New Oriental Education & Technology Group Inc. and Britannia Industries Ltd., and its underweight position in ICICI Bank Ltd. Shares of New Oriental Education & Technology Group, a Chinese provider of educational services, fell amid efforts by Chinese government regulators to tighten controls on private education providers. Shares of Britannia Industries, an Indian food manufacturer and distributor, fell amid disruptions in global supply chains. Shares of ICICI Bank, an Indian banking and financial services company, rose following several quarter of earnings growth during the period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed a combination of a disciplined portfolio construction process with in-depth fundamental research into individual securities conducted by a global
network of research analysts to identify what they believed to be their relative value.
As a result of this process, by sector, the Fund’s largest overweight allocations relative to the Benchmark during the period were in the energy and consumer staples sectors and its largest underweight allocations were in the industrials and materials sectors. By country, the Fund’s largest overweight allocations relative to the Benchmark during the period were in Mexico and South Africa and its largest relative underweight allocations were in Taiwan and Malaysia.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan) | 5.9 | % | |||||
| 2. | Tencent Holdings Ltd. (China) | 4.7 | ||||||
| 3. | Samsung Electronics Co. Ltd. (South Korea) | 4.4 | ||||||
| 4. | Alibaba Group Holding Ltd. (China) | 4.2 | ||||||
| 5. | Meituan (China) | 1.9 | ||||||
| 6. | Reliance Industries Ltd. (India) | 1.5 | ||||||
| 7. | Infosys Ltd., ADR (India) | 1.2 | ||||||
| 8. | JD.com, Inc., Class A (China) | 1.1 | ||||||
| 9. | Housing Development Finance Corp. Ltd. (India) | 1.1 | ||||||
| 10. | China Construction Bank Corp., Class H (China) | 1.0 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| China | 34.8 | % | ||
| Taiwan | 14.2 | |||
| South Korea | 12.8 | |||
| India | 11.4 | |||
| Russia | 4.6 | |||
| Brazil | 3.9 | |||
| South Africa | 3.3 | |||
| Mexico | 2.9 | |||
| Saudi Arabia | 2.7 | |||
| Thailand | 1.8 | |||
| Indonesia | 1.6 | |||
| Others (each less than 1.0%) | 5.2 | |||
| Short-Term Investments | 0.8 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 7 | ||||||||
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JPMorgan Emerging Markets Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 | ||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | SINCE INCEPTION |
||||||||
| CLASS I SHARES |
January 30, 2019 | 16.95 | % | 12.98 | % | |||||
| CLASS R6 SHARES |
December 11, 2018 | 17.02 | 13.10 | |||||||
LIFE OF FUND PERFORMANCE (12/11/18 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on December 11, 2018.
Returns for Class I Shares prior to its inception date are based on the performance of Class R6 Shares. The actual returns of Class I Shares would have been lower than those shown because Class I Shares have higher expenses than Class R6 Shares.
The graph illustrates comparative performance for $15,000,000 invested in Class R6 Shares of the JPMorgan Emerging Markets Research Enhanced Equity Fund and the MSCI Emerging Markets Index (net of foreign withholding taxes) from December 11, 2018 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI Emerging Markets Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI Emerging Markets Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of emerging markets. Investors cannot invest directly in an index.
Class R6 Shares have a $15,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date.
Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
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FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class A Shares, without a sales charge)* | 44.26% | |||
| MSCI Europe Index (net of foreign withholding taxes) | 40.93% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $1,074,518 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Europe Dynamic Fund (the “Fund”) seeks total return from long-term capital growth. Total return consists of capital growth and current income.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class A Shares, without a sales charge, outperformed the MSCI Europe Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
Relative to the Benchmark, the Fund’s security selections and its overweight positions in both the semiconductors & semiconductor equipment and banks sectors were leading contributors to performance. The Fund’s security selection in the consumer durables & apparel sector and its overweight position in the retailing sector were leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s overweight position in ASM International NV, its out-of-Benchmark position in Bank of Ireland Group PLC and its underweight position in Unilever PLC. Shares of ASM International, a Dutch maker of semiconductor manufacturing equipment, rose amid increased capital spending in the semiconductor industry. Shares of Bank of Ireland Group rose amid
investor expectation that the financials sector in general would benefit from a rebound in economic activity in 2021. Shares of Unilever, a U.K. consumer products company that was not held in the Fund, fell amid rising global costs for raw materials.
Leading individual detractors from relative performance included the Fund’s underweight position in ASML Holdings NV and Royal Dutch Shell PLC and its out-of-Benchmark position in Stillfront Group AB. Shares of ASML Holdings, a Dutch provider of semiconductor manufacturing equipment, rose amid increased capital spending in the semiconductor industry. Shares of Royal Dutch Shell, a U.K. integrated oil and gas producer not held by the Fund, rose amid an increase in global energy prices. Shares of Stillfront Group, a Swedish digital game publisher, fell amid investor expectations for falling demand for video games as countries lifted pandemic social restrictions.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers believe that attractively valued, high quality securities with positive momentum have the potential to outperform the market. During the reporting period, the Fund’s portfolio managers invested in securities that they believed had these style characteristics. Portfolio positions were based on bottom-up security selection rather than top-down asset allocation decisions.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 9 | ||||||||
Table of Contents
JPMorgan Europe Dynamic Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Nestle SA (Registered) (Switzerland) | 4.5 | % | |||||
| 2. | Roche Holding AG (Switzerland) | 3.6 | ||||||
| 3. | Novo Nordisk A/S, Class B (Denmark) | 2.8 | ||||||
| 4. | LVMH Moet Hennessy Louis Vuitton SE (France) | 2.7 | ||||||
| 5. | BP plc (United Kingdom) | 2.3 | ||||||
| 6. | Koninklijke Ahold Delhaize NV (Netherlands) | 2.3 | ||||||
| 7. | Allianz SE (Registered) (Germany) | 2.1 | ||||||
| 8. | ASM International NV (Netherlands) | 1.9 | ||||||
| 9. | BNP Paribas SA (France) | 1.8 | ||||||
| 10. | Zurich Insurance Group AG (Switzerland) | 1.8 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| United Kingdom | 18.9 | % | ||
| Switzerland | 16.1 | |||
| Germany | 14.6 | |||
| France | 13.1 | |||
| Netherlands | 7.4 | |||
| Denmark | 5.3 | |||
| Finland | 4.4 | |||
| United States | 2.8 | |||
| Spain | 2.3 | |||
| Ireland | 2.1 | |||
| Austria | 2.0 | |||
| Belgium | 1.2 | |||
| Italy | 1.2 | |||
| Luxembourg | 1.0 | |||
| Others (each less than 1.0%) | 2.6 | |||
| Short-Term Investments | 5.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| 10 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| CLASS A SHARES |
November 2, 1995 | |||||||||||||
| With Sales Charge* |
36.68 | % | 8.02 | % | 7.63 | % | ||||||||
| Without Sales Charge |
44.26 | 9.19 | 8.21 | |||||||||||
| CLASS C SHARES |
November 1, 1998 | |||||||||||||
| With CDSC** |
42.56 | 8.65 | 7.78 | |||||||||||
| Without CDSC |
43.56 | 8.65 | 7.78 | |||||||||||
| CLASS I SHARES |
September 10, 2001 | 44.61 | 9.47 | 8.50 | ||||||||||
| CLASS L SHARES |
September 10, 2001 | 44.88 | 9.62 | 8.68 | ||||||||||
| CLASS R6 SHARES |
October 1, 2018 | 45.01 | 9.69 | 8.72 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (10/31/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class L Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class L Shares.
The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Europe Dynamic Fund and the MSCI Europe Index (net of foreign withholding taxes) from October 31, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the MSCI Europe Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI Europe Index (net of foreign withholding taxes) is a free float-adjusted
market capitalization weighted index that is designed to measure the equity market performance of the developed markets in Europe. Investors cannot invest directly in an index.
Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 11 | ||||||||
Table of Contents
JPMorgan International Equity Fund
Fund Commentary
Twelve Months Ended October 31, 2021 (Unaudited)
| Reporting Period Return: | ||||
| Fund (Class I Shares)* | 32.94% | |||
| MSCI EAFE Index (net of foreign withholding taxes) | 34.18% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $4,845,717 | |||
INVESTMENT OBJECTIVE**
The JPMorgan International Equity Fund (the “Fund”) seeks total return from long-term capital growth and income. Total return consists of capital growth and current income.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s security selections in the consumer discretionary and industrials sectors were leading detractors from relative performance, while the Fund’s security selections in the information technology and health care sectors were leading contributors to relative performance.
By region, the Fund’s out-of-Benchmark allocation to emerging markets and its overweight position in the U.K. were leading detractors from relative performance, while its security selection and underweight position in Japan and its security selection in the Pacific, excluding Japan, were leading contributors to relative performance.
Leading individual detractors from the Fund’s relative performance included its out-of-Benchmark position in Alibaba Group Holding Ltd. and Tencent Holdings Ltd. and its underweight position in Roche Holding AG. Shares of both Alibaba Group
Holding, a Chinese electronic commerce conglomerate, and Tencent Holdings, a Chinese online platform provider, fell amid tighter regulatory scrutiny of large technology companies in China as well as broader investor concerns about China Evergrande Group’s struggles to meet debt payments. Shares of Roche Holding, a Swiss pharmaceutical company, rose after the company raised its earnings forecast for 2021.
Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in ASML Holding NV, Capgemini SE and ING Groep NV.
Shares of ASML Holding, a Dutch maker of semiconductor manufacturing equipment, rose amid increased capital spending in the semiconductor sector. Shares of Capgemini, a French provider of technology consulting and outsourcing services, rose amid growth in revenue and earnings during the period. Shares of ING Groep, a Dutch banking and financial services company, rose amid better-than-expected results during the period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.
| 12 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Nestle SA (Registered) (Switzerland) | 3.0 | % | |||||
| 2. | ASML Holding NV (Netherlands) | 2.9 | ||||||
| 3. | Novo Nordisk A/S, Class B (Denmark) | 2.7 | ||||||
| 4. | LVMH Moet Hennessy Louis Vuitton SE (France) | 2.4 | ||||||
| 5. | Keyence Corp. (Japan) | 2.3 | ||||||
| 6. | TotalEnergies SE (France) | 2.2 | ||||||
| 7. | Diageo plc (United Kingdom) | 2.1 | ||||||
| 8. | Capgemini SE (France) | 1.9 | ||||||
| 9. | Sony Group Corp. (Japan) | 1.9 | ||||||
| 10. | AIA Group Ltd. (Hong Kong) | 1.8 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| Japan | 17.0 | % | ||
| France | 15.1 | |||
| United Kingdom | 10.7 | |||
| Germany | 7.2 | |||
| Switzerland | 6.9 | |||
| Netherlands | 5.5 | |||
| Denmark | 5.2 | |||
| Sweden | 4.7 | |||
| United States | 3.2 | |||
| Hong Kong | 3.0 | |||
| Spain | 2.8 | |||
| Australia | 2.3 | |||
| South Korea | 2.1 | |||
| Taiwan | 1.9 | |||
| Singapore | 1.6 | |||
| Belgium | 1.4 | |||
| South Africa | 1.1 | |||
| Others (each less than 1.0%) | 3.3 | |||
| Short-Term Investments | 5.0 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 13 | ||||||||
Table of Contents
JPMorgan International Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| CLASS A SHARES |
February 28, 2002 | |||||||||||||
| With Sales Charge* |
25.62 | % | 9.49 | % | 6.81 | % | ||||||||
| Without Sales Charge |
32.56 | 10.68 | 7.38 | |||||||||||
| CLASS C SHARES |
January 31, 2003 | |||||||||||||
| With CDSC** |
30.94 | 10.13 | 6.95 | |||||||||||
| Without CDSC |
31.94 | 10.13 | 6.95 | |||||||||||
| CLASS I SHARES |
January 1, 1997 | 32.94 | 10.95 | 7.65 | ||||||||||
| CLASS R2 SHARES |
November 3, 2008 | 32.18 | 10.35 | 7.09 | ||||||||||
| CLASS R5 SHARES |
May 15, 2006 | 33.04 | 11.07 | 7.82 | ||||||||||
| CLASS R6 SHARES |
November 30, 2010 | 33.20 | 11.19 | 7.90 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (10/31/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Equity Fund and the MSCI EAFE Index (net of foreign withholding taxes) from October 31, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 14 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan International Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 26.04% | |||
| MSCI All Country World Index, Ex-U.S. (net of foreign withholding taxes) | 29.66% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $ | 3,920,288 | ||
INVESTMENT OBJECTIVE**
The JPMorgan International Focus Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the MSCI All Country World Index, Ex-U.S. (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s security selection in the financials sector and its underweight position in the energy sector were leading detractors from performance relative to the Benchmark, while the Fund’s security selection in the health care and information technology sectors was a leading contributor to relative performance.
By region, the Fund’s underweight position in Canada and its security selection in emerging markets were leading detractors from relative performance, while the Fund’s underweight position in Japan and its security selection in the Pacific Rim were leading contributors to relative performance.
Leading individual detractors from the Fund’s relative performance included its overweight positions in Alibaba Group Holding Ltd., Tencent Holdings Ltd. and Kone Oyj. Shares of both Alibaba Group Holding, a Chinese electronic commerce conglomerate, and Tencent Holdings, a Chinese online platform
provider, fell amid tighter regulatory scrutiny of large technology companies in China as well as broader investor concerns about China Evergrande Group’s struggles to meet debt payments. Shares of Kone, a Finnish manufacturer of elevators, escalators and automatic doors, fell after the company warned of rising costs and shortages of equipment parts.
Leading individual contributors to the Fund’s relative performance included its overweight positions in ASML Holding NV, Sea Ltd. and KBC Group NV. Shares of ASML Holdings, a Dutch provider of semiconductor manufacturing equipment, rose amid increased capital spending in the semiconductor industry. Shares of Sea, a Singapore internet and mobile platform provider, rose as the company continued to increase its market share during the period. Shares of KBC Group, a Belgian banking and insurance provider, rose amid better-than-expected earnings during the period.
HOW WAS THE FUND POSITIONED?
By harnessing their team’s global sector specialists, the Fund’s portfolio managers sought to build a high-conviction, benchmark-agnostic portfolio of growth, value and unique companies, whose future prospects, the portfolio managers believed, were under-appreciated by the market and thus possessed the potential to deliver higher-than-expected earnings that could have a positive effect on their share prices.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 15 | ||||||||
Table of Contents
JPMorgan International Focus Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Nestle SA (Registered) (Switzerland) | 3.7 | % | |||||
| 2. | ASML Holding NV (Netherlands) | 3.6 | ||||||
| 3. | Samsung Electronics Co. Ltd. (South Korea) | 3.5 | ||||||
| 4. | Diageo plc (United Kingdom) | 3.2 | ||||||
| 5. | Novo Nordisk A/S, Class B (Denmark) | 3.2 | ||||||
| 6. | HDFC Bank Ltd., ADR (India) | 3.1 | ||||||
| 7. | LVMH Moet Hennessy Louis Vuitton SE (France) | 3.1 | ||||||
| 8. | AIA Group Ltd. (Hong Kong) | 2.8 | ||||||
| 9. | Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) | 2.7 | ||||||
| 10. | Tencent Holdings Ltd. (China) | 2.6 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| United Kingdom | 10.2 | % | ||
| France | 8.9 | |||
| Switzerland | 7.0 | |||
| Japan | 6.9 | |||
| China | 5.8 | |||
| Germany | 5.4 | |||
| Hong Kong | 5.2 | |||
| South Korea | 5.0 | |||
| Taiwan | 5.0 | |||
| Canada | 5.0 | |||
| United States | 4.4 | |||
| Denmark | 4.2 | |||
| Netherlands | 3.6 | |||
| Sweden | 3.4 | |||
| India | 3.1 | |||
| Belgium | 2.4 | |||
| Australia | 2.2 | |||
| South Africa | 2.1 | |||
| Indonesia | 2.0 | |||
| Spain | 1.7 | |||
| Singapore | 1.6 | |||
| Russia | 1.4 | |||
| Finland | 1.4 | |||
| Short-Term Investments | 2.1 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| 16 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | SINCE INCEPTION |
|||||||||||
| CLASS A SHARES |
November 30, 2011 | |||||||||||||
| With Sales Charge* |
19.11 | % | 9.85 | % | 8.38 | % | ||||||||
| Without Sales Charge |
25.69 | 11.05 | 8.97 | |||||||||||
| CLASS C SHARES |
November 30, 2011 | |||||||||||||
| With CDSC** |
24.11 | 10.49 | 8.53 | |||||||||||
| Without CDSC |
25.11 | 10.49 | 8.53 | |||||||||||
| CLASS I SHARES |
November 30, 2011 | 26.04 | 11.35 | 9.27 | ||||||||||
| CLASS R2 SHARES |
November 30, 2011 | 25.29 | 10.72 | 8.67 | ||||||||||
| CLASS R5 SHARES |
November 30, 2011 | 26.19 | 11.46 | 9.42 | ||||||||||
| CLASS R6 SHARES |
November 30, 2011 | 26.28 | 11.55 | 9.49 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (11/30/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on November 30, 2011.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Focus Fund and the MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) from November 30, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI All Country World Index, ex-U.S. (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets, excluding the United States. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Subsequent to the inception date of the Fund and through May 30, 2013, the Fund did not experience any shareholder activity. If such shareholder activity had occurred, the Fund’s performance may have been impacted.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 17 | ||||||||
Table of Contents
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 20.90% | |||
| MSCI EAFE Index (net of foreign withholding taxes) | 34.18% | |||
| ICE BofAML 3-Month U.S. Treasury Bill Index | 0.06% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $ | 152,776 | ||
INVESTMENT OBJECTIVE**
The JPMorgan International Hedged Equity Fund (the “Fund”) seeks to provide capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) and outperformed the ICE BofAML 3-Month U.S. Treasury Bill Index for the twelve months ended October 31, 2021. The Fund’s options hedge allowed the Fund to generally perform as designed during the reporting period with about 57% of the Benchmark’s volatility.
The Fund’s security selection in the materials and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the information technology and health care sectors was a leading contributor to relative performance.
By country, the Fund’s security selection in Switzerland and Italy was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in Japan and the Netherlands was a leading contributor to relative performance.
Leading individual detractors from relative performance included the Fund’s overweight positions in Orsted A/S, Kao Corp. and Iberdrola SA. Shares of Orsted, a Danish renewable energy generator, fell after reporting weaker-than-expected earnings and revenue growth for the first half of the 2021. Shares of Kao, a Japanese consumer products and chemicals manufacturer, fell amid a decline in demand for cosmetics and household products in Japan due to the pandemic. Shares of Iberdrola, an electric utility based in Spain, fell after the Spanish government responded to surging domestic electricity prices by limiting profits of energy utilities.
Leading individual contributors to the Fund’s relative performance included the Fund’s overweight positions in ASML Holdings NV, Capgemini SE and Novo Nordisk A/S. Shares of ASML Holdings, a Dutch provider of semiconductor manufacturing equipment, rose amid increased capital spending in the semiconductor industry. Shares of Capgemini, a French provider of technology consulting and outsourcing services, rose amid growth in revenue and earnings during the period. Shares of Novo Nordisk, a Danish pharmaceuticals company, rose after the company reported earnings growth for the first quarter of 2021 and raised its 2021 forecast for earnings and revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers continued to focus on security selection to build a portfolio of international equities. They used bottom-up fundamental research to identify what they believed were attractively priced securities of companies with solid financial positions that possessed the potential to increase their earnings faster than their industry peers.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Nestle SA (Registered) (Switzerland) | 2.8 | % | |||||
| 2. | ASML Holding NV (Netherlands) | 2.6 | ||||||
| 3. | Roche Holding AG (Switzerland) | 2.3 | ||||||
| 4. | Novo Nordisk A/S, Class B (Denmark) | 1.9 | ||||||
| 5. | LVMH Moet Hennessy Louis Vuitton SE (France) | 1.8 | ||||||
| 6. | Novartis AG (Registered) (Switzerland) | 1.5 | ||||||
| 7. | Toyota Motor Corp. (Japan) | 1.5 | ||||||
| 8. | L’Oreal SA (France) | 1.3 | ||||||
| 9. | Schneider Electric SE (United States) | 1.2 | ||||||
| 10. | Allianz SE (Registered) (Germany) | 1.2 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| Japan | 23.3 | % | ||
| United Kingdom | 11.8 | |||
| France | 10.9 | |||
| Switzerland | 10.5 | |||
| Germany | 9.9 | |||
| Netherlands | 6.8 | |||
| Australia | 5.6 | |||
| Denmark | 3.2 | |||
| United States | 3.0 | |||
| Spain | 2.9 | |||
| Sweden | 2.7 | |||
| Hong Kong | 2.4 | |||
| Others (each less than 1.0%) | 4.7 | |||
| Short-Term Investments | 2.3 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| 18 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | SINCE INCEPTION |
||||||||
| CLASS A SHARES |
March 15, 2019 | |||||||||
| With Sales Charge* |
14.28 | % | 3.39 | % | ||||||
| Without Sales Charge |
20.60 | 5.53 | ||||||||
| CLASS C SHARES |
March 15, 2019 | |||||||||
| With CDSC** |
18.97 | 5.00 | ||||||||
| Without CDSC |
19.97 | 5.00 | ||||||||
| CLASS I SHARES |
March 15, 2019 | 20.90 | 5.81 | |||||||
| CLASS R5 SHARES |
March 15, 2019 | 21.10 | 5.95 | |||||||
| CLASS R6 SHARES |
March 15, 2019 | 21.19 | 6.07 | |||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (3/15/19 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on March 15, 2019.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Hedged Equity Fund, the MSCI EAFE Index (net of foreign withholding taxes) and the ICE BofAML 3-Month U.S. Treasury Bill Index from March 15, 2019 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The performance of the ICE BofAML 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. The ICE BofAML 3-Month U.S. Treasury Bill Index is comprised of a single issue
purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 19 | ||||||||
Table of Contents
JPMorgan International Hedged Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
| 20 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan International Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 35.78% | |||
| MSCI EAFE Index (net of foreign withholding taxes) | 34.18% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $4,995,842 | |||
INVESTMENT OBJECTIVE**
The JPMorgan International Research Enhanced Equity Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the MSCI EAFE Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s security selection in the semiconductors & hardware sector and in the banks sector was a leading contributor to performance relative to the Benchmark, while the Fund’s security selection in the basic industries and utilities sectors was a leading detractor from relative performance.
By region, the Fund’s security selection in Japan and security selection and overweight position in Europe, excluding the U.K., were leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the U.K. and in the Pacific, excluding Japan, were the smallest contributors to relative performance.
Due to the Fund holding a relatively large number of securities during the reporting period, the impact of individual holdings on the Fund’s relative performance tended to be small.
HOW WAS THE FUND POSITIONED?
Using the fundamental equity insights generated by analysts, the Fund’s portfolio managers took overweight positions in securities included within the universe of the Benchmark that they considered undervalued, while underweighting or not holding securities in the Benchmark that they considered overvalued.
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Nestle SA (Registered) (Switzerland) | 2.8 | % | |||||
| 2. | ASML Holding NV (Netherlands) | 2.5 | ||||||
| 3. | Roche Holding AG (Switzerland) | 2.3 | ||||||
| 4. | Novo Nordisk A/S, Class B (Denmark) | 1.9 | ||||||
| 5. | LVMH Moet Hennessy Louis Vuitton SE (France) | 1.7 | ||||||
| 6. | Novartis AG (Registered) (Switzerland) | 1.5 | ||||||
| 7. | Toyota Motor Corp. (Japan) | 1.4 | ||||||
| 8. | L’Oreal SA (France) | 1.3 | ||||||
| 9. | Schneider Electric SE (United States) | 1.2 | ||||||
| 10. | Allianz SE (Registered) (Germany) | 1.1 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| Japan | 23.0 | % | ||
| United Kingdom | 11.7 | |||
| France | 10.8 | |||
| Switzerland | 10.4 | |||
| Germany | 9.8 | |||
| Netherlands | 6.8 | |||
| Australia | 5.7 | |||
| Denmark | 3.2 | |||
| Spain | 2.8 | |||
| Sweden | 2.8 | |||
| United States | 2.3 | |||
| Hong Kong | 2.3 | |||
| Others (each less than 1.0%) | 4.7 | |||
| Short-Term Investments | 3.7 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 21 | ||||||||
Table of Contents
JPMorgan International Research Enhanced Equity Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||||
| CLASS A SHARES |
April 23, 1993 | |||||||||||||||
| With Sales Charge* |
28.31 | % | 7.70 | % | 6.34 | % | ||||||||||
| Without Sales Charge |
35.44 | 8.87 | 6.91 | |||||||||||||
| CLASS I SHARES |
October 28, 1992 | 35.78 | 9.13 | 7.17 | ||||||||||||
| CLASS R6 SHARES |
November 1, 2017 | 35.93 | 9.23 | 7.22 | ||||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
TEN YEAR PERFORMANCE (10/31/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
Returns for Class R6 Shares prior to its inception date are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan International Research Enhanced Equity Fund and the MSCI EAFE Index (net of foreign withholding taxes) from October 31, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower.
Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
The MSCI information may only be used for your internal use, may not be reproduced or redisseminated in any form and may not be used as a basis for or a component of any financial instruments or products or indices. None of the MSCI information is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. Historical data and analysis should not be taken as an indication or guarantee of any future performance analysis, forecast or prediction. The MSCI information is provided on an “as is” basis and the user of this information assumes the entire risk of any use made of this information. MSCI, each of its affiliates and each other person involved in or related to compiling, computing or creating any MSCI information (collectively, the “MSCI Parties”) expressly disclaims all warranties (including, without limitation, any warranties of originality, accuracy, completeness, timeliness, non-infringement, merchantability and fitness for a particular purpose) with respect to this information. Without limiting any of the foregoing, in no event shall any MSCI Party have any liability for any direct, indirect, special, incidental, punitive, consequential (including, without limitation, lost profits) or any other damages. (www.msci.com)
| 22 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan International Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class L Shares)* | 46.77% | |||
| MSCI EAFE Value Index (net of foreign withholding taxes) | 38.31% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $396,699 | |||
INVESTMENT OBJECTIVE**
The JPMorgan International Value Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class L Shares outperformed the MSCI EAFE Value Index (net of foreign withholding taxes) (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s underweight positions in the utilities and consumer staples sectors were leading contributors to performance relative to the Benchmark. The Fund’s overweight position in the energy sector and its security selection in the technology-software sector were leading detractors from relative performance.
By region, the Fund’s security selection in Europe and the U.K. was a leading contributor to relative performance, while the Fund’s security selection in the Pacific, excluding Japan, was the leading detractor from relative performance.
Leading individual contributors to relative performance included the Fund’s underweight positions in SoftBank Group Corp., Unilever PLC and Sanofi SA. Shares of SoftBank Group, a Japanese technology sector holding company not held in the Fund, fell amid investor concerns about the company’s
exposure to technology businesses in China. Shares of Unilever, a U.K. consumer products company note held in the Fund, fell amid the increasing costs of key commodities. Shares of Sanofi, a French pharmaceuticals maker not held in the Fund, underperformed amid efforts by the Biden administration to curb drug prices.
Leading individual detractors from relative performance included the Fund’s underweight positions in Royal Dutch Shell PLC, Commonwealth Bank of Australia and Westpac Banking Corp. Shares of Royal Dutch Shell, an integrated petroleum and natural gas provider, rose amid a sharp increase in global energy prices. Shares of Commonwealth Bank Australia, which were not held in the Fund, rose after the company reported strong earnings growth for fiscal 2021. Shares of Westpac Banking, an Australian bank and financial services company, rose amid earnings growth during the period.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers employed behavioral-based and quantitative screens in addition to conducting fundamental analysis to seek out companies that they believed had attractive valuations. As a result of this process, the Fund’s largest overweight positions relative to the Benchmark during the period were in the banks and insurance sectors, while the largest underweight positions were in the utilities and consumer staples sector.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 23 | ||||||||
Table of Contents
JPMorgan International Value Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Toyota Motor Corp. (Japan) | 2.4 | % | |||||
| 2. | Novartis AG (Registered) (Switzerland) | 2.2 | ||||||
| 3. | TotalEnergies SE (France) | 1.7 | ||||||
| 4. | Siemens AG (Registered) (Germany) | 1.6 | ||||||
| 5. | HSBC Holdings plc (United Kingdom) | 1.6 | ||||||
| 6. | GlaxoSmithKline plc (United Kingdom) | 1.4 | ||||||
| 7. | BP plc (United Kingdom) | 1.4 | ||||||
| 8. | BHP Group Ltd. (Australia) | 1.2 | ||||||
| 9. | Allianz SE (Registered) (Germany) | 1.2 | ||||||
| 10. | National Australia Bank Ltd. (Australia) | 1.1 | ||||||
| PORTFOLIO COMPOSITION BY COUNTRY AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| Japan | 21.1 | % | ||
| United Kingdom | 16.6 | |||
| France | 10.2 | |||
| Germany | 9.6 | |||
| Australia | 6.7 | |||
| Switzerland | 6.2 | |||
| Italy | 3.7 | |||
| Sweden | 3.4 | |||
| Netherlands | 3.2 | |||
| Spain | 3.2 | |||
| Norway | 2.9 | |||
| Austria | 1.7 | |||
| Denmark | 1.6 | |||
| Finland | 1.5 | |||
| Hong Kong | 1.5 | |||
| Singapore | 1.1 | |||
| Others (each less than 1.0%) | 4.2 | |||
| Short-Term Investments | 1.6 | |||
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| 24 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| CLASS A SHARES |
September 28, 2001 | |||||||||||||
| With Sales Charge* |
38.59 | % | 4.62 | % | 3.68 | % | ||||||||
| Without Sales Charge |
46.20 | 5.76 | 4.25 | |||||||||||
| CLASS C SHARES |
July 11, 2006 | |||||||||||||
| With CDSC** |
44.54 | 5.22 | 3.83 | |||||||||||
| Without CDSC |
45.54 | 5.22 | 3.83 | |||||||||||
| CLASS I SHARES |
September 10, 2001 | 46.51 | 6.03 | 4.53 | ||||||||||
| CLASS L SHARES |
November 4, 1993 | 46.77 | 6.16 | 4.66 | ||||||||||
| CLASS R2 SHARES |
November 3, 2008 | 45.84 | 5.46 | 3.97 | ||||||||||
| CLASS R5 SHARES |
September 9, 2016 | 46.59 | 6.13 | 4.66 | ||||||||||
| CLASS R6 SHARES |
November 30, 2010 | 46.84 | 6.27 | 4.78 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR PERFORMANCE (10/31/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111. Effective May 2018, some of the Fund’s investment strategies changed. The Fund’s past performance would have been different if the Fund was managed under the current strategies.
Returns for Class R5 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class L Shares.
The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan International Value Fund and the MSCI EAFE Value Index (net of foreign withholding taxes) from October 31, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the MSCI EAFE Value Index (net of foreign withholding taxes) does not reflect the deduction of expenses or a sales charge associated with a mutual fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmark, if applicable. The dividend is reinvested after deduction of withholding tax, applying the maximum rate to non-resident institutional investors who do not benefit from double taxation treaties. The MSCI EAFE Value Index (net of foreign withholding taxes) is a free float-adjusted market capitalization weighted
index that is designed to measure the performance of value-oriented stocks in the world’s equity markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.
Class L Shares have a $3,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the U.S. can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the U.S. and other nations.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 25 | ||||||||
Table of Contents
JPMorgan Emerging Markets Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 100.1% |
| |||||||
| Argentina — 2.7% |
| |||||||
| MercadoLibre, Inc. * |
256 | 378,577 | ||||||
|
|
|
|||||||
| Brazil — 2.4% |
| |||||||
| B3 SA — Brasil Bolsa Balcao |
36,160 | 76,499 | ||||||
| Localiza Rent a Car SA |
3,766 | 30,123 | ||||||
| Magazine Luiza SA * |
35,416 | 67,898 | ||||||
| Pagseguro Digital Ltd., Class A * (a) |
3,091 | 111,894 | ||||||
| Raia Drogasil SA * |
12,592 | 52,210 | ||||||
|
|
|
|||||||
| 338,624 | ||||||||
|
|
|
|||||||
| China — 37.7% |
| |||||||
| Alibaba Group Holding Ltd. * |
14,608 | 300,377 | ||||||
| Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A |
14,621 | 94,901 | ||||||
| Bilibili, Inc., ADR * (a) |
707 | 51,836 | ||||||
| Bilibili, Inc., Class Z * |
709 | 51,982 | ||||||
| Budweiser Brewing Co. APAC Ltd. (b) |
36,765 | 100,839 | ||||||
| China Gas Holdings Ltd. |
48,011 | 119,837 | ||||||
| Contemporary Amperex Technology Co. Ltd., Class A |
1,977 | 197,774 | ||||||
| Dada Nexus Ltd., ADR * |
3,482 | 70,725 | ||||||
| Foshan Haitian Flavouring & Food Co. Ltd., Class A |
9,791 | 179,053 | ||||||
| Hundsun Technologies, Inc., Class A |
10,482 | 102,785 | ||||||
| JD.com, Inc., ADR * |
1,578 | 123,561 | ||||||
| JD.com, Inc., Class A * |
7,921 | 310,075 | ||||||
| Jiangsu Hengli Hydraulic Co. Ltd., Class A |
15,471 | 198,137 | ||||||
| KE Holdings, Inc., ADR * (a) |
3,440 | 62,671 | ||||||
| Kingdee International Software Group Co. Ltd. * |
33,349 | 109,731 | ||||||
| Kweichow Moutai Co. Ltd., Class A |
264 | 75,369 | ||||||
| Meituan * (b) |
10,752 | 365,881 | ||||||
| Midea Group Co. Ltd., Class A |
8,057 | 86,313 | ||||||
| NetEase, Inc. |
12,341 | 239,393 | ||||||
| Pharmaron Beijing Co. Ltd., Class A |
5,886 | 175,274 | ||||||
| Ping An Bank Co. Ltd., Class A |
48,156 | 146,494 | ||||||
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A |
4,095 | 239,644 | ||||||
| Shenzhou International Group Holdings Ltd. |
8,462 | 182,301 | ||||||
| Sichuan Swellfun Co. Ltd., Class A |
1,990 | 39,210 | ||||||
| Silergy Corp. |
1,023 | 169,005 | ||||||
| Sunny Optical Technology Group Co. Ltd. |
6,929 | 185,940 | ||||||
| Tencent Holdings Ltd. |
7,815 | 475,391 | ||||||
| Wanhua Chemical Group Co. Ltd., Class A |
6,629 | 109,404 | ||||||
| Wuxi Biologics Cayman, Inc. * (b) |
19,749 | 299,130 | ||||||
| Xinyi Solar Holdings Ltd. |
96,810 | 201,100 | ||||||
| Yum China Holdings, Inc. |
2,605 | 148,684 | ||||||
|
|
|
|||||||
| 5,212,817 | ||||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Hong Kong — 5.1% |
| |||||||
| AIA Group Ltd. |
17,599 | 197,234 | ||||||
| AIA Group Ltd. |
795 | 8,894 | ||||||
| Hong Kong Exchanges & Clearing Ltd. |
2,307 | 138,984 | ||||||
| Techtronic Industries Co. Ltd. |
17,840 | 366,527 | ||||||
|
|
|
|||||||
| 711,639 | ||||||||
|
|
|
|||||||
| India — 16.7% |
| |||||||
| Asian Paints Ltd. |
2,803 | 116,147 | ||||||
| Britannia Industries Ltd. |
1,516 | 74,580 | ||||||
| HDFC Bank Ltd. |
13,065 | 276,775 | ||||||
| HDFC Bank Ltd., ADR |
2,799 | 201,262 | ||||||
| HDFC Life Insurance Co. Ltd. (b) |
16,679 | 151,686 | ||||||
| Hindustan Unilever Ltd. |
5,256 | 168,239 | ||||||
| Housing Development Finance Corp. Ltd. |
9,711 | 370,260 | ||||||
| Infosys Ltd. |
3,073 | 68,769 | ||||||
| Infosys Ltd., ADR |
3,076 | 68,544 | ||||||
| Kotak Mahindra Bank Ltd. |
8,072 | 219,569 | ||||||
| Reliance Industries Ltd. |
8,772 | 297,685 | ||||||
| Tata Consultancy Services Ltd. |
6,652 | 302,368 | ||||||
|
|
|
|||||||
| 2,315,884 | ||||||||
|
|
|
|||||||
| Indonesia — 2.9% |
| |||||||
| Bank Central Asia Tbk. PT |
383,535 | 202,805 | ||||||
| Bank Rakyat Indonesia Persero Tbk. PT |
655,689 | 196,827 | ||||||
|
|
|
|||||||
| 399,632 | ||||||||
|
|
|
|||||||
| Macau — 0.4% |
| |||||||
| Sands China Ltd. * |
26,388 | 60,144 | ||||||
|
|
|
|||||||
| Mexico — 1.3% |
| |||||||
| Wal-Mart de Mexico SAB de CV (a) |
52,447 | 182,730 | ||||||
|
|
|
|||||||
| Panama — 0.5% |
| |||||||
| Copa Holdings SA, Class A * (a) |
879 | 65,024 | ||||||
|
|
|
|||||||
| Poland — 0.9% |
| |||||||
| Allegro.eu SA * (b) |
10,381 | 117,404 | ||||||
|
|
|
|||||||
| Portugal — 0.7% |
| |||||||
| Jeronimo Martins SGPS SA |
4,290 | 97,192 | ||||||
|
|
|
|||||||
| Russia — 1.4% |
| |||||||
| Sberbank of Russia PJSC |
37,519 | 188,748 | ||||||
|
|
|
|||||||
| South Africa — 1.0% |
| |||||||
| Bid Corp. Ltd.(a) |
3,452 | 74,079 | ||||||
| Capitec Bank Holdings Ltd. (a) |
525 | 58,662 | ||||||
|
|
|
|||||||
| 132,741 | ||||||||
|
|
|
|||||||
| South Korea — 7.9% |
| |||||||
| Delivery Hero SE * (b) |
1,063 | 132,537 | ||||||
| LG Chem Ltd. |
225 | 161,638 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| South Korea — continued |
| |||||||
| NCSoft Corp. |
206 | 110,873 | ||||||
| Samsung Electronics Co. Ltd. |
11,386 | 681,698 | ||||||
|
|
|
|||||||
| 1,086,746 | ||||||||
|
|
|
|||||||
| Taiwan — 12.0% |
| |||||||
| Chailease Holding Co. Ltd. |
12,176 | 116,614 | ||||||
| Sea Ltd., ADR * (a) |
1,672 | 574,592 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
7,943 | 903,169 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. |
3,301 | 70,048 | ||||||
|
|
|
|||||||
| 1,664,423 | ||||||||
|
|
|
|||||||
| Turkey — 0.4% |
| |||||||
| BIM Birlesik Magazalar A/S |
8,937 | 57,773 | ||||||
|
|
|
|||||||
| United Kingdom — 1.3% |
| |||||||
| Prudential plc |
8,809 | 179,764 | ||||||
|
|
|
|||||||
| United States — 4.8% |
| |||||||
| EPAM Systems, Inc. * |
883 | 594,223 | ||||||
| JS Global Lifestyle Co. Ltd. (b) |
40,199 | 74,443 | ||||||
|
|
|
|||||||
| 668,666 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
13,858,528 | ||||||
|
|
|
|||||||
| Short-Term Investments — 2.0% |
| |||||||
| Investment Companies — 0.2% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares,
0.05% (c) (d) |
24,788 | 24,800 | ||||||
|
|
|
|||||||
| Investment of Cash Collateral from Securities Loaned — 1.8% |
| |||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (c) (d) |
222,040 | 222,040 | ||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) |
25,886 | 25,886 | ||||||
|
|
|
|||||||
| Total Investment of Cash Collateral from Securities Loaned |
247,926 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
|
272,726 | ||||||
|
|
|
|||||||
| Total Investments — 102.1% |
|
14,131,254 | ||||||
| Liabilities in Excess of |
|
(295,470 | ) | |||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
13,835,784 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Internet & Direct Marketing Retail |
12.7 | % | ||
| Banks |
10.6 | |||
| Semiconductors & Semiconductor Equipment |
9.5 | |||
| IT Services |
8.1 | |||
| Entertainment |
7.3 | |||
| Technology Hardware, Storage & Peripherals |
4.8 | |||
| Machinery |
4.0 | |||
| Insurance |
3.8 | |||
| Interactive Media & Services |
3.4 | |||
| Life Sciences Tools & Services |
3.4 | |||
| Food & Staples Retailing |
3.3 | |||
| Chemicals |
2.7 | |||
| Thrifts & Mortgage Finance |
2.6 | |||
| Oil, Gas & Consumable Fuels |
2.1 | |||
| Food Products |
1.8 | |||
| Health Care Equipment & Supplies |
1.7 | |||
| Capital Markets |
1.5 | |||
| Beverages |
1.5 | |||
| Software |
1.5 | |||
| Hotels, Restaurants & Leisure |
1.5 | |||
| Electrical Equipment |
1.4 | |||
| Electronic Equipment, Instruments & Components |
1.3 | |||
| Textiles, Apparel & Luxury Goods |
1.3 | |||
| Household Products |
1.2 | |||
| Household Durables |
1.1 | |||
| Others (each less than 1.0%) |
4.0 | |||
| Short-Term Investments |
1.9 | |||
Abbreviations
| ADR | American Depositary Receipt | |
| APAC | Asia Pacific | |
| PT | Limited liability company | |
| SGPS | Holding company | |
| (a) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $235,340. | |
| (b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 27 | ||||||||
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 98.2% |
| |||||||
| Argentina — 0.1% |
| |||||||
| MercadoLibre, Inc. * |
4 | 5,341 | ||||||
|
|
|
|||||||
| Brazil — 3.8% |
| |||||||
| Atacadao SA |
1,346 | 3,981 | ||||||
| Gerdau SA (Preference) |
1,861 | 8,918 | ||||||
| Itau Unibanco Holding SA (Preference) |
3,455 | 14,307 | ||||||
| Itausa SA (Preference) |
6,399 | 11,655 | ||||||
| Localiza Rent a Car SA |
471 | 3,771 | ||||||
| Locaweb Servicos de Internet SA * (a) |
894 | 2,913 | ||||||
| Lojas Renner SA |
1,012 | 5,768 | ||||||
| Magazine Luiza SA * |
4,090 | 7,841 | ||||||
| Petroleo Brasileiro SA (Preference) |
5,897 | 28,471 | ||||||
| Porto Seguro SA |
912 | 3,795 | ||||||
| Raia Drogasil SA * |
1,814 | 7,523 | ||||||
| Suzano SA * |
1,053 | 9,168 | ||||||
| TIM SA, ADR * |
504 | 4,968 | ||||||
| Vale SA, ADR |
2,334 | 29,711 | ||||||
| XP, Inc., Receipts * |
80 | 2,603 | ||||||
|
|
|
|||||||
| 145,393 | ||||||||
|
|
|
|||||||
| Chile — 0.3% |
| |||||||
| Banco Santander Chile, ADR |
414 | 7,338 | ||||||
| Cencosud SA |
1,564 | 2,288 | ||||||
| Cia Cervecerias Unidas SA, ADR |
128 | 2,162 | ||||||
|
|
|
|||||||
| 11,788 | ||||||||
|
|
|
|||||||
| China — 34.4% |
| |||||||
| Airtac International Group |
110 | 3,291 | ||||||
| Alibaba Group Holding Ltd. * |
7,593 | 156,138 | ||||||
| Amoy Diagnostics Co. Ltd., Class A |
226 | 2,854 | ||||||
| Anhui Conch Cement Co. Ltd., Class H |
977 | 4,829 | ||||||
| ANTA Sports Products Ltd. |
424 | 6,569 | ||||||
| Baidu, Inc., ADR * |
50 | 8,033 | ||||||
| Baoshan Iron & Steel Co. Ltd., Class A |
6,346 | 7,054 | ||||||
| BeiGene Ltd., ADR * |
32 | 11,315 | ||||||
| Beijing Oriental Yuhong Waterproof Technology Co. Ltd., Class A |
670 | 4,348 | ||||||
| Bilibili, Inc., ADR * (b) |
124 | 9,075 | ||||||
| BOE Technology Group Co. Ltd., Class A |
10,937 | 8,391 | ||||||
| BYD Co. Ltd., Class H |
173 | 6,598 | ||||||
| Chacha Food Co. Ltd., Class A |
703 | 6,255 | ||||||
| China Conch Venture Holdings Ltd. |
1,428 | 6,937 | ||||||
| China Construction Bank Corp., Class H |
57,358 | 39,037 | ||||||
| China Lesso Group Holdings Ltd. |
3,308 | 5,113 | ||||||
| China Life Insurance Co. Ltd., Class H |
6,962 | 12,095 | ||||||
| China Merchants Bank Co. Ltd., Class H |
3,645 | 30,546 | ||||||
| China Molybdenum Co. Ltd., Class H |
13,587 | 8,400 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| China — continued |
| |||||||
| China Oilfield Services Ltd., Class H |
3,594 | 3,437 | ||||||
| China Pacific Insurance Group Co. Ltd., Class H |
3,323 | 10,161 | ||||||
| China Resources Land Ltd. |
2,802 | 10,887 | ||||||
| China Resources Mixc Lifestyle Services Ltd. (a) |
696 | 3,663 | ||||||
| China Shenhua Energy Co. Ltd., Class H |
3,107 | 6,680 | ||||||
| China Vanke Co. Ltd., Class H |
3,613 | 8,441 | ||||||
| China Yangtze Power Co. Ltd., Class A |
2,643 | 8,765 | ||||||
| Chongqing Brewery Co. Ltd., Class A * |
207 | 4,852 | ||||||
| Contemporary Amperex Technology Co. Ltd., Class A |
182 | 18,248 | ||||||
| Country Garden Services Holdings Co. Ltd. |
1,687 | 12,987 | ||||||
| ENN Energy Holdings Ltd. |
736 | 12,672 | ||||||
| Foshan Haitian Flavouring & Food Co. Ltd., Class A |
436 | 7,977 | ||||||
| Fu Jian Anjoy Foods Co. Ltd., Class A |
147 | 4,643 | ||||||
| Fuyao Glass Industry Group Co. Ltd., Class H (a) |
1,043 | 6,004 | ||||||
| Guangzhou Automobile Group Co. Ltd., Class H |
11,910 | 11,243 | ||||||
| Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A |
305 | 5,462 | ||||||
| Haidilao International Holding Ltd. (a) |
1,024 | 2,855 | ||||||
| Haier Smart Home Co. Ltd., Class H |
3,849 | 14,332 | ||||||
| Hangzhou Tigermed Consulting Co. Ltd., Class H (a) |
293 | 5,707 | ||||||
| Han’s Laser Technology Industry Group Co. Ltd., Class A |
654 | 4,378 | ||||||
| Hefei Meiya Optoelectronic Technology, Inc., Class A |
578 | 3,653 | ||||||
| Huatai Securities Co. Ltd., Class H (a) |
2,679 | 3,984 | ||||||
| Huayu Automotive Systems Co. Ltd., Class A |
1,057 | 4,425 | ||||||
| Huazhu Group Ltd. * |
1,779 | 8,259 | ||||||
| Hundsun Technologies, Inc., Class A |
353 | 3,461 | ||||||
| Hutchmed China Ltd., ADR * |
70 | 2,046 | ||||||
| Industrial & Commercial Bank of China Ltd., Class H |
29,565 | 16,206 | ||||||
| Inner Mongolia Yili Industrial Group Co. Ltd., Class A |
1,717 | 11,496 | ||||||
| Innovent Biologics, Inc. * (a) |
1,066 | 9,537 | ||||||
| JD.com, Inc., Class A * |
1,068 | 41,822 | ||||||
| Jiangsu Hengli Hydraulic Co. Ltd., Class A |
630 | 8,062 | ||||||
| Jiangsu Hengrui Medicine Co. Ltd., Class A |
1,025 | 7,866 | ||||||
| Jiangsu Hengshun Vinegar Industry Co. Ltd., Class A |
1,067 | 2,685 | ||||||
| Joyoung Co. Ltd., Class A |
1,518 | 5,532 | ||||||
| Kingdee International Software Group Co. Ltd. * |
3,338 | 10,983 | ||||||
| Kunlun Energy Co. Ltd. |
6,572 | 5,986 | ||||||
| Kweichow Moutai Co. Ltd., Class A |
45 | 12,770 | ||||||
| Laobaixing Pharmacy Chain JSC, Class A |
724 | 4,937 | ||||||
| Lenovo Group Ltd. |
3,726 | 4,046 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| China — continued |
| |||||||
| Longfor Group Holdings Ltd. (a) |
2,254 | 10,905 | ||||||
| Maxscend Microelectronics Co. Ltd., Class A |
71 | 3,423 | ||||||
| Meituan * (a) |
2,111 | 71,841 | ||||||
| Minth Group Ltd. |
1,664 | 6,613 | ||||||
| NetEase, Inc. |
1,152 | 22,342 | ||||||
| NetEase, Inc., ADR |
62 | 6,037 | ||||||
| NIO, Inc., ADR * |
456 | 17,983 | ||||||
| Nongfu Spring Co. Ltd., Class H (a) |
800 | 4,056 | ||||||
| Oppein Home Group, Inc., Class A |
468 | 9,301 | ||||||
| Pharmaron Beijing Co. Ltd., Class H (a) |
383 | 8,278 | ||||||
| PICC Property & Casualty Co. Ltd., Class H |
14,744 | 13,726 | ||||||
| Pinduoduo, Inc., ADR * |
202 | 17,920 | ||||||
| Ping An Bank Co. Ltd., Class A |
4,348 | 13,225 | ||||||
| Ping An Insurance Group Co. of China Ltd., Class H |
4,129 | 29,571 | ||||||
| Poly Developments and Holdings Group Co. Ltd., Class A |
3,147 | 6,169 | ||||||
| Postal Savings Bank of China Co. Ltd., Class H (a) |
9,285 | 6,748 | ||||||
| Qingdao Haier Biomedical Co. Ltd., Class A |
409 | 6,012 | ||||||
| Qingdao Haier Biomedical Co. Ltd., Class A |
9 | 129 | ||||||
| Shanghai Baosight Software Co. Ltd., Class A |
725 | 7,939 | ||||||
| Shanghai Liangxin Electrical Co. Ltd., Class A |
1,008 | 2,564 | ||||||
| Shenzhen Mindray Bio-Medical Electronics Co. Ltd., Class A |
139 | 8,111 | ||||||
| Skshu Paint Co. Ltd., Class A |
349 | 6,074 | ||||||
| Sunny Optical Technology Group Co. Ltd. |
576 | 15,459 | ||||||
| Tencent Holdings Ltd. |
2,877 | 175,032 | ||||||
| Tongwei Co. Ltd., Class A |
834 | 7,436 | ||||||
| Topsports International Holdings Ltd. (a) |
5,697 | 6,921 | ||||||
| Trip.com Group Ltd., ADR * |
288 | 8,235 | ||||||
| Wanhua Chemical Group Co. Ltd., Class A |
607 | 10,015 | ||||||
| Wuliangye Yibin Co. Ltd., Class A |
109 | 3,668 | ||||||
| WuXi AppTec Co. Ltd., Class H (a) |
576 | 12,308 | ||||||
| Wuxi Biologics Cayman, Inc. * (a) |
2,149 | 32,543 | ||||||
| Xiaomi Corp., Class B * (a) |
3,484 | 9,525 | ||||||
| Xinyi Solar Holdings Ltd. |
6,664 | 13,843 | ||||||
| XPeng, Inc., ADR * (b) |
262 | 12,213 | ||||||
| Yum China Holdings, Inc. |
285 | 16,244 | ||||||
| Yunnan Energy New Material Co. Ltd. |
145 | 6,593 | ||||||
| Zai Lab Ltd., ADR * |
81 | 8,491 | ||||||
| Zhejiang Dingli Machinery Co. Ltd., Class A |
384 | 4,086 | ||||||
| Zhejiang Weixing New Building Materials Co. Ltd., Class A |
1,784 | 5,005 | ||||||
| Zhongji Innolight Co. Ltd., Class A |
1,189 | 6,141 | ||||||
| Zijin Mining Group Co. Ltd., Class H |
3,876 | 5,390 | ||||||
|
|
|
|||||||
| 1,306,143 | ||||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Colombia — 0.2% |
| |||||||
| Ecopetrol SA, ADR (b) |
497 | 7,536 | ||||||
|
|
|
|||||||
| Greece — 0.4% |
| |||||||
| Hellenic Telecommunications Organization SA |
415 | 7,366 | ||||||
| OPAP SA |
502 | 7,839 | ||||||
|
|
|
|||||||
| 15,205 | ||||||||
|
|
|
|||||||
| Hong Kong — 0.3% |
| |||||||
| Techtronic Industries Co. Ltd. |
452 | 9,276 | ||||||
|
|
|
|||||||
| Hungary — 0.4% |
| |||||||
| OTP Bank Nyrt. * |
215 | 12,949 | ||||||
| Richter Gedeon Nyrt. |
122 | 3,407 | ||||||
|
|
|
|||||||
| 16,356 | ||||||||
|
|
|
|||||||
| India — 11.3% |
| |||||||
| ACC Ltd. |
165 | 5,159 | ||||||
| Ambuja Cements Ltd. |
1,263 | 6,847 | ||||||
| Apollo Hospitals Enterprise Ltd. |
230 | 13,105 | ||||||
| Axis Bank Ltd. * |
1,074 | 10,692 | ||||||
| Bharat Petroleum Corp. Ltd. |
1,084 | 6,060 | ||||||
| Biocon Ltd. * |
987 | 4,634 | ||||||
| Britannia Industries Ltd. |
252 | 12,374 | ||||||
| Eicher Motors Ltd. |
134 | 4,449 | ||||||
| HDFC Bank Ltd., ADR |
138 | 9,958 | ||||||
| HDFC Life Insurance Co. Ltd. (a) |
1,531 | 13,924 | ||||||
| Hindalco Industries Ltd. |
1,717 | 10,578 | ||||||
| Hindustan Unilever Ltd. |
647 | 20,703 | ||||||
| Housing Development Finance Corp. Ltd. |
1,066 | 40,639 | ||||||
| ICICI Bank Ltd. |
1,380 | 14,856 | ||||||
| Infosys Ltd., ADR |
2,057 | 45,832 | ||||||
| Kotak Mahindra Bank Ltd. |
700 | 19,037 | ||||||
| Larsen & Toubro Ltd. |
596 | 14,116 | ||||||
| Maruti Suzuki India Ltd. |
176 | 17,575 | ||||||
| NTPC Ltd. |
5,146 | 9,137 | ||||||
| Oil & Natural Gas Corp. Ltd. |
3,541 | 7,047 | ||||||
| Petronet LNG Ltd. |
2,406 | 7,386 | ||||||
| Power Grid Corp. of India Ltd. |
4,795 | 11,877 | ||||||
| Reliance Industries Ltd. |
1,605 | 54,479 | ||||||
| Shriram Transport Finance Co. Ltd. |
482 | 9,280 | ||||||
| Tata Consultancy Services Ltd. |
619 | 28,122 | ||||||
| Tata Steel Ltd. |
405 | 7,149 | ||||||
| UltraTech Cement Ltd. |
134 | 13,735 | ||||||
| United Spirits Ltd. * |
484 | 6,148 | ||||||
| Wipro Ltd. |
512 | 4,433 | ||||||
|
|
|
|||||||
| 429,331 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 29 | ||||||||
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Indonesia — 1.6% |
| |||||||
| Bank Central Asia Tbk. PT |
47,932 | 25,345 | ||||||
| Bank Rakyat Indonesia Persero Tbk. PT |
63,380 | 19,026 | ||||||
| Telkom Indonesia Persero Tbk. PT |
60,890 | 16,275 | ||||||
|
|
|
|||||||
| 60,646 | ||||||||
|
|
|
|||||||
| Malaysia — 1.0% |
| |||||||
| CIMB Group Holdings Bhd. |
4,131 | 5,212 | ||||||
| Malayan Banking Bhd. |
1,964 | 3,818 | ||||||
| Petronas Chemicals Group Bhd. |
4,321 | 9,067 | ||||||
| Public Bank Bhd. |
12,349 | 12,436 | ||||||
| Tenaga Nasional Bhd. |
2,385 | 5,564 | ||||||
| Top Glove Corp. Bhd. |
1,503 | 987 | ||||||
|
|
|
|||||||
| 37,084 | ||||||||
|
|
|
|||||||
| Mexico — 2.9% |
| |||||||
| America Movil SAB de CV, Series L |
26,204 | 23,330 | ||||||
| Fomento Economico Mexicano SAB de CV, ADR |
153 | 12,604 | ||||||
| Grupo Aeroportuario del Pacifico SAB de CV, Class B * |
886 | 11,188 | ||||||
| Grupo Aeroportuario del Sureste SAB de CV, Class B |
460 | 9,292 | ||||||
| Grupo Financiero Banorte SAB de CV, Class O |
2,672 | 16,888 | ||||||
| Grupo Mexico SAB de CV, Series B |
2,872 | 12,588 | ||||||
| Kimberly-Clark de Mexico SAB de CV, Class A (b) |
3,843 | 6,075 | ||||||
| Wal-Mart de Mexico SAB de CV (b) |
5,068 | 17,657 | ||||||
|
|
|
|||||||
| 109,622 | ||||||||
|
|
|
|||||||
| Peru — 0.3% |
| |||||||
| Credicorp Ltd. |
86 | 11,190 | ||||||
|
|
|
|||||||
| Philippines — 0.4% |
| |||||||
| Ayala Corp. |
273 | 4,672 | ||||||
| Ayala Land, Inc. |
6,400 | 4,457 | ||||||
| International Container Terminal Services, Inc. |
1,621 | 5,787 | ||||||
|
|
|
|||||||
| 14,916 | ||||||||
|
|
|
|||||||
| Poland — 0.7% |
| |||||||
| Allegro.eu SA * (a) |
655 | 7,411 | ||||||
| Dino Polska SA * (a) |
83 | 7,447 | ||||||
| Powszechny Zaklad Ubezpieczen SA |
1,136 | 11,367 | ||||||
|
|
|
|||||||
| 26,225 | ||||||||
|
|
|
|||||||
| Qatar — 0.3% |
| |||||||
| Qatar National Bank QPSC |
2,108 | 11,870 | ||||||
|
|
|
|||||||
| Russia — 4.6% |
| |||||||
| Alrosa PJSC |
4,314 | 7,617 | ||||||
| Gazprom PJSC, ADR |
3,633 | 35,652 | ||||||
| LUKOIL PJSC, ADR |
308 | 31,396 | ||||||
| Magnitogorsk Iron & Steel Works PJSC |
5,948 | 5,558 | ||||||
| MMC Norilsk Nickel PJSC, ADR |
433 | 13,525 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Russia — continued |
| |||||||
| Moscow Exchange MICEX-RTS PJSC |
2,591 | 6,359 | ||||||
| Moscow Exchange MICEX-RTS PJSC |
56 | 138 | ||||||
| Novatek PJSC |
239 | 6,057 | ||||||
| Rosneft Oil Co. PJSC, GDR (a) |
1,272 | 11,324 | ||||||
| Sberbank of Russia PJSC, ADR |
1,829 | 36,727 | ||||||
| Severstal PAO, GDR (a) |
420 | 9,597 | ||||||
| X5 Retail Group NV, GDR (a) |
254 | 8,660 | ||||||
|
|
|
|||||||
| 172,610 | ||||||||
|
|
|
|||||||
| Saudi Arabia — 2.6% |
| |||||||
| Al Rajhi Bank |
759 | 28,063 | ||||||
| Alinma Bank |
1,741 | 11,670 | ||||||
| Almarai Co. JSC |
410 | 5,787 | ||||||
| BinDawood Holding Co. |
142 | 3,950 | ||||||
| Saudi Basic Industries Corp. |
420 | 14,463 | ||||||
| Saudi National Bank (The) |
1,492 | 26,205 | ||||||
| Saudi Telecom Co. |
293 | 9,139 | ||||||
|
|
|
|||||||
| 99,277 | ||||||||
|
|
|
|||||||
| Singapore — 0.1% |
| |||||||
| BOC Aviation Ltd. (a) |
374 | 3,275 | ||||||
|
|
|
|||||||
| South Africa — 3.3% |
| |||||||
| Bid Corp. Ltd. |
580 | 12,458 | ||||||
| Bidvest Group Ltd. (The) |
252 | 3,154 | ||||||
| Capitec Bank Holdings Ltd. |
110 | 12,342 | ||||||
| Clicks Group Ltd. |
416 | 7,587 | ||||||
| Discovery Ltd. * |
894 | 8,194 | ||||||
| FirstRand Ltd. |
4,636 | 17,610 | ||||||
| Impala Platinum Holdings Ltd. |
406 | 5,249 | ||||||
| MTN Group Ltd. * |
388 | 3,480 | ||||||
| Naspers Ltd., Class N |
121 | 20,527 | ||||||
| Nedbank Group Ltd. |
647 | 7,370 | ||||||
| Sanlam Ltd. |
2,891 | 11,877 | ||||||
| SPAR Group Ltd. (The) |
670 | 8,556 | ||||||
| Vodacom Group Ltd. |
696 | 6,179 | ||||||
|
|
|
|||||||
| 124,583 | ||||||||
|
|
|
|||||||
| South Korea — 12.6% |
| |||||||
| BGF retail Co. Ltd. |
19 | 2,630 | ||||||
| Hana Financial Group, Inc. |
235 | 9,074 | ||||||
| Hankook Tire & Technology Co. Ltd. |
137 | 4,848 | ||||||
| Hyundai Glovis Co. Ltd. |
61 | 8,770 | ||||||
| Hyundai Mobis Co. Ltd. |
32 | 6,991 | ||||||
| Hyundai Motor Co. |
21 | 3,829 | ||||||
| Kakao Corp. |
110 | 11,791 | ||||||
| KB Financial Group, Inc. |
400 | 19,338 | ||||||
| Kia Corp. |
264 | 19,241 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| South Korea — continued |
| |||||||
| KIWOOM Securities Co. Ltd. |
44 | 3,990 | ||||||
| LG Chem Ltd. |
36 | 25,699 | ||||||
| LG Household & Health Care Ltd. |
11 | 10,656 | ||||||
| Mando Corp. * |
79 | 4,263 | ||||||
| NAVER Corp. |
81 | 28,071 | ||||||
| NCSoft Corp. |
18 | 9,688 | ||||||
| POSCO |
68 | 17,355 | ||||||
| Samsung Biologics Co. Ltd. * (a) |
7 | 5,354 | ||||||
| Samsung Electronics Co. Ltd. |
2,767 | 165,676 | ||||||
| Samsung Fire & Marine Insurance Co. Ltd. |
68 | 13,531 | ||||||
| Samsung SDI Co. Ltd. |
13 | 8,318 | ||||||
| Shinhan Financial Group Co. Ltd. |
498 | 16,256 | ||||||
| SK Hynix, Inc. |
379 | 33,419 | ||||||
| SK Innovation Co. Ltd. * |
62 | 13,017 | ||||||
| SK Telecom Co. Ltd. |
49 | 12,883 | ||||||
| SK, Inc. |
24 | 5,065 | ||||||
| SKC Co. Ltd. |
48 | 7,443 | ||||||
| S-Oil Corp. |
135 | 11,785 | ||||||
|
|
|
|||||||
| 478,981 | ||||||||
|
|
|
|||||||
| Taiwan — 14.1% |
| |||||||
| Advantech Co. Ltd. |
930 | 12,157 | ||||||
| ASE Technology Holding Co. Ltd. |
4,188 | 14,981 | ||||||
| AU Optronics Corp. |
14,442 | 9,925 | ||||||
| Chailease Holding Co. Ltd. |
1,870 | 17,908 | ||||||
| CTBC Financial Holding Co. Ltd. |
9,864 | 8,237 | ||||||
| Delta Electronics, Inc. |
2,061 | 18,193 | ||||||
| Eclat Textile Co. Ltd. |
437 | 9,550 | ||||||
| Evergreen Marine Corp. Taiwan Ltd. |
851 | 3,062 | ||||||
| Fubon Financial Holding Co. Ltd. |
6,464 | 17,086 | ||||||
| Giant Manufacturing Co. Ltd. |
494 | 5,737 | ||||||
| Hiwin Technologies Corp. |
849 | 9,455 | ||||||
| Hon Hai Precision Industry Co. Ltd. |
4,063 | 15,685 | ||||||
| MediaTek, Inc. |
266 | 8,755 | ||||||
| Nan Ya Plastics Corp. |
1,146 | 3,517 | ||||||
| Nanya Technology Corp. |
4,177 | 10,015 | ||||||
| Nien Made Enterprise Co. Ltd. |
397 | 5,456 | ||||||
| Novatek Microelectronics Corp. |
804 | 12,059 | ||||||
| Powertech Technology, Inc. |
2,267 | 7,954 | ||||||
| Quanta Computer, Inc. |
2,691 | 7,560 | ||||||
| Realtek Semiconductor Corp. |
692 | 12,447 | ||||||
| Sea Ltd., ADR * (b) |
20 | 6,989 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
322 | 36,626 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd. |
10,418 | 221,073 | ||||||
| Taiwan Union Technology Corp. |
1,534 | 5,290 | ||||||
| Uni-President Enterprises Corp. |
4,917 | 11,796 | ||||||
| Vanguard International Semiconductor Corp. |
1,379 | 7,186 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Taiwan — continued |
| |||||||
| Wiwynn Corp. |
254 | 8,137 | ||||||
| Yageo Corp. |
779 | 12,193 | ||||||
| Yuanta Financial Holding Co. Ltd. |
17,117 | 15,215 | ||||||
|
|
|
|||||||
| 534,244 | ||||||||
|
|
|
|||||||
| Thailand — 1.8% |
| |||||||
| Airports of Thailand PCL |
4,349 | 8,476 | ||||||
| Minor International PCL * |
6,060 | 5,986 | ||||||
| PTT Exploration & Production PCL |
3,534 | 12,500 | ||||||
| PTT Global Chemical PCL |
5,311 | 10,051 | ||||||
| PTT PCL |
5,736 | 6,585 | ||||||
| Siam Cement PCL (The) (Registered) |
747 | 8,896 | ||||||
| Siam Commercial Bank PCL (The) |
2,976 | 11,313 | ||||||
| Thai Oil PCL |
3,176 | 5,330 | ||||||
|
|
|
|||||||
| 69,137 | ||||||||
|
|
|
|||||||
| Turkey — 0.5% |
| |||||||
| BIM Birlesik Magazalar A/S |
900 | 5,817 | ||||||
| Ford Otomotiv Sanayi A/S |
357 | 6,891 | ||||||
| Turkcell Iletisim Hizmetleri A/S |
3,250 | 5,169 | ||||||
|
|
|
|||||||
| 17,877 | ||||||||
|
|
|
|||||||
| United Arab Emirates — 0.1% |
| |||||||
| Emaar Properties PJSC |
4,657 | 5,099 | ||||||
|
|
|
|||||||
| United States — 0.1% |
| |||||||
| JS Global Lifestyle Co. Ltd.(a) |
1,274 | 2,359 | ||||||
|
|
|
|||||||
| Total Common Stocks |
|
3,725,364 | ||||||
|
|
|
|||||||
| Short-Term Investments — 0.8% |
| |||||||
| Investment Companies — 0.1% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares,
0.05% (c) (d) |
3,716 | 3,718 | ||||||
|
|
|
|||||||
| Investment of Cash Collateral from Securities Loaned — 0.7% |
| |||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (c) (d) |
22,493 | 22,493 | ||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) |
2,859 | 2,859 | ||||||
|
|
|
|||||||
| Total Investment of Cash Collateral from Securities Loaned |
25,352 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
29,070 | |||||||
|
|
|
|||||||
| Total Investments — 99.0% |
|
3,754,434 | ||||||
| Other Assets Less Liabilities — 1.0% |
|
38,954 | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
3,793,388 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 31 | ||||||||
Table of Contents
JPMorgan Emerging Markets Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY |
PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
13.3 | % | ||
| Semiconductors & Semiconductor Equipment |
10.1 | |||
| Internet & Direct Marketing Retail |
8.5 | |||
| Oil, Gas & Consumable Fuels |
6.7 | |||
| Interactive Media & Services |
5.9 | |||
| Technology Hardware, Storage & Peripherals |
5.5 | |||
| Metals & Mining |
4.0 | |||
| Insurance |
3.9 | |||
| Automobiles |
2.7 | |||
| Electronic Equipment, Instruments & Components |
2.6 | |||
| Food & Staples Retailing |
2.5 | |||
| Chemicals |
2.3 | |||
| IT Services |
2.2 | |||
| Food Products |
1.9 | |||
| Life Sciences Tools & Services |
1.7 | |||
| Real Estate Management & Development |
1.7 | |||
| Wireless Telecommunication Services |
1.5 | |||
| Entertainment |
1.4 | |||
| Diversified Financial Services |
1.3 | |||
| Hotels, Restaurants & Leisure |
1.3 | |||
| Beverages |
1.2 | |||
| Construction Materials |
1.2 | |||
| Machinery |
1.1 | |||
| Thrifts & Mortgage Finance |
1.1 | |||
| Household Durables |
1.0 | |||
| Biotechnology |
1.0 | |||
| Others (each less than 1.0%) |
11.6 | |||
| Short-Term Investments |
0.8 | |||
Abbreviations
| ADR | American Depositary Receipt | |
| GDR | Global Depositary Receipt | |
| JSC | Joint Stock Company | |
| MTN | Medium term note | |
| 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. | |
| PT | Limited liability company | |
| RTS | Russian Trading System | |
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (b) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $24,147. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 94.4% |
| |||||||
| Australia — 1.0% |
| |||||||
| Rio Tinto plc |
165 | 10,312 | ||||||
|
|
|
|||||||
| Austria — 1.9% |
| |||||||
| Erste Group Bank AG |
331 | 14,184 | ||||||
| Wienerberger AG |
189 | 6,697 | ||||||
|
|
|
|||||||
| 20,881 | ||||||||
|
|
|
|||||||
| Belgium — 1.2% |
| |||||||
| Azelis Group NV * |
160 | 5,183 | ||||||
| bpost SA * |
506 | 4,339 | ||||||
| D’ieteren Group |
22 | 3,731 | ||||||
|
|
|
|||||||
| 13,253 | ||||||||
|
|
|
|||||||
| Denmark — 5.3% |
| |||||||
| Carlsberg A/S, Class B |
59 | 9,777 | ||||||
| Novo Nordisk A/S, Class B |
276 | 30,241 | ||||||
| Pandora A/S |
55 | 7,704 | ||||||
| Royal Unibrew A/S |
76 | 9,434 | ||||||
|
|
|
|||||||
| 57,156 | ||||||||
|
|
|
|||||||
| Finland — 4.4% |
| |||||||
| Cargotec OYJ, Class B |
134 | 6,946 | ||||||
| Nokia OYJ * |
2,723 | 15,629 | ||||||
| Nordea Bank Abp |
1,133 | 13,874 | ||||||
| QT Group OYJ * |
68 | 10,995 | ||||||
|
|
|
|||||||
| 47,444 | ||||||||
|
|
|
|||||||
| France — 13.0% |
| |||||||
| Airbus SE * |
124 | 15,883 | ||||||
| BNP Paribas SA (a) |
292 | 19,513 | ||||||
| Capgemini SE |
76 | 17,695 | ||||||
| Credit Agricole SA |
594 | 8,960 | ||||||
| Kering SA |
17 | 12,988 | ||||||
| La Francaise des Jeux SAEM (b) |
185 | 9,590 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
36 | 28,589 | ||||||
| Teleperformance |
23 | 9,492 | ||||||
| TotalEnergies SE |
342 | 17,119 | ||||||
|
|
|
|||||||
| 139,829 | ||||||||
|
|
|
|||||||
| Germany — 14.5% |
| |||||||
| Allianz SE (Registered) |
95 | 21,989 | ||||||
| Daimler AG (Registered) |
149 | 14,831 | ||||||
| Deutsche Boerse AG |
57 | 9,520 | ||||||
| Deutsche Post AG (Registered) |
263 | 16,291 | ||||||
| Deutsche Telekom AG (Registered) |
748 | 13,910 | ||||||
| DWS Group GmbH & Co. KGaA (b) |
105 | 4,532 | ||||||
| Eckert & Ziegler Strahlen- und Medizintechnik AG |
67 | 9,980 | ||||||
| Jungheinrich AG (Preference) |
193 | 9,798 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Germany — continued |
| |||||||
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) |
47 | 14,040 | ||||||
| Schaeffler AG (Preference) |
726 | 5,769 | ||||||
| Siemens AG (Registered) |
104 | 16,896 | ||||||
| VERBIO Vereinigte BioEnergie AG |
95 | 7,564 | ||||||
| Volkswagen AG (Preference) |
47 | 10,647 | ||||||
|
|
|
|||||||
| 155,767 | ||||||||
|
|
|
|||||||
| Ireland — 2.1% |
| |||||||
| AIB Group plc * |
2,039 | 5,441 | ||||||
| AIB Group plc * |
552 | 1,495 | ||||||
| Bank of Ireland Group plc * |
1,260 | 7,558 | ||||||
| Bank of Ireland Group plc * |
110 | 656 | ||||||
| Smurfit Kappa Group plc |
141 | 7,392 | ||||||
|
|
|
|||||||
| 22,542 | ||||||||
|
|
|
|||||||
| Italy — 1.2% |
| |||||||
| Intesa Sanpaolo SpA |
4,399 | 12,503 | ||||||
|
|
|
|||||||
| Luxembourg — 1.0% |
| |||||||
| ArcelorMittal SA |
321 | 10,870 | ||||||
|
|
|
|||||||
| Netherlands — 7.4% |
| |||||||
| Adyen NV * (b) |
3 | 10,488 | ||||||
| ASM International NV |
44 | 19,879 | ||||||
| ASML Holding NV (a) |
13 | 10,899 | ||||||
| Koninklijke Ahold Delhaize NV |
757 | 24,630 | ||||||
| NN Group NV |
250 | 13,361 | ||||||
|
|
|
|||||||
| 79,257 | ||||||||
|
|
|
|||||||
| Norway — 0.7% |
| |||||||
| Equinor ASA |
301 | 7,627 | ||||||
|
|
|
|||||||
| Spain — 2.2% |
| |||||||
| CaixaBank SA |
756 | 2,172 | ||||||
| Corp. ACCIONA Energias Renovables SA * |
203 | 7,100 | ||||||
| Fluidra SA |
212 | 8,091 | ||||||
| Laboratorios Farmaceuticos Rovi SA |
98 | 6,835 | ||||||
|
|
|
|||||||
| 24,198 | ||||||||
|
|
|
|||||||
| Sweden — 0.9% |
| |||||||
| Volvo AB, Class B |
422 | 9,833 | ||||||
|
|
|
|||||||
| Switzerland — 16.0% |
| |||||||
| Cie Financiere Richemont SA (Registered) |
80 | 9,893 | ||||||
| Holcim Ltd. * |
170 | 8,457 | ||||||
| Interroll Holding AG (Registered) |
1 | 6,865 | ||||||
| Logitech International SA (Registered) |
101 | 8,444 | ||||||
| Nestle SA (Registered) |
360 | 47,476 | ||||||
| Novartis AG (Registered) |
224 | 18,564 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 33 | ||||||||
Table of Contents
JPMorgan Europe Dynamic Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Switzerland — continued |
| |||||||
| Roche Holding AG |
100 | 38,699 | ||||||
| Schindler Holding AG |
33 | 8,590 | ||||||
| Swissquote Group Holding SA (Registered) |
27 | 5,496 | ||||||
| Zurich Insurance Group AG |
43 | 18,932 | ||||||
|
|
|
|||||||
| 171,416 | ||||||||
|
|
|
|||||||
| United Kingdom — 18.8% |
| |||||||
| 3i Group plc |
464 | 8,669 | ||||||
| Ashtead Group plc |
170 | 14,206 | ||||||
| Barclays plc |
2,703 | 7,458 | ||||||
| BP plc |
5,158 | 24,710 | ||||||
| Centrica plc * |
9,870 | 8,147 | ||||||
| CNH Industrial NV |
544 | 9,371 | ||||||
| Computacenter plc |
216 | 7,936 | ||||||
| Future plc |
117 | 5,625 | ||||||
| Games Workshop Group plc |
38 | 5,043 | ||||||
| Intermediate Capital Group plc |
315 | 9,435 | ||||||
| JD Sports Fashion plc |
642 | 9,570 | ||||||
| Linde plc |
33 | 10,748 | ||||||
| Lloyds Banking Group plc |
26,095 | 17,859 | ||||||
| Marks & Spencer Group plc * |
3,194 | 8,030 | ||||||
| Next plc |
146 | 15,966 | ||||||
| Persimmon plc |
214 | 7,955 | ||||||
| Petershill Partners plc * (b) |
1,582 | 6,496 | ||||||
| Segro plc, REIT |
586 | 10,361 | ||||||
| Spirent Communications plc |
1,266 | 4,991 | ||||||
| Taylor Wimpey plc |
4,300 | 9,099 | ||||||
|
|
|
|||||||
| 201,675 | ||||||||
|
|
|
|||||||
| United States — 2.8% |
| |||||||
| Schneider Electric SE |
94 | 16,208 | ||||||
| Stellantis NV |
691 | 13,797 | ||||||
|
|
|
|||||||
| 30,005 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
1,014,568 | ||||||
|
|
|
|||||||
| Short-Term Investments — 5.0% |
| |||||||
| Investment Companies — 4.3% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (c)
(d) |
46,037 | 46,060 | ||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Investment of Cash Collateral from Securities Loaned — 0.7% |
| |||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) |
7,173 | 7,173 | ||||||
|
|
|
|||||||
| Total Short-Term Investments |
|
53,233 | ||||||
|
|
|
|||||||
| Total Investments — 99.4% |
|
1,067,801 | ||||||
| Other Assets Less Liabilities — 0.6% |
|
6,717 | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
1,074,518 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
10.5 | % | ||
| Pharmaceuticals |
8.8 | |||
| Insurance |
6.4 | |||
| Machinery |
5.6 | |||
| Textiles, Apparel & Luxury Goods |
5.5 | |||
| Oil, Gas & Consumable Fuels |
5.3 | |||
| Food Products |
4.4 | |||
| Capital Markets |
4.1 | |||
| Automobiles |
3.7 | |||
| IT Services |
3.4 | |||
| Semiconductors & Semiconductor Equipment |
2.9 | |||
| Food & Staples Retailing |
2.3 | |||
| Multiline Retail |
2.3 | |||
| Metals & Mining |
2.0 | |||
| Air Freight & Logistics |
1.9 | |||
| Communications Equipment |
1.9 | |||
| Trading Companies & Distributors |
1.8 | |||
| Beverages |
1.8 | |||
| Household Durables |
1.6 | |||
| Industrial Conglomerates |
1.6 | |||
| Electrical Equipment |
1.5 | |||
| Aerospace & Defense |
1.5 | |||
| Construction Materials |
1.4 | |||
| Diversified Telecommunication Services |
1.3 | |||
| Software |
1.0 | |||
| Chemicals |
1.0 | |||
| Equity Real Estate Investment Trusts (REITs) |
1.0 | |||
| Others (each less than 1.0%) |
8.5 | |||
| Short-Term Investments |
5.0 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
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) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $6,806. | |
| (b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. |
| Futures contracts outstanding as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| EURO STOXX 50 Index | 716 | 12/2021 | EUR | 35,218 | 1,156 | |||||||||||||||
| FTSE 100 Index |
117 | 12/2021 | GBP | 11,586 | 195 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 1,351 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
Abbreviations
| EUR | Euro | |
| FTSE | Financial Times and the London Stock Exchange | |
| GBP | British Pound |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 35 | ||||||||
Table of Contents
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 97.9% |
| |||||||
| Australia — 2.4% |
| |||||||
| BHP Group Ltd. (a) |
1,719 | 47,212 | ||||||
| BHP Group plc |
993 | 26,222 | ||||||
| Rio Tinto plc |
682 | 42,501 | ||||||
|
|
|
|||||||
| 115,935 | ||||||||
|
|
|
|||||||
| Austria — 1.0% |
| |||||||
| Erste Group Bank AG |
1,081 | 46,344 | ||||||
|
|
|
|||||||
| Belgium — 1.5% |
| |||||||
| KBC Group NV |
762 | 70,975 | ||||||
|
|
|
|||||||
| China — 0.7% |
| |||||||
| Tencent Holdings Ltd. |
555 | 33,773 | ||||||
|
|
|
|||||||
| Denmark — 5.4% |
| |||||||
| Carlsberg A/S, Class B |
317 | 52,273 | ||||||
| Genmab A/S * |
87 | 38,874 | ||||||
| Novo Nordisk A/S, Class B |
1,242 | 136,217 | ||||||
| Orsted A/S (a) (b) |
239 | 33,786 | ||||||
|
|
|
|||||||
| 261,150 | ||||||||
|
|
|
|||||||
| Finland — 0.9% |
| |||||||
| Kone OYJ, Class B |
621 | 42,380 | ||||||
|
|
|
|||||||
| France — 15.6% |
| |||||||
| AXA SA |
2,071 | 60,243 | ||||||
| BNP Paribas SA (a) |
838 | 56,119 | ||||||
| Capgemini SE |
406 | 94,575 | ||||||
| Kering SA |
80 | 59,755 | ||||||
| L’Oreal SA |
169 | 77,420 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
152 | 119,030 | ||||||
| Pernod Ricard SA |
229 | 52,746 | ||||||
| Safran SA |
404 | 54,376 | ||||||
| TotalEnergies SE |
2,183 | 109,326 | ||||||
| Vinci SA |
671 | 71,784 | ||||||
|
|
|
|||||||
| 755,374 | ||||||||
|
|
|
|||||||
| Germany — 7.4% |
| |||||||
| adidas AG |
191 | 62,643 | ||||||
| Allianz SE (Registered) |
292 | 67,777 | ||||||
| Deutsche Boerse AG |
281 | 46,631 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) |
153 | 45,444 | ||||||
| RWE AG |
1,069 | 41,162 | ||||||
| Symrise AG |
370 | 51,213 | ||||||
| Volkswagen AG (Preference) |
206 | 46,127 | ||||||
|
|
|
|||||||
| 360,997 | ||||||||
|
|
|
|||||||
| Hong Kong — 3.1% |
| |||||||
| AIA Group Ltd. |
8,089 | 90,651 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Hong Kong — continued |
| |||||||
| Hong Kong Exchanges & Clearing Ltd. |
962 | 57,959 | ||||||
|
|
|
|||||||
| 148,610 | ||||||||
|
|
|
|||||||
| India — 0.8% |
| |||||||
| HDFC Bank Ltd., ADR |
563 | 40,502 | ||||||
|
|
|
|||||||
| Japan — 17.6% |
| |||||||
| Daikin Industries Ltd. |
259 | 56,747 | ||||||
| FANUC Corp. |
175 | 34,544 | ||||||
| Hoya Corp. |
559 | 82,319 | ||||||
| Keyence Corp. |
189 | 114,083 | ||||||
| Kubota Corp. |
2,128 | 45,333 | ||||||
| Kyowa Kirin Co. Ltd. |
1,428 | 46,967 | ||||||
| Makita Corp. |
901 | 41,813 | ||||||
| Nidec Corp. |
435 | 48,169 | ||||||
| Recruit Holdings Co. Ltd. |
1,115 | 74,149 | ||||||
| Shin-Etsu Chemical Co. Ltd. |
325 | 57,869 | ||||||
| SMC Corp. |
100 | 59,736 | ||||||
| Sony Group Corp. |
815 | 94,316 | ||||||
| Sysmex Corp. |
322 | 39,962 | ||||||
| Tokyo Electron Ltd. |
117 | 54,433 | ||||||
|
|
|
|||||||
| 850,440 | ||||||||
|
|
|
|||||||
| Netherlands — 5.6% |
| |||||||
| Adyen NV * (b) |
17 | 52,079 | ||||||
| ASML Holding NV |
177 | 143,957 | ||||||
| ING Groep NV |
5,047 | 76,561 | ||||||
|
|
|
|||||||
| 272,597 | ||||||||
|
|
|
|||||||
| Singapore — 1.6% |
| |||||||
| DBS Group Holdings Ltd. |
3,337 | 77,988 | ||||||
|
|
|
|||||||
| South Africa — 1.1% |
| |||||||
| Anglo American plc |
1,419 | 53,968 | ||||||
|
|
|
|||||||
| South Korea — 2.1% |
| |||||||
| Delivery Hero SE * (b) |
371 | 46,302 | ||||||
| Samsung Electronics Co. Ltd., GDR (b) |
24 | 36,656 | ||||||
| Samsung Electronics Co. Ltd., GDR (b) |
14 | 20,843 | ||||||
|
|
|
|||||||
| 103,801 | ||||||||
|
|
|
|||||||
| Spain — 2.9% |
| |||||||
| Cellnex Telecom SA (b) |
527 | 32,426 | ||||||
| Iberdrola SA |
4,791 | 56,575 | ||||||
| Industria de Diseno Textil SA (a) |
1,415 | 51,257 | ||||||
|
|
|
|||||||
| 140,258 | ||||||||
|
|
|
|||||||
| Sweden — 4.8% |
| |||||||
| Assa Abloy AB, Class B |
1,923 | 56,413 | ||||||
| Atlas Copco AB, Class A |
982 | 63,252 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Sweden — continued |
| |||||||
| Industrivarden AB, Class A (a) |
85 | 2,796 | ||||||
| Svenska Handelsbanken AB, Class A (a) |
5,510 | 63,157 | ||||||
| Volvo AB, Class B |
2,100 | 48,973 | ||||||
|
|
|
|||||||
| 234,591 | ||||||||
|
|
|
|||||||
| Switzerland — 7.1% |
| |||||||
| Holcim Ltd. * |
588 | 29,352 | ||||||
| Lonza Group AG (Registered) |
94 | 77,612 | ||||||
| Nestle SA (Registered) |
1,150 | 151,648 | ||||||
| SGS SA (Registered) |
16 | 47,703 | ||||||
| Straumann Holding AG (Registered) |
18 | 37,300 | ||||||
|
|
|
|||||||
| 343,615 | ||||||||
|
|
|
|||||||
| Taiwan — 2.0% |
| |||||||
| Sea Ltd., ADR * |
151 | 51,751 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
393 | 44,631 | ||||||
|
|
|
|||||||
| 96,382 | ||||||||
|
|
|
|||||||
| United Kingdom — 11.0% |
| |||||||
| Diageo plc |
2,119 | 105,435 | ||||||
| GlaxoSmithKline plc |
3,260 | 67,678 | ||||||
| Legal & General Group plc |
12,202 | 48,123 | ||||||
| Linde plc |
220 | 70,900 | ||||||
| London Stock Exchange Group plc |
416 | 40,489 | ||||||
| Persimmon plc |
1,166 | 43,443 | ||||||
| Prudential plc |
2,952 | 60,238 | ||||||
| RELX plc |
2,096 | 65,010 | ||||||
| Smith & Nephew plc |
1,960 | 33,849 | ||||||
|
|
|
|||||||
| 535,165 | ||||||||
|
|
|
|||||||
| United States — 3.3% |
| |||||||
| Ferguson plc |
493 | 74,139 | ||||||
| Schneider Electric SE |
491 | 84,714 | ||||||
|
|
|
|||||||
| 158,853 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
4,743,698 | ||||||
|
|
|
|||||||
| Short-Term Investments — 5.1% |
| |||||||
| Investment Companies — 2.5% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (c) (d) |
123,724 | 123,785 | ||||||
|
|
|
|||||||
| Investment of Cash Collateral from Securities Loaned — 2.6% |
| |||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (c) (d) |
111,000 | 111,000 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Investment of Cash Collateral from Securities Loaned — continued |
| |||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) |
13,466 | 13,466 | ||||||
|
|
|
|||||||
| Total Investment of Cash Collateral from Securities Loaned |
124,466 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
248,251 | |||||||
|
|
|
|||||||
| Total Investments — 103.0% |
4,991,949 | |||||||
| Liabilities in Excess of |
(146,232 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
4,845,717 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
8.6 | % | ||
| Insurance |
7.5 | |||
| Machinery |
6.7 | |||
| Pharmaceuticals |
5.0 | |||
| Semiconductors & Semiconductor Equipment |
4.9 | |||
| Textiles, Apparel & Luxury Goods |
4.8 | |||
| Beverages |
4.2 | |||
| Health Care Equipment & Supplies |
3.9 | |||
| Professional Services |
3.7 | |||
| Chemicals |
3.6 | |||
| Metals & Mining |
3.4 | |||
| Food Products |
3.0 | |||
| IT Services |
2.9 | |||
| Capital Markets |
2.9 | |||
| Household Durables |
2.8 | |||
| Electrical Equipment |
2.7 | |||
| Electronic Equipment, Instruments & Components |
2.3 | |||
| Building Products |
2.3 | |||
| Oil, Gas & Consumable Fuels |
2.2 | |||
| Electric Utilities |
1.8 | |||
| Life Sciences Tools & Services |
1.6 | |||
| Personal Products |
1.6 | |||
| Trading Companies & Distributors |
1.5 | |||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 37 | ||||||||
Table of Contents
JPMorgan International Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Construction & Engineering |
1.4 | % | ||
| Technology Hardware, Storage & Peripherals |
1.2 | |||
| Aerospace & Defense |
1.1 | |||
| Entertainment |
1.0 | |||
| Specialty Retail |
1.0 | |||
| Others (each less than 1.0%) |
5.4 | |||
| Short-Term Investments |
5.0 | |||
Abbreviations
| ADR | American Depositary Receipt | |
| GDR | Global 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. | |
| (a) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $119,061. | |
| (b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 98.6% |
| |||||||
| Australia — 2.2% |
| |||||||
| BHP Group plc |
3,272 | 86,419 | ||||||
|
|
|
|||||||
| Belgium — 2.4% |
| |||||||
| KBC Group NV |
1,017 | 94,747 | ||||||
|
|
|
|||||||
| Canada — 5.0% |
| |||||||
| Canadian National Railway Co. |
745 | 99,068 | ||||||
| Toronto-Dominion Bank (The) |
1,355 | 98,392 | ||||||
|
|
|
|||||||
| 197,460 | ||||||||
|
|
|
|||||||
| China — 5.8% |
| |||||||
| Alibaba Group Holding Ltd. * |
4,206 | 86,497 | ||||||
| Bilibili, Inc., Class Z * |
529 | 38,745 | ||||||
| Tencent Holdings Ltd. |
1,706 | 103,745 | ||||||
|
|
|
|||||||
| 228,987 | ||||||||
|
|
|
|||||||
| Denmark — 4.3% |
| |||||||
| Novo Nordisk A/S, Class B |
1,135 | 124,407 | ||||||
| Orsted A/S (a) (b) |
306 | 43,158 | ||||||
|
|
|
|||||||
| 167,565 | ||||||||
|
|
|
|||||||
| Finland — 1.4% |
| |||||||
| Kone OYJ, Class B |
805 | 54,877 | ||||||
|
|
|
|||||||
| France — 9.0% |
| |||||||
| Capgemini SE |
300 | 69,922 | ||||||
| L’Oreal SA |
191 | 87,408 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
155 | 121,733 | ||||||
| Vinci SA |
672 | 71,830 | ||||||
|
|
|
|||||||
| 350,893 | ||||||||
|
|
|
|||||||
| Germany — 5.5% |
| |||||||
| adidas AG |
197 | 64,551 | ||||||
| Allianz SE (Registered) |
387 | 89,767 | ||||||
| Volkswagen AG (Preference) |
267 | 59,835 | ||||||
|
|
|
|||||||
| 214,153 | ||||||||
|
|
|
|||||||
| Hong Kong — 5.2% |
| |||||||
| AIA Group Ltd. |
10,022 | 112,317 | ||||||
| Hong Kong Exchanges & Clearing Ltd. |
1,524 | 91,784 | ||||||
|
|
|
|||||||
| 204,101 | ||||||||
|
|
|
|||||||
| India — 3.1% |
| |||||||
| HDFC Bank Ltd., ADR |
1,701 | 122,321 | ||||||
|
|
|
|||||||
| Indonesia — 2.0% |
| |||||||
| Bank Central Asia Tbk. PT |
147,867 | 78,189 | ||||||
|
|
|
|||||||
| Japan — 6.9% |
| |||||||
| Keyence Corp. |
128 | 77,263 | ||||||
| Kyowa Kirin Co. Ltd. |
1,412 | 46,451 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Japan — continued |
||||||||
| SMC Corp. |
91 | 54,126 | ||||||
| Sony Group Corp. |
805 | 93,170 | ||||||
|
|
|
|||||||
| 271,010 | ||||||||
|
|
|
|||||||
| Netherlands — 3.6% |
| |||||||
| ASML Holding NV |
174 | 141,389 | ||||||
|
|
|
|||||||
| Russia — 1.5% |
| |||||||
| Sberbank of Russia PJSC, ADR |
2,847 | 57,160 | ||||||
|
|
|
|||||||
| Singapore — 1.6% |
| |||||||
| DBS Group Holdings Ltd. |
2,641 | 61,705 | ||||||
|
|
|
|||||||
| South Africa — 2.1% |
| |||||||
| Anglo American plc |
2,172 | 82,613 | ||||||
|
|
|
|||||||
| South Korea — 5.1% |
| |||||||
| Delivery Hero SE * (b) |
504 | 62,903 | ||||||
| Samsung Electronics Co. Ltd. |
2,282 | 136,606 | ||||||
|
|
|
|||||||
| 199,509 | ||||||||
|
|
|
|||||||
| Spain — 1.7% |
| |||||||
| Iberdrola SA |
5,688 | 67,172 | ||||||
|
|
|
|||||||
| Sweden — 3.5% |
| |||||||
| Atlas Copco AB, Class A |
1,047 | 67,437 | ||||||
| Industrivarden AB, Class A (a) |
89 | 2,934 | ||||||
| Svenska Handelsbanken AB, Class A (a) |
5,782 | 66,279 | ||||||
|
|
|
|||||||
| 136,650 | ||||||||
|
|
|
|||||||
| Switzerland — 7.0% |
| |||||||
| Lonza Group AG (Registered) |
86 | 70,638 | ||||||
| Nestle SA (Registered) |
1,103 | 145,429 | ||||||
| SGS SA (Registered) |
20 | 59,151 | ||||||
|
|
|
|||||||
| 275,218 | ||||||||
|
|
|
|||||||
| Taiwan — 5.0% |
| |||||||
| Sea Ltd., ADR * |
269 | 92,480 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR |
927 | 105,394 | ||||||
|
|
|
|||||||
| 197,874 | ||||||||
|
|
|
|||||||
| United Kingdom — 10.3% |
| |||||||
| Diageo plc |
2,571 | 127,935 | ||||||
| Linde plc |
280 | 89,967 | ||||||
| London Stock Exchange Group plc |
403 | 39,234 | ||||||
| Persimmon plc |
1,530 | 57,002 | ||||||
| RELX plc |
2,834 | 87,913 | ||||||
|
|
|
|||||||
| 402,051 | ||||||||
|
|
|
|||||||
| United States — 4.4% |
| |||||||
| Ferguson plc |
627 | 94,301 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 39 | ||||||||
Table of Contents
JPMorgan International Focus Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| United States — continued |
| |||||||
| Schneider Electric SE |
465 | 80,102 | ||||||
|
|
|
|||||||
| 174,403 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
3,866,466 | ||||||
|
|
|
|||||||
| Short-Term Investments — 2.2% |
| |||||||
| Investment Companies — 1.2% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares,
0.05% (c) (d) |
47,813 | 47,837 | ||||||
|
|
|
|||||||
| Investment of Cash Collateral from Securities Loaned — 1.0% |
| |||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (c) (d) |
33,000 | 33,000 | ||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (c) (d) |
3,469 | 3,469 | ||||||
|
|
|
|||||||
| Total Investment Of Cash Collateral From Securities Loaned |
36,469 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
84,306 | |||||||
|
|
|
|||||||
| Total Investments — 100.8% |
|
3,950,772 | ||||||
| Liabilities in Excess of |
|
(30,484 | ) | |||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
|
3,920,288 | ||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
14.7 | % | ||
| Semiconductors & Semiconductor Equipment |
6.2 | |||
| Insurance |
5.1 | |||
| Textiles, Apparel & Luxury Goods |
4.7 | |||
| Machinery |
4.5 | |||
| Pharmaceuticals |
4.3 | |||
| Metals & Mining |
4.3 | |||
| Household Durables |
3.8 | |||
| Internet & Direct Marketing Retail |
3.8 | |||
| Professional Services |
3.7 | |||
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Food Products |
3.7 | % | ||
| Technology Hardware, Storage & Peripherals |
3.5 | |||
| Entertainment |
3.3 | |||
| Capital Markets |
3.3 | |||
| Beverages |
3.2 | |||
| Electric Utilities |
2.8 | |||
| Interactive Media & Services |
2.6 | |||
| Road & Rail |
2.5 | |||
| Trading Companies & Distributors |
2.4 | |||
| Chemicals |
2.3 | |||
| Personal Products |
2.2 | |||
| Electrical Equipment |
2.0 | |||
| Electronic Equipment, Instruments & Components |
2.0 | |||
| Construction & Engineering |
1.8 | |||
| Life Sciences Tools & Services |
1.8 | |||
| IT Services |
1.8 | |||
| Automobiles |
1.5 | |||
| Diversified Financial Services |
0.1 | |||
| Short-Term Investments |
2.1 | |||
Abbreviations
| ADR | American Depositary Receipt | |
| OYJ | Public Limited Company | |
| 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. | |
| PT | Limited liability company | |
| (a) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $35,662. | |
| (b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 40 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 96.2% |
| |||||||
| Australia — 5.6% |
| |||||||
| Aurizon Holdings Ltd. |
49 | 126 | ||||||
| Australia & New Zealand Banking Group Ltd. |
22 | 465 | ||||||
| BHP Group Ltd. |
35 | 967 | ||||||
| Commonwealth Bank of Australia |
8 | 618 | ||||||
| CSL Ltd. |
4 | 931 | ||||||
| Dexus, REIT |
51 | 418 | ||||||
| Goodman Group, REIT |
39 | 648 | ||||||
| GPT Group (The), REIT |
117 | 455 | ||||||
| Insurance Australia Group Ltd. |
38 | 138 | ||||||
| Macquarie Group Ltd. |
1 | 194 | ||||||
| National Australia Bank Ltd. |
15 | 336 | ||||||
| Newcrest Mining Ltd. |
7 | 126 | ||||||
| Oil Search Ltd. |
46 | 148 | ||||||
| Rio Tinto Ltd. |
16 | 1,078 | ||||||
| Rio Tinto plc |
7 | 454 | ||||||
| Wesfarmers Ltd. |
8 | 367 | ||||||
| Westpac Banking Corp. |
44 | 865 | ||||||
| Woolworths Group Ltd. |
7 | 200 | ||||||
|
|
|
|||||||
| 8,534 | ||||||||
|
|
|
|||||||
| Austria — 0.3% |
| |||||||
| Erste Group Bank AG |
9 | 391 | ||||||
|
|
|
|||||||
| Belgium — 0.6% |
| |||||||
| Anheuser-Busch InBev SA |
2 | 147 | ||||||
| KBC Group NV |
8 | 768 | ||||||
|
|
|
|||||||
| 915 | ||||||||
|
|
|
|||||||
| China — 0.6% |
| |||||||
| BOC Hong Kong Holdings Ltd. |
95 | 301 | ||||||
| Prosus NV * |
7 | 603 | ||||||
|
|
|
|||||||
| 904 | ||||||||
|
|
|
|||||||
| Denmark — 3.2% |
| |||||||
| Carlsberg A/S, Class B |
6 | 908 | ||||||
| Novo Nordisk A/S, Class B |
26 | 2,890 | ||||||
| Orsted A/S (a) |
6 | 850 | ||||||
| Vestas Wind Systems A/S |
6 | 240 | ||||||
|
|
|
|||||||
| 4,888 | ||||||||
|
|
|
|||||||
| Finland — 0.3% |
| |||||||
| Kone OYJ, Class B |
4 | 249 | ||||||
| Nokia OYJ * |
49 | 279 | ||||||
|
|
|
|||||||
| 528 | ||||||||
|
|
|
|||||||
| France — 10.7% |
| |||||||
| Air Liquide SA |
8 | 1,341 | ||||||
| Airbus SE * |
3 | 413 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| France — continued |
| |||||||
| Alstom SA |
12 | 417 | ||||||
| AXA SA |
7 | 197 | ||||||
| BNP Paribas SA |
23 | 1,549 | ||||||
| Capgemini SE |
6 | 1,375 | ||||||
| Kering SA |
1 | 726 | ||||||
| L’Oreal SA |
4 | 1,999 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
3 | 2,644 | ||||||
| Pernod Ricard SA |
2 | 371 | ||||||
| Safran SA |
5 | 723 | ||||||
| Sanofi |
7 | 744 | ||||||
| Societe Generale SA |
14 | 476 | ||||||
| TotalEnergies SE |
22 | 1,102 | ||||||
| Veolia Environnement SA |
41 | 1,335 | ||||||
| Vinci SA |
9 | 1,013 | ||||||
|
|
|
|||||||
| 16,425 | ||||||||
|
|
|
|||||||
| Germany — 9.8% |
| |||||||
| adidas AG |
4 | 1,150 | ||||||
| Allianz SE (Registered) |
8 | 1,796 | ||||||
| BASF SE |
4 | 273 | ||||||
| Bayer AG (Registered) |
7 | 412 | ||||||
| Brenntag SE |
3 | 317 | ||||||
| Daimler AG (Registered) |
2 | 189 | ||||||
| Deutsche Boerse AG |
1 | 119 | ||||||
| Deutsche Post AG (Registered) |
18 | 1,138 | ||||||
| Deutsche Telekom AG (Registered) |
60 | 1,109 | ||||||
| Infineon Technologies AG |
33 | 1,528 | ||||||
| Merck KGaA |
2 | 537 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) |
3 | 867 | ||||||
| RWE AG |
28 | 1,069 | ||||||
| SAP SE |
9 | 1,308 | ||||||
| Siemens AG (Registered) |
7 | 1,061 | ||||||
| Volkswagen AG (Preference) |
4 | 976 | ||||||
| Vonovia SE |
12 | 734 | ||||||
| Zalando SE * (a) |
4 | 397 | ||||||
|
|
|
|||||||
| 14,980 | ||||||||
|
|
|
|||||||
| Hong Kong — 2.4% |
| |||||||
| AIA Group Ltd. |
139 | 1,562 | ||||||
| CK Asset Holdings Ltd. |
31 | 192 | ||||||
| CLP Holdings Ltd. |
17 | 162 | ||||||
| Hong Kong Exchanges & Clearing Ltd. |
14 | 861 | ||||||
| Link, REIT |
16 | 144 | ||||||
| Sun Hung Kai Properties Ltd. |
12 | 159 | ||||||
| Techtronic Industries Co. Ltd. |
11 | 216 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 41 | ||||||||
Table of Contents
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Hong Kong — continued |
| |||||||
| Xinyi Glass Holdings Ltd. |
117 | 330 | ||||||
|
|
|
|||||||
| 3,626 | ||||||||
|
|
|
|||||||
| Ireland — 0.9% |
| |||||||
| CRH plc |
14 | 680 | ||||||
| Kingspan Group plc |
3 | 403 | ||||||
| Kingspan Group plc |
3 | 363 | ||||||
|
|
|
|||||||
| 1,446 | ||||||||
|
|
|
|||||||
| Italy — 0.8% |
| |||||||
| Enel SpA |
51 | 429 | ||||||
| FinecoBank Banca Fineco SpA * |
39 | 751 | ||||||
|
|
|
|||||||
| 1,180 | ||||||||
|
|
|
|||||||
| Japan — 23.1% |
| |||||||
| AGC, Inc. |
5 | 259 | ||||||
| Asahi Group Holdings Ltd. |
19 | 858 | ||||||
| Asahi Kasei Corp. |
56 | 589 | ||||||
| Bridgestone Corp. |
15 | 650 | ||||||
| Central Japan Railway Co. |
4 | 608 | ||||||
| Daiichi Sankyo Co. Ltd. |
17 | 431 | ||||||
| Daikin Industries Ltd. |
3 | 745 | ||||||
| Daito Trust Construction Co. Ltd. |
5 | 583 | ||||||
| Daiwa House Industry Co. Ltd. |
9 | 300 | ||||||
| Dentsu Group, Inc. |
20 | 724 | ||||||
| Fast Retailing Co. Ltd. |
— | (b) | 133 | |||||
| Hitachi Ltd. |
20 | 1,135 | ||||||
| Honda Motor Co. Ltd. |
23 | 689 | ||||||
| Hoya Corp. |
9 | 1,266 | ||||||
| ITOCHU Corp. |
20 | 565 | ||||||
| Japan Airlines Co. Ltd. * |
14 | 297 | ||||||
| Kao Corp. |
9 | 492 | ||||||
| Keyence Corp. |
3 | 1,690 | ||||||
| Konami Holdings Corp. |
9 | 490 | ||||||
| Kubota Corp. |
25 | 528 | ||||||
| Kyowa Kirin Co. Ltd. |
15 | 493 | ||||||
| Mitsubishi Corp. |
27 | 852 | ||||||
| Mitsubishi Electric Corp. |
18 | 246 | ||||||
| Mitsubishi UFJ Financial Group, Inc. |
48 | 264 | ||||||
| Mitsui Fudosan Co. Ltd. |
20 | 457 | ||||||
| Murata Manufacturing Co. Ltd. |
10 | 720 | ||||||
| Nabtesco Corp. |
1 | 45 | ||||||
| Nidec Corp. |
4 | 443 | ||||||
| Nintendo Co. Ltd. |
1 | 442 | ||||||
| Nippon Express Co. Ltd. |
6 | 382 | ||||||
| Nippon Steel Corp. |
9 | 156 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Japan — continued |
| |||||||
| Nippon Telegraph & Telephone Corp. |
27 | 754 | ||||||
| Nitori Holdings Co. Ltd. |
3 | 588 | ||||||
| Nomura Research Institute Ltd. |
14 | 572 | ||||||
| Ono Pharmaceutical Co. Ltd. |
17 | 355 | ||||||
| ORIX Corp. |
30 | 596 | ||||||
| Otsuka Corp. |
10 | 512 | ||||||
| Rakuten Group, Inc. |
19 | 208 | ||||||
| Recruit Holdings Co. Ltd. |
19 | 1,231 | ||||||
| Rohm Co. Ltd. |
6 | 585 | ||||||
| Ryohin Keikaku Co. Ltd. |
19 | 367 | ||||||
| Seven & i Holdings Co. Ltd. |
11 | 458 | ||||||
| Shimadzu Corp. |
2 | 61 | ||||||
| Shin-Etsu Chemical Co. Ltd. |
5 | 909 | ||||||
| Shionogi & Co. Ltd. |
8 | 502 | ||||||
| SoftBank Group Corp. |
8 | 428 | ||||||
| Sony Group Corp. |
15 | 1,679 | ||||||
| Sumitomo Electric Industries Ltd. |
33 | 443 | ||||||
| Sumitomo Metal Mining Co. Ltd. |
15 | 597 | ||||||
| Sumitomo Mitsui Financial Group, Inc. |
28 | 899 | ||||||
| Suzuki Motor Corp. |
8 | 366 | ||||||
| T&D Holdings, Inc. |
29 | 377 | ||||||
| Takeda Pharmaceutical Co. Ltd. |
12 | 348 | ||||||
| Terumo Corp. |
12 | 507 | ||||||
| Tokio Marine Holdings, Inc. |
18 | 938 | ||||||
| Tokyo Electron Ltd. |
2 | 1,072 | ||||||
| Toyota Motor Corp. |
129 | 2,283 | ||||||
| Yamato Holdings Co. Ltd. |
5 | 113 | ||||||
|
|
|
|||||||
| 35,280 | ||||||||
|
|
|
|||||||
| Luxembourg — 0.1% |
| |||||||
| ArcelorMittal SA |
6 | 204 | ||||||
|
|
|
|||||||
| Netherlands — 6.7% |
| |||||||
| Adyen NV * (a) |
— | (b) | 631 | |||||
| Akzo Nobel NV |
6 | 743 | ||||||
| ASML Holding NV |
5 | 3,953 | ||||||
| Heineken NV |
1 | 110 | ||||||
| ING Groep NV |
43 | 652 | ||||||
| Koninklijke Ahold Delhaize NV |
14 | 463 | ||||||
| Koninklijke DSM NV |
2 | 527 | ||||||
| Koninklijke KPN NV |
191 | 570 | ||||||
| Koninklijke Philips NV |
5 | 219 | ||||||
| NN Group NV |
15 | 813 | ||||||
| Royal Dutch Shell plc, Class A |
36 | 816 | ||||||
| Royal Dutch Shell plc, Class B |
15 | 349 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 42 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Netherlands — continued |
| |||||||
| Wolters Kluwer NV |
4 | 462 | ||||||
|
|
|
|||||||
| 10,308 | ||||||||
|
|
|
|||||||
| Singapore — 1.0% |
| |||||||
| DBS Group Holdings Ltd. |
39 | 918 | ||||||
| Oversea-Chinese Banking Corp. Ltd. |
47 | 414 | ||||||
| United Overseas Bank Ltd. |
7 | 131 | ||||||
|
|
|
|||||||
| 1,463 | ||||||||
|
|
|
|||||||
| Spain — 2.9% |
| |||||||
| Banco Bilbao Vizcaya Argentaria SA |
145 | 1,015 | ||||||
| Banco Santander SA |
99 | 373 | ||||||
| Endesa SA |
32 | 731 | ||||||
| Iberdrola SA |
132 | 1,559 | ||||||
| Industria de Diseno Textil SA |
20 | 714 | ||||||
|
|
|
|||||||
| 4,392 | ||||||||
|
|
|
|||||||
| Sweden — 2.7% |
| |||||||
| Atlas Copco AB, Class A |
14 | 917 | ||||||
| Industrivarden AB, Class A |
1 | 42 | ||||||
| Lundin Energy AB |
13 | 521 | ||||||
| SKF AB, Class B |
28 | 656 | ||||||
| Svenska Handelsbanken AB, Class A |
83 | 946 | ||||||
| Volvo AB, Class B |
43 | 998 | ||||||
|
|
|
|||||||
| 4,080 | ||||||||
|
|
|
|||||||
| Switzerland — 10.4% |
| |||||||
| Adecco Group AG (Registered) |
3 | 135 | ||||||
| Cie Financiere Richemont SA (Registered) |
2 | 298 | ||||||
| Credit Suisse Group AG (Registered) |
9 | 97 | ||||||
| Givaudan SA (Registered) |
— | (b) | 924 | |||||
| Holcim Ltd. * |
3 | 165 | ||||||
| Lonza Group AG (Registered) |
2 | 1,504 | ||||||
| Nestle SA (Registered) |
32 | 4,235 | ||||||
| Novartis AG (Registered) |
28 | 2,309 | ||||||
| Roche Holding AG |
9 | 3,479 | ||||||
| SGS SA (Registered) |
— | (b) | 702 | |||||
| Sika AG (Registered) |
1 | 445 | ||||||
| UBS Group AG (Registered) |
30 | 550 | ||||||
| Zurich Insurance Group AG |
2 | 1,100 | ||||||
|
|
|
|||||||
| 15,943 | ||||||||
|
|
|
|||||||
| United Kingdom — 11.7% |
| |||||||
| 3i Group plc |
64 | 1,197 | ||||||
| AstraZeneca plc |
14 | 1,791 | ||||||
| Barclays plc |
272 | 750 | ||||||
| Berkeley Group Holdings plc |
12 | 727 | ||||||
| BP plc |
329 | 1,578 | ||||||
| British American Tobacco plc |
16 | 572 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| United Kingdom — continued |
| |||||||
| CK Hutchison Holdings Ltd. |
24 | 161 | ||||||
| DCC plc |
4 | 304 | ||||||
| Diageo plc |
35 | 1,753 | ||||||
| GlaxoSmithKline plc |
14 | 283 | ||||||
| HSBC Holdings plc |
107 | 643 | ||||||
| InterContinental Hotels Group plc * |
12 | 853 | ||||||
| Intertek Group plc |
3 | 180 | ||||||
| Lloyds Banking Group plc |
1,753 | 1,200 | ||||||
| London Stock Exchange Group plc |
1 | 106 | ||||||
| Prudential plc |
33 | 681 | ||||||
| Reckitt Benckiser Group plc |
13 | 1,059 | ||||||
| RELX plc |
37 | 1,160 | ||||||
| Standard Chartered plc |
115 | 778 | ||||||
| Taylor Wimpey plc |
143 | 303 | ||||||
| Tesco plc |
194 | 718 | ||||||
| Unilever plc |
19 | 1,004 | ||||||
|
|
|
|||||||
| 17,801 | ||||||||
|
|
|
|||||||
| United States — 2.4% |
| |||||||
| Ferguson plc |
6 | 854 | ||||||
| Schneider Electric SE |
11 | 1,866 | ||||||
| Stellantis NV |
44 | 883 | ||||||
|
|
|
|||||||
| 3,603 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
146,891 | ||||||
|
|
|
|||||||
| NO. OF CONTRACTS |
||||||||
| Options Purchased — 0.6% |
| |||||||
| Put Options Purchased — 0.6% |
| |||||||
| United States — 0.6% |
| |||||||
| MSCI EAFE Index 12/17/2021 at USD 2,220.00, European Style Notional Amount: USD 151,109
Counterparty: Exchange-Traded * |
647 | 971 | ||||||
|
|
|
|||||||
| SHARES (000) |
||||||||
| Short-Term Investments — 2.3% |
| |||||||
| Investment Companies — 2.3% |
| |||||||
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares,
0.01% (c) (d) |
3,536 | 3,536 | ||||||
|
|
|
|||||||
| Total Investments — 99.1% |
151,398 | |||||||
| Other Assets Less Liabilities — 0.9% |
1,378 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
152,776 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 43 | ||||||||
Table of Contents
JPMorgan International Hedged Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
10.2 | % | ||
| Pharmaceuticals |
9.6 | |||
| Insurance |
5.6 | |||
| Semiconductors & Semiconductor Equipment |
4.7 | |||
| Chemicals |
3.8 | |||
| Automobiles |
3.6 | |||
| Textiles, Apparel & Luxury Goods |
3.2 | |||
| Oil, Gas & Consumable Fuels |
3.0 | |||
| Food Products |
2.8 | |||
| Beverages |
2.7 | |||
| Machinery |
2.7 | |||
| Professional Services |
2.6 | |||
| Electric Utilities |
2.5 | |||
| Metals & Mining |
2.4 | |||
| Personal Products |
2.3 | |||
| Capital Markets |
2.1 | |||
| IT Services |
2.0 | |||
| Electrical Equipment |
1.8 | |||
| Household Durables |
1.8 | |||
| Industrial Conglomerates |
1.8 | |||
| Trading Companies & Distributors |
1.7 | |||
| Electronic Equipment, Instruments & Components |
1.6 | |||
| Diversified Telecommunication Services |
1.6 | |||
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Real Estate Management & Development |
1.6 | % | ||
| Multi-Utilities |
1.6 | |||
| Building Products |
1.4 | |||
| Health Care Equipment & Supplies |
1.3 | |||
| Food & Staples Retailing |
1.2 | |||
| Equity Real Estate Investment Trusts (REITs) |
1.1 | |||
| Life Sciences Tools & Services |
1.0 | |||
| Others (each less than 1.0%) |
12.4 | |||
| Short-Term Investments |
2.3 | |||
Abbreviations
| EAFE | Europe, Australasia and Far East | |
| 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 | |
| USD | United States Dollar | |
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (b) | Amount rounds to less than one thousand. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||
| Long Contracts |
| |||||||||||||||||
| MSCI EAFE E-Mini Index | 11 | 12/2021 | USD | 1,287 | 26 | |||||||||||||
| SPI 200 Index | 24 | 12/2021 | AUD | 3,317 | (16 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| 10 | ||||||||||||||||||
|
|
|
|||||||||||||||||
Abbreviations
| AUD | Australian Dollar | |
| EAFE | Europe, Australasia and Far East | |
| MSCI | Morgan Stanley Capital International | |
| SPI | Australian Securities Exchange | |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 44 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| Written Call Options Contracts as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||||
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS |
NOTIONAL AMOUNT |
EXERCISE PRICE |
EXPIRATION DATE |
VALUE ($) | ||||||||||||||||||
| MSCI EAFE Index |
Exchange-Traded | 647 | USD 151,109 | USD 2,420.00 | 12/17/2021 | (557 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Written Put Options Contracts as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||||||
| DESCRIPTION | COUNTERPARTY | NUMBER OF CONTRACTS |
NOTIONAL AMOUNT |
EXERCISE PRICE |
EXPIRATION DATE |
VALUE ($) | ||||||||||||||||||
| MSCI EAFE Index | Exchange-Traded | 647 | USD 151,109 | USD 1,875.00 | 12/17/2021 | (128 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Written Options Contracts (Premiums Received $2,404) |
(685 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Abbreviations
| EAFE | Europe, Australasia, and Far East | |
| MSCI | Morgan Stanley Capital International | |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 45 | ||||||||
Table of Contents
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 97.2% |
| |||||||
| Australia — 5.7% |
| |||||||
| Aurizon Holdings Ltd. |
1,597 | 4,073 | ||||||
| Australia & New Zealand Banking Group Ltd. |
767 | 16,321 | ||||||
| BHP Group Ltd. |
1,107 | 30,407 | ||||||
| Commonwealth Bank of Australia (a) |
267 | 21,142 | ||||||
| CSL Ltd. |
138 | 31,403 | ||||||
| Dexus, REIT |
1,841 | 15,105 | ||||||
| Goodman Group, REIT |
1,372 | 22,715 | ||||||
| GPT Group (The), REIT |
3,875 | 15,129 | ||||||
| Insurance Australia Group Ltd. |
1,268 | 4,595 | ||||||
| Macquarie Group Ltd. |
48 | 7,083 | ||||||
| National Australia Bank Ltd. |
539 | 11,722 | ||||||
| Newcrest Mining Ltd. |
225 | 4,213 | ||||||
| Oil Search Ltd. |
1,498 | 4,852 | ||||||
| Rio Tinto Ltd. |
498 | 34,131 | ||||||
| Rio Tinto plc |
251 | 15,645 | ||||||
| Wesfarmers Ltd. |
285 | 12,330 | ||||||
| Westpac Banking Corp. |
1,525 | 29,663 | ||||||
| Woolworths Group Ltd. |
235 | 6,782 | ||||||
|
|
|
|||||||
| 287,311 | ||||||||
|
|
|
|||||||
| Austria — 0.2% |
| |||||||
| Erste Group Bank AG |
278 | 11,928 | ||||||
|
|
|
|||||||
| Belgium — 0.6% |
| |||||||
| Anheuser-Busch InBev SA |
73 | 4,486 | ||||||
| KBC Group NV |
269 | 25,040 | ||||||
|
|
|
|||||||
| 29,526 | ||||||||
|
|
|
|||||||
| China — 0.6% |
| |||||||
| BOC Hong Kong Holdings Ltd. |
3,040 | 9,632 | ||||||
| Prosus NV * |
231 | 20,315 | ||||||
|
|
|
|||||||
| 29,947 | ||||||||
|
|
|
|||||||
| Denmark — 3.2% |
| |||||||
| Carlsberg A/S, Class B |
186 | 30,661 | ||||||
| Novo Nordisk A/S, Class B |
864 | 94,794 | ||||||
| Orsted A/S (a) (b) |
198 | 27,911 | ||||||
| Vestas Wind Systems A/S (a) |
178 | 7,684 | ||||||
|
|
|
|||||||
| 161,050 | ||||||||
|
|
|
|||||||
| Finland — 0.4% |
| |||||||
| Kone OYJ, Class B |
120 | 8,216 | ||||||
| Nokia OYJ * |
1,660 | 9,527 | ||||||
|
|
|
|||||||
| 17,743 | ||||||||
|
|
|
|||||||
| France — 10.9% |
| |||||||
| Air Liquide SA |
266 | 44,332 | ||||||
| Airbus SE * |
122 | 15,657 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| France — continued |
| |||||||
| Alstom SA |
398 | 14,171 | ||||||
| AXA SA |
251 | 7,316 | ||||||
| BNP Paribas SA |
750 | 50,185 | ||||||
| Capgemini SE |
197 | 46,032 | ||||||
| Kering SA |
33 | 24,575 | ||||||
| L’Oreal SA |
140 | 64,015 | ||||||
| LVMH Moet Hennessy Louis Vuitton SE |
109 | 85,784 | ||||||
| Pernod Ricard SA |
54 | 12,364 | ||||||
| Safran SA |
183 | 24,636 | ||||||
| Sanofi |
261 | 26,228 | ||||||
| Societe Generale SA |
469 | 15,669 | ||||||
| TotalEnergies SE |
735 | 36,818 | ||||||
| Veolia Environnement SA (a) |
1,343 | 43,868 | ||||||
| Vinci SA |
321 | 34,365 | ||||||
|
|
|
|||||||
| 546,015 | ||||||||
|
|
|
|||||||
| Germany — 9.9% |
| |||||||
| adidas AG |
117 | 38,309 | ||||||
| Allianz SE (Registered) |
246 | 57,076 | ||||||
| BASF SE |
132 | 9,521 | ||||||
| Bayer AG (Registered) |
254 | 14,306 | ||||||
| Brenntag SE |
121 | 11,489 | ||||||
| Daimler AG (Registered) |
59 | 5,880 | ||||||
| Deutsche Boerse AG |
27 | 4,447 | ||||||
| Deutsche Post AG (Registered) |
627 | 38,816 | ||||||
| Deutsche Telekom AG (Registered) |
2,010 | 37,381 | ||||||
| Infineon Technologies AG |
1,027 | 48,093 | ||||||
| Merck KGaA |
76 | 18,040 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) |
97 | 28,703 | ||||||
| RWE AG |
904 | 34,788 | ||||||
| SAP SE |
290 | 42,066 | ||||||
| Siemens AG (Registered) |
211 | 34,354 | ||||||
| Volkswagen AG (Preference) |
149 | 33,419 | ||||||
| Vonovia SE |
402 | 24,413 | ||||||
| Zalando SE * (b) |
135 | 12,768 | ||||||
|
|
|
|||||||
| 493,869 | ||||||||
|
|
|
|||||||
| Hong Kong — 2.3% |
| |||||||
| AIA Group Ltd. |
4,367 | 48,937 | ||||||
| CK Asset Holdings Ltd. |
998 | 6,163 | ||||||
| CLP Holdings Ltd. |
521 | 5,101 | ||||||
| Hong Kong Exchanges & Clearing Ltd. |
472 | 28,416 | ||||||
| Link, REIT |
528 | 4,680 | ||||||
| Sun Hung Kai Properties Ltd. |
391 | 5,177 | ||||||
| Techtronic Industries Co. Ltd. |
294 | 6,030 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 46 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Hong Kong — continued |
| |||||||
| Xinyi Glass Holdings Ltd. |
3,727 | 10,502 | ||||||
|
|
|
|||||||
| 115,006 | ||||||||
|
|
|
|||||||
| Ireland — 1.0% |
| |||||||
| CRH plc |
492 | 23,561 | ||||||
| Kingspan Group plc |
119 | 13,525 | ||||||
| Kingspan Group plc |
101 | 11,648 | ||||||
|
|
|
|||||||
| 48,734 | ||||||||
|
|
|
|||||||
| Italy — 0.8% |
| |||||||
| Enel SpA |
1,793 | 15,013 | ||||||
| FinecoBank Banca Fineco SpA * (a) |
1,366 | 26,078 | ||||||
|
|
|
|||||||
| 41,091 | ||||||||
|
|
|
|||||||
| Japan — 23.2% |
| |||||||
| AGC, Inc. |
168 | 8,371 | ||||||
| Asahi Group Holdings Ltd. |
616 | 27,945 | ||||||
| Asahi Kasei Corp. |
1,892 | 19,880 | ||||||
| Bridgestone Corp. |
483 | 21,345 | ||||||
| Central Japan Railway Co. |
127 | 18,854 | ||||||
| Daiichi Sankyo Co. Ltd. |
549 | 13,860 | ||||||
| Daikin Industries Ltd. |
104 | 22,840 | ||||||
| Daito Trust Construction Co. Ltd. |
149 | 18,511 | ||||||
| Daiwa House Industry Co. Ltd. |
316 | 10,435 | ||||||
| Dentsu Group, Inc. |
627 | 22,928 | ||||||
| Fast Retailing Co. Ltd. |
9 | 5,974 | ||||||
| Hitachi Ltd. |
676 | 38,954 | ||||||
| Honda Motor Co. Ltd. |
758 | 22,419 | ||||||
| Hoya Corp. |
271 | 39,820 | ||||||
| ITOCHU Corp. |
666 | 19,006 | ||||||
| Japan Airlines Co. Ltd. * |
465 | 10,005 | ||||||
| Kao Corp. |
301 | 17,021 | ||||||
| Keyence Corp. |
79 | 47,625 | ||||||
| Konami Holdings Corp. |
300 | 16,520 | ||||||
| Kubota Corp. |
843 | 17,965 | ||||||
| Kyowa Kirin Co. Ltd. |
509 | 16,733 | ||||||
| Mitsubishi Corp. |
899 | 28,593 | ||||||
| Mitsubishi Electric Corp. |
614 | 8,242 | ||||||
| Mitsubishi UFJ Financial Group, Inc. |
1,748 | 9,584 | ||||||
| Mitsui Fudosan Co. Ltd. |
680 | 15,541 | ||||||
| Murata Manufacturing Co. Ltd. |
329 | 24,405 | ||||||
| Nabtesco Corp. |
58 | 1,882 | ||||||
| Nidec Corp. |
137 | 15,174 | ||||||
| Nintendo Co. Ltd. |
31 | 13,515 | ||||||
| Nippon Express Co. Ltd. |
211 | 13,226 | ||||||
| Nippon Steel Corp. |
263 | 4,615 | ||||||
| Nippon Telegraph & Telephone Corp. |
1,144 | 32,054 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Japan — continued |
| |||||||
| Nitori Holdings Co. Ltd. |
105 | 19,234 | ||||||
| Nomura Research Institute Ltd. |
478 | 19,124 | ||||||
| Ono Pharmaceutical Co. Ltd. |
572 | 12,002 | ||||||
| ORIX Corp. |
1,020 | 20,266 | ||||||
| Otsuka Corp. |
423 | 20,821 | ||||||
| Rakuten Group, Inc. |
590 | 6,464 | ||||||
| Recruit Holdings Co. Ltd. |
602 | 40,018 | ||||||
| Rohm Co. Ltd. |
207 | 18,882 | ||||||
| Ryohin Keikaku Co. Ltd. |
598 | 11,788 | ||||||
| Seven & i Holdings Co. Ltd. |
364 | 15,295 | ||||||
| Shimadzu Corp. |
80 | 3,234 | ||||||
| Shin-Etsu Chemical Co. Ltd. |
171 | 30,424 | ||||||
| Shionogi & Co. Ltd. |
246 | 16,052 | ||||||
| SoftBank Group Corp. |
253 | 13,686 | ||||||
| Sony Group Corp. |
453 | 52,411 | ||||||
| Sumitomo Electric Industries Ltd. |
1,119 | 14,850 | ||||||
| Sumitomo Metal Mining Co. Ltd. |
516 | 20,009 | ||||||
| Sumitomo Mitsui Financial Group, Inc. |
916 | 29,721 | ||||||
| Suzuki Motor Corp. |
277 | 12,358 | ||||||
| T&D Holdings, Inc. |
985 | 12,636 | ||||||
| Takeda Pharmaceutical Co. Ltd. |
418 | 11,734 | ||||||
| Terumo Corp. |
370 | 16,318 | ||||||
| Tokio Marine Holdings, Inc. |
591 | 31,133 | ||||||
| Tokyo Electron Ltd. |
71 | 33,182 | ||||||
| Toyota Motor Corp. |
4,042 | 71,318 | ||||||
| Yamato Holdings Co. Ltd. |
145 | 3,569 | ||||||
|
|
|
|||||||
| 1,160,371 | ||||||||
|
|
|
|||||||
| Luxembourg — 0.2% |
| |||||||
| ArcelorMittal SA |
226 | 7,652 | ||||||
|
|
|
|||||||
| Malta — 0.0% (c) |
| |||||||
| BGP Holdings plc * ‡ |
449 | — | (d) | |||||
|
|
|
|||||||
| Netherlands — 6.8% |
| |||||||
| Adyen NV * (b) |
7 | 20,768 | ||||||
| Akzo Nobel NV |
213 | 24,524 | ||||||
| ASML Holding NV |
155 | 126,083 | ||||||
| Heineken NV |
37 | 4,094 | ||||||
| ING Groep NV |
1,529 | 23,193 | ||||||
| Koninklijke Ahold Delhaize NV |
483 | 15,711 | ||||||
| Koninklijke DSM NV |
77 | 16,919 | ||||||
| Koninklijke KPN NV |
6,482 | 19,367 | ||||||
| Koninklijke Philips NV |
161 | 7,581 | ||||||
| NN Group NV |
515 | 27,505 | ||||||
| Royal Dutch Shell plc, Class A |
1,223 | 28,008 | ||||||
| Royal Dutch Shell plc, Class B |
526 | 12,082 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 47 | ||||||||
Table of Contents
JPMorgan International Research Enhanced Equity Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Netherlands — continued |
| |||||||
| Wolters Kluwer NV |
148 | 15,448 | ||||||
|
|
|
|||||||
| 341,283 | ||||||||
|
|
|
|||||||
| Singapore — 1.0% |
| |||||||
| DBS Group Holdings Ltd. |
1,322 | 30,901 | ||||||
| Oversea-Chinese Banking Corp. Ltd. |
1,593 | 13,924 | ||||||
| United Overseas Bank Ltd. |
221 | 4,399 | ||||||
|
|
|
|||||||
| 49,224 | ||||||||
|
|
|
|||||||
| Spain — 2.9% |
| |||||||
| Banco Bilbao Vizcaya Argentaria SA |
4,719 | 33,022 | ||||||
| Banco Santander SA (a) |
3,456 | 13,110 | ||||||
| Endesa SA |
1,026 | 23,672 | ||||||
| Iberdrola SA |
4,202 | 49,623 | ||||||
| Industria de Diseno Textil SA (a) |
635 | 23,019 | ||||||
|
|
|
|||||||
| 142,446 | ||||||||
|
|
|
|||||||
| Sweden — 2.8% |
| |||||||
| Atlas Copco AB, Class A |
477 | 30,745 | ||||||
| Industrivarden AB, Class A (a) |
44 | 1,442 | ||||||
| Lundin Energy AB |
464 | 18,320 | ||||||
| SKF AB, Class B |
967 | 22,466 | ||||||
| Svenska Handelsbanken AB, Class A (a) |
2,841 | 32,564 | ||||||
| Volvo AB, Class B |
1,434 | 33,434 | ||||||
|
|
|
|||||||
| 138,971 | ||||||||
|
|
|
|||||||
| Switzerland — 10.5% |
| |||||||
| Adecco Group AG (Registered) |
101 | 5,085 | ||||||
| Cie Financiere Richemont SA (Registered) |
84 | 10,381 | ||||||
| Credit Suisse Group AG (Registered) |
369 | 3,835 | ||||||
| Givaudan SA (Registered) |
6 | 30,237 | ||||||
| Holcim Ltd. * |
137 | 6,830 | ||||||
| Lonza Group AG (Registered) |
60 | 49,136 | ||||||
| Nestle SA (Registered) |
1,052 | 138,707 | ||||||
| Novartis AG (Registered) |
893 | 73,890 | ||||||
| Roche Holding AG |
293 | 113,380 | ||||||
| SGS SA (Registered) |
8 | 23,356 | ||||||
| Sika AG (Registered) |
42 | 14,291 | ||||||
| UBS Group AG (Registered) |
1,016 | 18,493 | ||||||
| Zurich Insurance Group AG |
82 | 36,505 | ||||||
|
|
|
|||||||
| 524,126 | ||||||||
|
|
|
|||||||
| United Kingdom — 11.8% |
| |||||||
| 3i Group plc |
2,195 | 40,999 | ||||||
| AstraZeneca plc |
434 | 54,353 | ||||||
| Barclays plc |
8,891 | 24,534 | ||||||
| Berkeley Group Holdings plc |
394 | 23,476 | ||||||
| BP plc |
11,167 | 53,499 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| United Kingdom — continued |
| |||||||
| British American Tobacco plc |
593 | 20,632 | ||||||
| CK Hutchison Holdings Ltd. |
788 | 5,281 | ||||||
| DCC plc |
116 | 9,696 | ||||||
| Diageo plc |
1,140 | 56,701 | ||||||
| GlaxoSmithKline plc |
412 | 8,552 | ||||||
| HSBC Holdings plc |
3,629 | 21,867 | ||||||
| InterContinental Hotels Group plc * |
404 | 28,267 | ||||||
| Intertek Group plc |
89 | 5,957 | ||||||
| Lloyds Banking Group plc |
55,530 | 38,004 | ||||||
| London Stock Exchange Group plc |
39 | 3,828 | ||||||
| Prudential plc |
1,150 | 23,478 | ||||||
| Reckitt Benckiser Group plc |
433 | 35,122 | ||||||
| RELX plc |
1,269 | 39,340 | ||||||
| Standard Chartered plc |
3,916 | 26,482 | ||||||
| Taylor Wimpey plc |
5,143 | 10,881 | ||||||
| Tesco plc |
6,652 | 24,560 | ||||||
| Unilever plc |
635 | 33,981 | ||||||
|
|
|
|||||||
| 589,490 | ||||||||
|
|
|
|||||||
| United States — 2.4% |
| |||||||
| Ferguson plc |
195 | 29,372 | ||||||
| Schneider Electric SE |
348 | 60,057 | ||||||
| Stellantis NV |
1,417 | 28,287 | ||||||
|
|
|
|||||||
| 117,716 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
4,853,499 | ||||||
|
|
|
|||||||
| Short-Term Investments — 3.7% |
||||||||
| Investment Companies — 1.9% |
||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (e)
(f) |
93,193 | 93,239 | ||||||
|
|
|
|||||||
| Investment of Cash Collateral from Securities Loaned — 1.8% |
| |||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (e) (f) |
82,347 | 82,347 | ||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (e) (f) |
10,123 | 10,123 | ||||||
|
|
|
|||||||
| Total Investment of Cash Collateral from Securities Loaned |
92,470 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
185,709 | |||||||
|
|
|
|||||||
| Total Investments — 100.9% |
5,039,208 | |||||||
| Liabilities in Excess of |
(43,366 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
4,995,842 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
SEE NOTES TO FINANCIAL STATEMENTS.
| 48 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
10.3 | % | ||
| Pharmaceuticals |
9.4 | |||
| Insurance |
5.5 | |||
| Semiconductors & Semiconductor Equipment |
4.5 | |||
| Chemicals |
3.8 | |||
| Automobiles |
3.4 | |||
| Textiles, Apparel & Luxury Goods |
3.2 | |||
| Oil, Gas & Consumable Fuels |
3.0 | |||
| Food Products |
2.7 | |||
| Beverages |
2.7 | |||
| Machinery |
2.7 | |||
| Professional Services |
2.6 | |||
| Electric Utilities |
2.4 | |||
| Metals & Mining |
2.3 | |||
| Personal Products |
2.3 | |||
| Capital Markets |
2.1 | |||
| IT Services |
2.1 | |||
| Electrical Equipment |
1.8 | |||
| Diversified Telecommunication Services |
1.8 | |||
| Trading Companies & Distributors |
1.8 | |||
| Industrial Conglomerates |
1.7 | |||
| Household Durables |
1.7 | |||
| Real Estate Management & Development |
1.6 | |||
| Multi-Utilities |
1.6 | |||
| Electronic Equipment, Instruments & Components |
1.5 | |||
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Building Products |
1.3 | % | ||
| Health Care Equipment & Supplies |
1.3 | |||
| Food & Staples Retailing |
1.2 | |||
| Equity Real Estate Investment Trusts (REITs) |
1.1 | |||
| Life Sciences Tools & Services |
1.0 | |||
| Specialty Retail |
1.0 | |||
| Others (each less than 1.0%) |
10.9 | |||
| Short-Term Investments |
3.7 | |||
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) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $86,810. | |
| (b) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (c) | Amount rounds to less than 0.1% of net assets. | |
| (d) | Amount rounds to less than one thousand. | |
| (e) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (f) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
| ‡ | Value determined using significant unobservable inputs. | |
| Futures contracts outstanding as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts |
||||||||||||||||||||
| EURO STOXX 50 Index |
302 | 12/2021 | EUR | 14,855 | 323 | |||||||||||||||
| FTSE 100 Index |
49 | 12/2021 | GBP | 4,852 | 175 | |||||||||||||||
| SPI 200 Index |
507 | 12/2021 | AUD | 70,071 | (342 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 156 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
Abbreviations
| AUD | Australian Dollar | |
| EUR | Euro | |
| FTSE | Financial Times and the London Stock Exchange | |
| GBP | British Pound | |
| SPI | Australian Securities Exchange |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 49 | ||||||||
Table of Contents
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 99.7% |
| |||||||
| Australia — 6.8% |
| |||||||
| Australia & New Zealand Banking Group Ltd. |
177 | 3,770 | ||||||
| BHP Group Ltd. |
180 | 4,938 | ||||||
| BlueScope Steel Ltd. |
29 | 458 | ||||||
| Fortescue Metals Group Ltd. |
100 | 1,037 | ||||||
| Harvey Norman Holdings Ltd. |
141 | 529 | ||||||
| JB Hi-Fi Ltd. |
11 | 431 | ||||||
| Metcash Ltd. |
136 | 418 | ||||||
| National Australia Bank Ltd. |
200 | 4,340 | ||||||
| Rio Tinto Ltd. |
24 | 1,666 | ||||||
| Rio Tinto plc |
54 | 3,350 | ||||||
| South32 Ltd. |
291 | 785 | ||||||
| Super Retail Group Ltd. |
62 | 605 | ||||||
| Westpac Banking Corp. |
218 | 4,238 | ||||||
| Worley Ltd. |
40 | 329 | ||||||
|
|
|
|||||||
| 26,894 | ||||||||
|
|
|
|||||||
| Austria — 1.7% |
| |||||||
| ANDRITZ AG |
12 | 695 | ||||||
| BAWAG Group AG (a) |
14 | 901 | ||||||
| Erste Group Bank AG |
25 | 1,057 | ||||||
| OMV AG |
26 | 1,565 | ||||||
| Raiffeisen Bank International AG |
53 | 1,558 | ||||||
| Telekom Austria AG * |
59 | 508 | ||||||
| Wienerberger AG |
13 | 472 | ||||||
|
|
|
|||||||
| 6,756 | ||||||||
|
|
|
|||||||
| Belgium — 1.0% |
| |||||||
| Ageas SA |
18 | 899 | ||||||
| Bekaert SA |
19 | 831 | ||||||
| bpost SA * |
55 | 475 | ||||||
| KBC Group NV |
15 | 1,401 | ||||||
| Telenet Group Holding NV |
9 | 321 | ||||||
|
|
|
|||||||
| 3,927 | ||||||||
|
|
|
|||||||
| China — 0.8% |
| |||||||
| BOC Hong Kong Holdings Ltd. |
316 | 1,000 | ||||||
| TI Fluid Systems plc (a) |
262 | 949 | ||||||
| Yangzijiang Shipbuilding Holdings Ltd. |
1,260 | 1,329 | ||||||
|
|
|
|||||||
| 3,278 | ||||||||
|
|
|
|||||||
| Denmark — 1.7% |
| |||||||
| AP Moller — Maersk A/S, Class B |
— | (b) | 777 | |||||
| H+H International A/S, Class B * |
24 | 941 | ||||||
| Jyske Bank A/S (Registered) * |
11 | 537 | ||||||
| Matas A/S |
38 | 748 | ||||||
| Solar A/S, Class B |
9 | 1,025 | ||||||
| Spar Nord Bank A/S |
97 | 1,245 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Denmark — continued |
| |||||||
| Sydbank A/S |
23 | 784 | ||||||
| TCM Group A/S (a) |
23 | 560 | ||||||
|
|
|
|||||||
| 6,617 | ||||||||
|
|
|
|||||||
| Egypt — 0.2% |
| |||||||
| Energean plc * |
74 | 908 | ||||||
|
|
|
|||||||
| Finland — 1.5% |
| |||||||
| Cargotec OYJ, Class B |
12 | 629 | ||||||
| Caverion OYJ |
104 | 824 | ||||||
| Kemira OYJ |
29 | 439 | ||||||
| Konecranes OYJ |
13 | 554 | ||||||
| Nordea Bank Abp |
201 | 2,466 | ||||||
| TietoEVRY OYJ |
10 | 314 | ||||||
| Valmet OYJ |
18 | 737 | ||||||
|
|
|
|||||||
| 5,963 | ||||||||
|
|
|
|||||||
| France — 10.3% |
| |||||||
| AXA SA |
117 | 3,404 | ||||||
| BNP Paribas SA |
62 | 4,158 | ||||||
| Carrefour SA |
46 | 833 | ||||||
| Cie de Saint-Gobain |
28 | 1,932 | ||||||
| Cie Plastic Omnium SA |
12 | 339 | ||||||
| CNP Assurances |
73 | 1,826 | ||||||
| Coface SA |
41 | 591 | ||||||
| Credit Agricole SA |
91 | 1,376 | ||||||
| Eutelsat Communications SA (c) |
83 | 1,186 | ||||||
| Faurecia SE |
1 | 38 | ||||||
| Faurecia SE |
29 | 1,532 | ||||||
| Fnac Darty SA |
17 | 1,109 | ||||||
| Gecina SA, REIT |
10 | 1,352 | ||||||
| Groupe Crit |
8 | 648 | ||||||
| IPSOS |
18 | 847 | ||||||
| Kaufman & Broad SA |
8 | 334 | ||||||
| Metropole Television SA |
32 | 706 | ||||||
| Publicis Groupe SA |
20 | 1,347 | ||||||
| Quadient SA |
26 | 627 | ||||||
| Renault SA * |
18 | 663 | ||||||
| Rexel SA * |
32 | 638 | ||||||
| Rothschild & Co. |
28 | 1,238 | ||||||
| SCOR SE |
18 | 615 | ||||||
| Societe Generale SA |
76 | 2,539 | ||||||
| Sopra Steria Group SACA |
3 | 551 | ||||||
| SPIE SA |
25 | 615 | ||||||
| Technip Energies NV * |
79 | 1,210 | ||||||
| Television Francaise 1 |
56 | 597 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 50 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| France — continued |
| |||||||
| TotalEnergies SE |
138 | 6,932 | ||||||
| Valeo |
38 | 1,107 | ||||||
|
|
|
|||||||
| 40,890 | ||||||||
|
|
|
|||||||
| Germany — 9.7% |
| |||||||
| Allianz SE (Registered) |
21 | 4,868 | ||||||
| Aurubis AG |
7 | 621 | ||||||
| Bayerische Motoren Werke AG |
18 | 1,862 | ||||||
| Continental AG * |
7 | 808 | ||||||
| Covestro AG (a) |
18 | 1,168 | ||||||
| Daimler AG (Registered) |
37 | 3,635 | ||||||
| Deutsche Pfandbriefbank AG (a) |
77 | 960 | ||||||
| Deutsche Post AG (Registered) |
60 | 3,711 | ||||||
| Deutsche Telekom AG (Registered) |
152 | 2,832 | ||||||
| DWS Group GmbH & Co. KGaA (a) |
10 | 425 | ||||||
| Freenet AG |
21 | 540 | ||||||
| HeidelbergCement AG |
12 | 912 | ||||||
| HOCHTIEF AG |
4 | 340 | ||||||
| Hornbach Holding AG & Co. KGaA |
10 | 1,273 | ||||||
| JOST Werke AG (a) |
12 | 724 | ||||||
| Kloeckner & Co. SE * |
71 | 953 | ||||||
| Muenchener Rueckversicherungs-Gesellschaft AG (Registered) |
7 | 1,988 | ||||||
| ProSiebenSat.1 Media SE (c) |
27 | 448 | ||||||
| Schaeffler AG (Preference) |
49 | 386 | ||||||
| Siemens AG (Registered) |
40 | 6,535 | ||||||
| Talanx AG |
10 | 468 | ||||||
| Vitesco Technologies Group AG * |
1 | 79 | ||||||
| Volkswagen AG (Preference) |
14 | 3,039 | ||||||
|
|
|
|||||||
| 38,575 | ||||||||
|
|
|
|||||||
| Hong Kong — 1.5% |
| |||||||
| Haitong International Securities Group Ltd. |
3,868 | 889 | ||||||
| Hongkong Land Holdings Ltd. |
288 | 1,588 | ||||||
| Hysan Development Co. Ltd. |
246 | 855 | ||||||
| Kerry Properties Ltd. |
236 | 666 | ||||||
| Sun Hung Kai Properties Ltd. |
106 | 1,399 | ||||||
| VTech Holdings Ltd. |
57 | 437 | ||||||
|
|
|
|||||||
| 5,834 | ||||||||
|
|
|
|||||||
| Italy — 3.7% |
| |||||||
| Anima Holding SpA (a) |
104 | 553 | ||||||
| Assicurazioni Generali SpA |
84 | 1,833 | ||||||
| Azimut Holding SpA |
22 | 625 | ||||||
| Credito Emiliano SpA |
68 | 518 | ||||||
| Eni SpA |
209 | 2,997 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Italy — continued |
| |||||||
| Intesa Sanpaolo SpA |
934 | 2,656 | ||||||
| Mediobanca Banca di Credito Finanziario SpA * |
73 | 875 | ||||||
| Pirelli & C SpA (a) |
196 | 1,205 | ||||||
| Poste Italiane SpA (a) |
50 | 711 | ||||||
| UniCredit SpA |
121 | 1,595 | ||||||
| Unipol Gruppo SpA |
214 | 1,231 | ||||||
|
|
|
|||||||
| 14,799 | ||||||||
|
|
|
|||||||
| Japan — 21.4% |
| |||||||
| Acom Co. Ltd. |
98 | 326 | ||||||
| AGC, Inc. |
26 | 1,300 | ||||||
| Aiful Corp. |
138 | 460 | ||||||
| Aozora Bank Ltd. |
23 | 515 | ||||||
| Arcs Co. Ltd. |
17 | 327 | ||||||
| Bridgestone Corp. |
36 | 1,571 | ||||||
| Brother Industries Ltd. |
40 | 768 | ||||||
| Chiba Bank Ltd. (The) |
98 | 609 | ||||||
| Concordia Financial Group Ltd. |
148 | 586 | ||||||
| Cosmo Energy Holdings Co. Ltd. |
58 | 1,184 | ||||||
| Credit Saison Co. Ltd. |
92 | 1,125 | ||||||
| Dai-ichi Life Holdings, Inc. |
102 | 2,152 | ||||||
| Daiwa Securities Group, Inc. |
125 | 702 | ||||||
| Fuyo General Lease Co. Ltd. |
16 | 1,040 | ||||||
| Hachijuni Bank Ltd. (The) |
96 | 320 | ||||||
| Hitachi Ltd. |
43 | 2,455 | ||||||
| Honda Motor Co. Ltd. |
105 | 3,112 | ||||||
| Iida Group Holdings Co. Ltd. |
22 | 533 | ||||||
| Isuzu Motors Ltd. |
115 | 1,546 | ||||||
| ITOCHU Corp. |
49 | 1,400 | ||||||
| Japan Post Holdings Co. Ltd. * |
108 | 832 | ||||||
| Japan Post Insurance Co. Ltd. |
74 | 1,199 | ||||||
| Kamigumi Co. Ltd. |
23 | 461 | ||||||
| Kandenko Co. Ltd. |
41 | 319 | ||||||
| KDDI Corp. |
105 | 3,208 | ||||||
| Kinden Corp. |
22 | 368 | ||||||
| K’s Holdings Corp. |
41 | 427 | ||||||
| Kyudenko Corp. |
14 | 441 | ||||||
| Mitsubishi Chemical Holdings Corp. |
137 | 1,136 | ||||||
| Mitsubishi Corp. |
68 | 2,146 | ||||||
| Mitsubishi Gas Chemical Co., Inc. |
22 | 433 | ||||||
| Mitsubishi UFJ Financial Group, Inc. |
731 | 4,009 | ||||||
| Mitsui & Co. Ltd. |
95 | 2,163 | ||||||
| Mitsui Fudosan Co. Ltd. |
74 | 1,699 | ||||||
| Mixi, Inc. |
19 | 433 | ||||||
| Mizuho Financial Group, Inc. |
178 | 2,347 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 51 | ||||||||
Table of Contents
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Japan — continued |
| |||||||
| MS&AD Insurance Group Holdings, Inc. |
44 | 1,431 | ||||||
| Nichias Corp. |
14 | 345 | ||||||
| Nichiha Corp. |
10 | 285 | ||||||
| Nippon Light Metal Holdings Co. Ltd. |
21 | 353 | ||||||
| Nippon Telegraph & Telephone Corp. |
98 | 2,757 | ||||||
| Nippon Television Holdings, Inc. |
33 | 352 | ||||||
| Nomura Holdings, Inc. |
274 | 1,305 | ||||||
| Nomura Real Estate Holdings, Inc. |
48 | 1,160 | ||||||
| ORIX Corp. |
119 | 2,369 | ||||||
| Rengo Co. Ltd. |
36 | 275 | ||||||
| Resona Holdings, Inc. |
190 | 715 | ||||||
| Sanwa Holdings Corp. |
37 | 426 | ||||||
| SBI Holdings, Inc. |
23 | 604 | ||||||
| Sekisui House Ltd. |
64 | 1,322 | ||||||
| Senko Group Holdings Co. Ltd. |
43 | 382 | ||||||
| Shizuoka Bank Ltd. (The) |
91 | 731 | ||||||
| SoftBank Corp. |
211 | 2,876 | ||||||
| Sojitz Corp. |
71 | 1,164 | ||||||
| Sompo Holdings, Inc. |
23 | 1,010 | ||||||
| Sony Group Corp. |
4 | 440 | ||||||
| Sumitomo Bakelite Co. Ltd. |
11 | 481 | ||||||
| Sumitomo Corp. |
94 | 1,338 | ||||||
| Sumitomo Forestry Co. Ltd. |
30 | 563 | ||||||
| Sumitomo Mitsui Financial Group, Inc. |
93 | 3,015 | ||||||
| Sumitomo Mitsui Trust Holdings, Inc. |
50 | 1,651 | ||||||
| T&D Holdings, Inc. |
92 | 1,180 | ||||||
| Teijin Ltd. |
35 | 467 | ||||||
| Tokyo Steel Manufacturing Co. Ltd. |
53 | 592 | ||||||
| Tokyo Tatemono Co. Ltd. |
35 | 516 | ||||||
| Tosoh Corp. |
38 | 632 | ||||||
| Toyota Motor Corp. |
536 | 9,448 | ||||||
| Toyota Tsusho Corp. |
19 | 811 | ||||||
| Ube Industries Ltd. |
16 | 304 | ||||||
|
|
|
|||||||
| 84,952 | ||||||||
|
|
|
|||||||
| Luxembourg — 0.4% |
| |||||||
| ArcelorMittal SA |
38 | 1,293 | ||||||
| RTL Group SA |
7 | 430 | ||||||
|
|
|
|||||||
| 1,723 | ||||||||
|
|
|
|||||||
| Malta — 0.2% |
| |||||||
| Kindred Group plc, SDR |
57 | 808 | ||||||
|
|
|
|||||||
| Netherlands — 3.2% |
| |||||||
| ABN AMRO Bank NV, CVA (a) |
103 | 1,516 | ||||||
| Aegon NV |
337 | 1,709 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Netherlands — continued |
| |||||||
| ASR Nederland NV |
17 | 774 | ||||||
| ING Groep NV |
211 | 3,205 | ||||||
| Koninklijke Ahold Delhaize NV |
63 | 2,063 | ||||||
| NN Group NV |
26 | 1,406 | ||||||
| PostNL NV |
116 | 505 | ||||||
| Randstad NV |
13 | 906 | ||||||
| Signify NV (a) |
14 | 688 | ||||||
|
|
|
|||||||
| 12,772 | ||||||||
|
|
|
|||||||
| Norway — 3.0% |
| |||||||
| Bank Norwegian ASA |
68 | 837 | ||||||
| DNB Bank ASA |
70 | 1,663 | ||||||
| Elkem ASA * (a) |
230 | 913 | ||||||
| Equinor ASA |
101 | 2,569 | ||||||
| Europris ASA (a) |
59 | 438 | ||||||
| Norsk Hydro ASA |
170 | 1,248 | ||||||
| Olav Thon Eiendomsselskap ASA |
24 | 534 | ||||||
| Selvaag Bolig ASA |
95 | 586 | ||||||
| SpareBank 1 Nord Norge |
80 | 973 | ||||||
| SpareBank 1 SMN |
43 | 709 | ||||||
| SpareBank 1 SR-Bank ASA |
46 | 708 | ||||||
| Storebrand ASA |
60 | 639 | ||||||
|
|
|
|||||||
| 11,817 | ||||||||
|
|
|
|||||||
| Portugal — 0.1% |
| |||||||
| Sonae SGPS SA |
459 | 505 | ||||||
|
|
|
|||||||
| Russia — 0.3% |
| |||||||
| Evraz plc |
113 | 961 | ||||||
|
|
|
|||||||
| Singapore — 1.1% |
| |||||||
| DBS Group Holdings Ltd. |
32 | 736 | ||||||
| Oversea-Chinese Banking Corp. Ltd. |
207 | 1,808 | ||||||
| StarHub Ltd. |
378 | 348 | ||||||
| United Overseas Bank Ltd. |
68 | 1,346 | ||||||
|
|
|
|||||||
| 4,238 | ||||||||
|
|
|
|||||||
| South Africa — 0.7% |
| |||||||
| Anglo American plc |
76 | 2,897 | ||||||
|
|
|
|||||||
| Spain — 3.2% |
| |||||||
| Acerinox SA |
41 | 564 | ||||||
| ACS Actividades de Construccion y Servicios SA |
30 | 790 | ||||||
| Banco Bilbao Vizcaya Argentaria SA |
415 | 2,901 | ||||||
| Banco Santander SA (c) |
944 | 3,580 | ||||||
| CaixaBank SA |
293 | 841 | ||||||
| Indra Sistemas SA * |
109 | 1,323 | ||||||
| Mediaset Espana Comunicacion SA * |
96 | 501 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 52 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| Spain — continued |
| |||||||
| Telefonica SA |
386 | 1,677 | ||||||
| Unicaja Banco SA (a) |
541 | 578 | ||||||
|
|
|
|||||||
| 12,755 | ||||||||
|
|
|
|||||||
| Sweden — 3.5% |
| |||||||
| Betsson AB, Class B * |
51 | 356 | ||||||
| Bilia AB, Class A |
24 | 423 | ||||||
| Boliden AB |
25 | 888 | ||||||
| Bonava AB, Class B |
42 | 415 | ||||||
| Dustin Group AB (a) (c) |
67 | 824 | ||||||
| Humana AB * |
55 | 458 | ||||||
| Industrivarden AB, Class A (c) |
2 | 53 | ||||||
| Intrum AB |
24 | 674 | ||||||
| Inwido AB |
42 | 761 | ||||||
| Lundin Energy AB |
33 | 1,322 | ||||||
| Mekonomen AB * |
34 | 701 | ||||||
| Nobia AB |
51 | 314 | ||||||
| Resurs Holding AB (a) |
56 | 304 | ||||||
| Securitas AB, Class B |
60 | 995 | ||||||
| Skandinaviska Enskilda Banken AB, Class A |
125 | 1,955 | ||||||
| Skanska AB, Class B |
29 | 725 | ||||||
| SSAB AB, Class B * |
189 | 944 | ||||||
| Svenska Handelsbanken AB, Class A |
105 | 1,206 | ||||||
| Volvo AB, Class B |
14 | 335 | ||||||
|
|
|
|||||||
| 13,653 | ||||||||
|
|
|
|||||||
| Switzerland — 6.3% |
| |||||||
| Adecco Group AG (Registered) |
16 | 788 | ||||||
| BKW AG |
4 | 478 | ||||||
| Holcim Ltd. * |
36 | 1,797 | ||||||
| Julius Baer Group Ltd. |
15 | 1,111 | ||||||
| Novartis AG (Registered) |
108 | 8,971 | ||||||
| Roche Holding AG |
3 | 1,195 | ||||||
| Swiss Life Holding AG (Registered) |
3 | 1,387 | ||||||
| Swisscom AG (Registered) |
2 | 1,062 | ||||||
| UBS Group AG (Registered) |
237 | 4,314 | ||||||
| Zurich Insurance Group AG |
9 | 3,956 | ||||||
|
|
|
|||||||
| 25,059 | ||||||||
|
|
|
|||||||
| Ukraine — 0.2% |
| |||||||
| Ferrexpo plc |
157 | 672 | ||||||
|
|
|
|||||||
| United Kingdom — 16.8% |
| |||||||
| 3i Group plc |
59 | 1,106 | ||||||
| Aviva plc |
276 | 1,490 | ||||||
| Barclays plc |
1,089 | 3,004 | ||||||
| Barratt Developments plc |
139 | 1,264 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| United Kingdom — continued |
| |||||||
| Bellway plc |
9 | 400 | ||||||
| Berkeley Group Holdings plc |
10 | 603 | ||||||
| BP plc |
1,192 | 5,711 | ||||||
| BT Group plc * |
575 | 1,093 | ||||||
| Centrica plc * |
1,724 | 1,423 | ||||||
| CK Hutchison Holdings Ltd. |
276 | 1,850 | ||||||
| Crest Nicholson Holdings plc |
84 | 410 | ||||||
| Currys plc |
635 | 1,056 | ||||||
| Drax Group plc |
122 | 890 | ||||||
| GlaxoSmithKline plc |
278 | 5,780 | ||||||
| Halfords Group plc |
137 | 500 | ||||||
| HSBC Holdings plc |
1,071 | 6,453 | ||||||
| Inchcape plc |
43 | 489 | ||||||
| Investec plc |
278 | 1,264 | ||||||
| ITV plc * |
437 | 643 | ||||||
| J Sainsbury plc |
236 | 967 | ||||||
| JET2 plc * |
54 | 906 | ||||||
| Just Group plc * |
844 | 1,055 | ||||||
| Keller Group plc |
44 | 557 | ||||||
| Kier Group plc * |
253 | 370 | ||||||
| Kingfisher plc |
181 | 829 | ||||||
| Land Securities Group plc, REIT |
157 | 1,473 | ||||||
| Legal & General Group plc |
427 | 1,684 | ||||||
| Lloyds Banking Group plc |
4,177 | 2,858 | ||||||
| M&G plc |
303 | 829 | ||||||
| Man Group plc |
271 | 862 | ||||||
| Marks & Spencer Group plc * |
530 | 1,333 | ||||||
| Mitie Group plc * |
1,316 | 1,178 | ||||||
| Morgan Sindall Group plc |
20 | 610 | ||||||
| NatWest Group plc |
399 | 1,204 | ||||||
| OSB Group plc |
172 | 1,191 | ||||||
| Paragon Banking Group plc |
75 | 560 | ||||||
| Premier Foods plc |
451 | 678 | ||||||
| Prudential plc |
136 | 2,773 | ||||||
| Rathbone Brothers plc |
16 | 419 | ||||||
| Reach plc |
208 | 904 | ||||||
| Redrow plc |
48 | 422 | ||||||
| Royal Mail plc |
80 | 462 | ||||||
| ScS Group plc |
119 | 417 | ||||||
| Serco Group plc |
210 | 363 | ||||||
| Standard Chartered plc |
163 | 1,102 | ||||||
| Taylor Wimpey plc |
325 | 688 | ||||||
| Tesco plc |
599 | 2,210 | ||||||
| Vesuvius plc |
53 | 340 | ||||||
| Vistry Group plc |
30 | 495 | ||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 53 | ||||||||
Table of Contents
JPMorgan International Value Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — continued |
| |||||||
| United Kingdom — continued |
| |||||||
| WPP plc |
106 | 1,533 | ||||||
|
|
|
|||||||
| 66,701 | ||||||||
|
|
|
|||||||
| United States — 0.4% |
| |||||||
| Stellantis NV |
62 | 1,241 | ||||||
| Stellantis NV |
22 | 441 | ||||||
|
|
|
|||||||
| 1,682 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
|
395,636 | ||||||
|
|
|
|||||||
| Short-Term Investments — 1.7% |
| |||||||
| Investment Companies — 0.6% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (d) (e) |
2,399 | 2,400 | ||||||
|
|
|
|||||||
| Investment of Cash Collateral from Securities Loaned — 1.1% |
| |||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (d) (e) |
3,199 | 3,199 | ||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (d) (e) |
945 | 945 | ||||||
|
|
|
|||||||
| Total Investment of Cash Collateral from Securities Loaned |
4,144 | |||||||
|
|
|
|||||||
| Total Short-Term Investments |
6,544 | |||||||
|
|
|
|||||||
| Total Investments — 101.4% |
402,180 | |||||||
| Liabilities in Excess of |
(5,481 | ) | ||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
396,699 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Summary of Investments by Industry, October 31, 2021
The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments:
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Banks |
22.6 | % | ||
| Insurance |
10.7 | |||
| Automobiles |
6.2 | |||
| Metals & Mining |
6.0 | |||
| Oil, Gas & Consumable Fuels |
5.8 | |||
| Pharmaceuticals |
4.0 | |||
| INDUSTRY | PERCENT OF TOTAL INVESTMENTS |
|||
| Capital Markets |
3.8 | % | ||
| Trading Companies & Distributors |
2.9 | |||
| Industrial Conglomerates |
2.7 | |||
| Diversified Telecommunication Services |
2.5 | |||
| Media |
2.4 | |||
| Real Estate Management & Development |
2.2 | |||
| Household Durables |
2.2 | |||
| Specialty Retail |
2.1 | |||
| Auto Components |
2.0 | |||
| Food & Staples Retailing |
1.8 | |||
| Wireless Telecommunication Services |
1.7 | |||
| Chemicals |
1.5 | |||
| Machinery |
1.3 | |||
| Air Freight & Logistics |
1.3 | |||
| Building Products |
1.3 | |||
| Commercial Services & Supplies |
1.2 | |||
| Construction & Engineering |
1.1 | |||
| Diversified Financial Services |
1.1 | |||
| Construction Materials |
1.0 | |||
| Others (each less than 1.0%) |
7.0 | |||
| Short-Term Investments |
1.6 | |||
Abbreviations
| CVA | Dutch Certification | |
| 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. | |
| SDR | Swedish Depositary Receipt | |
| SGPS | Holding company | |
| REIT | Real Estate Investment Trust | |
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (b) | Amount rounds to less than one thousand. | |
| (c) | The security or a portion of this security is on loan at October 31, 2021. The total value of securities on loan at October 31, 2021 is $3,137. | |
| (d) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (e) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| 54 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| Futures contracts outstanding as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||||
| Long Contracts | ||||||||||||||||||||
| EURO STOXX 50 Index |
32 | 12/2021 | EUR | 1,574 | 53 | |||||||||||||||
| FTSE 100 Index |
3 | 12/2021 | GBP | 297 | 12 | |||||||||||||||
| TOPIX Index |
4 | 12/2021 | JPY | 705 | (15 | ) | ||||||||||||||
|
|
|
|||||||||||||||||||
| 50 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
Abbreviations
| EUR | Euro | |
| FTSE | Financial Times and the London Stock Exchange | |
| GBP | British Pound | |
| JPY | Japanese Yen | |
| TOPIX | Tokyo Stock Price Index |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 55 | ||||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF OCTOBER 31, 2021
(Amounts in thousands, except per share amounts)
| JPMorgan Emerging Markets Equity Fund |
JPMorgan Emerging Markets Research Enhanced Equity Fund |
JPMorgan Europe Dynamic Fund |
JPMorgan International Equity Fund |
|||||||||||||
| ASSETS: |
| |||||||||||||||
| Investments in non-affiliates, at value |
$ | 13,858,528 | $ | 3,725,364 | $ | 1,014,568 | $ | 4,743,698 | ||||||||
| Investments in affiliates, at value |
24,800 | 3,718 | 46,060 | 123,785 | ||||||||||||
| Investment of cash collateral received from securities loaned, at value (See Note 2.C.) |
247,926 | 25,352 | 7,173 | 124,466 | ||||||||||||
| Cash |
192 | 1,970 | 248 | 68 | ||||||||||||
| Foreign currency, at value |
8,797 | 4,270 | 1,255 | 191 | ||||||||||||
| Deposits at broker for futures contracts |
— | — | 2,324 | — | ||||||||||||
| Receivables: |
||||||||||||||||
| Investment securities sold |
84,761 | 20,724 | 10,106 | — | ||||||||||||
| Fund shares sold |
16,371 | 64,888 | 258 | 5,427 | ||||||||||||
| Dividends from non-affiliates |
5,827 | 3,095 | 268 | 4,047 | ||||||||||||
| Dividends from affiliates |
2 | 1 | 1 | 4 | ||||||||||||
| Tax reclaims |
263 | 52 | 3,318 | 7,097 | ||||||||||||
| Securities lending income (See Note 2.C.) |
33 | 11 | 1 | 79 | ||||||||||||
| Variation margin on futures contracts |
— | — | 270 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
14,247,500 | 3,849,445 | 1,085,850 | 5,008,862 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES: |
| |||||||||||||||
| Payables: |
||||||||||||||||
| Investment securities purchased |
17,588 | 12,839 | 3,098 | — | ||||||||||||
| Collateral received on securities loaned (See Note 2.C.) |
247,926 | 25,352 | 7,173 | 124,466 | ||||||||||||
| Fund shares redeemed |
55,099 | 3,452 | 174 | 36,222 | ||||||||||||
| Accrued liabilities: |
||||||||||||||||
| Investment advisory fees |
8,056 | 579 | 534 | 1,727 | ||||||||||||
| Administration fees |
796 | 94 | 67 | 112 | ||||||||||||
| Distribution fees |
206 | — | 26 | 107 | ||||||||||||
| Service fees |
1,175 | 1 | 109 | 171 | ||||||||||||
| Custodian and accounting fees |
1,182 | 571 | 49 | 150 | ||||||||||||
| Trustees’ and Chief Compliance Officer’s fees |
— | (a) | — | — | (a) | — | ||||||||||
| Deferred foreign capital gains tax |
79,514 | 13,039 | — | — | ||||||||||||
| Other |
174 | 130 | 102 | 190 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Liabilities |
411,716 | 56,057 | 11,332 | 163,145 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net Assets |
$ | 13,835,784 | $ | 3,793,388 | $ | 1,074,518 | $ | 4,845,717 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 56 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan Emerging Markets Equity Fund |
JPMorgan Emerging Markets Research Enhanced Equity Fund |
JPMorgan Europe Dynamic Fund |
JPMorgan International Equity Fund |
|||||||||||||
| NET ASSETS: |
| |||||||||||||||
|
Paid-in-Capital |
$ | 8,959,177 | $ | 3,121,933 | $ | 997,796 | $ | 3,197,174 | ||||||||
| Total distributable earnings (loss) |
4,876,607 | 671,455 | 76,722 | 1,648,543 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Net Assets |
$ | 13,835,784 | $ | 3,793,388 | $ | 1,074,518 | $ | 4,845,717 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net Assets: |
| |||||||||||||||
| Class A |
$ | 702,288 | $ | — | $ | 88,315 | $ | 433,033 | ||||||||
| Class C |
82,409 | — | 11,313 | 10,899 | ||||||||||||
| Class I |
4,753,438 | 5,435 | 443,053 | 584,191 | ||||||||||||
| Class L |
2,598,326 | — | 86,054 | — | ||||||||||||
| Class R2 |
585 | — | — | 24,598 | ||||||||||||
| Class R3 |
14,918 | — | — | — | ||||||||||||
| Class R4 |
3,810 | — | — | — | ||||||||||||
| Class R5 |
20,676 | — | — | 10,463 | ||||||||||||
| Class R6 |
5,659,334 | 3,787,953 | 445,783 | 3,782,533 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 13,835,784 | $ | 3,793,388 | $ | 1,074,518 | $ | 4,845,717 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||||
| Class A |
17,324 | — | 2,857 | 20,020 | ||||||||||||
| Class C |
2,115 | — | 415 | 534 | ||||||||||||
| Class I |
114,277 | 261 | 14,032 | 26,534 | ||||||||||||
| Class L |
61,925 | — | 2,690 | — | ||||||||||||
| Class R2 |
14 | — | — | 1,154 | ||||||||||||
| Class R3 |
370 | — | — | — | ||||||||||||
| Class R4 |
92 | — | — | — | ||||||||||||
| Class R5 |
494 | — | — | 473 | ||||||||||||
| Class R6 |
134,918 | 182,384 | 13,993 | 171,184 | ||||||||||||
| Net Asset Value (a): |
||||||||||||||||
| Class A — Redemption price per share |
$ | 40.54 | $ | — | $ | 30.91 | $ | 21.63 | ||||||||
| Class C — Offering price per share (b) |
38.96 | — | 27.25 | 20.41 | ||||||||||||
| Class I — Offering and redemption price per share |
41.60 | 20.87 | 31.57 | 22.02 | ||||||||||||
| Class L — Offering and redemption price per share |
41.96 | — | 31.99 | — | ||||||||||||
| Class R2 — Offering and redemption price per share |
39.99 | — | — | 21.31 | ||||||||||||
| Class R3 — Offering and redemption price per share |
40.30 | — | — | — | ||||||||||||
| Class R4 — Offering and redemption price per share |
41.45 | — | — | — | ||||||||||||
| Class R5 — Offering and redemption price per share |
41.88 | — | — | 22.14 | ||||||||||||
| Class R6 — Offering and redemption price per share |
41.95 | 20.77 | 31.86 | 22.10 | ||||||||||||
| Class A maximum sales charge |
5.25 | % | — | % | 5.25 | % | 5.25 | % | ||||||||
| Class A maximum public offering price per share |
||||||||||||||||
| [net asset value per share/(100% — maximum sales charge)] |
$ | 42.79 | $ | — | $ | 32.62 | $ | 22.83 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Cost of investments in non-affiliates |
$ | 9,311,380 | $ | 3,167,833 | $ | 884,488 | $ | 3,392,109 | ||||||||
| Cost of investments in affiliates |
24,800 | 3,718 | 46,060 | 123,785 | ||||||||||||
| Cost of foreign currency |
8,796 | 4,253 | 1,255 | 195 | ||||||||||||
| Investment securities on loan, at value (See Note 2.C.) |
235,340 | 24,147 | 6,806 | 119,061 | ||||||||||||
| Cost of investment of cash collateral (See Note 2.C.) |
247,926 | 25,352 | 7,173 | 124,466 | ||||||||||||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 57 | ||||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF OCTOBER 31, 2021 (continued)
(Amounts in thousands, except per share amounts)
| JPMorgan International Focus Fund |
JPMorgan International Hedged Equity Fund |
JPMorgan |
JPMorgan International Value Fund |
|||||||||||||
| ASSETS: |
| |||||||||||||||
| Investments in non-affiliates, at value |
$ | 3,866,466 | $ | 146,891 | $ | 4,853,499 | $ | 395,636 | ||||||||
| Investments in affiliates, at value |
47,837 | 3,536 | 93,239 | 2,400 | ||||||||||||
| Investment of cash collateral received from securities loaned, at value (See Note 2.C.) |
36,469 | — | 92,470 | 4,144 | ||||||||||||
| Options purchased, at value |
— | 971 | — | — | ||||||||||||
| Cash |
75 | 851 | 189 | 76 | ||||||||||||
| Foreign currency, at value |
735 | — | — | 92 | ||||||||||||
| Deposits at broker for futures contracts |
— | 607 | 7,912 | 184 | ||||||||||||
| Receivables: |
||||||||||||||||
| Due from custodian |
3,200 | — | 31,864 | — | ||||||||||||
| Investment securities sold |
— | 1,923 | 36,033 | — | ||||||||||||
| Fund shares sold |
1,516 | 104 | 24,883 | 374 | ||||||||||||
| Dividends from non-affiliates |
2,107 | 305 | 10,611 | 1,376 | ||||||||||||
| Dividends from affiliates |
3 | — | (a) | 3 | — | (a) | ||||||||||
| Tax reclaims |
4,077 | 338 | 10,911 | 2,481 | ||||||||||||
| Securities lending income (See Note 2.C.) |
90 | — | 63 | 5 | ||||||||||||
| Variation margin on futures contracts |
— | — | — | 18 | ||||||||||||
| Due from broker |
— | — | 5,623 | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Assets |
3,962,575 | 155,526 | 5,167,300 | 406,786 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| LIABILITIES: |
| |||||||||||||||
| Payables: |
||||||||||||||||
| Due to custodian |
— | 116 | — | — | ||||||||||||
| Foreign currency due to custodian, at value |
— | 572 | 3,259 | — | ||||||||||||
| Investment securities purchased |
3,200 | 1,143 | 64,024 | — | ||||||||||||
| Collateral received on securities loaned (See Note 2.C.) |
36,469 | — | 92,470 | 4,144 | ||||||||||||
| Fund shares redeemed |
474 | 25 | 9,503 | 4,486 | ||||||||||||
| Variation margin on futures contracts |
— | 53 | 507 | — | ||||||||||||
| Outstanding options written, at fair value |
— | 685 | — | — | ||||||||||||
| IRS compliance fees for foreign withholding tax claims (See Note 2.K.) |
— | — | — | 923 | ||||||||||||
| Accrued liabilities: |
||||||||||||||||
| Investment advisory fees |
1,627 | 14 | 689 | 150 | ||||||||||||
| Administration fees |
24 | — | 222 | 2 | ||||||||||||
| Distribution fees |
85 | 1 | 10 | 43 | ||||||||||||
| Service fees |
197 | 32 | 26 | 38 | ||||||||||||
| Custodian and accounting fees |
144 | 27 | 173 | 35 | ||||||||||||
| Trustees’ and Chief Compliance Officer’s fees |
— | (a) | — | (a) | — | (a) | — | (a) | ||||||||
| Other |
67 | 82 | 575 | 266 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Liabilities |
42,287 | 2,750 | 171,458 | 10,087 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net Assets |
$ | 3,920,288 | $ | 152,776 | $ | 4,995,842 | $ | 396,699 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 58 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan International Focus Fund |
JPMorgan International Hedged Equity Fund |
JPMorgan |
JPMorgan International Value Fund |
|||||||||||||
| NET ASSETS: |
||||||||||||||||
|
Paid-in-Capital |
$ | 3,008,130 | $ | 139,158 | $ | 3,949,948 | $ | 408,038 | ||||||||
| Total distributable earnings (loss) |
912,158 | 13,618 | 1,045,894 | (11,339 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Net Assets |
$ | 3,920,288 | $ | 152,776 | $ | 4,995,842 | $ | 396,699 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net Assets: |
||||||||||||||||
| Class A |
$ | 337,503 | $ | 3,561 | $ | 46,779 | $ | 187,774 | ||||||||
| Class C |
24,272 | 320 | — | 3,923 | ||||||||||||
| Class I |
832,039 | 148,703 | 386,797 | 39,188 | ||||||||||||
| Class L |
— | — | — | 7,042 | ||||||||||||
| Class R2 |
2,078 | — | — | 514 | ||||||||||||
| Class R5 |
3,172 | 23 | — | 67 | ||||||||||||
| Class R6 |
2,721,224 | 169 | 4,562,266 | 158,191 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total |
$ | 3,920,288 | $ | 152,776 | $ | 4,995,842 | $ | 396,699 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Outstanding units of beneficial interest (shares) ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||||||
| Class A |
12,251 | 213 | 2,200 | 13,948 | ||||||||||||
| Class C |
897 | 19 | — | 301 | ||||||||||||
| Class I |
29,770 | 8,836 | 18,081 | 2,831 | ||||||||||||
| Class L |
— | — | — | 511 | ||||||||||||
| Class R2 |
76 | — | — | 39 | ||||||||||||
| Class R5 |
113 | 1 | — | 5 | ||||||||||||
| Class R6 |
97,252 | 10 | 213,929 | 11,542 | ||||||||||||
| Net Asset Value (a): |
||||||||||||||||
| Class A — Redemption price per share |
$ | 27.55 | $ | 16.73 | $ | 21.26 | $ | 13.46 | ||||||||
| Class C — Offering price per share (b) |
27.06 | 16.68 | — | 13.02 | ||||||||||||
| Class I — Offering and redemption price per share |
27.95 | 16.83 | 21.39 | 13.84 | ||||||||||||
| Class L — Offering and redemption price per share |
— | — | — | 13.78 | ||||||||||||
| Class R2 — Offering and redemption price per share |
27.25 | — | — | 13.22 | ||||||||||||
| Class R5 — Offering and redemption price per share |
27.96 | 16.86 | — | 13.67 | ||||||||||||
| Class R6 — Offering and redemption price per share |
27.98 | 16.88 | 21.33 | 13.71 | ||||||||||||
| Class A maximum sales charge |
5.25 | % | 5.25 | % | 5.25 | % | 5.25 | % | ||||||||
| Class A maximum public offering price per share |
$ | 29.08 | $ | 17.66 | $ | 22.44 | $ | 14.21 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Cost of investments in non-affiliates |
$ | 2,892,698 | $ | 113,996 | $ | 3,594,068 | $ | 336,207 | ||||||||
| Cost of investments in affiliates |
47,837 | 3,536 | 93,239 | 2,400 | ||||||||||||
| Cost of options purchased |
— | 2,614 | — | — | ||||||||||||
| Cost of foreign currency |
735 | — | 2,317 | 92 | ||||||||||||
| Investment securities on loan, at value (See Note 2.C.) |
35,662 | — | 86,810 | 3,137 | ||||||||||||
| Cost of investment of cash collateral (See Note 2.C.) |
36,469 | — | 92,470 | 4,144 | ||||||||||||
| Premiums received from options written |
— | 2,404 | — | — | ||||||||||||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 59 | ||||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2021
(Amounts in thousands)
| JPMorgan Emerging Markets Equity Fund |
JPMorgan Emerging Markets Research Enhanced Equity Fund |
JPMorgan Europe Dynamic Fund |
JPMorgan International Equity Fund |
|||||||||||||
| INVESTMENT INCOME: |
| |||||||||||||||
| Interest income from non-affiliates |
$ | 2 | $ | 2 | $ | 10 | $ | 4 | ||||||||
| Interest income from affiliates |
— | (a) | — | (a) | — | 2 | ||||||||||
| Dividend income from non-affiliates |
136,872 | 91,855 | 20,745 | 106,263 | ||||||||||||
| Dividend income from affiliates |
106 | 33 | 11 | 54 | ||||||||||||
| Non-cash dividend income from non-affiliates (b) |
6,210 | — | — | 6,454 | ||||||||||||
| Income from securities lending (net) (See Note 2.C.) |
1,640 | 155 | 131 | 436 | ||||||||||||
| Foreign taxes withheld (net) |
(14,816 | ) | (8,841 | ) | (1,966 | ) | (8,507 | ) | ||||||||
| Foreign withholding tax claims (See Note 2.K.) |
— | — | 569 | 170 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total investment income |
130,014 | 83,204 | 19,500 | 104,876 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| EXPENSES: |
| |||||||||||||||
| Investment advisory fees |
97,958 | 8,972 | 4,561 | 21,273 | ||||||||||||
| Administration fees |
9,764 | 2,691 | 570 | 3,191 | ||||||||||||
| Distribution fees: |
||||||||||||||||
| Class A |
1,837 | — | 216 | 952 | ||||||||||||
| Class C |
689 | — | 93 | 82 | ||||||||||||
| Class R2 |
3 | — | — | 126 | ||||||||||||
| Class R3 |
30 | — | — | — | ||||||||||||
| Service fees: |
||||||||||||||||
| Class A |
1,837 | — | 216 | 952 | ||||||||||||
| Class C |
230 | — | 31 | 27 | ||||||||||||
| Class I |
12,690 | 9 | 559 | 1,217 | ||||||||||||
| Class L |
2,583 | — | 77 | — | ||||||||||||
| Class R2 |
1 | — | — | 63 | ||||||||||||
| Class R3 |
30 | — | — | — | ||||||||||||
| Class R4 |
10 | — | — | — | ||||||||||||
| Class R5 |
55 | — | — | 10 | ||||||||||||
| Custodian and accounting fees |
4,671 | 2,263 | 209 | 529 | ||||||||||||
| Interest expense to affiliates |
8 | 38 | 8 | 12 | ||||||||||||
| Professional fees |
181 | 127 | 150 | 125 | ||||||||||||
| Trustees’ and Chief Compliance Officer’s fees |
61 | 34 | 27 | 35 | ||||||||||||
| Printing and mailing costs |
1,011 | 31 | 12 | 129 | ||||||||||||
| Registration and filing fees |
640 | 85 | 86 | 280 | ||||||||||||
| Transfer agency fees (See Note 2.I.) |
373 | 24 | 36 | 115 | ||||||||||||
| Other |
262 | 71 | 25 | 76 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses |
134,924 | 14,345 | 6,876 | 29,194 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Less fees waived |
(4,115 | ) | (1,782 | ) | (61 | ) | (4,978 | ) | ||||||||
| Less expense reimbursements |
(135 | ) | (1 | ) | — | (17 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net expenses |
130,674 | 12,562 | 6,815 | 24,199 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
(660 | ) | 70,642 | 12,685 | 80,677 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||||
| Net realized gain (loss) on transactions from: |
| |||||||||||||||
| Investments in non-affiliates |
571,768 | (c) | 184,953 | (d) | 62,870 | 336,528 | ||||||||||
| Investments in affiliates |
(43 | ) | (7 | ) | (2 | ) | 1 | |||||||||
| Futures contracts |
— | (34 | ) | 2,401 | (5,247 | ) | ||||||||||
| Foreign currency transactions |
(1,625 | ) | (844 | ) | (5 | ) | 843 | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized gain (loss) |
570,100 | 184,068 | 65,264 | 332,125 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation/depreciation on: |
| |||||||||||||||
| Investments in non-affiliates |
749,562 | (e) | 221,740 | (f) | 117,778 | 631,345 | ||||||||||
| Investments in affiliates |
30 | 1 | — | (a) | 2 | |||||||||||
| Futures contracts |
— | — | 1,351 | — | ||||||||||||
| Foreign currency translations |
(9 | ) | (3 | ) | (97 | ) | (414 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation/depreciation |
749,583 | 221,738 | 119,032 | 630,933 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized/unrealized gains (losses) |
1,319,683 | 405,806 | 184,296 | 963,058 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
$ | 1,319,023 | $ | 476,448 | $ | 196,981 | $ | 1,043,735 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
| (b) | This is a result of a non-cash distribution from a non-affiliated investment. The Funds recorded the non-cash dividend income on the ex-dividend date. |
| (c) | Net of foreign capital gains tax of $(1,688). |
| (d) | Net of foreign capital gains tax of $(5,852). |
| (e) | Net of change in foreign capital gains tax of $(60,969). |
| (f) | Net of change in foreign capital gains tax of $(6,912). |
SEE NOTES TO FINANCIAL STATEMENTS.
| 60 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan International Focus Fund |
JPMorgan International Hedged Equity Fund |
JPMorgan |
JPMorgan International Value Fund |
|||||||||||||
| INVESTMENT INCOME: |
| |||||||||||||||
| Interest income from non-affiliates |
$ | 2 | $ | — | (a) | $ | 13 | $ | 313 | |||||||
| Interest income from affiliates |
1 | — | 2 | — | (a) | |||||||||||
| Dividend income from non-affiliates |
80,733 | 3,680 | 150,414 | 15,821 | ||||||||||||
| Dividend income from affiliates |
47 | 1 | 78 | 4 | ||||||||||||
| Non-cash dividend income from non-affiliates (b) |
5,483 | — | — | — | ||||||||||||
| Income from securities lending (net) (See Note 2.C.) |
212 | — | 1,218 | 91 | ||||||||||||
| Foreign taxes withheld (net) |
(5,689 | ) | (300 | ) | (12,491 | ) | (1,397 | ) | ||||||||
| Foreign withholding tax claims (See Note 2.K.) |
83 | — | 1,257 | 2,020 | ||||||||||||
| IRS compliance fees for foreign withholding tax claims (See Note 2.K.) |
— | — | — | (923 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total investment income |
80,872 | 3,381 | 140,491 | 15,929 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| EXPENSES: |
| |||||||||||||||
| Investment advisory fees |
21,576 | 322 | 10,346 | 1,999 | ||||||||||||
| Administration fees |
2,697 | 97 | 3,880 | 273 | ||||||||||||
| Distribution fees: |
||||||||||||||||
| Class A |
627 | 6 | 116 | 432 | ||||||||||||
| Class C |
160 | 1 | — | 34 | ||||||||||||
| Class R2 |
10 | — | — | 3 | ||||||||||||
| Service fees: |
||||||||||||||||
| Class A |
627 | 6 | 116 | 432 | ||||||||||||
| Class C |
53 | — | (a) | — | 11 | |||||||||||
| Class I |
1,595 | 316 | 1,178 | 89 | ||||||||||||
| Class L |
— | — | — | 8 | ||||||||||||
| Class R2 |
5 | — | — | 1 | ||||||||||||
| Class R5 |
3 | — | (a) | — | — | (a) | ||||||||||
| Custodian and accounting fees |
581 | 71 | 687 | 117 | ||||||||||||
| Interest expense to affiliates |
13 | 2 | 21 | 2 | ||||||||||||
| Professional fees |
133 | 78 | 268 | 113 | ||||||||||||
| Trustees’ and Chief Compliance Officer’s fees |
34 | 25 | 37 | 26 | ||||||||||||
| Printing and mailing costs |
119 | 8 | 185 | 11 | ||||||||||||
| Registration and filing fees |
176 | 80 | 171 | 107 | ||||||||||||
| Transfer agency fees (See Note 2.I.) |
77 | — | (a) | 87 | 19 | |||||||||||
| Other |
57 | 15 | 178 | 25 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total expenses |
28,543 | 1,027 | 17,270 | 3,702 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Less fees waived |
(6,207 | ) | (246 | ) | (3,745 | ) | (795 | ) | ||||||||
| Less expense reimbursements |
— | — | (a) | — | — | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net expenses |
22,336 | 781 | 13,525 | 2,907 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net investment income (loss) |
58,536 | 2,600 | 126,966 | 13,022 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||||||
| Net realized gain (loss) on transactions from: |
| |||||||||||||||
| Investments in non-affiliates |
78,363 | 3,806 | 247,453 | 3,944 | ||||||||||||
| Investments in affiliates |
(12 | ) | — | (a) | 51 | — | (a) | |||||||||
| Options purchased |
— | (9,695 | ) | — | — | |||||||||||
| Futures contracts |
— | 1,360 | 35,884 | 781 | ||||||||||||
| Foreign currency transactions |
270 | (51 | ) | (231 | ) | (380 | ) | |||||||||
| Forward foreign currency exchange contracts |
(2,665 | ) | — | — | — | |||||||||||
| Options written |
— | (885 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized gain (loss) |
75,956 | (5,465 | ) | 283,157 | 4,345 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation/depreciation on: |
| |||||||||||||||
| Investments in non-affiliates |
610,224 | 30,677 | 1,197,938 | 104,588 | ||||||||||||
| Investments in affiliates |
4 | — | (78 | ) | — | (a) | ||||||||||
| Options purchased |
— | (4,046 | ) | — | — | |||||||||||
| Futures contracts |
— | 135 | (734 | ) | 290 | |||||||||||
| Foreign currency translations |
(49 | ) | (14 | ) | (714 | ) | (40 | ) | ||||||||
| Options written |
— | (8 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net unrealized appreciation/depreciation |
610,179 | 26,744 | 1,196,412 | 104,838 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Net realized/unrealized gains (losses) |
686,135 | 21,279 | 1,479,569 | 109,183 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
$ | 744,671 | $ | 23,879 | $ | 1,606,535 | $ | 122,205 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
| (b) | This is a result of a non-cash distribution from a non-affiliated investment. The Funds recorded the non-cash dividend income on the ex-dividend date. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 61 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Emerging Markets Equity Fund |
JPMorgan Emerging Markets Research Enhanced Equity Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | (660 | ) | $ | 20,921 | $ | 70,642 | $ | 48,936 | |||||||
| Net realized gain (loss) |
570,100 | (21,492 | ) | 184,068 | (115,392 | ) | ||||||||||
| Change in net unrealized appreciation/depreciation |
749,583 | 1,995,150 | 221,738 | 281,827 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
1,319,023 | 1,994,579 | 476,448 | 215,371 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
— | (3,084 | ) | — | — | |||||||||||
| Class C |
— | (79 | ) | — | — | |||||||||||
| Class I |
(4,875 | ) | (15,303 | ) | (1 | ) | — | (a) | ||||||||
| Class L |
(3,336 | ) | (8,491 | ) | — | — | ||||||||||
| Class R2 |
— | (1 | ) | — | — | |||||||||||
| Class R3 |
— | (21 | ) | — | — | |||||||||||
| Class R4 |
(1 | ) | (11 | ) | — | — | ||||||||||
| Class R5 |
(80 | ) | (349 | ) | — | — | ||||||||||
| Class R6 |
(10,851 | ) | (29,101 | ) | (50,836 | ) | (24,046 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
(19,143 | ) | (56,440 | ) | (50,837 | ) | (24,046 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
| |||||||||||||||
| Change in net assets resulting from capital transactions |
1,315,679 | 2,968,409 | 527,435 | 558,443 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS: |
| |||||||||||||||
| Change in net assets |
2,615,559 | 4,906,548 | 953,046 | 749,768 | ||||||||||||
| Beginning of period |
11,220,225 | 6,313,677 | 2,840,342 | 2,090,574 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 13,835,784 | $ | 11,220,225 | $ | 3,793,388 | $ | 2,840,342 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 62 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 12,685 | $ | 6,920 | $ | 80,677 | $ | 43,858 | ||||||||
| Net realized gain (loss) |
65,264 | (16,079 | ) | 332,125 | (49,374 | ) | ||||||||||
| Change in net unrealized appreciation/depreciation |
119,032 | (32,885 | ) | 630,933 | (39,646 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
196,981 | (42,044 | ) | 1,043,735 | (45,162 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
(839 | ) | (2,780 | ) | (3,040 | ) | (9,505 | ) | ||||||||
| Class C |
(80 | ) | (497 | ) | (42 | ) | (344 | ) | ||||||||
| Class I |
(772 | ) | (2,605 | ) | (4,786 | ) | (6,207 | ) | ||||||||
| Class L |
(920 | ) | (2,069 | ) | — | — | ||||||||||
| Class R2 |
— | — | (292 | ) | (65 | ) | ||||||||||
| Class R5 |
— | — | (99 | ) | (124 | ) | ||||||||||
| Class R6 |
(4,405 | ) | (8,878 | ) | (33,732 | ) | (80,146 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
(7,016 | ) | (16,829 | ) | (41,991 | ) | (96,391 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
| |||||||||||||||
| Change in net assets resulting from capital transactions |
445,725 | (44,544 | ) | 913,051 | 75,469 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS: |
| |||||||||||||||
| Change in net assets |
635,690 | (103,417 | ) | 1,914,795 | (66,084 | ) | ||||||||||
| Beginning of period |
438,828 | 542,245 | 2,930,922 | 2,997,006 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 1,074,518 | $ | 438,828 | $ | 4,845,717 | $ | 2,930,922 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 63 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 58,536 | $ | 34,949 | $ | 2,600 | $ | 2,110 | ||||||||
| Net realized gain (loss) |
75,956 | (143,255 | ) | (5,465 | ) | (16,164 | ) | |||||||||
| Change in net unrealized appreciation/depreciation |
610,179 | 231,375 | 26,744 | 5,164 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
744,671 | 123,069 | 23,879 | (8,890 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
(1,160 | ) | (46 | ) | (29 | ) | (5 | ) | ||||||||
| Class C |
(42 | ) | — | (1 | ) | (1 | ) | |||||||||
| Class I |
(4,486 | ) | (431 | ) | (2,175 | ) | (1,362 | ) | ||||||||
| Class R2 |
(9 | ) | — | — | — | |||||||||||
| Class R5 |
(32 | ) | (9 | ) | (1 | ) | — | (a) | ||||||||
| Class R6 |
(28,297 | ) | (10,047 | ) | (1 | ) | (1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
(34,026 | ) | (10,533 | ) | (2,207 | ) | (1,369 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
| |||||||||||||||
| Change in net assets resulting from capital transactions |
407,973 | 89,493 | (6,164 | ) | 87,285 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS: |
| |||||||||||||||
| Change in net assets |
1,118,618 | 202,029 | 15,508 | 77,026 | ||||||||||||
| Beginning of period |
2,801,670 | 2,599,641 | 137,268 | 60,242 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 3,920,288 | $ | 2,801,670 | $ | 152,776 | $ | 137,268 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 64 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan International Research Enhanced Equity Fund |
JPMorgan International Value Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | 126,966 | $ | 115,593 | $ | 13,022 | $ | 9,086 | ||||||||
| Net realized gain (loss) |
283,157 | (384,441 | ) | 4,345 | (39,947 | ) | ||||||||||
| Change in net unrealized appreciation/depreciation |
1,196,412 | (159,055 | ) | 104,838 | (40,074 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
1,606,535 | (427,903 | ) | 122,205 | (70,935 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
(402 | ) | (5,482 | ) | (4,156 | ) | (7,133 | ) | ||||||||
| Class C |
— | — | (106 | ) | (299 | ) | ||||||||||
| Class I |
(10,216 | ) | (6,829 | ) | (914 | ) | (1,823 | ) | ||||||||
| Class L |
— | — | (192 | ) | (1,237 | ) | ||||||||||
| Class R2 |
— | — | (11 | ) | (21 | ) | ||||||||||
| Class R5 |
— | — | (3 | ) | (4 | ) | ||||||||||
| Class R6 |
(95,880 | ) | (143,050 | ) | (3,877 | ) | (5,532 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
(106,498 | ) | (155,361 | ) | (9,259 | ) | (16,049 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
| |||||||||||||||
| Change in net assets resulting from capital transactions |
(1,366,544 | ) | 611,139 | 15,889 | (38,424 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS: |
| |||||||||||||||
| Change in net assets |
133,493 | 27,875 | 128,835 | (125,408 | ) | |||||||||||
| Beginning of period |
4,862,349 | 4,834,474 | 267,864 | 393,272 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 4,995,842 | $ | 4,862,349 | $ | 396,699 | $ | 267,864 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 65 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Emerging Markets Equity Fund |
JPMorgan Emerging Markets Research Enhanced Equity Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Proceeds from shares issued |
$ | 254,285 | $ | 396,625 | $ | — | $ | — | ||||||||
| Distributions reinvested |
— | 3,026 | — | — | ||||||||||||
| Cost of shares redeemed |
(192,488 | ) | (433,578 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class A capital transactions |
$ | 61,797 | $ | (33,927 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
||||||||||||||||
| Proceeds from shares issued |
$ | 21,002 | $ | 25,207 | $ | — | $ | — | ||||||||
| Distributions reinvested |
— | 76 | — | — | ||||||||||||
| Cost of shares redeemed |
(18,983 | ) | (21,149 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class C capital transactions |
$ | 2,019 | $ | 4,134 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
||||||||||||||||
| Proceeds from shares issued |
$ | 2,529,253 | $ | 2,957,574 | $ | 6,294 | $ | 32 | ||||||||
| Distributions reinvested |
4,534 | 13,741 | 1 | — | (a) | |||||||||||
| Cost of shares redeemed |
(2,287,926 | ) | (1,376,247 | ) | (466 | ) | (6 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class I capital transactions |
$ | 245,861 | $ | 1,595,068 | $ | 5,829 | $ | 26 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class L |
||||||||||||||||
| Proceeds from shares issued |
$ | 1,202,345 | $ | 1,047,160 | $ | — | $ | — | ||||||||
| Distributions reinvested |
3,299 | 8,347 | — | — | ||||||||||||
| Cost of shares redeemed |
(693,103 | ) | (412,630 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class L capital transactions |
$ | 512,541 | $ | 642,877 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
||||||||||||||||
| Proceeds from shares issued |
$ | 415 | $ | 281 | $ | — | $ | — | ||||||||
| Distributions reinvested |
— | 1 | — | — | ||||||||||||
| Cost of shares redeemed |
(288 | ) | (78 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R2 capital transactions |
$ | 127 | $ | 204 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R3 |
||||||||||||||||
| Proceeds from shares issued |
$ | 13,765 | $ | 3,952 | $ | — | $ | — | ||||||||
| Distributions reinvested |
— | 21 | — | — | ||||||||||||
| Cost of shares redeemed |
(5,183 | ) | (1,457 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R3 capital transactions |
$ | 8,582 | $ | 2,516 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R4 |
||||||||||||||||
| Proceeds from shares issued |
$ | 2,383 | $ | 2,143 | $ | — | $ | — | ||||||||
| Distributions reinvested |
1 | 11 | — | — | ||||||||||||
| Cost of shares redeemed |
(1,833 | ) | (1,072 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R4 capital transactions |
$ | 551 | $ | 1,082 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
||||||||||||||||
| Proceeds from shares issued |
$ | 18,329 | $ | 24,137 | $ | — | $ | — | ||||||||
| Distributions reinvested |
79 | 349 | — | — | ||||||||||||
| Cost of shares redeemed |
(63,474 | ) | (18,654 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R5 capital transactions |
$ | (45,066 | ) | $ | 5,832 | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
||||||||||||||||
| Proceeds from shares issued |
$ | 2,782,507 | $ | 2,138,500 | $ | 1,383,412 | $ | 1,073,935 | ||||||||
| Distributions reinvested |
9,925 | 28,461 | 50,835 | 24,046 | ||||||||||||
| Cost of shares redeemed |
(2,263,165 | ) | (1,416,338 | ) | (912,641 | ) | (539,564 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R6 capital transactions |
$ | 529,267 | $ | 750,623 | $ | 521,606 | $ | 558,417 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total change in net assets resulting from capital transactions |
$ | 1,315,679 | $ | 2,968,409 | $ | 527,435 | $ | 558,443 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 66 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan Emerging Markets Equity Fund |
JPMorgan Emerging Markets Research Enhanced Equity Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| SHARE TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Issued |
6,043 | 12,772 | — | — | ||||||||||||
| Reinvested |
— | 95 | — | — | ||||||||||||
| Redeemed |
(4,582 | ) | (14,443 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class A Shares |
1,461 | (1,576 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued |
523 | 824 | — | — | ||||||||||||
| Reinvested |
— | 2 | — | — | ||||||||||||
| Redeemed |
(464 | ) | (725 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class C Shares |
59 | 101 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
| |||||||||||||||
| Issued |
58,966 | 95,381 | 281 | 2 | ||||||||||||
| Reinvested |
106 | 423 | — | (a) | — | (a) | ||||||||||
| Redeemed |
(52,366 | ) | (44,282 | ) | (22 | ) | — | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class I Shares |
6,706 | 51,522 | 259 | 2 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class L |
| |||||||||||||||
| Issued |
27,731 | 33,441 | — | — | ||||||||||||
| Reinvested |
77 | 255 | — | — | ||||||||||||
| Redeemed |
(15,762 | ) | (13,684 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class L Shares |
12,046 | 20,012 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
| |||||||||||||||
| Issued |
10 | 8 | — | — | ||||||||||||
| Reinvested |
— | — | (a) | — | — | |||||||||||
| Redeemed |
(7 | ) | (2 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R2 Shares |
3 | 6 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R3 |
| |||||||||||||||
| Issued |
334 | 133 | — | — | ||||||||||||
| Reinvested |
— | 1 | — | — | ||||||||||||
| Redeemed |
(124 | ) | (46 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R3 Shares |
210 | 88 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R4 |
| |||||||||||||||
| Issued |
54 | 70 | — | — | ||||||||||||
| Reinvested |
— | (a) | — | (a) | — | — | ||||||||||
| Redeemed |
(42 | ) | (32 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R4 Shares |
12 | 38 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
| |||||||||||||||
| Issued |
416 | 754 | — | — | ||||||||||||
| Reinvested |
2 | 11 | — | — | ||||||||||||
| Redeemed |
(1,466 | ) | (575 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R5 Shares |
(1,048 | ) | 190 | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
| |||||||||||||||
| Issued |
63,838 | 67,487 | 64,804 | 63,278 | ||||||||||||
| Reinvested |
232 | 871 | 2,474 | 1,356 | ||||||||||||
| Redeemed |
(51,699 | ) | (43,707 | ) | (42,567 | ) | (31,422 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R6 Shares |
12,371 | 24,651 | 24,711 | 33,212 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 67 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Proceeds from shares issued |
$ | 6,061 | $ | 3,883 | $ | 128,373 | $ | 169,254 | ||||||||
| Distributions reinvested |
805 | 2,695 | 3,017 | 9,447 | ||||||||||||
| Cost of shares redeemed |
(15,952 | ) | (24,956 | ) | (50,637 | ) | (221,474 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class A capital transactions |
$ | (9,086 | ) | $ | (18,378 | ) | $ | 80,753 | $ | (42,773 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
||||||||||||||||
| Proceeds from shares issued |
$ | 543 | $ | 157 | $ | 2,112 | $ | 1,292 | ||||||||
| Distributions reinvested |
79 | 476 | 42 | 324 | ||||||||||||
| Cost of shares redeemed |
(4,769 | ) | (7,338 | ) | (3,467 | ) | (6,218 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class C capital transactions |
$ | (4,147 | ) | $ | (6,705 | ) | $ | (1,313 | ) | $ | (4,602 | ) | ||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
||||||||||||||||
| Proceeds from shares issued |
$ | 412,233 | $ | 5,175 | $ | 217,953 | $ | 268,211 | ||||||||
| Distributions reinvested |
721 | 2,443 | 4,774 | 6,146 | ||||||||||||
| Cost of shares redeemed |
(48,189 | ) | (31,660 | ) | (91,184 | ) | (119,723 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class I capital transactions |
$ | 364,765 | $ | (24,042 | ) | $ | 131,543 | $ | 154,634 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class L |
||||||||||||||||
| Proceeds from shares issued |
$ | 11,606 | $ | 11,572 | $ | — | $ | — | ||||||||
| Distributions reinvested |
917 | 2,057 | — | — | ||||||||||||
| Cost of shares redeemed |
(6,155 | ) | (16,771 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class L capital transactions |
$ | 6,368 | $ | (3,142 | ) | $ | — | $ | — | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
||||||||||||||||
| Proceeds from shares issued |
$ | — | $ | — | $ | 5,946 | $ | 21,952 | ||||||||
| Distributions reinvested |
— | — | 289 | 59 | ||||||||||||
| Cost of shares redeemed |
— | — | (9,508 | ) | (1,444 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R2 capital transactions |
$ | — | $ | — | $ | (3,273 | ) | $ | 20,567 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
||||||||||||||||
| Proceeds from shares issued |
$ | — | $ | — | $ | 4,537 | $ | 5,313 | ||||||||
| Distributions reinvested |
— | — | 95 | 123 | ||||||||||||
| Cost of shares redeemed |
— | — | (3,471 | ) | (1,904 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R5 capital transactions |
$ | — | $ | — | $ | 1,161 | $ | 3,532 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
||||||||||||||||
| Proceeds from shares issued |
$ | 135,760 | $ | 7,681 | $ | 1,637,397 | $ | 357,449 | ||||||||
| Distributions reinvested |
4,405 | 8,878 | 33,605 | 80,145 | ||||||||||||
| Cost of shares redeemed |
(52,340 | ) | (8,836 | ) | (966,822 | ) | (493,483 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R6 capital transactions |
$ | 87,825 | $ | 7,723 | $ | 704,180 | $ | (55,889 | ) | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total change in net assets resulting from capital transactions |
$ | 445,725 | $ | (44,544 | ) | $ | 913,051 | $ | 75,469 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 68 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan Europe Dynamic Fund | JPMorgan International Equity Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| SHARE TRANSACTIONS: |
| |||||||||||||||
| Class A |
| |||||||||||||||
| Issued |
204 | 171 | 6,338 | 10,373 | ||||||||||||
| Reinvested |
31 | 110 | 155 | 541 | ||||||||||||
| Redeemed |
(561 | ) | (1,151 | ) | (2,491 | ) | (13,903 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class A Shares |
(326 | ) | (870 | ) | 4,002 | (2,989 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued |
21 | 8 | 108 | 87 | ||||||||||||
| Reinvested |
3 | 22 | 2 | 20 | ||||||||||||
| Redeemed |
(189 | ) | (372 | ) | (179 | ) | (397 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class C Shares |
(165 | ) | (342 | ) | (69 | ) | (290 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
| |||||||||||||||
| Issued |
13,177 | 220 | 10,466 | 16,370 | ||||||||||||
| Reinvested |
27 | 97 | 242 | 346 | ||||||||||||
| Redeemed |
(1,563 | ) | (1,425 | ) | (4,423 | ) | (7,334 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class I Shares |
11,641 | (1,108 | ) | 6,285 | 9,382 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class L |
| |||||||||||||||
| Issued |
384 | 539 | — | — | ||||||||||||
| Reinvested |
34 | 81 | — | — | ||||||||||||
| Redeemed |
(212 | ) | (758 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class L Shares |
206 | (138 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
| |||||||||||||||
| Issued |
— | — | 296 | 1,274 | ||||||||||||
| Reinvested |
— | — | 15 | 3 | ||||||||||||
| Redeemed |
— | — | (468 | ) | (88 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R2 Shares |
— | — | (157 | ) | 1,189 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
| |||||||||||||||
| Issued |
— | — | 219 | 306 | ||||||||||||
| Reinvested |
— | — | 5 | 7 | ||||||||||||
| Redeemed |
— | — | (165 | ) | (114 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R5 Shares |
— | — | 59 | 199 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
| |||||||||||||||
| Issued |
4,263 | 382 | 79,648 | 21,701 | ||||||||||||
| Reinvested |
163 | 352 | 1,702 | 4,510 | ||||||||||||
| Redeemed |
(1,668 | ) | (394 | ) | (46,388 | ) | (29,522 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R6 Shares |
2,758 | 340 | 34,962 | (3,311 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 69 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Proceeds from shares issued |
$ | 195,801 | $ | 45,058 | $ | 3,079 | $ | 1,699 | ||||||||
| Distributions reinvested |
1,132 | 45 | 29 | 5 | ||||||||||||
| Cost of shares redeemed |
(32,379 | ) | (28,905 | ) | (1,473 | ) | (397 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class A capital transactions |
$ | 164,554 | $ | 16,198 | $ | 1,635 | $ | 1,307 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
||||||||||||||||
| Proceeds from shares issued |
$ | 8,415 | $ | 2,592 | $ | 184 | $ | 7 | ||||||||
| Distributions reinvested |
42 | — | 1 | 1 | ||||||||||||
| Cost of shares redeemed |
(3,542 | ) | (5,887 | ) | (7 | ) | (1 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class C capital transactions |
$ | 4,915 | $ | (3,295 | ) | $ | 178 | $ | 7 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
||||||||||||||||
| Proceeds from shares issued |
$ | 534,780 | $ | 291,678 | $ | 57,032 | $ | 109,266 | ||||||||
| Distributions reinvested |
4,249 | 415 | 2,032 | 1,362 | ||||||||||||
| Cost of shares redeemed |
(182,797 | ) | (100,152 | ) | (67,180 | ) | (24,658 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class I capital transactions |
$ | 356,232 | $ | 191,941 | $ | (8,116 | ) | $ | 85,970 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
||||||||||||||||
| Proceeds from shares issued |
$ | 947 | $ | 851 | $ | — | $ | — | ||||||||
| Distributions reinvested |
9 | — | — | — | ||||||||||||
| Cost of shares redeemed |
(716 | ) | (499 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R2 capital transactions |
$ | 240 | $ | 352 | $ | — | $ | — | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
||||||||||||||||
| Proceeds from shares issued |
$ | 424 | $ | 506 | $ | — | $ | — | (a) | |||||||
| Distributions reinvested |
32 | 9 | — | (a) | — | (a) | ||||||||||
| Cost of shares redeemed |
(749 | ) | (962 | ) | — | — | (a) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R5 capital transactions |
$ | (293 | ) | $ | (447 | ) | $ | — | (a) | $ | — | (a) | ||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
||||||||||||||||
| Proceeds from shares issued |
$ | 452,976 | $ | 289,243 | $ | 151 | $ | — | (a) | |||||||
| Distributions reinvested |
28,297 | 10,047 | 1 | 1 | ||||||||||||
| Cost of shares redeemed |
(598,948 | ) | (414,546 | ) | (13 | ) | — | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R6 capital transactions |
$ | (117,675 | ) | $ | (115,256 | ) | $ | 139 | $ | 1 | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total change in net assets resulting from capital transactions |
$ | 407,973 | $ | 89,493 | $ | (6,164 | ) | $ | 87,285 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 70 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan International Focus Fund | JPMorgan International Hedged Equity Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| SHARE TRANSACTIONS: |
| |||||||||||||||
| Class A |
| |||||||||||||||
| Issued |
7,283 | 2,122 | 192 | 117 | ||||||||||||
| Reinvested |
45 | 2 | 2 | — | (a) | |||||||||||
| Redeemed |
(1,217 | ) | (1,405 | ) | (92 | ) | (27 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class A Shares |
6,111 | 719 | 102 | 90 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued |
316 | 121 | 11 | — | (a) | |||||||||||
| Reinvested |
2 | — | — | (a) | — | (a) | ||||||||||
| Redeemed |
(134 | ) | (292 | ) | — | (a) | — | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class C Shares |
184 | (171 | ) | 11 | — | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
| |||||||||||||||
| Issued |
19,663 | 13,175 | 3,560 | 7,402 | ||||||||||||
| Reinvested |
165 | 18 | 135 | 86 | ||||||||||||
| Redeemed |
(6,676 | ) | (4,869 | ) | (4,418 | ) | (1,758 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class I Shares |
13,152 | 8,324 | (723 | ) | 5,730 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
| |||||||||||||||
| Issued |
36 | 42 | — | — | ||||||||||||
| Reinvested |
— | (a) | — | — | — | |||||||||||
| Redeemed |
(26 | ) | (26 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R2 Shares |
10 | 16 | — | — | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
| |||||||||||||||
| Issued |
15 | 23 | — | — | ||||||||||||
| Reinvested |
1 | 1 | — | (a) | — | (a) | ||||||||||
| Redeemed |
(27 | ) | (44 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R5 Shares |
(11 | ) | (20 | ) | — | (a) | — | (a) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
| |||||||||||||||
| Issued |
16,687 | 13,486 | 9 | — | ||||||||||||
| Reinvested |
1,099 | 444 | — | (a) | 1 | |||||||||||
| Redeemed |
(22,086 | ) | (18,953 | ) | (1 | ) | — | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R6 Shares |
(4,300 | ) | (5,023 | ) | 8 | 1 | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 71 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan International Research Enhanced Equity Fund |
JPMorgan International Value Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Proceeds from shares issued |
$ | 1,989 | $ | 204,761 | $ | 39,262 | $ | 21,982 | ||||||||
| Distributions reinvested |
389 | 5,420 | 4,095 | 7,043 | ||||||||||||
| Cost of shares redeemed |
(22,274 | ) | (359,092 | ) | (34,717 | ) | (43,855 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class A capital transactions |
$ | (19,896 | ) | $ | (148,911 | ) | $ | 8,640 | $ | (14,830 | ) | |||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
||||||||||||||||
| Proceeds from shares issued |
$ | — | $ | — | $ | 165 | $ | 250 | ||||||||
| Distributions reinvested |
— | — | 104 | 270 | ||||||||||||
| Cost of shares redeemed |
— | — | (2,175 | ) | (3,916 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class C capital transactions |
$ | — | $ | — | $ | (1,906 | ) | $ | (3,396 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
||||||||||||||||
| Proceeds from shares issued |
$ | 105,581 | $ | 542,183 | $ | 12,348 | $ | 5,772 | ||||||||
| Distributions reinvested |
10,212 | 6,822 | 829 | 1,679 | ||||||||||||
| Cost of shares redeemed |
(342,012 | ) | (236,810 | ) | (11,848 | ) | (15,094 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class I capital transactions |
$ | (226,219 | ) | $ | 312,195 | $ | 1,329 | $ | (7,643 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class L |
||||||||||||||||
| Proceeds from shares issued |
$ | — | $ | — | $ | 2,881 | $ | 1,161 | ||||||||
| Distributions reinvested |
— | — | 179 | 569 | ||||||||||||
| Cost of shares redeemed |
— | — | (3,956 | ) | (20,800 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class L capital transactions |
$ | — | $ | — | $ | (896 | ) | $ | (19,070 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
||||||||||||||||
| Proceeds from shares issued |
$ | — | $ | — | $ | 175 | $ | 151 | ||||||||
| Distributions reinvested |
— | — | 11 | 17 | ||||||||||||
| Cost of shares redeemed |
— | — | (252 | ) | (319 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R2 capital transactions |
$ | — | $ | — | $ | (66 | ) | $ | (151 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
||||||||||||||||
| Proceeds from shares issued |
$ | — | $ | — | $ | 21 | $ | 42 | ||||||||
| Distributions reinvested |
— | — | 3 | 4 | ||||||||||||
| Cost of shares redeemed |
— | — | (64 | ) | (36 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R5 capital transactions |
$ | — | $ | — | $ | (40 | ) | $ | 10 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
||||||||||||||||
| Proceeds from shares issued |
$ | 359,932 | $ | 899,967 | $ | 52,793 | $ | 45,862 | ||||||||
| Distributions reinvested |
95,880 | 143,050 | 3,621 | 5,075 | ||||||||||||
| Cost of shares redeemed |
(1,576,241 | ) | (595,162 | ) | (47,586 | ) | (44,281 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R6 capital transactions |
$ | (1,120,429 | ) | $ | 447,855 | $ | 8,828 | $ | 6,656 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total change in net assets resulting from capital transactions |
$ | (1,366,544 | ) | $ | 611,139 | $ | 15,889 | $ | (38,424 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 72 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan International Research Enhanced Equity Fund |
JPMorgan International Value Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| SHARE TRANSACTIONS: |
| |||||||||||||||
| Class A |
| |||||||||||||||
| Issued |
100 | 13,389 | 3,054 | 2,106 | ||||||||||||
| Reinvested |
21 | 298 | 356 | 572 | ||||||||||||
| Redeemed |
(1,211 | ) | (22,291 | ) | (2,757 | ) | (4,229 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class A Shares |
(1,090 | ) | (8,604 | ) | 653 | (1,551 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
| |||||||||||||||
| Issued |
— | — | 12 | 24 | ||||||||||||
| Reinvested |
— | — | 10 | 23 | ||||||||||||
| Redeemed |
— | — | (181 | ) | (379 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class C Shares |
— | — | (159 | ) | (332 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
| |||||||||||||||
| Issued |
5,301 | 33,409 | 923 | 509 | ||||||||||||
| Reinvested |
540 | 371 | 70 | 133 | ||||||||||||
| Redeemed |
(17,195 | ) | (14,565 | ) | (921 | ) | (1,512 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class I Shares |
(11,354 | ) | 19,215 | 72 | (870 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class L |
| |||||||||||||||
| Issued |
— | — | 219 | 105 | ||||||||||||
| Reinvested |
— | — | 15 | 46 | ||||||||||||
| Redeemed |
— | — | (301 | ) | (2,000 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class L Shares |
— | — | (67 | ) | (1,849 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R2 |
| |||||||||||||||
| Issued |
— | — | 14 | 15 | ||||||||||||
| Reinvested |
— | — | 1 | 1 | ||||||||||||
| Redeemed |
— | — | (20 | ) | (32 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R2 Shares |
— | — | (5 | ) | (16 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R5 |
| |||||||||||||||
| Issued |
— | — | 2 | 5 | ||||||||||||
| Reinvested |
— | — | — | (a) | — | (a) | ||||||||||
| Redeemed |
— | — | (5 | ) | (4 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R5 Shares |
— | — | (3 | ) | 1 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 |
| |||||||||||||||
| Issued |
17,749 | 53,807 | 4,060 | 4,448 | ||||||||||||
| Reinvested |
5,089 | 7,817 | 310 | 407 | ||||||||||||
| Redeemed |
(80,049 | ) | (35,464 | ) | (3,744 | ) | (4,069 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R6 Shares |
(57,211 | ) | 26,160 | 626 | 786 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 73 | ||||||||
Table of Contents
FOR THE PERIODS INDICATED
|
|
Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
||||||||||||||||
| JPMorgan Emerging Markets Equity Fund |
| |||||||||||||||||||
| Class A |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 36.44 | $ | (0.14 | ) | $ | 4.24 | $ | 4.10 | $ | — | |||||||||
| Year Ended October 31, 2020 |
30.07 | (0.02 | ) | 6.56 | 6.54 | (0.17 | ) | |||||||||||||
| Year Ended October 31, 2019 |
23.84 | 0.19 | 6.16 | 6.35 | (0.12 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
27.58 | 0.14 | (3.84 | ) | (3.70 | ) | (0.04 | ) | ||||||||||||
| Year Ended October 31, 2017 |
21.79 | 0.09 | 5.80 | 5.89 | (0.10 | ) | ||||||||||||||
| Class C |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
35.20 | (0.34 | ) | 4.10 | 3.76 | — | ||||||||||||||
| Year Ended October 31, 2020 |
29.07 | (0.18 | ) | 6.35 | 6.17 | (0.04 | ) | |||||||||||||
| Year Ended October 31, 2019 |
23.08 | 0.04 | 5.98 | 6.02 | (0.03 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
26.80 | 0.02 | (3.74 | ) | (3.72 | ) | — | (f) | ||||||||||||
| Year Ended October 31, 2017 |
21.18 | (0.04 | ) | 5.67 | 5.63 | (0.01 | ) | |||||||||||||
| Class I |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
37.34 | (0.04 | ) | 4.34 | 4.30 | (0.04 | ) | |||||||||||||
| Year Ended October 31, 2020 |
30.79 | 0.05 | 6.75 | 6.80 | (0.25 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
24.45 | 0.27 | 6.29 | 6.56 | (0.22 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
28.29 | 0.24 | (3.96 | ) | (3.72 | ) | (0.12 | ) | ||||||||||||
| Year Ended October 31, 2017 |
22.33 | 0.16 | 5.94 | 6.10 | (0.14 | ) | ||||||||||||||
| Class L |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
37.64 | 0.01 | 4.37 | 4.38 | (0.06 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
31.03 | 0.08 | 6.80 | 6.88 | (0.27 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
24.63 | 0.29 | 6.35 | 6.64 | (0.24 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
28.49 | 0.26 | (3.99 | ) | (3.73 | ) | (0.13 | ) | ||||||||||||
| Year Ended October 31, 2017 |
22.49 | 0.21 | 5.96 | 6.17 | (0.17 | ) | ||||||||||||||
| Class R2 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
36.06 | (0.26 | ) | 4.19 | 3.93 | — | ||||||||||||||
| Year Ended October 31, 2020 |
29.78 | (0.13 | ) | 6.52 | 6.39 | (0.11 | ) | |||||||||||||
| Year Ended October 31, 2019 |
23.73 | 0.08 | 6.13 | 6.21 | (0.16 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
27.57 | 0.07 | (3.83 | ) | (3.76 | ) | (0.08 | ) | ||||||||||||
| July 31, 2017 (g) through October 31, 2017 |
26.40 | (0.01 | ) | 1.18 | 1.17 | — | ||||||||||||||
| Class R3 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
36.25 | (0.15 | ) | 4.20 | 4.05 | — | ||||||||||||||
| Year Ended October 31, 2020 |
29.96 | (0.05 | ) | 6.55 | 6.50 | (0.21 | ) | |||||||||||||
| Year Ended October 31, 2019 |
23.78 | 0.25 | 6.06 | 6.31 | (0.13 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
27.59 | 0.22 | (3.92 | ) | (3.70 | ) | (0.11 | ) | ||||||||||||
| July 31, 2017 (g) through October 31, 2017 |
26.40 | 0.01 | 1.18 | 1.19 | — | |||||||||||||||
| Class R4 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
37.20 | (0.05 | ) | 4.32 | 4.27 | (0.02 | ) | |||||||||||||
| Year Ended October 31, 2020 |
30.68 | 0.04 | 6.70 | 6.74 | (0.22 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
24.42 | 0.27 | 6.25 | 6.52 | (0.26 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
28.28 | 0.18 | (3.91 | ) | (3.73 | ) | (0.13 | ) | ||||||||||||
| July 31, 2017 (g) through October 31, 2017 |
27.05 | 0.02 | 1.21 | 1.23 | — | |||||||||||||||
| Class R5 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
37.56 | 0.01 | 4.36 | 4.37 | (0.05 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
30.96 | 0.08 | 6.78 | 6.86 | (0.26 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
24.60 | 0.31 | 6.31 | 6.62 | (0.26 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
28.47 | 0.39 | (4.11 | ) | (3.72 | ) | (0.15 | ) | ||||||||||||
| Year Ended October 31, 2017 |
22.49 | 0.15 | 6.01 | 6.16 | (0.18 | ) | ||||||||||||||
| Class R6 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
37.61 | 0.05 | 4.37 | 4.42 | (0.08 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
31.00 | 0.12 | 6.78 | 6.90 | (0.29 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
24.60 | 0.31 | 6.35 | 6.66 | (0.26 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
28.46 | 0.29 | (3.99 | ) | (3.70 | ) | (0.16 | ) | ||||||||||||
| Year Ended October 31, 2017 |
22.46 | 0.21 | 5.98 | 6.19 | (0.19 | ) | ||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 74 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (c)(d) |
Net assets, end of period (000’s) |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 40.54 | 11.25 | % | $ | 702,288 | 1.24 | % | (0.33 | )% | 1.30 | % | 25 | % | |||||||||||||
| 36.44 | 21.84 | 578,112 | 1.24 | (0.06 | ) | 1.33 | 15 | |||||||||||||||||||
| 30.07 | 26.77 | 524,357 | 1.24 | 0.69 | 1.47 | 34 | ||||||||||||||||||||
| 23.84 | (13.44 | ) | 369,490 | 1.24 | 0.51 | 1.52 | 13 | |||||||||||||||||||
| 27.58 | 27.22 | 525,451 | 1.35 | 0.36 | 1.58 | 22 | ||||||||||||||||||||
| 38.96 | 10.68 | 82,409 | 1.74 | (0.83 | ) | 1.80 | 25 | |||||||||||||||||||
| 35.20 | 21.24 | 72,364 | 1.74 | (0.58 | ) | 1.83 | 15 | |||||||||||||||||||
| 29.07 | 26.12 | 56,830 | 1.74 | 0.15 | 1.98 | 34 | ||||||||||||||||||||
| 23.08 | (13.87 | ) | 43,612 | 1.74 | 0.06 | 2.02 | 13 | |||||||||||||||||||
| 26.80 | 26.58 | 48,497 | 1.85 | (0.15 | ) | 2.09 | 22 | |||||||||||||||||||
| 41.60 | 11.51 | 4,753,438 | 0.99 | (0.09 | ) | 1.05 | 25 | |||||||||||||||||||
| 37.34 | 22.19 | 4,016,180 | 0.99 | 0.15 | 1.07 | 15 | ||||||||||||||||||||
| 30.79 | 27.04 | 1,725,882 | 0.99 | 0.94 | 1.21 | 34 | ||||||||||||||||||||
| 24.45 | (13.23 | ) | 773,142 | 0.99 | 0.84 | 1.26 | 13 | |||||||||||||||||||
| 28.29 | 27.54 | 629,451 | 1.10 | 0.62 | 1.30 | 22 | ||||||||||||||||||||
| 41.96 | 11.63 | 2,598,326 | 0.89 | 0.02 | 0.90 | 25 | ||||||||||||||||||||
| 37.64 | 22.29 | 1,877,489 | 0.89 | 0.25 | 0.92 | 15 | ||||||||||||||||||||
| 31.03 | 27.20 | 926,781 | 0.89 | 1.00 | 1.06 | 34 | ||||||||||||||||||||
| 24.63 | (13.16 | ) | 475,997 | 0.89 | 0.91 | 1.11 | 13 | |||||||||||||||||||
| 28.49 | 27.72 | 430,860 | 0.95 | 0.84 | 1.14 | 22 | ||||||||||||||||||||
| 39.99 | 10.90 | 585 | 1.54 | (0.63 | ) | 1.78 | 25 | |||||||||||||||||||
| 36.06 | 21.51 | 414 | 1.54 | (0.41 | ) | 2.00 | 15 | |||||||||||||||||||
| 29.78 | 26.35 | 145 | 1.54 | 0.31 | 2.26 | 34 | ||||||||||||||||||||
| 23.73 | (13.69 | ) | 95 | 1.54 | 0.26 | 2.04 | 13 | |||||||||||||||||||
| 27.57 | 4.43 | 21 | 1.60 | (0.17 | ) | 1.80 | 22 | |||||||||||||||||||
| 40.30 | 11.17 | 14,918 | 1.29 | (0.36 | ) | 1.30 | 25 | |||||||||||||||||||
| 36.25 | 21.80 | 5,797 | 1.29 | (0.15 | ) | 1.33 | 15 | |||||||||||||||||||
| 29.96 | 26.67 | 2,151 | 1.29 | 0.90 | 1.49 | 34 | ||||||||||||||||||||
| 23.78 | (13.49 | ) | 341 | 1.29 | 0.81 | 1.59 | 13 | |||||||||||||||||||
| 27.59 | 4.51 | 21 | 1.35 | 0.08 | 1.55 | 22 | ||||||||||||||||||||
| 41.45 | 11.48 | 3,810 | 1.04 | (0.12 | ) | 1.06 | 25 | |||||||||||||||||||
| 37.20 | 22.09 | 2,962 | 1.04 | 0.12 | 1.08 | 15 | ||||||||||||||||||||
| 30.68 | 26.98 | 1,300 | 1.04 | 0.94 | 1.23 | 34 | ||||||||||||||||||||
| 24.42 | (13.25 | ) | 26 | 1.04 | 0.63 | 1.62 | 13 | |||||||||||||||||||
| 28.28 | 4.55 | 21 | 1.10 | 0.33 | 1.30 | 22 | ||||||||||||||||||||
| 41.88 | 11.64 | 20,676 | 0.89 | 0.02 | 0.91 | 25 | ||||||||||||||||||||
| 37.56 | 22.29 | 57,909 | 0.89 | 0.26 | 0.93 | 15 | ||||||||||||||||||||
| 30.96 | 27.19 | 41,872 | 0.89 | 1.08 | 1.08 | 34 | ||||||||||||||||||||
| 24.60 | (13.14 | ) | 1,672 | 0.89 | 1.37 | 1.11 | 13 | |||||||||||||||||||
| 28.47 | 27.72 | 217 | 0.95 | 0.58 | 3.36 | 22 | ||||||||||||||||||||
| 41.95 | 11.75 | 5,659,334 | 0.79 | 0.11 | 0.80 | 25 | ||||||||||||||||||||
| 37.61 | 22.39 | 4,608,998 | 0.79 | 0.37 | 0.82 | 15 | ||||||||||||||||||||
| 31.00 | 27.36 | 3,034,359 | 0.79 | 1.09 | 0.96 | 34 | ||||||||||||||||||||
| 24.60 | (13.08 | ) | 2,936,830 | 0.79 | 1.00 | 1.01 | 13 | |||||||||||||||||||
| 28.46 | 27.87 | 2,813,349 | 0.85 | 0.85 | 1.01 | 22 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 75 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Emerging Markets Research Enhanced Equity Fund |
| |||||||||||||||||||||||||||
| Class I |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 18.11 | $ | 0.51 | $ | 2.56 | $ | 3.07 | $ | (0.31 | ) | $ | — | $ | (0.31 | ) | ||||||||||||
| Year Ended October 31, 2020 |
16.78 | 0.33 | 1.04 | 1.37 | — | (0.04 | ) | (0.04 | ) | |||||||||||||||||||
| January 30, 2019 (f) through October 31, 2019 |
16.22 | 0.31 | 0.25 | 0.56 | — | — | — | |||||||||||||||||||||
| Class R6 |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
18.01 | 0.42 | 2.65 | 3.07 | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||||
| Year Ended October 31, 2020 |
16.80 | 0.31 | 1.07 | 1.38 | (0.13 | ) | (0.04 | ) | (0.17 | ) | ||||||||||||||||||
| December 11, 2018 (h) through October 31, 2019 |
15.00 | 0.42 | 1.46 | 1.88 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Commencement of offering of class of shares. |
| (g) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (h) | Commencement of operations. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 76 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (c)(d) |
Net assets, end of period (000’s) |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 20.87 | 16.95 | % | $ | 5,435 | 0.45 | % | 2.36 | % | 0.69 | % | 53 | % | |||||||||||||
| 18.11 | 8.15 | 33 | 0.45 | 1.98 | 1.39 | 47 | ||||||||||||||||||||
| 16.78 | 3.45 | 5 | 0.44 | (g) | 2.52 | (g) | 0.70 | (g) | 28 | |||||||||||||||||
| 20.77 | 17.09 | 3,787,953 | 0.35 | 1.97 | 0.40 | 53 | ||||||||||||||||||||
| 18.01 | 8.22 | 2,840,309 | 0.35 | 1.87 | 0.41 | 47 | ||||||||||||||||||||
| 16.80 | 12.60 | 2,090,569 | 0.34 | (g) | 2.90 | (g) | 0.46 | (g) | 28 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 77 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
||||||||||||||||
| JPMorgan Europe Dynamic Fund |
| |||||||||||||||||||
| Class A |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 21.64 | $ | 0.40 | (f) | $ | 9.14 | $ | 9.54 | $ | (0.27 | ) | ||||||||
| Year Ended October 31, 2020 |
24.25 | 0.25 | (2.16 | ) | (1.91 | ) | (0.70 | ) | ||||||||||||
| Year Ended October 31, 2019 |
23.01 | 0.61 | 1.18 | 1.79 | (0.55 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
27.04 | 0.42 | (4.08 | ) | (3.66 | ) | (0.37 | ) | ||||||||||||
| Year Ended October 31, 2017 |
21.94 | 0.37 | 5.15 | 5.52 | (0.42 | ) | ||||||||||||||
| Class C |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
19.10 | 0.22 | (f) | 8.08 | 8.30 | (0.15 | ) | |||||||||||||
| Year Ended October 31, 2020 |
21.47 | 0.12 | (1.91 | ) | (1.79 | ) | (0.58 | ) | ||||||||||||
| Year Ended October 31, 2019 |
20.39 | 0.44 | 1.06 | 1.50 | (0.42 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
24.00 | 0.25 | (3.62 | ) | (3.37 | ) | (0.24 | ) | ||||||||||||
| Year Ended October 31, 2017 |
19.52 | 0.23 | 4.58 | 4.81 | (0.33 | ) | ||||||||||||||
| Class I |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
22.10 | 0.47 | (f) | 9.33 | 9.80 | (0.33 | ) | |||||||||||||
| Year Ended October 31, 2020 |
24.75 | 0.31 | (2.19 | ) | (1.88 | ) | (0.77 | ) | ||||||||||||
| Year Ended October 31, 2019 |
23.48 | 0.67 | 1.21 | 1.88 | (0.61 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
27.60 | 0.49 | (4.17 | ) | (3.68 | ) | (0.44 | ) | ||||||||||||
| Year Ended October 31, 2017 |
22.37 | 0.46 | 5.25 | 5.71 | (0.48 | ) | ||||||||||||||
| Class L |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
22.38 | 0.54 | (f) | 9.44 | 9.98 | (0.37 | ) | |||||||||||||
| Year Ended October 31, 2020 |
25.05 | 0.35 | (2.23 | ) | (1.88 | ) | (0.79 | ) | ||||||||||||
| Year Ended October 31, 2019 |
23.70 | 0.65 | 1.27 | 1.92 | (0.57 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
27.85 | 0.51 | (4.18 | ) | (3.67 | ) | (0.48 | ) | ||||||||||||
| Year Ended October 31, 2017 |
22.61 | 0.52 | 5.27 | 5.79 | (0.55 | ) | ||||||||||||||
| Class R6 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
22.29 | 0.55 | (f) | 9.41 | 9.96 | (0.39 | ) | |||||||||||||
| Year Ended October 31, 2020 |
24.96 | 0.37 | (2.22 | ) | (1.85 | ) | (0.82 | ) | ||||||||||||
| Year Ended October 31, 2019 |
23.70 | 0.75 | 1.19 | 1.94 | (0.68 | ) | ||||||||||||||
| October 1, 2018 (g) through October 31, 2018 |
26.32 | 0.01 | (2.63 | ) | (2.62 | ) | — | |||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Reflects income from foreign withholding tax claims, including related interest income. Had the Fund not received these proceeds, the net investment income (loss) per share would have been $0.38, $0.20, $0.45, $0.52 and $0.53 for Class A, Class C, Class I, Class L and Class R6, respectively, and the net investment income (loss) ratios would have been 1.29%, 0.78%, 1.44%, 1.70% and 1.75% for Class A, Class C, Class I, Class L and Class R6, respectively. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 78 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset |
Total return (excludes sales charge) (c)(d) |
Net assets, end of period (000’s) |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 30.91 | 44.30 | % | $ | 88,315 | 1.24 | % | 1.37 | %(f) | 1.26 | % | 92 | % | |||||||||||||
| 21.64 | (8.21 | ) | 68,882 | 1.24 | 1.09 | 1.28 | 159 | |||||||||||||||||||
| 24.25 | 8.14 | 98,294 | 1.24 | 2.67 | 1.31 | 83 | ||||||||||||||||||||
| 23.01 | (13.72 | ) | 124,681 | 1.24 | 1.58 | 1.29 | 149 | |||||||||||||||||||
| 27.04 | 25.65 | 165,020 | 1.36 | 1.52 | 1.36 | 189 | ||||||||||||||||||||
| 27.25 | 43.56 | 11,313 | 1.74 | 0.86 | (f) | 1.77 | 92 | |||||||||||||||||||
| 19.10 | (8.68 | ) | 11,082 | 1.74 | 0.59 | 1.77 | 159 | |||||||||||||||||||
| 21.47 | 7.64 | 19,798 | 1.74 | 2.15 | 1.80 | 83 | ||||||||||||||||||||
| 20.39 | (14.18 | ) | 31,125 | 1.74 | 1.08 | 1.79 | 149 | |||||||||||||||||||
| 24.00 | 25.02 | 46,615 | 1.85 | 1.07 | 1.86 | 189 | ||||||||||||||||||||
| 31.57 | 44.61 | 443,053 | 0.98 | 1.52 | (f) | 0.99 | 92 | |||||||||||||||||||
| 22.10 | (7.98 | ) | 52,841 | 0.99 | 1.33 | 1.01 | 159 | |||||||||||||||||||
| 24.75 | 8.44 | 86,582 | 0.99 | 2.86 | 1.05 | 83 | ||||||||||||||||||||
| 23.48 | (13.53 | ) | 139,858 | 0.99 | 1.84 | 1.04 | 149 | |||||||||||||||||||
| 27.60 | 26.06 | 187,678 | 1.06 | 1.85 | 1.07 | 189 | ||||||||||||||||||||
| 31.99 | 44.88 | 86,054 | 0.84 | 1.78 | (f) | 0.85 | 92 | |||||||||||||||||||
| 22.38 | (7.86 | ) | 55,597 | 0.85 | 1.49 | 0.86 | 159 | |||||||||||||||||||
| 25.05 | 8.49 | 65,686 | 0.89 | 2.77 | 0.90 | 83 | ||||||||||||||||||||
| 23.70 | (13.41 | ) | 389,665 | 0.88 | 1.88 | 0.89 | 149 | |||||||||||||||||||
| 27.85 | 26.22 | 578,183 | 0.90 | 2.07 | 0.91 | 189 | ||||||||||||||||||||
| 31.86 | 45.01 | 445,783 | 0.74 | 1.83 | (f) | 0.75 | 92 | |||||||||||||||||||
| 22.29 | (7.79 | ) | 250,426 | 0.75 | 1.61 | 0.76 | 159 | |||||||||||||||||||
| 24.96 | 8.65 | 271,885 | 0.79 | 3.17 | 0.79 | 83 | ||||||||||||||||||||
| 23.70 | (9.95 | ) | 18 | 0.82 | 0.67 | 0.83 | 149 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 79 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan International Equity Fund |
| |||||||||||||||||||||||||||
| Class A |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 16.47 | $ | 0.30 | (d) | $ | 5.04 | $ | 5.34 | $ | (0.18 | ) | $ | — | $ | (0.18 | ) | |||||||||||
| Year Ended October 31, 2020 |
17.27 | 0.19 | (0.49 | ) | (0.30 | ) | (0.50 | ) | — | (0.50 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
15.56 | 0.33 | 1.89 | 2.22 | (0.33 | ) | (0.18 | ) | (0.51 | ) | ||||||||||||||||||
| Year Ended October 31, 2018 |
17.81 | 0.33 | (2.33 | ) | (2.00 | ) | (0.25 | ) | — | (0.25 | ) | |||||||||||||||||
| Year Ended October 31, 2017 |
14.24 | 0.22 | 3.39 | 3.61 | (0.04 | ) | — | (0.04 | ) | |||||||||||||||||||
| Class C |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
15.53 | 0.18 | (d) | 4.77 | 4.95 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
16.29 | 0.09 | (0.45 | ) | (0.36 | ) | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
14.68 | 0.23 | 1.80 | 2.03 | (0.24 | ) | (0.18 | ) | (0.42 | ) | ||||||||||||||||||
| Year Ended October 31, 2018 |
16.83 | 0.25 | (2.23 | ) | (1.98 | ) | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||
| Year Ended October 31, 2017 |
13.50 | 0.12 | 3.22 | 3.34 | (0.01 | ) | — | (0.01 | ) | |||||||||||||||||||
| Class I |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
16.76 | 0.36 | (d) | 5.13 | 5.49 | (0.23 | ) | — | (0.23 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
17.56 | 0.21 | (0.47 | ) | (0.26 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
15.82 | 0.36 | 1.93 | 2.29 | (0.37 | ) | (0.18 | ) | (0.55 | ) | ||||||||||||||||||
| Year Ended October 31, 2018 |
18.09 | 0.41 | (2.40 | ) | (1.99 | ) | (0.28 | ) | — | (0.28 | ) | |||||||||||||||||
| Year Ended October 31, 2017 |
14.45 | 0.26 | 3.44 | 3.70 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||
| Class R2 |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
16.31 | 0.23 | (d) | 4.99 | 5.22 | (0.22 | ) | — | (0.22 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
17.14 | 0.13 | (0.48 | ) | (0.35 | ) | (0.48 | ) | — | (0.48 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
15.44 | 0.28 | 1.88 | 2.16 | (0.28 | ) | (0.18 | ) | (0.46 | ) | ||||||||||||||||||
| Year Ended October 31, 2018 |
17.70 | 0.29 | (2.33 | ) | (2.04 | ) | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||
| Year Ended October 31, 2017 |
14.17 | 0.17 | 3.38 | 3.55 | (0.02 | ) | — | (0.02 | ) | |||||||||||||||||||
| Class R5 |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
16.85 | 0.39 | (d) | 5.15 | 5.54 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
17.60 | 0.24 | (0.48 | ) | (0.24 | ) | (0.51 | ) | — | (0.51 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
15.85 | 0.38 | 1.94 | 2.32 | (0.39 | ) | (0.18 | ) | (0.57 | ) | ||||||||||||||||||
| Year Ended October 31, 2018 |
18.13 | 0.41 | (2.40 | ) | (1.99 | ) | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||
| Year Ended October 31, 2017 |
14.47 | 0.21 | 3.52 | 3.73 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||
| Class R6 |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
16.81 | 0.42 | (d) | 5.13 | 5.55 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
17.61 | 0.26 | (0.49 | ) | (0.23 | ) | (0.57 | ) | — | (0.57 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
15.86 | 0.40 | 1.93 | 2.33 | (0.40 | ) | (0.18 | ) | (0.58 | ) | ||||||||||||||||||
| Year Ended October 31, 2018 |
18.13 | 0.43 | (2.39 | ) | (1.96 | ) | (0.31 | ) | — | (0.31 | ) | |||||||||||||||||
| Year Ended October 31, 2017 |
14.46 | 0.29 | 3.46 | 3.75 | (0.08 | ) | — | (0.08 | ) | |||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (d) | Reflects income from foreign withholding tax claims. Had the Fund not received these proceeds, the net investment income (loss) per share and the net investment income (loss) ratios for each share class would have remained the same. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 80 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (b) |
Net assets, end of period (000’s) |
Net expenses (c) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate |
||||||||||||||||||||
| $ | 21.63 | 32.56 | % | $ | 433,033 | 0.95 | % | 1.47 | %(d) | 1.11 | % | 35 | % | |||||||||||||
| 16.47 | (1.88 | ) | 263,791 | 0.95 | 1.17 | 1.12 | 28 | |||||||||||||||||||
| 17.27 | 14.93 | 328,312 | 0.95 | 2.03 | 1.22 | 25 | ||||||||||||||||||||
| 15.56 | (11.42 | ) | 240,394 | 0.95 | 1.88 | 1.32 | 33 | |||||||||||||||||||
| 17.81 | 25.43 | 302,130 | 1.23 | 1.39 | 1.35 | 17 | ||||||||||||||||||||
| 20.41 | 31.94 | 10,899 | 1.45 | 0.91 | (d) | 1.62 | 35 | |||||||||||||||||||
| 15.53 | (2.38 | ) | 9,358 | 1.45 | 0.61 | 1.62 | 28 | |||||||||||||||||||
| 16.29 | 14.39 | 14,549 | 1.45 | 1.51 | 1.74 | 25 | ||||||||||||||||||||
| 14.68 | (11.89 | ) | 18,899 | 1.45 | 1.48 | 1.83 | 33 | |||||||||||||||||||
| 16.83 | 24.79 | 24,281 | 1.74 | 0.83 | 1.88 | 17 | ||||||||||||||||||||
| 22.02 | 32.94 | 584,191 | 0.70 | 1.71 | (d) | 0.86 | 35 | |||||||||||||||||||
| 16.76 | (1.64 | ) | 339,416 | 0.70 | 1.26 | 0.86 | 28 | |||||||||||||||||||
| 17.56 | 15.20 | 190,885 | 0.70 | 2.22 | 0.96 | 25 | ||||||||||||||||||||
| 15.82 | (11.20 | ) | 179,831 | 0.70 | 2.30 | 1.06 | 33 | |||||||||||||||||||
| 18.09 | 25.69 | 139,715 | 0.99 | 1.59 | 1.10 | 17 | ||||||||||||||||||||
| 21.31 | 32.18 | 24,598 | 1.25 | 1.13 | (d) | 1.47 | 35 | |||||||||||||||||||
| 16.31 | (2.21 | ) | 21,379 | 1.25 | 0.79 | 1.37 | 28 | |||||||||||||||||||
| 17.14 | 14.58 | 2,099 | 1.25 | 1.75 | 1.57 | 25 | ||||||||||||||||||||
| 15.44 | (11.68 | ) | 1,833 | 1.25 | 1.64 | 1.60 | 33 | |||||||||||||||||||
| 17.70 | 25.12 | 2,096 | 1.49 | 1.07 | 1.71 | 17 | ||||||||||||||||||||
| 22.14 | 33.04 | 10,463 | 0.60 | 1.85 | (d) | 0.71 | 35 | |||||||||||||||||||
| 16.85 | (1.52 | ) | 6,970 | 0.60 | 1.41 | 0.72 | 28 | |||||||||||||||||||
| 17.60 | 15.38 | 3,778 | 0.60 | 2.31 | 0.83 | 25 | ||||||||||||||||||||
| 15.85 | (11.16 | ) | 19,516 | 0.60 | 2.31 | 0.91 | 33 | |||||||||||||||||||
| 18.13 | 25.88 | 21,891 | 0.84 | 1.36 | 0.93 | 17 | ||||||||||||||||||||
| 22.10 | 33.20 | 3,782,533 | 0.50 | 1.98 | (d) | 0.60 | 35 | |||||||||||||||||||
| 16.81 | (1.46 | ) | 2,290,008 | 0.50 | 1.56 | 0.61 | 28 | |||||||||||||||||||
| 17.61 | 15.50 | 2,457,383 | 0.50 | 2.46 | 0.72 | 25 | ||||||||||||||||||||
| 15.86 | (11.04 | ) | 3,808,621 | 0.50 | 2.42 | 0.81 | 33 | |||||||||||||||||||
| 18.13 | 26.04 | 3,516,978 | 0.74 | 1.84 | 0.81 | 17 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 81 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
||||||||||||||||
| JPMorgan International Focus Fund |
| |||||||||||||||||||
| Class A |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 22.07 | $ | 0.35 | (d) | $ | 5.32 | $ | 5.67 | $ | (0.19 | ) | ||||||||
| Year Ended October 31, 2020 |
21.15 | 0.18 | 0.75 | 0.93 | (0.01 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
18.24 | 0.26 | 3.02 | 3.28 | (0.37 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
21.14 | 0.36 | (3.13 | ) | (2.77 | ) | (0.13 | ) | ||||||||||||
| Year Ended October 31, 2017 |
17.24 | 0.16 | 4.09 | 4.25 | (0.35 | ) | ||||||||||||||
| Class C |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
21.68 | 0.20 | (d) | 5.24 | 5.44 | (0.06 | ) | |||||||||||||
| Year Ended October 31, 2020 |
20.86 | 0.07 | 0.75 | 0.82 | — | |||||||||||||||
| Year Ended October 31, 2019 |
17.98 | 0.16 | 2.97 | 3.13 | (0.25 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
20.90 | 0.26 | (3.09 | ) | (2.83 | ) | (0.09 | ) | ||||||||||||
| Year Ended October 31, 2017 |
17.04 | 0.05 | 4.06 | 4.11 | (0.25 | ) | ||||||||||||||
| Class I |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
22.39 | 0.42 | (d) | 5.39 | 5.81 | (0.25 | ) | |||||||||||||
| Year Ended October 31, 2020 |
21.43 | 0.23 | 0.78 | 1.01 | (0.05 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
18.49 | 0.31 | 3.04 | 3.35 | (0.41 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
21.41 | 0.44 | (3.19 | ) | (2.75 | ) | (0.17 | ) | ||||||||||||
| Year Ended October 31, 2017 |
17.45 | 0.23 | 4.13 | 4.36 | (0.40 | ) | ||||||||||||||
| Class R2 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
21.85 | 0.27 | (d) | 5.26 | 5.53 | (0.13 | ) | |||||||||||||
| Year Ended October 31, 2020 |
20.99 | 0.13 | 0.73 | 0.86 | — | |||||||||||||||
| Year Ended October 31, 2019 |
18.14 | 0.21 | 2.98 | 3.19 | (0.34 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
21.11 | 0.35 | (3.17 | ) | (2.82 | ) | (0.15 | ) | ||||||||||||
| Year Ended October 31, 2017 |
17.21 | 0.06 | 4.14 | 4.20 | (0.30 | ) | ||||||||||||||
| Class R5 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
22.38 | 0.44 | (d) | 5.40 | 5.84 | (0.26 | ) | |||||||||||||
| Year Ended October 31, 2020 |
21.42 | 0.25 | 0.78 | 1.03 | (0.07 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
18.49 | 0.34 | 3.03 | 3.37 | (0.44 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
21.39 | 0.53 | (3.25 | ) | (2.72 | ) | (0.18 | ) | ||||||||||||
| Year Ended October 31, 2017 |
17.44 | 0.20 | 4.17 | 4.37 | (0.42 | ) | ||||||||||||||
| Class R6 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
22.40 | 0.46 | (d) | 5.40 | 5.86 | (0.28 | ) | |||||||||||||
| Year Ended October 31, 2020 |
21.44 | 0.28 | 0.77 | 1.05 | (0.09 | ) | ||||||||||||||
| Year Ended October 31, 2019 |
18.50 | 0.27 | 3.13 | 3.40 | (0.46 | ) | ||||||||||||||
| Year Ended October 31, 2018 |
21.40 | 0.44 | (3.16 | ) | (2.72 | ) | (0.18 | ) | ||||||||||||
| Year Ended October 31, 2017 |
17.45 | 0.26 | 4.12 | 4.38 | (0.43 | ) | ||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (d) | Reflects income from foreign withholding tax claims. Had the Fund not received these proceeds, the net investment income (loss) per share and the net investment income (loss) ratios for each share class would have remained the same. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 82 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (b) |
Net assets, end of period (000’s) |
Net expenses (c) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate |
||||||||||||||||||||
| $ | 27.55 | 25.74 | % | $ | 337,503 | 1.00 | % | 1.31 | %(d) | 1.21 | % | 32 | % | |||||||||||||
| 22.07 | 4.39 | 135,527 | 1.00 | 0.86 | 1.22 | 38 | ||||||||||||||||||||
| 21.15 | 18.41 | 114,629 | 1.00 | 1.33 | 1.32 | 34 | ||||||||||||||||||||
| 18.24 | (13.20 | ) | 84,325 | 1.00 | 1.75 | 1.38 | 63 | |||||||||||||||||||
| 21.14 | 25.16 | 67,684 | 1.24 | 0.83 | 1.46 | 38 | ||||||||||||||||||||
| 27.06 | 25.11 | 24,272 | 1.50 | 0.77 | (d) | 1.72 | 32 | |||||||||||||||||||
| 21.68 | 3.93 | 15,463 | 1.50 | 0.32 | 1.73 | 38 | ||||||||||||||||||||
| 20.86 | 17.73 | 18,447 | 1.50 | 0.83 | 1.84 | 34 | ||||||||||||||||||||
| 17.98 | (13.60 | ) | 22,532 | 1.50 | 1.29 | 1.89 | 63 | |||||||||||||||||||
| 20.90 | 24.51 | 14,534 | 1.74 | 0.27 | 2.00 | 38 | ||||||||||||||||||||
| 27.95 | 26.04 | 832,039 | 0.75 | 1.54 | (d) | 0.96 | 32 | |||||||||||||||||||
| 22.39 | 4.71 | 372,068 | 0.75 | 1.05 | 0.96 | 38 | ||||||||||||||||||||
| 21.43 | 18.62 | 177,764 | 0.75 | 1.57 | 1.08 | 34 | ||||||||||||||||||||
| 18.49 | (12.96 | ) | 189,061 | 0.75 | 2.09 | 1.13 | 63 | |||||||||||||||||||
| 21.41 | 25.60 | 131,356 | 0.89 | 1.14 | 1.19 | 38 | ||||||||||||||||||||
| 27.25 | 25.35 | 2,078 | 1.30 | 1.00 | (d) | 1.48 | 32 | |||||||||||||||||||
| 21.85 | 4.10 | 1,441 | 1.30 | 0.61 | 1.51 | 38 | ||||||||||||||||||||
| 20.99 | 18.01 | 1,049 | 1.30 | 1.05 | 1.74 | 34 | ||||||||||||||||||||
| 18.14 | (13.46 | ) | 773 | 1.30 | 1.70 | 1.72 | 63 | |||||||||||||||||||
| 21.11 | 24.85 | 97 | 1.49 | 0.31 | 2.79 | 38 | ||||||||||||||||||||
| 27.96 | 26.19 | 3,172 | 0.65 | 1.61 | (d) | 0.87 | 32 | |||||||||||||||||||
| 22.38 | 4.79 | 2,772 | 0.65 | 1.16 | 0.88 | 38 | ||||||||||||||||||||
| 21.42 | 18.76 | 3,082 | 0.65 | 1.71 | 1.04 | 34 | ||||||||||||||||||||
| 18.49 | (12.84 | ) | 3,341 | 0.65 | 2.56 | 1.07 | 63 | |||||||||||||||||||
| 21.39 | 25.67 | 90 | 0.79 | 1.01 | 2.44 | 38 | ||||||||||||||||||||
| 27.98 | 26.28 | 2,721,224 | 0.55 | 1.68 | (d) | 0.71 | 32 | |||||||||||||||||||
| 22.40 | 4.89 | 2,274,399 | 0.55 | 1.31 | 0.71 | 38 | ||||||||||||||||||||
| 21.44 | 18.95 | 2,284,670 | 0.55 | 1.32 | 0.77 | 34 | ||||||||||||||||||||
| 18.50 | (12.81 | ) | 175,198 | 0.55 | 2.12 | 0.87 | 63 | |||||||||||||||||||
| 21.40 | 25.72 | 143,868 | 0.74 | 1.37 | 0.95 | 38 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 83 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
||||||||||||||||
| JPMorgan International Hedged Equity Fund |
| |||||||||||||||||||
| Class A |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 14.12 | $ | 0.30 | $ | 2.58 | $ | 2.88 | $ | (0.27 | ) | |||||||||
| Year Ended October 31, 2020 |
15.58 | 0.27 | (1.49 | ) | (1.22 | ) | (0.24 | ) | ||||||||||||
| March 15, 2019 (f) through October 31, 2019 |
15.00 | 0.19 | 0.39 | 0.58 | — | |||||||||||||||
| Class C |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
14.06 | 0.22 | 2.57 | 2.79 | (0.17 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
15.53 | 0.20 | (1.50 | ) | (1.30 | ) | (0.17 | ) | ||||||||||||
| March 15, 2019 (f) through October 31, 2019 |
15.00 | 0.16 | 0.37 | 0.53 | — | |||||||||||||||
| Class I |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
14.18 | 0.32 | 2.61 | 2.93 | (0.28 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
15.61 | 0.31 | (1.50 | ) | (1.19 | ) | (0.24 | ) | ||||||||||||
| March 15, 2019 (f) through October 31, 2019 |
15.00 | 0.32 | 0.29 | 0.61 | — | |||||||||||||||
| Class R5 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
14.20 | 0.35 | 2.61 | 2.96 | (0.30 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
15.62 | 0.31 | (1.48 | ) | (1.17 | ) | (0.25 | ) | ||||||||||||
| March 15, 2019 (f) through October 31, 2019 |
15.00 | 0.34 | 0.28 | 0.62 | — | |||||||||||||||
| Class R6 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
14.22 | 0.39 | 2.59 | 2.98 | (0.32 | ) | ||||||||||||||
| Year Ended October 31, 2020 |
15.63 | 0.34 | (1.49 | ) | (1.15 | ) | (0.26 | ) | ||||||||||||
| March 15, 2019 (f) through October 31, 2019 |
15.00 | 0.35 | 0.28 | 0.63 | — | |||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Commencement of operations. |
| (g) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 84 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (c)(d) |
Net assets, end of period (000’s) |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 16.73 | 20.60 | % | $ | 3,561 | 0.85 | % | 1.85 | % | 1.05 | % | 50 | % | |||||||||||||
| 14.12 | (8.02 | ) | 1,573 | 0.85 | 1.84 | 1.30 | 85 | |||||||||||||||||||
| 15.58 | 3.87 | 330 | 0.85 | (g) | 1.95 | (g) | 1.31 | (g) | 9 | |||||||||||||||||
| 16.68 | 19.97 | 320 | 1.35 | 1.35 | 1.55 | 50 | ||||||||||||||||||||
| 14.06 | (8.47 | ) | 115 | 1.35 | 1.34 | 1.81 | 85 | |||||||||||||||||||
| 15.53 | 3.53 | 119 | 1.35 | (g) | 1.73 | (g) | 1.92 | (g) | 9 | |||||||||||||||||
| 16.83 | 20.90 | 148,703 | 0.60 | 2.02 | 0.79 | 50 | ||||||||||||||||||||
| 14.18 | (7.78 | ) | 135,542 | 0.60 | 2.12 | 1.03 | 85 | |||||||||||||||||||
| 15.61 | 4.07 | 59,751 | 0.60 | (g) | 3.38 | (g) | 1.19 | (g) | 9 | |||||||||||||||||
| 16.86 | 21.10 | 23 | 0.45 | 2.19 | 0.71 | 50 | ||||||||||||||||||||
| 14.20 | (7.68 | ) | 19 | 0.45 | 2.08 | 1.04 | 85 | |||||||||||||||||||
| 15.62 | 4.13 | 21 | 0.45 | (g) | 3.59 | (g) | 1.03 | (g) | 9 | |||||||||||||||||
| 16.88 | 21.19 | 169 | 0.35 | 2.42 | 0.58 | 50 | ||||||||||||||||||||
| 14.22 | (7.53 | ) | 19 | 0.35 | 2.33 | 0.94 | 85 | |||||||||||||||||||
| 15.63 | 4.20 | 21 | 0.35 | (g) | 3.69 | (g) | 0.93 | (g) | 9 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 85 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan International Research Enhanced Equity Fund |
| |||||||||||||||||||||||||||
| Class A |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 15.84 | $ | 0.43 | (f) | $ | 5.16 | $ | 5.59 | $ | (0.17 | ) | $ | — | $ | (0.17 | ) | |||||||||||
| Year Ended October 31, 2020 |
17.93 | 0.36 | (1.96 | ) | (1.60 | ) | (0.49 | ) | — | (0.49 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
16.79 | 0.51 | 1.15 | 1.66 | (0.52 | ) | — | (0.52 | ) | |||||||||||||||||||
| Year Ended October 31, 2018 |
18.76 | 0.45 | (2.04 | ) | (1.59 | ) | (0.19 | ) | (0.19 | ) | (0.38 | ) | ||||||||||||||||
| Year Ended October 31, 2017 |
15.54 | 0.34 | 3.23 | 3.57 | (0.35 | ) | — | (0.35 | ) | |||||||||||||||||||
| Class I |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
16.05 | 0.47 | (f) | 5.23 | 5.70 | (0.36 | ) | — | (0.36 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
18.17 | 0.36 | (1.94 | ) | (1.58 | ) | (0.54 | ) | — | (0.54 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
17.01 | 0.56 | 1.16 | 1.72 | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||||
| Year Ended October 31, 2018 |
18.92 | 0.35 | (1.91 | ) | (1.56 | ) | (0.16 | ) | (0.19 | ) | (0.35 | ) | ||||||||||||||||
| Year Ended October 31, 2017 |
15.68 | 0.41 | 3.23 | 3.64 | (0.40 | ) | — | (0.40 | ) | |||||||||||||||||||
| Class R6 |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
16.00 | 0.49 | (f) | 5.21 | 5.70 | (0.37 | ) | — | (0.37 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
18.11 | 0.39 | (1.94 | ) | (1.55 | ) | (0.56 | ) | — | (0.56 | ) | |||||||||||||||||
| Year Ended October 31, 2019 |
16.97 | 0.57 | 1.16 | 1.73 | (0.59 | ) | — | (0.59 | ) | |||||||||||||||||||
| November 1, 2017 (g) through October 31, 2018 |
18.98 | 0.56 | (2.16 | ) | (1.60 | ) | (0.22 | ) | (0.19 | ) | (0.41 | ) | ||||||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (f) | Reflects income from foreign withholding tax claims, including related interest income. Had the Fund not received these proceeds, the net investment income (loss) per share for each share class would have remained the same and the net investment income (loss) ratios would have been 2.13%, 2.33%, and 2.44% for Class A, Class I and Class R6, respectively. |
| (g) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 86 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
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|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (c)(d) |
Net assets, end of period (000’s) |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 21.26 | 35.44 | % | $ | 46,779 | 0.60 | % | 2.15 | %(f) | 0.88 | % | 20 | % | |||||||||||||
| 15.84 | (9.26 | ) | 52,118 | 0.60 | 2.21 | 0.83 | 52 | |||||||||||||||||||
| 17.93 | 10.39 | 213,256 | 0.60 | 3.00 | 0.83 | 22 | ||||||||||||||||||||
| 16.79 | (8.66 | ) | 203,437 | 0.60 | 2.40 | 0.84 | 42 | |||||||||||||||||||
| 18.76 | 23.41 | 298,112 | 0.59 | 1.98 | 0.90 | 33 | ||||||||||||||||||||
| 21.39 | 35.78 | 386,797 | 0.35 | 2.35 | (f) | 0.56 | 20 | |||||||||||||||||||
| 16.05 | (9.05 | ) | 472,455 | 0.34 | 2.15 | 0.56 | 52 | |||||||||||||||||||
| 18.17 | 10.65 | 185,680 | 0.35 | 3.28 | 0.56 | 22 | ||||||||||||||||||||
| 17.01 | (8.42 | ) | 152,610 | 0.35 | 1.85 | 0.56 | 42 | |||||||||||||||||||
| 18.92 | 23.71 | 4,740,590 | 0.34 | 2.37 | 0.58 | 33 | ||||||||||||||||||||
| 21.33 | 35.93 | 4,562,266 | 0.25 | 2.46 | (f) | 0.31 | 20 | |||||||||||||||||||
| 16.00 | (8.96 | ) | 4,337,776 | 0.24 | 2.35 | 0.30 | 52 | |||||||||||||||||||
| 18.11 | 10.78 | 4,435,538 | 0.25 | 3.37 | 0.31 | 22 | ||||||||||||||||||||
| 16.97 | (8.60 | ) | 4,344,571 | 0.25 | 3.00 | 0.32 | 42 | |||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 87 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
||||||||||||||||
| JPMorgan International Value Fund |
| |||||||||||||||||||
| Class A |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 9.46 | $ | 0.43 | (d) | $ | 3.89 | $ | 4.32 | $ | (0.32 | ) | ||||||||
| Year Ended October 31, 2020 |
12.22 | 0.28 | (2.55 | ) | (2.27 | ) | (0.49 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.44 | 0.44 | (0.20 | ) | 0.24 | (0.46 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.26 | 0.36 | (1.87 | ) | (1.51 | ) | (0.31 | ) | ||||||||||||
| Year Ended October 31, 2017 |
12.23 | 0.22 | 2.50 | 2.72 | (0.69 | ) | ||||||||||||||
| Class C |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
9.14 | 0.33 | (d) | 3.79 | 4.12 | (0.24 | ) | |||||||||||||
| Year Ended October 31, 2020 |
11.81 | 0.21 | (2.47 | ) | (2.26 | ) | (0.41 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.02 | 0.36 | (0.18 | ) | 0.18 | (0.39 | ) | |||||||||||||
| Year Ended October 31, 2018 |
13.78 | 0.28 | (1.82 | ) | (1.54 | ) | (0.22 | ) | ||||||||||||
| Year Ended October 31, 2017 |
11.88 | 0.15 | 2.42 | 2.57 | (0.67 | ) | ||||||||||||||
| Class I |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
9.72 | 0.47 | (d) | 3.99 | 4.46 | (0.34 | ) | |||||||||||||
| Year Ended October 31, 2020 |
12.54 | 0.31 | (2.61 | ) | (2.30 | ) | (0.52 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.76 | 0.48 | (0.20 | ) | 0.28 | (0.50 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.62 | 0.41 | (1.92 | ) | (1.51 | ) | (0.35 | ) | ||||||||||||
| Year Ended October 31, 2017 |
12.57 | 0.28 | 2.55 | 2.83 | (0.78 | ) | ||||||||||||||
| Class L |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
9.66 | 0.47 | (d) | 3.99 | 4.46 | (0.34 | ) | |||||||||||||
| Year Ended October 31, 2020 |
12.47 | 0.30 | (2.58 | ) | (2.28 | ) | (0.53 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.70 | 0.46 | (0.17 | ) | 0.29 | (0.52 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.55 | 0.41 | (1.90 | ) | (1.49 | ) | (0.36 | ) | ||||||||||||
| Year Ended October 31, 2017 |
12.50 | 0.27 | 2.57 | 2.84 | (0.79 | ) | ||||||||||||||
| Class R2 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
9.29 | 0.39 | (d) | 3.82 | 4.21 | (0.28 | ) | |||||||||||||
| Year Ended October 31, 2020 |
11.96 | 0.24 | (2.51 | ) | (2.27 | ) | (0.40 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.20 | 0.40 | (0.20 | ) | 0.20 | (0.44 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.01 | 0.31 | (1.84 | ) | (1.53 | ) | (0.28 | ) | ||||||||||||
| Year Ended October 31, 2017 |
12.04 | 0.19 | 2.46 | 2.65 | (0.68 | ) | ||||||||||||||
| Class R5 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
9.60 | 0.41 | (d) | 4.02 | 4.43 | (0.36 | ) | |||||||||||||
| Year Ended October 31, 2020 |
12.40 | 0.33 | (2.59 | ) | (2.26 | ) | (0.54 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.65 | 0.49 | (0.21 | ) | 0.28 | (0.53 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.51 | 0.42 | (1.91 | ) | (1.49 | ) | (0.37 | ) | ||||||||||||
| Year Ended October 31, 2017 |
12.51 | 0.23 | 2.59 | 2.82 | (0.82 | ) | ||||||||||||||
| Class R6 |
| |||||||||||||||||||
| Year Ended October 31, 2021 |
9.62 | 0.49 | (d) | 3.97 | 4.46 | (0.37 | ) | |||||||||||||
| Year Ended October 31, 2020 |
12.43 | 0.34 | (2.60 | ) | (2.26 | ) | (0.55 | ) | ||||||||||||
| Year Ended October 31, 2019 |
12.67 | 0.51 | (0.21 | ) | 0.30 | (0.54 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.53 | 0.43 | (1.91 | ) | (1.48 | ) | (0.38 | ) | ||||||||||||
| Year Ended October 31, 2017 |
12.51 | 0.31 | 2.53 | 2.84 | (0.82 | ) | ||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes interest expense, if applicable, which is less than 0.005% unless otherwise noted. |
| (d) | Reflects income from foreign withholding tax claims, including related interest income, less IRS compliance fees. Without these proceeds, the net investment income (loss) per share would have been $0.38, $0.28, $0.42, $0.41, $0.34, $0.35 and $0.44 for Class A, Class C, Class I, Class L, Class R2, Class R5, and Class R6, respectively, and the net investment income (loss) ratios would have been 3.00%, 2.26%, 3.19%, 3.23%, 2.72%, 2.80% and 3.44% for Class A, Class C, Class I, Class L, Class R2, Class R5, and Class R6, respectively. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 88 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (b) |
Net assets, end of period (000’s) |
Net expenses (c) |
Net investment income (loss) |
Expenses without waivers and reimbursements |
Portfolio turnover rate |
||||||||||||||||||||
| $ | 13.46 | 46.20 | % | $ | 187,774 | 1.00 | % | 3.39 | %(d) | 1.24 | % | 33 | % | |||||||||||||
| 9.46 | (19.51 | ) | 125,744 | 1.00 | 2.66 | 1.26 | 59 | |||||||||||||||||||
| 12.22 | 2.30 | 181,458 | 1.00 | 3.69 | 1.28 | 61 | ||||||||||||||||||||
| 12.44 | (10.88 | ) | 242,231 | 1.00 | 2.59 | 1.27 | 90 | |||||||||||||||||||
| 14.26 | 23.30 | 316,510 | 1.35 | 1.71 | 1.35 | 31 | ||||||||||||||||||||
| 13.02 | 45.54 | 3,923 | 1.50 | 2.70 | (d) | 1.77 | 33 | |||||||||||||||||||
| 9.14 | (19.94 | ) | 4,202 | 1.50 | 2.07 | 1.78 | 59 | |||||||||||||||||||
| 11.81 | 1.82 | 9,358 | 1.50 | 3.15 | 1.80 | 61 | ||||||||||||||||||||
| 12.02 | (11.37 | ) | 14,055 | 1.50 | 2.06 | 1.78 | 90 | |||||||||||||||||||
| 13.78 | 22.67 | 20,997 | 1.85 | 1.21 | 1.87 | 31 | ||||||||||||||||||||
| 13.84 | 46.51 | 39,188 | 0.75 | 3.58 | (d) | 0.99 | 33 | |||||||||||||||||||
| 9.72 | (19.31 | ) | 26,805 | 0.75 | 2.88 | 1.02 | 59 | |||||||||||||||||||
| 12.54 | 2.56 | 45,503 | 0.75 | 3.91 | 1.03 | 61 | ||||||||||||||||||||
| 12.76 | (10.62 | ) | 66,291 | 0.75 | 2.84 | 1.02 | 90 | |||||||||||||||||||
| 14.62 | 23.66 | 144,875 | 1.04 | 2.07 | 1.04 | 31 | ||||||||||||||||||||
| 13.78 | 46.77 | 7,042 | 0.66 | 3.66 | (d) | 0.84 | 33 | |||||||||||||||||||
| 9.66 | (19.25 | ) | 5,585 | 0.65 | 2.72 | 0.85 | 59 | |||||||||||||||||||
| 12.47 | 2.69 | 30,256 | 0.65 | 3.81 | 0.87 | 61 | ||||||||||||||||||||
| 12.70 | (10.57 | ) | 73,651 | 0.65 | 2.84 | 0.87 | 90 | |||||||||||||||||||
| 14.55 | 23.88 | 201,672 | 0.87 | 2.03 | 0.88 | 31 | ||||||||||||||||||||
| 13.22 | 45.84 | 514 | 1.30 | 3.14 | (d) | 1.59 | 33 | |||||||||||||||||||
| 9.29 | (19.74 | ) | 412 | 1.30 | 2.27 | 1.61 | 59 | |||||||||||||||||||
| 11.96 | 2.00 | 722 | 1.30 | 3.47 | 1.69 | 61 | ||||||||||||||||||||
| 12.20 | (11.19 | ) | 1,025 | 1.30 | 2.27 | 1.59 | 90 | |||||||||||||||||||
| 14.01 | 23.02 | 1,369 | 1.58 | 1.52 | 1.73 | 31 | ||||||||||||||||||||
| 13.67 | 46.74 | 67 | 0.65 | 3.24 | (d) | 0.85 | 33 | |||||||||||||||||||
| 9.60 | (19.26 | ) | 77 | 0.65 | 3.13 | 0.86 | 59 | |||||||||||||||||||
| 12.40 | 2.64 | 88 | 0.65 | 4.08 | 0.87 | 61 | ||||||||||||||||||||
| 12.65 | (10.58 | ) | 70 | 0.65 | 2.97 | 0.91 | 90 | |||||||||||||||||||
| 14.51 | 23.81 | 62 | 0.93 | 1.69 | 4.00 | 31 | ||||||||||||||||||||
| 13.71 | 46.99 | 158,191 | 0.55 | 3.83 | (d) | 0.73 | 33 | |||||||||||||||||||
| 9.62 | (19.22 | ) | 105,039 | 0.55 | 3.18 | 0.76 | 59 | |||||||||||||||||||
| 12.43 | 2.83 | 125,887 | 0.55 | 4.22 | 0.77 | 61 | ||||||||||||||||||||
| 12.67 | (10.49 | ) | 124,246 | 0.55 | 3.06 | 0.77 | 90 | |||||||||||||||||||
| 14.53 | 23.99 | 108,302 | 0.80 | 2.28 | 0.82 | 31 | ||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 89 | ||||||||
Table of Contents
AS OF OCTOBER 31, 2021
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (“JPM I”), JPMorgan Trust II (“JPM II”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 for JPM I and JPM II and November 11, 2015 for JPM IV, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 8 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversification Classification | ||||
| JPMorgan Emerging Markets Equity Fund | Class A, Class C, Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan Emerging Markets Research Enhanced Equity Fund | Class I and Class R6 | JPM IV | Diversified | |||
| JPMorgan Europe Dynamic Fund | Class A, Class C, Class I, Class L and Class R6 | JPM I | Diversified | |||
| JPMorgan International Equity Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan International Focus Fund | Class A, Class C, Class I, Class R2, Class R5 and Class R6 | JPM I | Diversified | |||
| JPMorgan International Hedged Equity Fund | Class A, Class C, Class I, Class R5 and Class R6 | JPM IV | Diversified | |||
| JPMorgan International Research Enhanced Equity Fund | Class A, Class I and Class R6 | JPM II | Diversified | |||
| JPMorgan International Value Fund | Class A, Class C, Class I, Class L, Class R2, Class R5 and Class R6 | JPM I | Diversified |
The investment objective of JPMorgan Emerging Markets Equity Fund (“Emerging Markets Equity Fund”) is to seek to provide high total return.
The investment objective of JPMorgan Emerging Markets Research Enhanced Equity Fund (“Emerging Markets Research Enhanced Equity Fund”), JPMorgan International Focus Fund (“International Focus Fund”), JPMorgan International Research Enhanced Equity Fund (“International Research Enhanced Equity Fund”) and JPMorgan International Value Fund (“International Value Fund”) is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan Europe Dynamic Fund (“Europe Dynamic Fund”) is to seek total return from long-term capital growth. Total return consists of capital growth and current income.
The investment objective of JPMorgan International Equity Fund (“International Equity Fund”) is to seek total return from long-term capital growth and income. Total return consists of capital growth and current income.
The investment objective of JPMorgan International Hedged Equity Fund (“International Hedged Equity Fund”) is to seek to provide capital appreciation.
Class L Shares of Europe Dynamic Fund and International Value Fund are publicly offered on a limited basis. Class A Shares of International Research Enhanced Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase Class L Shares of Europe Dynamic Fund and International Value Fund and Class A Shares of International Research Enhanced Equity Fund unless they meet certain requirements as described in the Funds’ prospectuses.
Effective as of the close of business on December 31, 2020, all share classes of Emerging Markets Equity Fund are publicly offered on a limited basis. Investors are not eligible to purchase shares of the Fund unless they meet certain requirements as described in the Fund’s prospectuses.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I, Class L, Class R2, Class R3, Class R4, Class R5 and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
| 90 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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 Boards.
A market-based approach is primarily used to value the Funds’ investments. Investments for which market quotations are not readily available are fair valued by approved affiliated and/or unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”) or may be internally fair valued using methods set forth by the valuation policies approved by the Boards. This may include the use of related or comparable assets or liabilities, recent transactions, market multiples, book values and other relevant information for the investment. An income-based valuation approach may be used in which the anticipated future cash flows of the investment are discounted to calculate the fair value. Discounts may also be applied due to the nature or duration of any restrictions on the disposition of the investments. Valuations may be based upon current market prices of securities that are comparable in coupon, rating, maturity and industry. It is possible that the estimated values may differ significantly from the values that would have been used had a ready market for the investments existed, and such differences could be material.
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 Funds are calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by 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 (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations. 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 Funds’ 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 Funds’ 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.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 91 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):
Emerging Markets Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Argentina |
$ | 378,577 | $ | — | $ | — | $ | 378,577 | ||||||||
| Brazil |
338,624 | — | — | 338,624 | ||||||||||||
| China |
457,477 | 4,755,340 | — | 5,212,817 | ||||||||||||
| Hong Kong |
— | 711,639 | — | 711,639 | ||||||||||||
| India |
269,806 | 2,046,078 | — | 2,315,884 | ||||||||||||
| Indonesia |
— | 399,632 | — | 399,632 | ||||||||||||
| Macau |
— | 60,144 | — | 60,144 | ||||||||||||
| Mexico |
182,730 | — | — | 182,730 | ||||||||||||
| Panama |
65,024 | — | — | 65,024 | ||||||||||||
| Poland |
117,404 | — | — | 117,404 | ||||||||||||
| Portugal |
97,192 | — | — | 97,192 | ||||||||||||
| Russia |
188,748 | — | — | 188,748 | ||||||||||||
| South Africa |
132,741 | — | — | 132,741 | ||||||||||||
| South Korea |
— | 1,086,746 | — | 1,086,746 | ||||||||||||
| Taiwan |
1,477,761 | 186,662 | — | 1,664,423 | ||||||||||||
| Turkey |
57,773 | — | — | 57,773 | ||||||||||||
| United Kingdom |
— | 179,764 | — | 179,764 | ||||||||||||
| United States |
594,223 | 74,443 | — | 668,666 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
4,358,080 | 9,500,448 | — | 13,858,528 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
24,800 | — | — | 24,800 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
247,926 | — | — | 247,926 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
272,726 | — | — | 272,726 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 4,630,806 | $ | 9,500,448 | $ | — | $ | 14,131,254 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Emerging Markets Research Enhanced Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Argentina |
$ | 5,341 | $ | — | $ | — | $ | 5,341 | ||||||||
| Brazil |
145,393 | — | — | 145,393 | ||||||||||||
| Chile |
11,788 | — | — | 11,788 | ||||||||||||
| China |
142,606 | 1,163,537 | — | 1,306,143 | ||||||||||||
| Colombia |
7,536 | — | — | 7,536 | ||||||||||||
| Greece |
— | 15,205 | — | 15,205 | ||||||||||||
| Hong Kong |
— | 9,276 | — | 9,276 | ||||||||||||
| Hungary |
3,407 | 12,949 | — | 16,356 | ||||||||||||
| India |
55,790 | 373,541 | — | 429,331 | ||||||||||||
| Indonesia |
— | 60,646 | — | 60,646 | ||||||||||||
| Malaysia |
26,308 | 10,776 | — | 37,084 | ||||||||||||
| Mexico |
109,622 | — | — | 109,622 | ||||||||||||
| Peru |
11,190 | — | — | 11,190 | ||||||||||||
| Philippines |
14,916 | — | — | 14,916 | ||||||||||||
| Poland |
14,858 | 11,367 | — | 26,225 | ||||||||||||
| Qatar |
11,870 | — | — | 11,870 | ||||||||||||
| 92 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
Emerging Markets Research Enhanced Equity Fund (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Russia |
$ | 62,318 | $ | 110,292 | $ | — | $ | 172,610 | ||||||||
| Saudi Arabia |
75,675 | 23,602 | — | 99,277 | ||||||||||||
| Singapore |
— | 3,275 | — | 3,275 | ||||||||||||
| South Africa |
67,193 | 57,390 | — | 124,583 | ||||||||||||
| South Korea |
— | 478,981 | — | 478,981 | ||||||||||||
| Taiwan |
43,615 | 490,629 | — | 534,244 | ||||||||||||
| Thailand |
62,552 | 6,585 | — | 69,137 | ||||||||||||
| Turkey |
17,877 | — | — | 17,877 | ||||||||||||
| United Arab Emirates |
— | 5,099 | — | 5,099 | ||||||||||||
| United States |
— | 2,359 | — | 2,359 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
889,855 | 2,835,509 | — | 3,725,364 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
3,718 | — | — | 3,718 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
25,352 | — | — | 25,352 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
29,070 | — | — | 29,070 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 918,925 | $ | 2,835,509 | $ | — | $ | 3,754,434 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
Europe Dynamic Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
$ | — | $ | 10,312 | $ | — | $ | 10,312 | ||||||||
| Austria |
— | 20,881 | — | 20,881 | ||||||||||||
| Belgium |
5,183 | 8,070 | — | 13,253 | ||||||||||||
| Denmark |
— | 57,156 | — | 57,156 | ||||||||||||
| Finland |
— | 47,444 | — | 47,444 | ||||||||||||
| France |
— | 139,829 | — | 139,829 | ||||||||||||
| Germany |
— | 155,767 | — | 155,767 | ||||||||||||
| Ireland |
5,441 | 17,101 | — | 22,542 | ||||||||||||
| Italy |
— | 12,503 | — | 12,503 | ||||||||||||
| Luxembourg |
— | 10,870 | — | 10,870 | ||||||||||||
| Netherlands |
— | 79,257 | — | 79,257 | ||||||||||||
| Norway |
— | 7,627 | — | 7,627 | ||||||||||||
| Spain |
13,935 | 10,263 | — | 24,198 | ||||||||||||
| Sweden |
— | 9,833 | — | 9,833 | ||||||||||||
| Switzerland |
— | 171,416 | — | 171,416 | ||||||||||||
| United Kingdom |
16,530 | 185,145 | — | 201,675 | ||||||||||||
| United States |
— | 30,005 | — | 30,005 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
41,089 | 973,479 | — | 1,014,568 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
46,060 | — | — | 46,060 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
7,173 | — | — | 7,173 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
53,233 | — | — | 53,233 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 94,322 | $ | 973,479 | $ | — | $ | 1,067,801 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
$ | 1,351 | $ | — | $ | — | $ | 1,351 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 93 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
International Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
$ | — | $ | 115,935 | $ | — | $ | 115,935 | ||||||||
| Austria |
— | 46,344 | — | 46,344 | ||||||||||||
| Belgium |
— | 70,975 | — | 70,975 | ||||||||||||
| China |
— | 33,773 | — | 33,773 | ||||||||||||
| Denmark |
— | 261,150 | — | 261,150 | ||||||||||||
| Finland |
— | 42,380 | — | 42,380 | ||||||||||||
| France |
— | 755,374 | — | 755,374 | ||||||||||||
| Germany |
— | 360,997 | — | 360,997 | ||||||||||||
| Hong Kong |
— | 148,610 | — | 148,610 | ||||||||||||
| India |
40,502 | — | — | 40,502 | ||||||||||||
| Japan |
— | 850,440 | — | 850,440 | ||||||||||||
| Netherlands |
— | 272,597 | — | 272,597 | ||||||||||||
| Singapore |
— | 77,988 | — | 77,988 | ||||||||||||
| South Africa |
— | 53,968 | — | 53,968 | ||||||||||||
| South Korea |
— | 103,801 | — | 103,801 | ||||||||||||
| Spain |
56,575 | 83,683 | — | 140,258 | ||||||||||||
| Sweden |
— | 234,591 | — | 234,591 | ||||||||||||
| Switzerland |
— | 343,615 | — | 343,615 | ||||||||||||
| Taiwan |
96,382 | — | — | 96,382 | ||||||||||||
| United Kingdom |
— | 535,165 | — | 535,165 | ||||||||||||
| United States |
— | 158,853 | — | 158,853 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
193,459 | 4,550,239 | — | 4,743,698 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
123,785 | — | — | 123,785 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
124,466 | — | — | 124,466 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
248,251 | — | — | 248,251 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 441,710 | $ | 4,550,239 | $ | — | $ | 4,991,949 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
International Focus Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
$ | — | $ | 86,419 | $ | — | $ | 86,419 | ||||||||
| Belgium |
— | 94,747 | — | 94,747 | ||||||||||||
| Canada |
197,460 | — | — | 197,460 | ||||||||||||
| China |
— | 228,987 | — | 228,987 | ||||||||||||
| Denmark |
— | 167,565 | — | 167,565 | ||||||||||||
| Finland |
— | 54,877 | — | 54,877 | ||||||||||||
| France |
— | 350,893 | — | 350,893 | ||||||||||||
| Germany |
— | 214,153 | — | 214,153 | ||||||||||||
| Hong Kong |
— | 204,101 | — | 204,101 | ||||||||||||
| India |
122,321 | — | — | 122,321 | ||||||||||||
| Indonesia |
— | 78,189 | — | 78,189 | ||||||||||||
| Japan |
— | 271,010 | — | 271,010 | ||||||||||||
| Netherlands |
— | 141,389 | — | 141,389 | ||||||||||||
| Russia |
57,160 | — | — | 57,160 | ||||||||||||
| Singapore |
— | 61,705 | — | 61,705 | ||||||||||||
| 94 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
International Focus Fund (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| South Africa |
$ | — | $ | 82,613 | $ | — | $ | 82,613 | ||||||||
| South Korea |
— | 199,509 | — | 199,509 | ||||||||||||
| Spain |
67,172 | — | — | 67,172 | ||||||||||||
| Sweden |
— | 136,650 | — | 136,650 | ||||||||||||
| Switzerland |
— | 275,218 | — | 275,218 | ||||||||||||
| Taiwan |
197,874 | — | — | 197,874 | ||||||||||||
| United Kingdom |
— | 402,051 | — | 402,051 | ||||||||||||
| United States |
— | 174,403 | — | 174,403 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
641,987 | 3,224,479 | — | 3,866,466 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
47,837 | — | — | 47,837 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
36,469 | — | — | 36,469 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
84,306 | — | — | 84,306 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 726,293 | $ | 3,224,479 | $ | — | $ | 3,950,772 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
International Hedged Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
$ | — | $ | 8,534 | $ | — | $ | 8,534 | ||||||||
| Austria |
— | 391 | — | 391 | ||||||||||||
| Belgium |
— | 915 | — | 915 | ||||||||||||
| China |
— | 904 | — | 904 | ||||||||||||
| Denmark |
— | 4,888 | — | 4,888 | ||||||||||||
| Finland |
— | 528 | — | 528 | ||||||||||||
| France |
— | 16,425 | — | 16,425 | ||||||||||||
| Germany |
— | 14,980 | — | 14,980 | ||||||||||||
| Hong Kong |
— | 3,626 | — | 3,626 | ||||||||||||
| Ireland |
— | 1,446 | — | 1,446 | ||||||||||||
| Italy |
— | 1,180 | — | 1,180 | ||||||||||||
| Japan |
— | 35,280 | — | 35,280 | ||||||||||||
| Luxembourg |
— | 204 | — | 204 | ||||||||||||
| Netherlands |
— | 10,308 | — | 10,308 | ||||||||||||
| Singapore |
— | 1,463 | — | 1,463 | ||||||||||||
| Spain |
1,559 | 2,833 | — | 4,392 | ||||||||||||
| Sweden |
— | 4,080 | — | 4,080 | ||||||||||||
| Switzerland |
— | 15,943 | — | 15,943 | ||||||||||||
| United Kingdom |
1,004 | 16,797 | — | 17,801 | ||||||||||||
| United States |
— | 3,603 | — | 3,603 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
2,563 | 144,328 | — | 146,891 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Options Purchased |
| |||||||||||||||
| Put Options Purchased |
$ | 971 | $ | — | $ | — | $ | 971 | ||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
3,536 | — | — | 3,536 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 7,070 | $ | 144,328 | $ | — | $ | 151,398 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
$ | 26 | $ | — | $ | — | $ | 26 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 95 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
International Hedged Equity Fund (continued)
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Depreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
$ | (16 | ) | $ | — | $ | — | $ | (16 | ) | ||||||
| Options Written |
| |||||||||||||||
| Call Options Written |
(557 | ) | — | — | (557 | ) | ||||||||||
| Put Options Written |
(128 | ) | — | — | (128 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Net Appreciation/Depreciation in Other Financial Instruments |
$ | (675 | ) | $ | — | $ | — | $ | (675 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
International Research Enhanced Equity Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
$ | — | $ | 287,311 | $ | — | $ | 287,311 | ||||||||
| Austria |
— | 11,928 | — | 11,928 | ||||||||||||
| Belgium |
— | 29,526 | — | 29,526 | ||||||||||||
| China |
— | 29,947 | — | 29,947 | ||||||||||||
| Denmark |
— | 161,050 | — | 161,050 | ||||||||||||
| Finland |
— | 17,743 | — | 17,743 | ||||||||||||
| France |
— | 546,015 | — | 546,015 | ||||||||||||
| Germany |
— | 493,869 | — | 493,869 | ||||||||||||
| Hong Kong |
— | 115,006 | — | 115,006 | ||||||||||||
| Ireland |
— | 48,734 | — | 48,734 | ||||||||||||
| Italy |
— | 41,091 | — | 41,091 | ||||||||||||
| Japan |
— | 1,160,371 | — | 1,160,371 | ||||||||||||
| Luxembourg |
— | 7,652 | — | 7,652 | ||||||||||||
| Malta |
— | — | — | (a) | — | (a) | ||||||||||
| Netherlands |
— | 341,283 | — | 341,283 | ||||||||||||
| Singapore |
— | 49,224 | — | 49,224 | ||||||||||||
| Spain |
49,623 | 92,823 | — | 142,446 | ||||||||||||
| Sweden |
— | 138,971 | — | 138,971 | ||||||||||||
| Switzerland |
— | 524,126 | — | 524,126 | ||||||||||||
| United Kingdom |
33,981 | 555,509 | — | 589,490 | ||||||||||||
| United States |
— | 117,716 | — | 117,716 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
83,604 | 4,769,895 | — | (a) | 4,853,499 | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
93,239 | — | — | 93,239 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
92,470 | — | — | 92,470 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
185,709 | — | — | 185,709 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 269,313 | $ | 4,769,895 | $ | — | (a) | $ | 5,039,208 | |||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
$ | 498 | $ | — | $ | — | $ | 498 | ||||||||
| Depreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
(342 | ) | — | — | (342 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Net Appreciation/Depreciation in Other Financial Instruments |
$ | 156 | $ | — | $ | — | $ | 156 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Amount rounds to less than one thousand. |
| 96 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
International Value Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
| |||||||||||||||
| Common Stocks |
| |||||||||||||||
| Australia |
$ | — | $ | 26,894 | $ | — | $ | 26,894 | ||||||||
| Austria |
— | 6,756 | — | 6,756 | ||||||||||||
| Belgium |
— | 3,927 | — | 3,927 | ||||||||||||
| China |
— | 3,278 | — | 3,278 | ||||||||||||
| Denmark |
3,959 | 2,658 | — | 6,617 | ||||||||||||
| Egypt |
908 | — | — | 908 | ||||||||||||
| Finland |
— | 5,963 | — | 5,963 | ||||||||||||
| France |
2,630 | 38,260 | — | 40,890 | ||||||||||||
| Germany |
803 | 37,772 | — | 38,575 | ||||||||||||
| Hong Kong |
855 | 4,979 | — | 5,834 | ||||||||||||
| Italy |
— | 14,799 | — | 14,799 | ||||||||||||
| Japan |
— | 84,952 | — | 84,952 | ||||||||||||
| Luxembourg |
— | 1,723 | — | 1,723 | ||||||||||||
| Malta |
— | 808 | — | 808 | ||||||||||||
| Netherlands |
— | 12,772 | — | 12,772 | ||||||||||||
| Norway |
1,957 | 9,860 | — | 11,817 | ||||||||||||
| Portugal |
— | 505 | — | 505 | ||||||||||||
| Russia |
— | 961 | — | 961 | ||||||||||||
| Singapore |
— | 4,238 | — | 4,238 | ||||||||||||
| South Africa |
— | 2,897 | — | 2,897 | ||||||||||||
| Spain |
501 | 12,254 | — | 12,755 | ||||||||||||
| Sweden |
1,983 | 11,670 | — | 13,653 | ||||||||||||
| Switzerland |
— | 25,059 | — | 25,059 | ||||||||||||
| Ukraine |
— | 672 | — | 672 | ||||||||||||
| United Kingdom |
8,476 | 58,225 | — | 66,701 | ||||||||||||
| United States |
— | 1,682 | — | 1,682 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
22,072 | 373,564 | — | 395,636 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Short-Term Investments |
| |||||||||||||||
| Investment Companies |
2,400 | — | — | 2,400 | ||||||||||||
| Investment of Cash Collateral from Securities Loaned |
4,144 | — | — | 4,144 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
6,544 | — | — | 6,544 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 28,616 | $ | 373,564 | $ | — | $ | 402,180 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
$ | 65 | $ | — | $ | — | $ | 65 | ||||||||
| Depreciation in Other Financial Instruments |
| |||||||||||||||
| Futures Contracts |
(15 | ) | — | — | (15 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Net Appreciation/Depreciation in Other Financial Instruments |
$ | 50 | $ | — | $ | — | $ | 50 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of October 31, 2021, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 97 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
interest on the securities lent, which is invested in the Class IM Shares of the JPMorgan U.S. Government Money Market Fund and the Agency SL Class Shares of the JPMorgan Securities Lending Money Market Fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
The following table presents for each lending Fund, the value of the securities on loan with Citibank, net of amounts available for offset under the master netting arrangements and any related collateral received or posted by the Funds as of October 31, 2021.
| Investment Securities on Loan, at value, Presented on the Statements of Assets and Liabilities |
Cash Collateral Posted by Borrower* |
Net Amount Due to Counterparty (not less than zero) |
||||||||||
| Emerging Markets Equity Fund |
$ | 235,340 | $ | (235,340 | ) | $ | — | |||||
| Emerging Markets Research Enhanced Equity Fund |
24,147 | (24,147 | ) | — | ||||||||
| Europe Dynamic Fund |
6,806 | (6,806 | ) | — | ||||||||
| International Equity Fund |
119,061 | (119,061 | )** | — | ||||||||
| International Focus Fund |
35,662 | (35,662 | )** | — | ||||||||
| International Research Enhanced Equity Fund |
86,810 | (86,810 | ) | — | ||||||||
| International Value Fund |
3,137 | (3,137 | ) | — | ||||||||
| * | Collateral posted reflects the value of securities on loan and does not include any additional amounts received from the borrower. |
| ** | Subsequent to October 31, 2021, additional collateral was received. |
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the year ended October 31, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
| Emerging Markets Equity Fund |
$ | 14 | ||
| Emerging Markets Research Enhanced Equity Fund |
3 | |||
| Europe Dynamic Fund |
2 | |||
| International Equity Fund |
6 | |||
| International Focus Fund |
3 | |||
| International Research Enhanced Equity Fund |
6 | |||
| International Value Fund |
1 |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
International Hedged Equity Fund did not lend out any securities during the year ended October 31, 2021.
| 98 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
D. Investment Transactions with Affiliates — The Funds invested in Underlying Funds, which are advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuers listed in the tables below to be affiliated issuers. Underlying Funds’ distributions may be reinvested into such Underlying Funds. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Emerging Markets Equity Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 313,818 | $ | 3,564,493 | $ | 3,853,485 | $ | (43 | ) | $ | 17 | $ | 24,800 | 24,788 | $ | 106 | $ | — | ||||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
117,544 | 1,354,500 | 1,250,000 | (17 | )* | 13 | 222,040 | 222,040 | 115 | * | — | |||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
12,077 | 1,176,188 | 1,162,379 | — | — | 25,886 | 25,886 | 6 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 443,439 | $ | 6,095,181 | $ | 6,265,864 | $ | (60 | ) | $ | 30 | $ | 272,726 | $ | 227 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
Emerging Markets Research Enhanced Equity Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 12,125 | $ | 1,618,353 | $ | 1,626,753 | $ | (7 | ) | $ | — | $ | 3,718 | 3,716 | $ | 33 | $ | — | ||||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
15,995 | 244,000 | 237,500 | (3 | )* | 1 | 22,493 | 22,493 | 29 | * | — | |||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
2,093 | 164,915 | 164,149 | — | — | 2,859 | 2,859 | 1 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 30,213 | $ | 2,027,268 | $ | 2,028,402 | $ | (10 | ) | $ | 1 | $ | 29,070 | $ | 63 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 99 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
Europe Dynamic Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 2,182 | $ | 684,714 | $ | 640,834 | $ | (2 | ) | $ | — | (c) | $ | 46,060 | 46,037 | $ | 11 | $ | — | |||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
— | 79,000 | 78,998 | (2 | )* | — | — | — | 5 | * | — | |||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
2,662 | 109,450 | 104,939 | — | — | 7,173 | 7,173 | 1 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 4,844 | $ | 873,164 | $ | 824,771 | $ | (4 | ) | $ | — | (c) | $ | 53,233 | $ | 17 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
International Equity Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 40,182 | $ | 2,208,553 | $ | 2,124,953 | $ | 1 | $ | 2 | $ | 123,785 | 123,724 | $ | 54 | $ | — | |||||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
17,997 | 945,000 | 851,982 | (15 | )* | — | (c) | 111,000 | 111,000 | 66 | * | — | ||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
2,359 | 554,882 | 543,775 | — | — | 13,466 | 13,466 | 3 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 60,538 | $ | 3,708,435 | $ | 3,520,710 | $ | (14 | ) | $ | 2 | $ | 248,251 | $ | 123 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| 100 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
International Focus Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 41,452 | $ | 1,162,822 | $ | 1,156,429 | $ | (12 | ) | $ | 4 | $ | 47,837 | 47,813 | $ | 47 | $ | — | ||||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
70,236 | 607,000 | 644,233 | (3 | )* | — | (c) | 33,000 | 33,000 | 22 | * | — | ||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
8,292 | 286,582 | 291,405 | — | — | 3,469 | 3,469 | 1 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 119,980 | $ | 2,056,404 | $ | 2,092,067 | $ | (15 | ) | $ | 4 | $ | 84,306 | $ | 70 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
International Hedged Equity Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class Institutional Shares, 0.01% (a) (b) |
$ | 6,584 | $ | 49,101 | $ | 52,149 | $ | — | (c) | $ | — | $ | 3,536 | 3,536 | $ | 1 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 101 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
International Research Enhanced Equity Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 160,896 | $ | 1,372,493 | $ | 1,440,121 | $ | 51 | $ | (80 | ) | $ | 93,239 | 93,193 | $ | 78 | $ | — | ||||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
77,355 | 857,000 | 851,999 | (11 | )* | 2 | 82,347 | 82,347 | 52 | * | — | |||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
10,220 | 498,331 | 498,428 | — | — | 10,123 | 10,123 | 2 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 248,471 | $ | 2,727,824 | $ | 2,790,548 | $ | 40 | $ | (78 | ) | $ | 185,709 | $ | 132 | $ | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
International Value Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 5,627 | $ | 67,401 | $ | 70,628 | $ | — | (c) | $ | — | (c) | $ | 2,400 | 2,399 | $ | 4 | $ | — | |||||||||||||||||
| JPMorgan Securities Lending Money Market Fund Agency SL Class Shares, 0.08% (a) (b) |
1,000 | 71,200 | 69,000 | (1 | )* | — | (c) | 3,199 | 3,199 | 4 | * | — | ||||||||||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
956 | 85,238 | 85,249 | — | — | 945 | 945 | — | *(c) | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 7,583 | $ | 223,839 | $ | 224,877 | $ | (1 | ) | $ | — | (c) | $ | 6,544 | $ | 8 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes
| 102 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
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recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Derivatives — The Funds, except for Emerging Markets Equity Fund, used derivative instruments including options, futures contracts and forward foreign currency exchange contracts in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds 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 potential 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 Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ 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 Funds in the event the Funds’ 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 Funds 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 Funds 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 Funds. The ISDA agreements give the Funds 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 against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Funds.
Notes F(1) — F(3) below describe the various derivatives used by the Funds.
(1). Options — International Hedged Equity Fund purchased and sold (“wrote”) put and call options on various instruments including currencies, futures, securities, options on indices and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within its portfolio and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — Premiums paid by the Fund for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Fund will lose the entire premium it paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Fund for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Fund records a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Fund is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Fund to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Fund to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Fund is not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 103 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
The Fund’s exchange-traded option 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). Futures Contracts — Emerging Markets Research Enhanced Equity Fund, Europe Dynamic Fund, International Equity Fund, International Hedged Equity Fund, International Research Enhanced Equity Fund and International Value Fund used index futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
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 Funds are 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 Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price risk. The Funds may be subject 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 subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds 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 Funds’ 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 Funds’ 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).
(3). Forward Foreign Currency Exchange Contracts—International Focus Fund is exposed to foreign currency risks associated with some or all of its 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 the 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, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
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.
G. Summary of Derivatives Information
The following table presents the value of derivatives held as of October 31, 2021 by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| Europe Dynamic Fund |
International Hedged Equity Fund |
International Research Enhanced Equity Fund |
International Value Fund |
|||||||||||||
| Equity Risk Exposure: |
||||||||||||||||
| Unrealized Appreciation on Futures Contracts* |
$ | 1,351 | $ | 26 | $ | 498 | $ | 65 | ||||||||
| Purchased Options at Market Value |
— | 971 | — | — | ||||||||||||
| Unrealized Depreciation on Futures Contracts* |
— | (16 | ) | (342 | ) | (15 | ) | |||||||||
| Written Options at Market Value |
— | (685 | ) | — | — | |||||||||||
| 104 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
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| Europe Dynamic Fund |
International Hedged Equity Fund |
International Research Enhanced Equity Fund |
International Value Fund |
|||||||||||||
| Net Fair Value of Derivative Contracts: |
||||||||||||||||
| Unrealized Appreciation (Depreciation) on Futures Contracts* |
$ | 1,351 | $ | 10 | $ | 156 | $ | 50 | ||||||||
| Purchased Options at Market Value |
— | 971 | — | — | ||||||||||||
| Written Options at Market Value |
— | (685 | ) | — | — | |||||||||||
| * | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
The following table presents the effect of derivatives on the Statements of Operations for the year ended October 31, 2021, by primary underlying risk exposure:
| Emerging Markets Research Enhanced Equity Fund |
Europe Dynamic Fund |
International Equity Fund |
International Focus Fund |
International Hedged Equity Fund |
International Research Enhanced Equity Fund |
International Value Fund |
||||||||||||||||||||||
| Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
||||||||||||||||||||||||||||
| Equity Risk Exposure: |
||||||||||||||||||||||||||||
| Futures Contracts |
$ | (34 | ) | $ | 2,401 | $ | (5,247 | ) | $ | — | $ | 1,360 | $ | 35,884 | $ | 781 | ||||||||||||
| Purchased Options |
— | — | — | — | (9,695 | ) | — | — | ||||||||||||||||||||
| Written Options |
— | — | — | — | (885 | ) | — | — | ||||||||||||||||||||
| Foreign Exchange Rate Risk Exposure: |
||||||||||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts |
— | — | — | (2,665 | ) | — | — | — | ||||||||||||||||||||
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
||||||||||||||||||||||||||||
| Equity Risk Exposure: |
||||||||||||||||||||||||||||
| Futures Contracts |
— | 1,351 | — | — | 135 | (734 | ) | 290 | ||||||||||||||||||||
| Purchased Options |
— | — | — | — | (4,046 | ) | — | — | ||||||||||||||||||||
| Written Options |
— | — | — | — | (8 | ) | — | — | ||||||||||||||||||||
Derivatives Volume
The table below discloses the volume of the Funds’ options, futures contracts and forward foreign currency exchange contracts activity during the year ended October 31, 2021. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity:
| Emerging Markets Research Enhanced Equity Fund |
Europe Dynamic Fund |
International Equity Fund |
International Focus Fund |
International Hedged Equity Fund |
International Research Enhanced Equity Fund |
International Value Fund |
||||||||||||||||||||||
| Futures Contracts — Equity: |
||||||||||||||||||||||||||||
| Average Notional Balance Long |
$ | 13,347 | $ | 18,076 | (a) | $ | 43,032 | (b) | $ | — | $ | 5,067 | $ | 127,393 | $ | 6,443 | ||||||||||||
| Average Notional Balance Short |
— | — | — | — | 1,084 | (c) | — | — | ||||||||||||||||||||
| Ending Notional Balance Long |
— | 46,804 | — | — | 4,604 | 89,778 | 2,576 | |||||||||||||||||||||
| Forward Foreign Currency Exchange Contracts: |
||||||||||||||||||||||||||||
| Average Settlement Value Purchased |
— | — | — | 273,254 | (c) | — | — | — | ||||||||||||||||||||
| (a) | For the period January 1, 2021 through October 31, 2021. |
| (b) | For the period January 1, 2021 through January 31, 2021. |
| (c) | For the period December 1, 2020 through December 31, 2020. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 105 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
| International Hedged Equity Fund |
||||
| Exchange-Traded Options: |
||||
| Average Number of Contracts Purchased |
585 | |||
| Average Number of Contracts Written |
1,170 | |||
| Ending Number of Contracts Purchased |
647 | |||
| Ending Number of Contracts Written |
1,294 | |||
The Funds’ derivatives contracts held at October 31, 2021 are not accounted for as hedging instruments under GAAP.
H. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income and interest expense on securities sold short, if any, is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, is recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
I. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended October 31, 2021 are as follows:
| Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | Total | |||||||||||||||||||||||||||||||
| Emerging Markets Equity Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
$ | 41 | $ | 7 | $ | 107 | $ | 26 | $ | 1 | $ | 1 | $ | — | (a) | $ | 7 | $ | 183 | $ | 373 | |||||||||||||||||||
| Emerging Markets Research Enhanced Equity Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
n/a | n/a | 1 | n/a | n/a | n/a | n/a | n/a | 23 | 24 | ||||||||||||||||||||||||||||||
| Europe Dynamic Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
15 | 3 | 15 | 1 | n/a | n/a | n/a | n/a | 2 | 36 | ||||||||||||||||||||||||||||||
| International Equity Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
25 | 3 | 26 | n/a | 30 | n/a | n/a | 1 | 30 | 115 | ||||||||||||||||||||||||||||||
| International Focus Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
19 | 4 | 31 | n/a | — | (a) | n/a | n/a | 2 | 21 | 77 | |||||||||||||||||||||||||||||
| International Hedged Equity Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
— | (a) | — | (a) | — | (a) | n/a | n/a | n/a | n/a | — | (a) | — | (a) | — | (a) | ||||||||||||||||||||||||
| International Research Enhanced Equity Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
33 | n/a | 28 | n/a | n/a | n/a | n/a | n/a | 26 | 87 | ||||||||||||||||||||||||||||||
| International Value Fund |
||||||||||||||||||||||||||||||||||||||||
| Transfer agency fees |
13 | 1 | 3 | 1 | 1 | n/a | n/a | — | (a) | — | (a) | 19 | ||||||||||||||||||||||||||||
| (a) | Amount rounds to less than one thousand. |
J. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2021, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each Fund’s Federal tax returns for the prior three fiscal years, or since inception if shorter, remain subject to examination by the Internal Revenue Service.
| 106 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
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K. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
As a result of several court rulings in certain European countries, the tax authorities of each of these countries, recently paid European Dynamic Fund (Finland & Sweden), International Equity Fund (Sweden), International Focus Fund (Finland), International Research Enhanced Equity Fund (Finland & Sweden) and International Value Fund (Finland, Spain & Sweden) tax reclaims for prior tax withholding. These tax reclaim payments are included in Foreign withholding tax reclaims on the Statements of Operations. Interest income, if any, related to these tax reclaim payments is included in Interest income from non-affiliates on the Statements of Operations.
In the event that tax reclaims received by the Funds during the fiscal year ending October 31, 2021 exceed the foreign withholding taxes paid by the Funds for other foreign investments, and the Funds have previously passed foreign tax credits on to their shareholders, the Funds will have a U.S. tax liability. The Funds will enter into a closing agreement with the Internal Revenue Service (IRS) in order to pay the associated tax liability (fees) on behalf of the Funds’ shareholders. These IRS fees are estimated through the year ended October 31, 2021 and are included in IRS Compliance Fees for foreign withholding tax reclaims on the Statements of Operations, if applicable.
L. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income |
Accumulated net realized gains (losses) |
||||||||||
| Emerging Markets Equity Fund |
$ | — | $ | 4,467 | $ | (4,467 | ) | |||||
| Emerging Markets Research Enhanced Equity Fund |
— | 5,530 | (5,530 | ) | ||||||||
| Europe Dynamic Fund |
— | 2,952 | (2,952 | ) | ||||||||
| International Equity Fund |
— | 2,356 | (2,356 | ) | ||||||||
| International Focus Fund |
— | 550 | (550 | ) | ||||||||
| International Hedged Equity Fund |
— | 278 | (278 | ) | ||||||||
| International Research Enhanced Equity Fund |
— | 19,970 | (19,970 | ) | ||||||||
| International Value Fund |
— | 110 | (110 | ) | ||||||||
The reclassifications for the Funds relate primarily to investments in passive foreign investment companies (“PFICs”), foreign currency gains or losses and foreign taxes.
M. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) – Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
| Emerging Markets Equity Fund |
0.68 | % | ||
| Emerging Markets Research Enhanced Equity Fund |
0.25 | |||
| Europe Dynamic Fund |
0.60 | |||
| International Equity Fund |
0.50 | |||
| International Focus Fund |
0.60 | |||
| International Hedged Equity Fund |
0.25 | |||
| International Research Enhanced Equity Fund |
0.20 | |||
| International Value Fund |
0.55 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 107 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the year ended October 31, 2021, the effective rate was 0.07% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C, Class R2 and Class R3 Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I, Class L, Class R4, Class R5 and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that the following funds shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class C | Class R2 | Class R3 | |||||||||||||
| Emerging Markets Equity Fund |
0.25 | % | 0.75 | % | 0.50 | % | 0.25 | % | ||||||||
| Europe Dynamic Fund |
0.25 | 0.75 | n/a | n/a | ||||||||||||
| International Equity Fund |
0.25 | 0.75 | 0.50 | n/a | ||||||||||||
| International Focus Fund |
0.25 | 0.75 | 0.50 | n/a | ||||||||||||
| International Hedged Equity Fund |
0.25 | 0.75 | n/a | n/a | ||||||||||||
| International Research Enhanced Equity Fund |
0.25 | n/a | n/a | n/a | ||||||||||||
| International Value Fund |
0.25 | 0.75 | 0.50 | n/a | ||||||||||||
In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2021, JPMDS retained the following:
| Front-End Sales Charge |
CDSC | |||||||
| Emerging Markets Equity Fund |
$ | 70 | $ | — | ||||
| Europe Dynamic Fund |
3 | — | ||||||
| International Equity Fund |
83 | — | ||||||
| International Focus Fund |
115 | — | (a) | |||||
| International Hedged Equity Fund |
1 | — | ||||||
| International Research Enhanced Equity Fund |
1 | — | ||||||
| International Value Fund |
41 | — | ||||||
| (a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | |||||||||||||||||||||||||
| Emerging Markets Equity Fund |
0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % | 0.25 | % | 0.25 | % | 0.25 | % | 0.10 | % | ||||||||||||||||
| Emerging Markets Research Enhanced Equity Fund |
n/a | n/a | 0.25 | n/a | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
| Europe Dynamic Fund |
0.25 | 0.25 | 0.25 | 0.10 | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
| International Equity Fund |
0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | ||||||||||||||||||||||||
| International Focus Fund |
0.25 | 0.25 | 0.25 | n/a | 0.25 | n/a | n/a | 0.10 | ||||||||||||||||||||||||
| International Hedged Equity Fund |
0.25 | 0.25 | 0.25 | n/a | n/a | n/a | n/a | 0.10 | ||||||||||||||||||||||||
| International Research Enhanced Equity Fund |
0.25 | n/a | 0.25 | n/a | n/a | n/a | n/a | n/a | ||||||||||||||||||||||||
| International Value Fund |
0.25 | 0.25 | 0.25 | 0.10 | 0.25 | n/a | n/a | 0.10 | ||||||||||||||||||||||||
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
| 108 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
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JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class I | Class L | Class R2 | Class R3 | Class R4 | Class R5 | Class R6 | ||||||||||||||||||||||||||||
| Emerging Markets Equity Fund |
1.24 | % | 1.74 | % | 0.99 | % | n/a | 1.54 | % | 1.29 | % | 1.04 | % | 0.89 | % | 0.79 | % | |||||||||||||||||||
| Emerging Markets Research Enhanced Equity Fund |
n/a | n/a | 0.45 | n/a | n/a | n/a | n/a | n/a | 0.35 | |||||||||||||||||||||||||||
| Europe Dynamic Fund |
1.24 | 1.74 | 0.99 | n/a | n/a | n/a | n/a | n/a | n/a | |||||||||||||||||||||||||||
| International Equity Fund |
0.95 | 1.45 | 0.70 | n/a | 1.25 | n/a | n/a | 0.60 | 0.50 | |||||||||||||||||||||||||||
| International Focus Fund |
1.00 | 1.50 | 0.75 | n/a | 1.30 | n/a | n/a | 0.65 | 0.55 | |||||||||||||||||||||||||||
| International Hedged Equity Fund |
0.85 | 1.35 | 0.60 | n/a | n/a | n/a | n/a | 0.45 | 0.35 | |||||||||||||||||||||||||||
| International Research Enhanced Equity Fund |
0.60 | n/a | 0.35 | n/a | n/a | n/a | n/a | n/a | 0.25 | |||||||||||||||||||||||||||
| International Value Fund |
1.00 | 1.50 | 0.75 | n/a | 1.30 | n/a | n/a | 0.65 | 0.55 | |||||||||||||||||||||||||||
The expense limitation agreements were in effect for the year ended October 31, 2021 and the contractual expense limitation percentages in the table above are in place until at least February 28, 2022.
For the year ended October 31, 2021, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Service Fees | Total | Contractual Reimbursements |
||||||||||||||||
| Emerging Markets Equity Fund |
$ | 504 | $ | 336 | $ | 3,035 | $ | 3,875 | $ | 135 | ||||||||||
| Emerging Markets Research Enhanced Equity Fund |
1,034 | 689 | 6 | 1,729 | 1 | |||||||||||||||
| Europe Dynamic Fund |
— | — | 42 | 42 | — | |||||||||||||||
| International Equity Fund |
2,627 | 1,748 | 512 | 4,887 | 17 | |||||||||||||||
| International Focus Fund |
3,370 | 2,246 | 504 | 6,120 | — | |||||||||||||||
| International Hedged Equity Fund |
156 | 86 | — | (a) | 242 | — | (a) | |||||||||||||
| International Research Enhanced Equity Fund |
1,648 | 1,100 | 834 | 3,582 | — | |||||||||||||||
| International Value Fund |
417 | 246 | 124 | 787 | — | (a) | ||||||||||||||
| (a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2021 were as follows:
| Emerging Markets Equity Fund |
$ | 240 | ||
| Emerging Markets Research Enhanced Equity Fund |
53 | |||
| Europe Dynamic Fund |
19 | |||
| International Equity Fund |
91 | |||
| International Focus Fund |
87 | |||
| International Hedged Equity Fund |
4 | |||
| International Research Enhanced Equity Fund |
163 | |||
| International Value Fund |
8 |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 109 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended October 31, 2021, Europe Dynamic Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended October 31, 2021, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases (excluding U.S. Government) |
Sales (excluding U.S. Government) |
|||||||
| Emerging Markets Equity Fund |
$ | 5,088,305 | $ | 3,565,885 | ||||
| Emerging Markets Research Enhanced Equity Fund |
2,294,615 | 1,844,180 | ||||||
| Europe Dynamic Fund |
1,070,254 | 670,096 | ||||||
| International Equity Fund |
2,345,997 | 1,454,865 | ||||||
| International Focus Fund |
1,512,465 | 1,092,034 | ||||||
| International Hedged Equity Fund |
61,363 | 73,425 | ||||||
| International Research Enhanced Equity Fund |
994,639 | 2,306,615 | ||||||
| International Value Fund |
142,693 | 115,712 | ||||||
During the year ended October 31, 2021, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at October 31, 2021 were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| Emerging Markets Equity Fund |
$ | 9,661,959 | $ | 5,274,220 | $ | 804,925 | $ | 4,469,295 | ||||||||
| Emerging Markets Research Enhanced Equity Fund |
3,249,965 | 675,385 | 170,916 | 504,469 | ||||||||||||
| Europe Dynamic Fund |
955,014 | 128,758 | 14,620 | 114,138 | ||||||||||||
| International Equity Fund |
3,664,949 | 1,349,536 | 22,536 | 1,327,000 | ||||||||||||
| International Focus Fund |
2,992,796 | 998,329 | 40,353 | 957,976 | ||||||||||||
| International Hedged Equity Fund |
123,193 | 31,014 | 3,484 | 27,530 | ||||||||||||
| International Research Enhanced Equity Fund |
3,897,639 | 1,232,218 | 90,493 | 1,141,725 | ||||||||||||
| International Value Fund |
349,652 | 63,256 | 10,678 | 52,578 | ||||||||||||
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to investments in PFICs, investments in futures contracts and wash sale loss deferrals.
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The tax character of distributions paid during the year ended October 31, 2021 was as follows:
| Ordinary Income* |
Net Long-Term Capital Gains |
Total Distributions Paid |
||||||||||
| Emerging Markets Equity Fund |
$ | 19,143 | $ | — | $ | 19,143 | ||||||
| Emerging Markets Research Enhanced Equity Fund |
50,837 | — | 50,837 | |||||||||
| Europe Dynamic Fund |
7,016 | — | 7,016 | |||||||||
| International Equity Fund |
41,991 | — | 41,991 | |||||||||
| International Focus Fund |
34,026 | — | 34,026 | |||||||||
| International Hedged Equity Fund |
2,207 | — | 2,207 | |||||||||
| International Research Enhanced Equity Fund |
106,498 | — | 106,498 | |||||||||
| International Value Fund |
9,259 | — | 9,259 | |||||||||
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
The tax character of distributions paid during the year ended October 31, 2020 was as follows:
| Ordinary Income* |
Net Long-Term Capital Gains |
Total Distributions Paid |
||||||||||
| Emerging Markets Equity Fund |
$ | 56,440 | $ | — | $ | 56,440 | ||||||
| Emerging Markets Research Enhanced Equity Fund |
20,964 | 3,082 | 24,046 | |||||||||
| Europe Dynamic Fund |
16,829 | — | 16,829 | |||||||||
| International Equity Fund |
96,391 | — | 96,391 | |||||||||
| International Focus Fund |
10,533 | — | 10,533 | |||||||||
| International Hedged Equity Fund |
1,369 | — | 1,369 | |||||||||
| International Research Enhanced Equity Fund |
155,361 | — | 155,361 | |||||||||
| International Value Fund |
16,049 | — | 16,049 | |||||||||
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
As of October 31, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current Income |
Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) |
Unrealized Appreciation (Depreciation) |
||||||||||
| Emerging Markets Equity Fund |
$ | 72,039 | $ | 414,863 | $ | 4,389,782 | ||||||
| Emerging Markets Research Enhanced Equity Fund |
85,073 | 94,991 | 491,412 | |||||||||
| Europe Dynamic Fund |
23,033 | (60,459 | ) | 114,189 | ||||||||
| International Equity Fund |
100,575 | 220,976 | 1,327,084 | |||||||||
| International Focus Fund |
67,951 | (113,809 | ) | 958,046 | ||||||||
| International Hedged Equity Fund |
3,926 | (17,816 | ) | 27,523 | ||||||||
| International Research Enhanced Equity Fund |
189,237 | (285,015 | ) | 1,141,732 | ||||||||
| International Value Fund |
16,996 | (80,905 | ) | 52,631 | ||||||||
The cumulative timing differences primarily consist of investments in PFICs, investments in futures contracts and wash sale loss deferrals.
At October 31, 2021, the following Funds had net capital loss carryforwards which are available to offset future realized gains:
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
| Europe Dynamic Fund |
$ | 60,459 | $ | — | ||||
| International Focus Fund |
113,809 | — | ||||||
| International Hedged Equity Fund |
4,593 | * | 13,223 | * | ||||
| International Research Enhanced Equity Fund |
— | 285,015 | ||||||
| International Value Fund |
48,944 | 31,961 | ||||||
| * | Amount includes capital loss carryforwards which are limited in future years under Internal Revenue Code sections 381-384. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 111 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
During the year ended October 31, 2021, the following Funds utilized capital loss carryforwards as follows:
| Capital Loss Utilized | ||||||||
| Short-Term | Long-Term | |||||||
| Emerging Markets Equity Fund |
$ | — | $ | 151,019 | ||||
| Emerging Markets Research Enhanced Equity Fund |
64,286 | 18,842 | ||||||
| Europe Dynamic Fund |
58,188 | — | ||||||
| International Equity Fund |
56,023 | 54,962 | ||||||
| International Focus Fund |
51,636 | 21,707 | ||||||
| International Research Enhanced Equity Fund |
33,296 | 211,502 | ||||||
| International Value Fund |
4,721 | — | ||||||
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund at October 31, 2021. Average borrowings from the Facility during the year ended October 31, 2021 were as follows:
| Average Borrowings |
Average Interest Rate Paid |
Number of Days Outstanding |
Interest Paid |
|||||||||||||
| Emerging Markets Equity Fund |
$ | 29,712 | 0.80 | % | 11 | $ | 7 | |||||||||
| Emerging Markets Research Enhanced Equity Fund |
34,333 | 0.82 | 43 | 34 | ||||||||||||
| Europe Dynamic Fund |
2,818 | 0.83 | 4 | — | (a) | |||||||||||
| International Equity Fund |
33,338 | 0.81 | 3 | 2 | ||||||||||||
| International Hedged Equity Fund |
7,071 | 0.82 | 6 | 1 | ||||||||||||
| International Research Enhanced Equity Fund |
74,319 | 0.81 | 6 | 10 | ||||||||||||
| (a) | Amount rounds to less than one thousand. |
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended October 31, 2021.
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25%, which has decreased to 1.00% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
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The Funds had no borrowings outstanding from the Credit Facility at October 31, 2021. Average borrowings from the Credit Facility during the year ended October 31, 2021 were as follows:
| Average Borrowings |
Average Interest Rate Paid |
Number of Days Outstanding |
Interest Paid |
|||||||||||||
| International Hedged Equity Fund |
$ | 11,050 | 1.39 | % | 4 | $ | 1 | |||||||||
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of October 31, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| Number of Individual Shareholder and/or Affiliated Omnibus Accounts |
% of the Fund | Number
of Individual Shareholder and/or Non-Affiliated Omnibus Accounts |
% of the Fund | |||||||||||||
| Emerging Markets Equity Fund |
— | — | % | 3 | 43.0 | % | ||||||||||
| Emerging Markets Research Enhanced Equity Fund |
2 | 21.8 | — | — | ||||||||||||
| Europe Dynamic Fund |
1 | 11.2 | 1 | 23.2 | ||||||||||||
| International Equity Fund |
1 | 13.0 | — | — | ||||||||||||
| International Focus Fund |
4 | 48.5 | — | — | ||||||||||||
| International Hedged Equity Fund |
1 | 36.1 | 3 | 47.2 | ||||||||||||
| International Research Enhanced Equity Fund |
— | — | 1 | 14.2 | ||||||||||||
| International Value Fund |
— | — | 1 | 79.7 | ||||||||||||
As of October 31, 2021, J.P. Morgan Investor Funds, JPMorgan SmartRetirement Funds and JPMorgan SmartRetirement Blend Funds, which are affiliated funds of funds, each owned in the aggregate, shares representing more than 10% of the net assets of the Funds as follows:
| J.P. Morgan Investor Funds |
JPMorgan SmartRetirement Funds |
JPMorgan SmartRetirement Blend Funds |
||||||||||
| Emerging Markets Research Enhanced Equity Fund |
— | 56.3 | % | 26.4 | % | |||||||
| Europe Dynamic Fund |
32.5 | % | — | — | ||||||||
| International Equity Fund |
— | 49.5 | — | |||||||||
| International Focus Fund |
— | 55.6 | — | |||||||||
| International Research Enhanced Equity Fund |
23.6 | 49.1 | — | |||||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
The Funds may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject each of these Funds to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 113 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
As of October 31, 2021, the following Funds had non-U.S. country allocations representing greater than 10% of total investments (excluding investment of cash collateral from securities loaned) as follows:
| Emerging Markets Equity Fund |
Emerging Markets Research Enhanced Equity Fund |
Europe Dynamic Fund |
International Equity Fund |
International Focus Fund |
International Hedged Equity Fund |
International Research Enhanced Equity Fund |
International Value Fund |
|||||||||||||||||||||||||
| China |
37.5 | % | 35.0 | % | — | % | — | % | — | % | — | % | — | % | — | % | ||||||||||||||||
| France |
— | — | 13.2 | 15.5 | — | 10.8 | 11.0 | 10.3 | ||||||||||||||||||||||||
| Germany |
— | — | 14.7 | — | — | — | — | — | ||||||||||||||||||||||||
| India |
16.7 | 11.5 | — | — | — | — | — | — | ||||||||||||||||||||||||
| Japan |
— | — | — | 17.5 | — | 23.3 | 23.5 | 21.3 | ||||||||||||||||||||||||
| South Korea |
— | 12.8 | — | — | — | — | — | — | ||||||||||||||||||||||||
| Switzerland |
— | — | 16.2 | — | — | 10.5 | 10.6 | — | ||||||||||||||||||||||||
| Taiwan |
12.0 | 14.3 | — | — | — | — | — | — | ||||||||||||||||||||||||
| United Kingdom |
— | — | 19.0 | 11.0 | 10.3 | 11.8 | 11.9 | 16.8 | ||||||||||||||||||||||||
As of October 31, 2021, a significant portion of each Fund’s investments consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
| 114 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Boards of Trustees of JPMorgan Trust I, JPMorgan Trust II and JPMorgan Trust IV and Shareholders of JPMorgan Emerging Markets Equity Fund, JPMorgan Emerging Markets Research Enhanced Equity Fund, JPMorgan Europe Dynamic Fund, JPMorgan International Equity Fund, JPMorgan International Focus Fund, JPMorgan International Hedged Equity Fund, JPMorgan International Research Enhanced Equity Fund and JPMorgan International Value Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Emerging Markets Equity Fund, JPMorgan Europe Dynamic Fund, JPMorgan International Equity Fund, JPMorgan International Focus Fund and JPMorgan International Value Fund (five of the funds constituting JPMorgan Trust I), JPMorgan International Research Enhanced Equity Fund (one of the funds constituting JPMorgan Trust II) and JPMorgan Emerging Markets Research Enhanced Equity Fund and JPMorgan International Hedged Equity Fund (two of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the “Funds”) as of October 31, 2021, the related statements of operations for the year ended October 31, 2021, the statements of changes in net assets for each of the two years in the period ended October 31, 2021, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended October 31, 2021 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/PricewaterhouseCoopers LLP
New York, New York
December 22, 2021
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 115 | ||||||||
Table of Contents
(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees |
||||||
| John F. Finn (1947); Chair since 2020; Trustee of the Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 124 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). | |||
| Stephen P. Fisher (1959); Trustee of the Trusts since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 124 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
| Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 124 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
| Frankie D. Hughes (1952); Trustee of the Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 124 | None | |||
| 116 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees (continued) |
||||||
| Raymond Kanner (1953); Trustee of the Trusts since 2017. |
Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 124 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
| Mary E. Martinez (1960); Vice Chair since 2021; Trustee of the Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 124 | None | |||
| Marilyn McCoy (1948); Trustee of the Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 124 | None | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee of the Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 124 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
| Marian U. Pardo* (1946); Trustee of the Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 124 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 117 | ||||||||
Table of Contents
TRUSTEES
(Unaudited) (continued)
| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Boards of Trustees serve currently includes eight registered investment companies (124 funds). |
| * | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
| 118 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
(Unaudited)
| Name (Year of Birth), Positions Held with the Trusts (Since) |
Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* |
Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
| Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) |
Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
| Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** |
Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) |
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Elizabeth A. Davin (1964), Assistant Secretary (2005)*** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)*** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| Anthony Geron (1971), Assistant Secretary (2018)** |
Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011)** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
| Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** |
Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
| Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) |
Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
| Aleksandr Fleytekh (1972), Assistant Treasurer (2019) |
Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
| Shannon Gaines (1977), Assistant Treasurer (2018)*** |
Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
| Jeffrey D. House (1972), Assistant Treasurer (2017)*** |
Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
| Michael Mannarino (1985), Assistant Treasurer (2020) |
Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011)* |
Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
| Gillian I. Sands (1969), Assistant Treasurer (2012) |
Vice President, J.P. Morgan Investment Management Inc. since September 2012. | |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| ** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| *** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 119 | ||||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2021, and continued to hold your shares at the end of the reporting period, October 31, 2021.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Emerging Markets Equity Fund |
||||||||||||||||
| Class A |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 951.20 | $ | 6.10 | 1.24 | % | ||||||||
| Hypothetical |
1,000.00 | 1,018.95 | 6.31 | 1.24 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 948.60 | 8.55 | 1.74 | ||||||||||||
| Hypothetical |
1,000.00 | 1,016.43 | 8.84 | 1.74 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 952.40 | 4.87 | 0.99 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.21 | 5.04 | 0.99 | ||||||||||||
| Class L |
||||||||||||||||
| Actual |
1,000.00 | 952.80 | 4.38 | 0.89 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.72 | 4.53 | 0.89 | ||||||||||||
| Class R2 |
||||||||||||||||
| Actual |
1,000.00 | 949.70 | 7.57 | 1.54 | ||||||||||||
| Hypothetical |
1,000.00 | 1,017.44 | 7.83 | 1.54 | ||||||||||||
| Class R3 |
||||||||||||||||
| Actual |
1,000.00 | 950.70 | 6.34 | 1.29 | ||||||||||||
| Hypothetical |
1,000.00 | 1,018.70 | 6.56 | 1.29 | ||||||||||||
| Class R4 |
||||||||||||||||
| Actual |
1,000.00 | 952.00 | 5.12 | 1.04 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.96 | 5.30 | 1.04 | ||||||||||||
| Class R5 |
||||||||||||||||
| Actual |
1,000.00 | 952.90 | 4.38 | 0.89 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.72 | 4.53 | 0.89 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 953.40 | 3.89 | 0.79 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.22 | 4.02 | 0.79 | ||||||||||||
| 120 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Emerging Markets Research Enhanced Equity Fund |
|
|||||||||||||||
| Class I |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 947.30 | $ | 2.21 | 0.45 | % | ||||||||
| Hypothetical |
1,000.00 | 1,022.94 | 2.29 | 0.45 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 947.50 | 1.72 | 0.35 | ||||||||||||
| Hypothetical |
1,000.00 | 1,023.44 | 1.79 | 0.35 | ||||||||||||
| JPMorgan Europe Dynamic Fund |
|
|||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,035.90 | 6.36 | 1.24 | ||||||||||||
| Hypothetical |
1,000.00 | 1,018.95 | 6.31 | 1.24 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,033.40 | 8.92 | 1.74 | ||||||||||||
| Hypothetical |
1,000.00 | 1,016.43 | 8.84 | 1.74 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,037.10 | 5.03 | 0.98 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.27 | 4.99 | 0.98 | ||||||||||||
| Class L |
||||||||||||||||
| Actual |
1,000.00 | 1,038.00 | 4.26 | 0.83 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.02 | 4.23 | 0.83 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,038.50 | 3.75 | 0.73 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.53 | 3.72 | 0.73 | ||||||||||||
| JPMorgan International Equity Fund |
|
|||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,049.50 | 4.91 | 0.95 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.42 | 4.84 | 0.95 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,047.20 | 7.48 | 1.45 | ||||||||||||
| Hypothetical |
1,000.00 | 1,017.90 | 7.38 | 1.45 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,051.10 | 3.62 | 0.70 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.68 | 3.57 | 0.70 | ||||||||||||
| Class R2 |
||||||||||||||||
| Actual |
1,000.00 | 1,048.20 | 6.45 | 1.25 | ||||||||||||
| Hypothetical |
1,000.00 | 1,018.90 | 6.36 | 1.25 | ||||||||||||
| Class R5 |
||||||||||||||||
| Actual |
1,000.00 | 1,051.80 | 3.10 | 0.60 | ||||||||||||
| Hypothetical |
1,000.00 | 1,022.18 | 3.06 | 0.60 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,052.40 | 2.59 | 0.50 | ||||||||||||
| Hypothetical |
1,000.00 | 1,022.68 | 2.55 | 0.50 | ||||||||||||
| JPMorgan International Focus Fund |
|
|||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,015.50 | 5.08 | 1.00 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.16 | 5.09 | 1.00 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,013.10 | 7.61 | 1.50 | ||||||||||||
| Hypothetical |
1,000.00 | 1,017.64 | 7.63 | 1.50 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,016.70 | 3.81 | 0.75 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.42 | 3.82 | 0.75 | ||||||||||||
| Class R2 |
||||||||||||||||
| Actual |
1,000.00 | 1,013.80 | 6.60 | 1.30 | ||||||||||||
| Hypothetical |
1,000.00 | 1,018.65 | 6.61 | 1.30 | ||||||||||||
| Class R5 |
||||||||||||||||
| Actual |
1,000.00 | 1,017.50 | 3.31 | 0.65 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.93 | 3.31 | 0.65 | ||||||||||||
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 121 | ||||||||
Table of Contents
SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited) (continued)
Hypothetical $1,000 Investment
| Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan International Focus Fund (continued) |
|
|||||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 1,017.80 | $ | 2.80 | 0.55 | % | ||||||||
| Hypothetical |
1,000.00 | 1,022.43 | 2.80 | 0.55 | ||||||||||||
| JPMorgan International Hedged Equity Fund |
|
|||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,052.90 | 4.40 | 0.85 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.92 | 4.33 | 0.85 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,050.40 | 6.98 | 1.35 | ||||||||||||
| Hypothetical |
1,000.00 | 1,018.40 | 6.87 | 1.35 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,053.90 | 3.11 | 0.60 | ||||||||||||
| Hypothetical |
1,000.00 | 1,022.18 | 3.06 | 0.60 | ||||||||||||
| Class R5 |
||||||||||||||||
| Actual |
1,000.00 | 1,055.10 | 2.33 | 0.45 | ||||||||||||
| Hypothetical |
1,000.00 | 1,022.94 | 2.29 | 0.45 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,055.70 | 1.81 | 0.35 | ||||||||||||
| Hypothetical |
1,000.00 | 1,023.44 | 1.79 | 0.35 | ||||||||||||
| JPMorgan International Research Enhanced Equity Fund |
||||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,052.50 | 3.10 | 0.60 | ||||||||||||
| Hypothetical |
1,000.00 | 1,022.18 | 3.06 | 0.60 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,053.70 | 1.81 | 0.35 | ||||||||||||
| Hypothetical |
1,000.00 | 1,023.44 | 1.79 | 0.35 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,054.40 | 1.29 | 0.25 | ||||||||||||
| Hypothetical |
1,000.00 | 1,023.95 | 1.28 | 0.25 | ||||||||||||
| JPMorgan International Value Fund |
||||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,034.60 | 7.54 | 1.47 | ||||||||||||
| Hypothetical |
1,000.00 | 1,017.80 | 7.48 | 1.47 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,032.50 | 9.84 | 1.92 | ||||||||||||
| Hypothetical |
1,000.00 | 1,015.53 | 9.75 | 1.92 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,035.90 | 6.21 | 1.21 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.11 | 6.16 | 1.21 | ||||||||||||
| Class L |
||||||||||||||||
| Actual |
1,000.00 | 1,036.90 | 5.39 | 1.05 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.91 | 5.35 | 1.05 | ||||||||||||
| Class R2 |
||||||||||||||||
| Actual |
1,000.00 | 1,033.60 | 8.82 | 1.72 | ||||||||||||
| Hypothetical |
1,000.00 | 1,016.53 | 8.74 | 1.72 | ||||||||||||
| Class R5 |
||||||||||||||||
| Actual |
1,000.00 | 1,036.40 | 5.70 | 1.11 | ||||||||||||
| Hypothetical |
1,000.00 | 1,019.61 | 5.65 | 1.11 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,037.80 | 5.24 | 1.02 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.06 | 5.19 | 1.02 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in June and August 2021 at which the Trustees considered the continuation of the investment advisory agreements for each Fund whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). In accordance with SEC guidance, due to the COVID-19 pandemic, the meetings were conducted through video conference. At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the 1940 Act) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 11, 2021.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (“independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk and performance return assessment as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their
consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year including additional reporting and information provided in connection with the COVID-19 pandemic, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions.
After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. In addition, the Board considered its discussions with the Adviser regarding the Adviser’s business continuity plan and steps the Adviser was taking to provide ongoing services to the Funds during the COVID-19 pandemic, and the Adviser’s success in continuing to provide services to the Funds and their shareholders throughout this period. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administration services provided by the Adviser in its role as administrator.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
The Trustees also considered their knowledge of the nature and quality of services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to each Fund by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees
also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fall-out” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients, including benefits that may be received by the Adviser and its affiliates in connection with the Funds’ potential investments in other funds advised by the Adviser. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”) which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that other Funds which had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain satisfactory relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels,
| 124 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
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was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Independent Written Evaluation of the Funds’ Senior Officer
The Trustees noted that, upon their direction, the Senior Officer for the International Equity Fund and International Research Enhanced Equity Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts, collective investment trusts, ETFs and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe
(the “Peer Group”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge’s methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The special analysis includes a multi-factor quantitative scoring system for summarizing a Fund’s historical investment performance. The approach relies on multiple metrics, incorporates several time periods, adjusts for risk and considers how a fund’s customized peer group (as selected by the independent consultant) has performed. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted that the Emerging Markets Equity Fund’s performance for Class A, Class I and Class R6 shares was in the first quintile based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Emerging Markets Research Enhanced Equity Fund’s performance for Class I shares was in the third quintile based upon both the Peer Group and Universe, for the one-year period ended December 31, 2020. The Trustees noted that performance for Class R6 shares was in the fourth quintile based upon the Peer Group, and in the third quintile based upon the Universe, for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
The Trustees noted that the Europe Dynamic Fund’s performance for Class A shares was in the fourth quintile based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that performance for Class I shares was in the fourth quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that performance for Class R6 shares was in the fourth quintile based upon both the Peer Group and Universe, for the one-year period ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the International Equity Fund’s performance for Class A and Class I shares was in the second, second and first quintiles based upon both the Peer Group and Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the third, second and first quintiles based upon the Peer Group, and in the second, second and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the International Focus Fund’s performance for both Class A and Class I shares was in the second, first and first quintiles based upon both the Peer Group and Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the second, second and first quintiles based upon the Peer Group, and in the second, first and first quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted the International Hedged Equity Fund’s performance for both Class A and Class R6 shares was in the fifth quintile based upon both the Peer Group and Universe, for the one-year period ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the fifth quintile based upon the Universe, for the one-year period
ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances.
The Trustees noted that the International Research Enhanced Equity Fund’s performance for Class A shares was in the fourth, third and fourth quintiles based upon the Peer Group, for the one-, three- and five-year periods ended December 31, 2020, respectively, and in the fifth quintile based upon the Universe for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that performance for Class I shares was in the fifth, fourth and fourth quintiles based upon both the Peer Group and Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class R6 shares was in the fifth quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2020, and in the fifth and fourth quintiles based upon the Universe, for the one- and three-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
The Trustees noted that the International Value Fund’s performance for Class A, Class I and Class R6 shares was in the fifth quintile based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions, and various other factors, the Trustees concluded that the Fund’s performance was satisfactory under the circumstances. They requested, however, that the Fund’s Adviser provide additional Fund performance information to be reviewed with members of the equity committee at each of their regular meetings over the course of the next year.
Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. The
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Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each share class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Emerging Markets Equity Fund’s net advisory fee for Class A shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were both in the second quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class R6 shares was in the first and second quintile based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Emerging Markets Research Enhanced Equity Fund’s net advisory fee and actual total expenses for both the Class I and Class R6 shares were both in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Europe Dynamic Fund’s net advisory fee and actual total expenses for the Class A and Class R6 shares were both in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Class I shares was in the first quintile based upon the Universe, and that the actual total expenses for Class I shares were in the third quintile based upon the Universe. After considering the factors identified above, in light of this
information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the International Equity Fund’s net advisory fee and actual total expenses for each of the Class A, Class I and Class R6 shares were both in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the International Focus Fund’s net advisory fee for both Class A and Class R6 shares was in the first and second quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A and Class R6 shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were both in the first and second quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the International Hedged Equity Fund’s net advisory fee for Class A shares was in the first quintile based upon the Peer Group and Universe, and that the actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were both in the first quintile based upon the Universe. The Trustees noted that the net advisory fee and actual total expenses for Class R6 shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the International Research Enhanced Equity Fund’s net advisory fee and actual total expenses for each of the Class A, Class I and Class R6 shares were both in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the International Value Fund’s net advisory fee and total actual expenses for each of the Class A, Class I, and Class R6 shares were both in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 127 | ||||||||
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(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Funds’ income and distributions for the taxable year ended October 31, 2021. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be provided under separate cover.
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2021:
| Qualified Dividend Income |
||||
| JPMorgan Emerging Markets Equity Fund |
$ | 36,946 | ||
| JPMorgan Emerging Markets Research Enhanced Equity Fund |
47,965 | |||
| JPMorgan Europe Dynamic Fund |
8,096 | |||
| JPMorgan International Equity Fund |
47,993 | |||
| JPMorgan International Focus Fund |
39,396 | |||
| JPMorgan International Hedged Equity Fund |
2,510 | |||
| JPMorgan International Research Enhanced Equity Fund |
115,119 | |||
| JPMorgan International Value Fund |
9,259 | |||
Foreign Source Income and Foreign Tax Credit Pass Through
For the fiscal year ended October 31, 2021, the following Funds intend to elect to pass through to shareholders taxes paid to foreign countries. Gross income and foreign tax expenses are as follows or amounts as finally determined:
| Total Foreign Source Income |
Foreign Tax Credit |
|||||||
| JPMorgan Emerging Markets Equity Fund |
$ | 144,642 | $ | 17,802 | ||||
| JPMorgan Emerging Markets Research Enhanced Equity Fund |
93,217 | 9,778 | ||||||
| JPMorgan Europe Dynamic Fund |
20,728 | 1,070 | ||||||
| JPMorgan International Equity Fund |
113,182 | 5,999 | ||||||
| JPMorgan International Focus Fund |
86,572 | 5,370 | ||||||
| JPMorgan International Hedged Equity Fund |
3,683 | 304 | ||||||
| JPMorgan International Research Enhanced Equity Fund |
149,108 | 8,613 | ||||||
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPMorgan Trust I (“JPM I”)
JPM I held a special meeting of shareholders on October 27, 2021, for the purpose of considering and voting upon the election of Trustees, which meeting was adjourned to November 23, 2021 to allow shareholders to vote on the proposal.
When the special meeting reconvened on November 23, 2021, Trustees were elected by the shareholders of all of the series of JPM I, including Emerging Market Equity Fund, Emerging Markets Research Enhanced Equity Fund, Europe Dynamic Fund, International Equity Fund, International Focus Fund, and International Value Fund.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) |
||||
| Independent Nominee |
||||
| John F. Finn | ||||
| In Favor |
218,161,076 | |||
| Withheld |
3,798,560 | |||
| Steven P. Fisher | ||||
| In Favor |
219,683,469 | |||
| Withheld |
2,276,167 | |||
| Gary L. French | ||||
| In Favor |
219,573,994 | |||
| Withheld |
2,385,642 | |||
| Kathleen Gallagher | ||||
| In Favor |
219,614,901 | |||
| Withheld |
2,344,735 | |||
| Robert J. Grassi | ||||
| In Favor |
219,652,125 | |||
| Withheld |
2,307,510 | |||
| Frankie D. Hughes | ||||
| In Favor |
219,173,958 | |||
| Withheld |
2,785,677 | |||
| Raymond Kanner | ||||
| In Favor |
219,638,172 | |||
| Withheld |
2,321,463 | |||
| Thomas P. Lemke | ||||
| In Favor |
219,600,003 | |||
| Withheld |
2,359,633 | |||
| Votes Received (Amounts in thousands) |
||||
| Lawrence R. Maffia | ||||
| In Favor |
219,558,283 | |||
| Withheld |
2,401,353 | |||
| Mary E. Martinez | ||||
| In Favor |
219,188,002 | |||
| Withheld |
2,771,634 | |||
| Marilyn McCoy | ||||
| In Favor |
218,775,511 | |||
| Withheld |
3,184,125 | |||
| Robert A. Oden, Jr. | ||||
| In Favor |
218,109,306 | |||
| Withheld |
3,850,330 | |||
| Marian U. Pardo | ||||
| In Favor |
219,504,107 | |||
| Withheld |
2,445,528 | |||
| Emily A. Youssouf | ||||
| In Favor |
219,549,573 | |||
| Withheld |
2,410,062 | |||
| Interested Nominee |
||||
| Robert F. Deutsch | ||||
| In Favor |
219,143,836 | |||
| Withheld |
2,815,799 | |||
| Nina A. Shenker | ||||
| In Favor |
219,183,139 | |||
| Withheld |
2,776,497 | |||
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 129 | ||||||||
Table of Contents
SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited) (continued)
JPMorgan Trust II (“JPM II”)
JPM II held a special meeting of shareholders on October 27, 2021, for the purpose considering and voting upon the election of Trustees, which meeting was adjourned to November 23, 2021 to allow shareholders to vote on the proposal.
When the special meeting reconvened on November 23, 2021, Trustees were elected by the shareholders of all of the series of JPM II, including International Research Enhanced Equity Fund.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) |
||||
| Independent Nominee |
||||
| John F. Finn | ||||
| In Favor |
288,983,507 | |||
| Withheld |
6,732,052 | |||
| Steven P. Fisher | ||||
| In Favor |
289,598,586 | |||
| Withheld |
6,116,973 | |||
| Gary L. French | ||||
| In Favor |
289,542,085 | |||
| Withheld |
6,173,474 | |||
| Kathleen Gallagher | ||||
| In Favor |
289,773,673 | |||
| Withheld |
5,941,887 | |||
| Robert J. Grassi | ||||
| In Favor |
289,609,331 | |||
| Withheld |
6,106,229 | |||
| Frankie D. Hughes | ||||
| In Favor |
289,641,174 | |||
| Withheld |
6,074,386 | |||
| Raymond Kanner | ||||
| In Favor |
289,603,025 | |||
| Withheld |
6,112,535 | |||
| Thomas P. Lemke | ||||
| In Favor |
289,581,867 | |||
| Withheld |
6,133,692 | |||
| Votes Received (Amounts in thousands) |
||||
| Lawrence R. Maffia | ||||
| In Favor |
289,544,612 | |||
| Withheld |
6,170,947 | |||
| Mary E. Martinez | ||||
| In Favor |
289,745,394 | |||
| Withheld |
5,970,165 | |||
| Marilyn McCoy | ||||
| In Favor |
289,336,040 | |||
| Withheld |
6,379,520 | |||
| Robert A. Oden, Jr. | ||||
| In Favor |
288,968,016 | |||
| Withheld |
6,747,543 | |||
| Marian U. Pardo | ||||
| In Favor |
289,619,985 | |||
| Withheld |
6,095,575 | |||
| Emily A. Youssouf | ||||
| In Favor |
289,555,396 | |||
| Withheld |
6,160,163 | |||
| Interested Nominee |
||||
| Robert F. Deutsch | 289,562,178 | |||
| In Favor |
6,153,382 | |||
| Withheld |
||||
| Nina A. Shenker | ||||
| In Favor |
289,698,757 | |||
| Withheld |
6,016,803 | |||
| 130 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Trust IV (“JPMIV”)
JPM IV held a special meeting of shareholders on October 27, 2021, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of JPM IV, including International Research Enhanced Equity Fund.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) |
||||
| Independent Nominee |
||||
| John F. Finn | ||||
| In Favor |
2,308,022 | |||
| Withheld |
4,313 | |||
| Steven P. Fisher | ||||
| In Favor |
2,309,583 | |||
| Withheld |
2,752 | |||
| Gary L. French | ||||
| In Favor |
2,309,620 | |||
| Withheld |
2,715 | |||
| Kathleen Gallagher | ||||
| In Favor |
2,309,789 | |||
| Withheld |
2,546 | |||
| Robert J. Grassi | ||||
| In Favor |
2,309,623 | |||
| Withheld |
2,712 | |||
| Frankie D. Hughes | ||||
| In Favor |
2,309,543 | |||
| Withheld |
2,791 | |||
| Raymond Kanner | ||||
| In Favor |
2,309,644 | |||
| Withheld |
2,691 | |||
| Thomas P. Lemke | ||||
| In Favor |
2,309,600 | |||
| Withheld |
2,735 | |||
| Votes Received (Amounts in thousands) |
||||
| Lawrence R. Maffia | ||||
| In Favor |
2,309,585 | |||
| Withheld |
2,750 | |||
| Mary E. Martinez | ||||
| In Favor |
2,309,800 | |||
| Withheld |
2,534 | |||
| Marilyn McCoy | ||||
| In Favor |
2,309,821 | |||
| Withheld |
2,514 | |||
| Robert A. Oden, Jr. | ||||
| In Favor |
2,308,857 | |||
| Withheld |
3,478 | |||
| Marian U. Pardo | ||||
| In Favor |
2,309,743 | |||
| Withheld |
2,591 | |||
| Emily A. Youssouf | ||||
| In Favor |
2,309,749 | |||
| Withheld |
2,586 | |||
| Interested Nominee |
||||
| Robert F. Deutsch | ||||
| In Favor |
2,309,524 | |||
| Withheld |
2,811 | |||
| Nina A. Shenker | ||||
| In Favor |
2,309,718 | |||
| Withheld |
2,616 | |||
| OCTOBER 31, 2021 | J.P. MORGAN INTERNATIONAL EQUITY FUNDS | 131 | ||||||||
Table of Contents
Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? | |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? |
Can you limit
this sharing? | ||
| For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus |
Yes | No | ||
| For marketing purposes — to offer our products and services to you |
Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
| For our affiliates’ everyday business purposes — information about your transactions and experiences |
No | We don’t share | ||
| For our affiliates’ everyday business purposes — information about your creditworthiness |
No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share | ||
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
Table of Contents
|
Page 2 |
||
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
| How does J.P. Morgan Funds collect my personal information? |
We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. | |
Table of Contents
J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
Table of Contents
J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2021. All rights reserved. October 2021. | AN-INTEQ-1021 |
Table of Contents
Annual Report
J.P. Morgan Specialty Funds
October 31, 2021
JPMorgan Macro Opportunities Fund
JPMorgan Opportunistic Equity Long/Short Fund
JPMorgan Research Market Neutral Fund
Table of Contents
| Letter to Shareholders | 1 | |||
| Market Overview | 2 | |||
| 3 | ||||
| 6 | ||||
| 9 | ||||
| Schedules of Portfolio Investments | 12 | |||
| Financial Statements | 26 | |||
| Financial Highlights | 34 | |||
| Notes to Financial Statements | 40 | |||
| Report of Independent Registered Public Accounting Firm | 56 | |||
| Trustees | 57 | |||
| Officers | 60 | |||
| Schedule of Shareholder Expenses | 61 | |||
| Board Approval of Investment Advisory Agreements | 62 | |||
| Tax Letter | 66 | |||
| Special Shareholder Meeting Results | 67 | |||
| Privacy Policy — Located at back of this Annual Report |
||||
Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.
Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.
Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.
Table of Contents
December 6, 2021 (Unaudited)
Dear Shareholders,
Equity markets largely rewarded investors with strong returns amid a global economic rebound in 2021 that withstood the emergence and spread of Covid variants, strained supply chains and accelerating inflation. Despite uneven progress against the pandemic, continued monetary and fiscal support helped bolster corporate profits and consumer spending throughout the twelve months ended October 21, 2021.
|
“Regardless of the macro-economic backdrop, J.P. Morgan Asset Management will continue to provide investors with innovative solutions and risk management strategies to seek to help investors build durable portfolios and meet their investment goals.” — Andrea L. Lisher |
While leading central banks maintain accommodative policies throughout the period, select emerging market nations – particularly Brazil — raised interest rates and the U.S. Federal Reserve (the “Fed”) laid out a potential timetable for winding down its asset purchasing program and raising interest rates for the first time since the start of the pandemic. While the Fed initially insisted that price inflation fueled by the reopening of the global economy would likely be temporary, by the end of the period Fed officials conceded that inflation was stronger and more persistent than expected.
By the end of the period – and in subsequent weeks – financial market volatility increased amid investor uncertainty about the ongoing pandemic and concerns about the potential for the Fed to move more quickly to raise interest rates in the face of accelerating inflation. However, economic data point toward a continued rebound in the global economy into 2022.
Regardless of the macro-economic backdrop, J.P. Morgan Asset Management will continue to provide investors with innovative solutions and risk management strategies to seek to help investors build durable portfolios and meet their investment goals. We seek to maintain our focus on the needs of our clients and shareholders with the same fundamental practices and principles that have driven our success for more than a century.
On behalf of J.P. Morgan Asset Management, thank you for entrusting us to manage your investment. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.
Sincerely yours,
Andrea L. Lisher
Head of Americas, Client
J.P. Morgan Asset Management
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 1 | ||||||||
Table of Contents
J.P. Morgan Specialty Funds
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
Globally, equity markets outperformed fixed income markets by a wide margin amid a global economic rebound from the initial economic shock of the pandemic. While the development and distribution of multiple vaccines unleashed a sharp increase in economic activity in the first half of the period, uneven success against the pandemic, supply chain constraints and inflationary pressure weighed on growth in the latter part of the period. Overall, U.S. equity outperformed both developed market and emerging market equities.
For the twelve months ended October 31, 2021, the S&P 500 returned 42.91%; the MSCI EAFE Index returned 34.18% and the MSCI Emerging Markets Index returned 16.96%. Within fixed income, the Bloomberg U.S. Aggregate Index returned -0.48%, the Bloomberg U.S. High Yield Index returned 10.53% and the Bloomberg Emerging Markets Index returned 3.01% for the period.
At the start of the period, global equity prices began to rebound amid development of the first vaccines against COVID-19 and its leading variants. The rally in equity prices was largely led by investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.
While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package—and the prospect of additional federal government spending – helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of 2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.
In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on equity markets in June.
In the following months global economic growth was increasingly hindered by uneven progress against the pandemic, supply chain bottlenecks and rising prices for both commodities and finished goods. Energy prices rose sharply amid a rebound in demand, which helped petroleum exporting nations but weighed on the economies of net importers. Extended inflationary pressures led to modest divergence in central bank policies at the end of the period. Leading central banks maintained their ultra-low interest rate policies, while monetary authorities in emerging markets—particularly Brazil—raised rates to head off rising prices.
Global equity prices largely continued their upward trajectory in the final months of the period, with the exception of a modest retreat in September 2021. While developed markets equity and emerging markets equity generally provided positive returns, equity markets slumped in select nations facing political unrest and/or rapidly rising inflationary pressures. Notably, equity prices in China were weighed down by real estate company China Evergrande’s struggles to meet debt payments as investors worried about the potential impact on financial markets. Additionally, shares of large information technology companies in China were hurt by investor uncertainty over increased domestic regulatory scrutiny.
| 2 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Macro Opportunities Fund
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 11.31% | |||
| ICE BofAML 3-Month US Treasury Bill Index | 0.06% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $19,187 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Macro Opportunities Fund (the “Fund”) seeks to provide long-term capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares posted a positive absolute performance and outperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s long equity strategies were leading contributors to absolute performance during the reporting period. The Fund’s fixed income strategies had an overall neutral impact on absolute performance and the Fund’s short bias equity strategies detracted from absolute performance.
In equity, the Fund’s exposures in the technology, financials and consumer discretionary sectors were leading contributors to absolute performance. Within the technology sector, the Fund benefitted from increased exposure to select semiconductor manufacturers that benefitted from both long term trends, including the spread of 5G networks and the transition to cloud computing, and short-term cyclical trends, particularly increased semiconductor demand across most end markets amid constrained global supply. The Fund’s exposures in the financials and consumer discretionary sectors benefitted from exposure to U.S. financial services and consumer companies that performed well in the pandemic recovery and were supported by the broader expansion in economic activity during the period.
The leading detractors from absolute performance included the Fund’s short positions in U.S. and European equity via options and futures that were held as hedges to moderate overall portfolio risk during the period.
Relative to the Benchmark, the Fund’s allocation to equity was the leading contributor to performance relative to the Benchmark, which is a fixed income index that contains no equity.
HOW WAS THE FUND POSITIONED?
During the reporting period, the portfolio managers increased the Fund’s cyclical tilt and its exposure to the value factor as investor sentiment improved amid positive vaccine developments and a recovery in global economic activity. The portfolio managers also initiated a long U.S. dollar versus short emerging markets currencies strategy.
Amid slowing economic growth and rising inflation in the latter half of the period, the portfolio managers sought to reduce the Fund’s portfolio risk and cyclical tilt by adding short-bias futures and options across the U.S., European and emerging markets, as well as exiting positions in the semiconductors and energy sectors. The portfolio managers also initiated a long Australia versus short U.S. fixed income strategy, reflecting their expectation that U.S. interest rates may rise more rapidly than rates in Australia, given the relative strength of the U.S. economy.
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 3 | ||||||||
Table of Contents
JPMorgan Macro Opportunities Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | HDFC Bank Ltd., ADR (India) | 2.6 | % | |||||
| 2. | Microsoft Corp. | 2.5 | ||||||
| 3. | Thermo Fisher Scientific, Inc. | 2.5 | ||||||
| 4. | Alphabet, Inc., Class A | 2.4 | ||||||
| 5. | Amazon.com, Inc. | 2.3 | ||||||
| 6. | Netflix, Inc. | 1.9 | ||||||
| 7. | Walt Disney Co. (The) | 1.9 | ||||||
| 8. | NIKE, Inc., Class B | 1.9 | ||||||
| 9. | Adobe, Inc. | 1.9 | ||||||
| 10. | ServiceNow, Inc. | 1.8 | ||||||
| PORTFOLIO COMPOSITION BY SECTOR AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||
| Information Technology | 14.3 | % | ||
| Consumer Discretionary | 11.1 | |||
| Financials | 10.1 | |||
| Communication Services | 6.2 | |||
| Health Care | 5.9 | |||
| Industrials | 3.8 | |||
| Utilities | 1.8 | |||
| Consumer Staples | 1.7 | |||
| Foreign Government Securities | 1.3 | |||
| Others (each less than 1.0%) | 0.3 | |||
| Short-Term Investments | 43.5 | |||
| 4 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Macro Opportunities Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | SINCE INCEPTION |
||||||||||
| CLASS A SHARES |
April 15, 2020 | |||||||||||
| With Sales Charge* |
5.18 | % | 4.96 | % | ||||||||
| Without Sales Charge |
11.00 | 8.68 | ||||||||||
| CLASS C SHARES |
April 15, 2020 | |||||||||||
| With CDSC** |
9.44 | 8.15 | ||||||||||
| Without CDSC |
10.44 | 8.15 | ||||||||||
| CLASS I SHARES |
April 15, 2020 | 11.31 | 8.97 | |||||||||
| CLASS R6 SHARES |
September 30, 2020 | 11.56 | 9.18 | |||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (4/15/20 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on April 15, 2020.
Returns for Class R6 Shares prior to its inception are based on the performance of Class I Shares. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class I Shares.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Macro Opportunities Fund and the ICE BofAML 3-Month US Treasury Bill Index from April 15, 2020 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has
been adjusted to reflect reinvestment of all dividends and capital gains distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the applicable inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 5 | ||||||||
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: |
||||
| Fund (Class I Shares)* | 20.34% | |||
| S&P 500 Index | 42.91% | |||
| ICE BofAML 3-Month US Treasury Bill Index | 0.06% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $745,654 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Opportunistic Equity Long/Short Fund (the “Fund”) seeks capital appreciation.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares underperformed the S&P 500 Index (the “Benchmark”) for the twelve months ended October 31, 2021.
The Fund’s long positions in the communication services sector and its short positions in the consumer staples sector were leading detractors from performance relative to the Benchmark. The Fund’s long and short positions in the health care sector and its short positions in the financials sector were leading contributors to relative performance.
Leading individual detractors from absolute performance included the Fund’s long positions in Fidelity National Information Services Inc., Alibaba Group Holding Ltd. and Fiserv Inc. Shares of Fidelity National Information Services, an electronic payments technology provider, fell late in the period after the company lowered its earnings forecast for 2021. Shares of Alibaba Group Holding, a Chinese electronic commerce conglomerate, fell amid tighter regulatory scrutiny of large technology companies in China as well as broader investor concerns about China Evergrande Group’s struggles to meet debt payments. Shares of Fiserv, a financial service technology provider, underperformed the broader market due to a slow recovery in revenue growth across its businesses.
Leading individual contributors to absolute performance included the Fund’s long positions in Tesla Inc., Blackstone Inc. and Zscaler Inc. Shares of Tesla, a maker of electric automobiles and batteries, rose on growth in quarterly earnings and continued investor demand for large cap technology stocks. Shares of Blackstone, an investment and fund management company, rose amid consecutive quarters of better-than-expected earnings and revenue. Shares of Zscaler, a cloud internet security platform provider, rose after the company reported better-than-expected results for its fourth fiscal quarter and raised its sales forecast.
HOW WAS THE FUND POSITIONED?
During the twelve months ended October 31, 2021, the Fund invested an average of 130% of its assets in long and short positions in equity securities, selecting from a universe of equity securities with market capitalizations similar to those included in the Russell 1000 Index and/or the Benchmark. The Fund’s portfolio managers sought to achieve lower volatility than the Benchmark through a disciplined research process, security selection and risk management. For the twelve month reporting period, the Fund’s average gross exposure was 130% and its average net exposure was 66%.
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| 6 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN LONG HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Tesla, Inc. | 10.0 | % | |||||
| 2. | NXP Semiconductors NV (China) | 5.6 | ||||||
| 3. | American International Group, Inc. | 5.0 | ||||||
| 4. | NVIDIA Corp. | 5.0 | ||||||
| 5. | UnitedHealth Group, Inc. | 4.8 | ||||||
| 6. | Zscaler, Inc. | 4.2 | ||||||
| 7. | Thermo Fisher Scientific, Inc. | 3.7 | ||||||
| 8. | Ferrari NV (Italy) | 3.6 | ||||||
| 9. | Microsoft Corp. | 3.2 | ||||||
| 10. | Old Dominion Freight Line, Inc. | 3.2 | ||||||
| TOP TEN SHORT HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Sirius XM Holdings, Inc. | 40.0 | % | |||||
| 2. | 3M Co. | 13.7 | ||||||
| 3. | Campbell Soup Co. | 13.4 | ||||||
| 4. | Intel Corp. | 7.7 | ||||||
| 5. | Kellogg Co. | 5.8 | ||||||
| 6. | Alteryx, Inc., Class A | 4.1 | ||||||
| 7. | Dow, Inc. | 3.9 | ||||||
| 8. | Conagra Brands, Inc. | 3.6 | ||||||
| 9. | Cummins, Inc. | 2.0 | ||||||
| 10. | American Airlines Group, Inc. | 2.0 | ||||||
| LONG POSITION PORTFOLIO COMPOSITION |
PERCENT OF TOTAL INVESTMENTS |
|||
| Consumer Discretionary | 21.1 | % | ||
| Information Technology | 20.1 | |||
| Communication Services | 13.6 | |||
| Health Care | 8.4 | |||
| Industrials | 7.8 | |||
| Financials | 6.4 | |||
| Utilities | 2.0 | |||
| Materials | 2.0 | |||
| Consumer Staples | 2.0 | |||
| Others (each less than 1.0%) | 0.1 | |||
| Short-Term Investments | 16.5 | |||
| SHORT POSITION PORTFOLIO COMPOSITION |
PERCENT OF TOTAL INVESTMENTS |
|||
| Communication Services | 40.0 | % | ||
| Consumer Staples | 22.8 | |||
| Industrials | 21.5 | |||
| Information Technology | 11.8 | |||
| Materials | 3.9 | |||
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 7 | ||||||||
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | SINCE INCEPTION |
|||||||||||
| CLASS A SHARES |
August 29, 2014 | |||||||||||||
| With Sales Charge* |
13.68 | % | 8.56 | % | 8.07 | % | ||||||||
| Without Sales Charge |
19.99 | 9.74 | 8.88 | |||||||||||
| CLASS C SHARES |
August 29, 2014 | |||||||||||||
| With CDSC** |
18.43 | 9.19 | 8.34 | |||||||||||
| Without CDSC |
19.43 | 9.19 | 8.34 | |||||||||||
| CLASS I SHARES |
August 29, 2014 | 20.34 | 10.02 | 9.15 | ||||||||||
| CLASS R6 SHARES |
August 29, 2014 | 20.59 | 10.29 | 9.43 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
LIFE OF FUND PERFORMANCE (8/29/14 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The Fund commenced operations on August 29, 2014.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Opportunistic Equity Long/Short Fund, the S&P 500 Index and the ICE BofAML 3-Month US Treasury Bill Index from August 29, 2014 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the S&P 500 Index and ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of securities included in the benchmarks, if applicable. The S&P 500 Index is an unmanaged index generally representative of the performance of large companies in the U.S. stock market. The ICE BofAML 3-Month US Treasury Bill Index is comprised
of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
From the inception of the Fund through January 23, 2015, the Fund did not experience any shareholder activity. If such activity had occurred, the Fund’s performance may have been impacted.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| 8 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)
| REPORTING PERIOD RETURN: | ||||
| Fund (Class I Shares)* | 3.01% | |||
| ICE BofAML 3-Month US Treasury Bill Index | 0.06% | |||
| Net Assets as of 10/31/2021 (In Thousands) | $92,190 | |||
INVESTMENT OBJECTIVE**
The JPMorgan Research Market Neutral Fund (the “Fund”) seeks to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.
WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?
The Fund’s Class I Shares outperformed the ICE BofAML 3-Month US Treasury Bill Index (the “Benchmark”) for the twelve months ended October 31, 2021. During the period, equity markets generally outperformed bond markets.
The Fund’s security selection in the semiconductors and consumer stable sectors was a leading contributors to performance relative to the Benchmark, while the Fund’s security selection in the retail and industrial cyclical sectors was a leading detractors from relative performance.
Leading individual contributors to relative performance included the Fund’s short positions in Take-Two Interactive Software Inc. and Spotify Technology SA and its long position in Diamondback Energy Inc. Shares of Take-Two Interactive Software, a video game publisher, fell amid delays in the rollout of a key game update and a weaker-than-expected earnings forecast. Shares of Spotify Technology, a music streaming provider, fell in the middle of the period amid signs that the company’s user growth was slowing. Shares of Diamondback Energy, an oil and gas company focused on U.S. shale deposits, rose amid a rebound in global energy demand.
Leading individual detractors from relative performance included the Fund’s short positions in AMC Entertainment Holdings Inc., Macy’s Inc. and Acuity Brands Inc. Shares of AMC Entertainment Holdings, an owner/operator of movie theaters, rose sharply in the first half of 2021 as users of Internet forums pushed the share price higher in response to large short positions in the stock. Shares of Macy’s, a department store operator, rose after the company reported better-than-expected earnings for the second quarter of 2021 and reinstated its quarterly dividends. Shares of Acuity Brands, a provider of lighting and building management systems, rose amid consecutive quarters of better-than-expected earnings and revenue.
HOW WAS THE FUND POSITIONED?
The Fund’s portfolio managers aimed to construct a portfolio of long and short positions with a low correlation to the broader market for stocks and bonds. The Fund’s portfolio managers used fundamental research to estimate companies’ long-term earnings forecasts, ranking approximately 600 large and mid-cap stocks into five quintiles. The Fund’s portfolio managers looked to the top two quintiles for potential long positions in stocks that they believed were undervalued and the bottom two quintiles for potential short positions in stocks that they believed were overvalued.
| * | The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America. |
| ** | The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved. |
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 9 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| TOP TEN LONG HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Amazon.com, Inc. | 2.0 | % | |||||
| 2. | Diamondback Energy, Inc. | 2.0 | ||||||
| 3. | Mastercard, Inc., Class A | 1.9 | ||||||
| 4. | Wells Fargo & Co. | 1.7 | ||||||
| 5. | Ingersoll Rand, Inc. | 1.6 | ||||||
| 6. | Shopify, Inc., Class A (Canada) | 1.5 | ||||||
| 7. | Lyft, Inc., Class A | 1.3 | ||||||
| 8. | Ceridian HCM Holding, Inc. | 1.3 | ||||||
| 9. | Coterra Energy, Inc. | 1.2 | ||||||
| 10. | Deere & Co. | 1.2 | ||||||
| TOP TEN SHORT HOLDINGS OF THE PORTFOLIO AS OF OCTOBER 31, 2021 |
PERCENT OF TOTAL INVESTMENTS |
|||||||
| 1. | Kroger Co. (The) | 2.8 | % | |||||
| 2. | Intel Corp. | 2.5 | ||||||
| 3. | Omnicom Group, Inc. | 2.3 | ||||||
| 4. | Walmart, Inc. | 2.1 | ||||||
| 5. | Apple, Inc. | 2.0 | ||||||
| 6. | Exxon Mobil Corp. | 1.9 | ||||||
| 7. | 3M Co. | 1.8 | ||||||
| 8. | MSCI, Inc. | 1.7 | ||||||
| 9. | Walgreens Boots Alliance, Inc. | 1.5 | ||||||
| 10. | Stryker Corp. | 1.4 | ||||||
| LONG POSITION PORTFOLIO COMPOSITION |
PERCENT OF TOTAL INVESTMENTS |
|||
| Information Technology | 15.0 | % | ||
| Industrials | 14.4 | |||
| Health Care | 11.4 | |||
| Consumer Discretionary | 10.3 | |||
| Financials | 8.4 | |||
| Communication Services | 7.5 | |||
| Energy | 7.3 | |||
| Utilities | 4.5 | |||
| Materials | 4.2 | |||
| Real Estate | 4.1 | |||
| Consumer Staples | 2.3 | |||
| Short-Term Investments | 10.6 | |||
| SHORT POSITION PORTFOLIO COMPOSITION |
PERCENT OF TOTAL INVESTMENTS |
|||
| Industrials | 15.0 | % | ||
| Information Technology | 14.2 | |||
| Financials | 12.1 | |||
| Health Care | 10.7 | |||
| Consumer Staples | 9.8 | |||
| Communication Services | 9.5 | |||
| Energy | 7.4 | |||
| Utilities | 6.2 | |||
| Real Estate | 5.5 | |||
| Consumer Discretionary | 4.9 | |||
| Materials | 4.7 | |||
| 10 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
FUND COMMENTARY
TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)
| AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 |
||||||||||||||
| INCEPTION DATE OF CLASS |
1 YEAR | 5 YEAR | 10 YEAR | |||||||||||
| CLASS A SHARES |
February 28, 2002 | |||||||||||||
| With Sales Charge* |
(2.67 | )% | 3.36 | % | 1.31 | % | ||||||||
| Without Sales Charge |
2.72 | 4.48 | 1.86 | |||||||||||
| CLASS C SHARES |
November 2, 2009 | |||||||||||||
| With CDSC** |
1.29 | 3.97 | 1.46 | |||||||||||
| Without CDSC |
2.29 | 3.97 | 1.46 | |||||||||||
| CLASS I SHARES |
November 2, 2009 | 3.01 | 4.76 | 2.12 | ||||||||||
| * | Sales Charge for Class A Shares is 5.25%. |
| ** | Assumes a 1% CDSC (contingent deferred sales charge) for the one year period and 0% CDSC thereafter. |
TEN YEAR FUND PERFORMANCE (10/31/11 TO 10/31/21)
The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.
The graph illustrates comparative performance for $1,000,000 invested in Class I Shares of the JPMorgan Research Market Neutral Fund and ICE BofAML 3-Month US Treasury Bill Index from October 31, 2011 to October 31, 2021. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the ICE BofAML 3-Month US Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index
is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. Investors cannot invest directly in an index.
Class I Shares have a $1,000,000 minimum initial investment.
Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on gains resulting from redemptions of Fund shares.
Because Class C Shares automatically convert to Class A Shares after 8 years, the 10 year average annual total return shown above for Class C reflects Class A performance for the period after conversion.
The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 11 | ||||||||
Table of Contents
JPMorgan Macro Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Common Stocks — 49.2% |
| |||||||
| Banks — 6.9% |
| |||||||
| HDFC Bank Ltd., ADR (India) |
6 | 453 | ||||||
| Huntington Bancshares, Inc. |
13 | 201 | ||||||
| ING Groep NV (Netherlands) |
5 | 69 | ||||||
| Nordea Bank Abp (Finland) |
8 | 100 | ||||||
| Sberbank of Russia PJSC, ADR (Russia) |
12 | 232 | ||||||
| Signature Bank |
1 | 261 | ||||||
|
|
|
|||||||
| 1,316 | ||||||||
|
|
|
|||||||
| Building Products — 1.3% |
| |||||||
| Allegion plc |
1 | 90 | ||||||
| Trane Technologies plc |
1 | 166 | ||||||
|
|
|
|||||||
| 256 | ||||||||
|
|
|
|||||||
| Electric Utilities — 1.6% |
| |||||||
| Orsted A/S (Denmark) (a) |
2 | 302 | ||||||
|
|
|
|||||||
| Electrical Equipment — 0.9% |
| |||||||
| Rockwell Automation, Inc. |
1 | 171 | ||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.5% |
| |||||||
| Keyence Corp. (Japan) |
— | (b) | 103 | |||||
|
|
|
|||||||
| Entertainment — 3.4% |
| |||||||
| Netflix, Inc. * |
— | (b) | 328 | |||||
| Walt Disney Co. (The) * |
2 | 326 | ||||||
|
|
|
|||||||
| 654 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 0.5% |
| |||||||
| Abbott Laboratories |
1 | 104 | ||||||
|
|
|
|||||||
| Household Durables — 1.4% |
| |||||||
| DR Horton, Inc. |
1 | 133 | ||||||
| Lennar Corp., Class A |
1 | 138 | ||||||
|
|
|
|||||||
| 271 | ||||||||
|
|
|
|||||||
| Insurance — 2.2% |
| |||||||
| AIA Group Ltd. (Hong Kong) |
25 | 278 | ||||||
| Aon plc, Class A |
— | (b) | 142 | |||||
|
|
|
|||||||
| 420 | ||||||||
|
|
|
|||||||
| Interactive Media & Services — 2.2% |
| |||||||
| Alphabet, Inc., Class A * |
— | (b) | 415 | |||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 2.0% |
| |||||||
| Amazon.com, Inc. * |
— | (b) | 391 | |||||
|
|
|
|||||||
| IT Services — 2.6% |
| |||||||
| Mastercard, Inc., Class A |
1 | 266 | ||||||
| PayPal Holdings, Inc. * |
1 | 239 | ||||||
|
|
|
|||||||
| 505 | ||||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Life Sciences Tools & Services — 2.2% |
| |||||||
| Thermo Fisher Scientific, Inc. |
1 | 422 | ||||||
|
|
|
|||||||
| Machinery — 1.2% |
| |||||||
| Stanley Black & Decker, Inc. |
— | (b) | 85 | |||||
| Volvo AB, Class B (Sweden) |
6 | 138 | ||||||
|
|
|
|||||||
| 223 | ||||||||
|
|
|
|||||||
| Personal Products — 1.6% |
| |||||||
| Estee Lauder Cos., Inc. (The), Class A |
1 | 299 | ||||||
|
|
|
|||||||
| Pharmaceuticals — 2.5% |
| |||||||
| AstraZeneca plc (United Kingdom) |
2 | 278 | ||||||
| Eli Lilly & Co. |
1 | 204 | ||||||
|
|
|
|||||||
| 482 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 1.2% |
| |||||||
| NVIDIA Corp. |
1 | 235 | ||||||
|
|
|
|||||||
| Software — 8.4% |
| |||||||
| Adobe, Inc. * |
— | (b) | 323 | |||||
| Atlassian Corp. plc, Class A * |
— | (b) | 223 | |||||
| Microsoft Corp. |
1 | 437 | ||||||
| salesforce.com, Inc. * |
1 | 312 | ||||||
| ServiceNow, Inc. * |
— | (b) | 315 | |||||
|
|
|
|||||||
| 1,610 | ||||||||
|
|
|
|||||||
| Specialty Retail — 2.1% |
| |||||||
| Burlington Stores, Inc. * |
1 | 150 | ||||||
| TJX Cos., Inc. (The) |
4 | 248 | ||||||
|
|
|
|||||||
| 398 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 4.5% |
| |||||||
| Lululemon Athletica, Inc. * |
— | (b) | 221 | |||||
| LVMH Moet Hennessy Louis Vuitton SE (France) |
— | (b) | 307 | |||||
| NIKE, Inc., Class B |
2 | 326 | ||||||
|
|
|
|||||||
| 854 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
9,431 | |||||||
|
|
|
|||||||
| PRINCIPAL AMOUNT ($000) |
||||||||
| Foreign Government Securities — 1.2% |
| |||||||
| Republic of South Africa (South Africa) 8.00%, 1/31/2030 |
ZAR | 1,296 | 77 | |||||
| Romania Government Bond (Romania) |
||||||||
| 2.75%, 2/26/2026 (a) |
EUR | 60 | 75 | |||||
| 3.62%, 5/26/2030 (a) |
EUR | 58 | 74 | |||||
|
|
|
|||||||
| Total Foreign Government Securities |
226 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 12 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | NO. OF CONTRACTS |
VALUE ($000) |
||||||
| Options Purchased — 0.3% |
| |||||||
| Call Options Purchased — 0.3% |
| |||||||
| Aerospace & Defense — 0.1% |
||||||||
| Airbus SE (France) 12/17/2021 at EUR 100.00, American Style Notional Amount: EUR 100 Counterparty: Exchange-Traded * |
EUR | 9 | 12 | |||||
| Boeing Co. (The) 1/21/2022 at USD 300.00, American Style Notional Amount: USD 62 Counterparty: Exchange-Traded * |
3 | — | (b) | |||||
| Safran SA (France) 3/18/2022 at EUR 140.00, American Style Notional Amount: EUR 58 Counterparty: Exchange-Traded * |
EUR | 5 | 1 | |||||
|
|
|
|||||||
| 13 | ||||||||
|
|
|
|||||||
| Banks — 0.2% |
| |||||||
| Standard Chartered plc (United Kingdom) 5/20/2022 at GBP 520.00, American Style Notional Amount: GBP 54 Counterparty: Exchange-Traded * |
GBP | 11 | 4 | |||||
| UniCredit SpA (Germany) 3/17/2022 at EUR 11.00, American Style |
EUR | 79 | 11 | |||||
| Wells Fargo & Co. 6/17/2022 at USD 52.50, American Style Notional Amount: USD 98 Counterparty: Exchange-Traded * |
19 | 7 | ||||||
|
|
|
|||||||
| 22 | ||||||||
|
|
|
|||||||
| Beverages — 0.0% (c) |
| |||||||
| Heineken NV (Netherlands) 3/18/2022 at EUR 95.00, American Style |
EUR | 7 | 4 | |||||
|
|
|
|||||||
| Construction & Engineering — 0.0% (c) |
| |||||||
| Vinci SA (France) 3/18/2022 at EUR 100.00, American Style |
EUR | 7 | 2 | |||||
|
|
|
|||||||
| Foreign Exchange Currency Options — 0.0% (c) |
| |||||||
| Foreign Exchange AUD/USD (Australia) |
||||||||
| 11/29/2021 at AUD 0.76, Vanilla, European Style Notional Amount: AUD 1,280 Counterparty: Citibank, NA * |
AUD | 1,280 | 4 | |||||
| 11/30/2021 at AUD 0.77, Vanilla, European Style Notional Amount: AUD 640 Counterparty: Citibank, NA * |
AUD | 640 | 2 | |||||
|
|
|
|||||||
| 6 | ||||||||
|
|
|
|||||||
| INVESTMENTS | NO. OF CONTRACTS |
VALUE ($000) |
||||||
| Hotels, Restaurants & Leisure — 0.0% (c) |
| |||||||
| Compass Group plc (United Kingdom) 3/18/2022 at GBP 1,700.00, American Style Notional Amount: GBP 47 Counterparty: Exchange-Traded * |
GBP | 3 | 2 | |||||
| Las Vegas Sands Corp. 1/21/2022 at USD 72.50, American Style Notional Amount: USD 43 Counterparty: Exchange-Traded * |
11 | — | (b) | |||||
| Marriott International, Inc. 1/21/2022 at USD 170.00, American Style Notional Amount: USD 79 Counterparty: Exchange-Traded * |
5 | 2 | ||||||
| Planet Fitness, Inc. 1/21/2022 at USD 95.00, American Style Notional Amount: USD 72 Counterparty: Exchange-Traded * |
9 | 1 | ||||||
|
|
|
|||||||
| 5 | ||||||||
|
|
|
|||||||
| Total Call Options Purchased |
52 | |||||||
|
|
|
|||||||
| Put Options Purchased — 0.0% (c) |
| |||||||
| Index Funds — 0.0% (c) |
| |||||||
| EURO STOXX 50 Index (Germany) 11/5/2021 at EUR 4,150.00, European Style Notional Amount: EUR 1,700 Counterparty: Exchange-Traded * |
EUR | 40 | 5 | |||||
| S&P 500 Index 11/10/2021 at USD 4,480.00, European Style Notional Amount: USD 1,842 Counterparty: Exchange-Traded * |
4 | 4 | ||||||
|
|
|
|||||||
| 9 | ||||||||
|
|
|
|||||||
| Total Put Options Purchased |
9 | |||||||
|
|
|
|||||||
| Total Options Purchased |
61 | |||||||
|
|
|
|||||||
| PRINCIPAL AMOUNT ($000) |
||||||||
| Short-Term Investments — 39.0% |
| |||||||
| Foreign Government Treasury Bills — 25.8% |
| |||||||
| France Treasury Bills (France) (0.64)%, 12/15/2021 (a) (d) |
EUR | 794 | 918 | |||||
| Japan Treasury Bills (Japan) |
||||||||
| (0.11)%, 11/8/2021 (d) |
JPY | 93,350 | 819 | |||||
| (0.13)%, 11/15/2021 (d) |
JPY | 88,400 | 776 | |||||
| (0.11)%, 12/6/2021 (d) |
JPY | 102,850 | 902 | |||||
| (0.11)%, 12/20/2021 (d) |
JPY | 40,100 | 352 | |||||
| (0.14)%, 1/6/2022 (d) |
JPY | 102,850 | 902 | |||||
| Letras do Tesouro Nacional (Brazil) 4.68%, 7/1/2023 (d) |
BRL | 2,000 | 292 | |||||
|
|
|
|||||||
| Total Foreign Government Treasury Bills |
4,961 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 13 | ||||||||
Table of Contents
JPMorgan Macro Opportunities Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Short-Term Investments — continued |
||||||||
| Investment Companies — 13.2% |
| |||||||
| JPMorgan Prime Money Market Fund |
2,527 | 2,529 | ||||||
|
|
|
|||||||
| Total Short-Term Investments |
7,490 | |||||||
|
|
|
|||||||
| Total Investments — 89.7% |
17,208 | |||||||
| Other Assets Less Liabilities — 10.3% |
1,979 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
19,187 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Abbreviations
| ADR | American Depositary Receipt | |
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| EUR | Euro | |
| GBP | British Pound | |
| JPY | Japanese Yen | |
| PJSC | Public Joint Stock Company | |
| USD | United States Dollar | |
| ZAR | South African Rand | |
| (a) | Security exempt from registration pursuant to Regulation S under the Securities Act of 1933, as amended. Regulation S applies to securities offerings that are made outside of the United States and do not involve direct selling efforts in the United States and as such may have restrictions on resale. | |
| (b) | Amount rounds to less than one thousand. | |
| (c) | Amount rounds to less than 0.1% of net assets. | |
| (d) | The rate shown is the effective yield as of October 31, 2021. | |
| (e) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (f) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||
| Long Contracts |
| |||||||||||||||||
| Euro-BTP |
7 | 12/2021 | EUR | 1,200 | (25 | ) | ||||||||||||
| FTSE 100 Index |
4 | 12/2021 | GBP | 396 | 11 | |||||||||||||
| STOXX 600 Utilities |
13 | 12/2021 | EUR | 291 | (1 | ) | ||||||||||||
|
|
|
|||||||||||||||||
| (15 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| Short Contracts |
| |||||||||||||||||
| EURO STOXX 50 Index |
(19 | ) | 12/2021 | EUR | (935 | ) | (22 | ) | ||||||||||
| Euro-Bund |
(6 | ) | 12/2021 | EUR | (1,168 | ) | 12 | |||||||||||
| MSCI Emerging Markets E-Mini Index |
(7 | ) | 12/2021 | USD | (442 | ) | 14 | |||||||||||
| S&P 500 E-Mini Index |
(10 | ) | 12/2021 | USD | (2,300 | ) | (75 | ) | ||||||||||
| U.S. Treasury 10 Year Note |
(2 | ) | 12/2021 | USD | (261 | ) | 5 | |||||||||||
| Xab Materials Equity Index |
(4 | ) | 12/2021 | USD | (359 | ) | (8 | ) | ||||||||||
|
|
|
|||||||||||||||||
| (74 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
| (89 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||
Abbreviations
| EUR | Euro | |
| FTSE | Financial Times and the London Stock Exchange | |
| GBP | British Pound | |
| MSCI | Morgan Stanley Capital International | |
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 14 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| Forward foreign currency exchange contracts outstanding as of October 31, 2021 (amounts in thousands): | ||||||||||||||||||||||
| CURRENCY PURCHASED |
CURRENCY SOLD |
COUNTERPARTY | SETTLEMENT DATE |
UNREALIZED APPRECIATION (DEPRECIATION) ($) |
||||||||||||||||||
| CNY |
6,152 | USD | 954 | BNP Paribas** | 11/22/2021 | 6 | ||||||||||||||||
| KRW |
32,676 | USD | 28 | Citibank, NA** | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
305 | BRL | 1,685 | BNP Paribas** | 11/22/2021 | 8 | ||||||||||||||||
| USD |
193 | CNY | 1,234 | BNP Paribas** | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
503 | DKK | 3,227 | Citibank, NA | 11/22/2021 | 2 | ||||||||||||||||
| USD |
77 | DKK | 497 | Merrill Lynch International | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
312 | HKD | 2,425 | Citibank, NA | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
1,031 | ZAR | 15,280 | Goldman Sachs International | 11/22/2021 | 33 | ||||||||||||||||
| CAD |
33 | USD | 27 | Goldman Sachs International | 1/24/2022 | — | (a) | |||||||||||||||
| USD |
483 | AUD | 640 | Goldman Sachs International | 1/24/2022 | 1 | ||||||||||||||||
| USD |
1,527 | EUR | 1,311 | Goldman Sachs International | 1/24/2022 | 9 | ||||||||||||||||
| USD |
305 | GBP | 222 | Goldman Sachs International | 1/24/2022 | 1 | ||||||||||||||||
| USD |
3,897 | JPY | 439,827 | Goldman Sachs International | 1/24/2022 | 34 | ||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total unrealized appreciation |
94 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| DKK |
834 | USD | 130 | BNP Paribas | 11/22/2021 | (1 | ) | |||||||||||||||
| DKK |
1,060 | USD | 166 | Goldman Sachs International | 11/22/2021 | (1 | ) | |||||||||||||||
| TWD |
5,367 | USD | 193 | Citibank, NA** | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
463 | INR | 35,007 | BNP Paribas** | 11/22/2021 | (3 | ) | |||||||||||||||
| USD |
96 | MXN | 1,985 | Citibank, NA | 11/22/2021 | (1 | ) | |||||||||||||||
| USD |
96 | MXN | 1,978 | Goldman Sachs International | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
572 | MXN | 11,817 | Merrill Lynch International | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
247 | RUB | 17,875 | Goldman Sachs International** | 11/22/2021 | (4 | ) | |||||||||||||||
| USD |
943 | TWD | 26,448 | Goldman Sachs International** | 11/22/2021 | (8 | ) | |||||||||||||||
| USD |
38 | ZAR | 587 | Goldman Sachs International | 11/22/2021 | — | (a) | |||||||||||||||
| ZAR |
2,954 | USD | 193 | Barclays Bank plc | 11/22/2021 | — | (a) | |||||||||||||||
| USD |
965 | AUD | 1,285 | Goldman Sachs International | 1/24/2022 | (2 | ) | |||||||||||||||
| USD |
236 | SEK | 2,029 | Goldman Sachs International | 1/24/2022 | (1 | ) | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Total unrealized depreciation |
(21 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Net unrealized appreciation |
73 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
Abbreviations
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CNY | China Yuan | |
| DKK | Danish Krone | |
| EUR | Euro | |
| GBP | British Pound | |
| HKD | Hong Kong Dollar | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KRW | Korean Republic Won | |
| MXN | Mexican Peso | |
| RUB | Russian Ruble | |
| SEK | Swedish Krona | |
| TWD | Taiwan Dollar | |
| USD | United States Dollar | |
| ZAR | South African Rand | |
| (a) |
Amount rounds to less than one thousand. | |
| ** | Non-deliverable forward. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 15 | ||||||||
Table of Contents
JPMorgan Opportunistic Equity Long/Short Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Long Positions — 97.7% |
| |||||||
| Common Stocks — 81.5% |
| |||||||
| Automobiles — 13.2% |
| |||||||
| Ferrari NV (Italy) |
111 | 26,373 | ||||||
| Tesla, Inc. * (a) |
65 | 72,574 | ||||||
|
|
|
|||||||
| 98,947 | ||||||||
|
|
|
|||||||
| Capital Markets — 1.4% |
| |||||||
| Blackstone, Inc. |
59 | 8,154 | ||||||
| Open Lending Corp., Class A * |
65 | 2,060 | ||||||
|
|
|
|||||||
| 10,214 | ||||||||
|
|
|
|||||||
| Chemicals — 2.0% |
| |||||||
| CF Industries Holdings, Inc. |
258 | 14,630 | ||||||
|
|
|
|||||||
| Communications Equipment — 2.0% |
| |||||||
| Motorola Solutions, Inc. (a) |
59 | 14,573 | ||||||
|
|
|
|||||||
| Electric Utilities — 2.0% |
| |||||||
| NextEra Energy, Inc. |
174 | 14,881 | ||||||
|
|
|
|||||||
| Entertainment — 1.6% |
| |||||||
| Netflix, Inc. * |
17 | 11,564 | ||||||
|
|
|
|||||||
| Food Products — 1.9% |
| |||||||
| Lamb Weston Holdings, Inc. |
253 | 14,309 | ||||||
|
|
|
|||||||
| Health Care Providers & Services — 4.7% |
| |||||||
| UnitedHealth Group, Inc. (a) |
76 | 34,769 | ||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 2.0% |
| |||||||
| Hilton Worldwide Holdings, Inc. * |
105 | 15,152 | ||||||
|
|
|
|||||||
| Insurance — 4.9% |
| |||||||
| American International Group, Inc. (a) |
622 | 36,753 | ||||||
|
|
|
|||||||
| Interactive Media & Services — 3.8% |
| |||||||
| Alphabet, Inc., Class A * (a) |
5 | 15,630 | ||||||
| Bumble, Inc., Class A * |
244 | 12,797 | ||||||
|
|
|
|||||||
| 28,427 | ||||||||
|
|
|
|||||||
| Life Sciences Tools & Services — 3.6% |
| |||||||
| Thermo Fisher Scientific, Inc. (a) |
42 | 26,785 | ||||||
|
|
|
|||||||
| Media — 7.9% |
| |||||||
| Charter Communications, Inc., Class A * (a) |
31 | 21,255 | ||||||
| Liberty Media Corp.-Liberty SiriusXM, Class A * |
382 | 19,009 | ||||||
| Liberty Media Corp.-Liberty SiriusXM, Class C * (a) |
382 | 18,847 | ||||||
|
|
|
|||||||
| 59,111 | ||||||||
|
|
|
|||||||
| Road & Rail — 7.6% |
| |||||||
| JB Hunt Transport Services, Inc. |
95 | 18,764 | ||||||
| Lyft, Inc., Class A * (a) |
320 | 14,666 | ||||||
| Old Dominion Freight Line, Inc. |
68 | 23,150 | ||||||
|
|
|
|||||||
| 56,580 | ||||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Semiconductors & Semiconductor Equipment — 10.3% |
| |||||||
| NVIDIA Corp. (a) |
143 | 36,477 | ||||||
| NXP Semiconductors NV (China) |
204 | 40,975 | ||||||
|
|
|
|||||||
| 77,452 | ||||||||
|
|
|
|||||||
| Software — 7.3% |
| |||||||
| Microsoft Corp. |
71 | 23,592 | ||||||
| Zscaler, Inc. * (a) |
96 | 30,554 | ||||||
|
|
|
|||||||
| 54,146 | ||||||||
|
|
|
|||||||
| Specialty Retail — 5.3% |
| |||||||
| Lowe’s Cos., Inc. |
96 | 22,467 | ||||||
| O’Reilly Automotive, Inc. * |
28 | 17,365 | ||||||
|
|
|
|||||||
| 39,832 | ||||||||
|
|
|
|||||||
| Total Common Stocks |
608,125 | |||||||
|
|
|
|||||||
| NO. OF CONTRACTS |
||||||||
| Options Purchased — 0.1% |
| |||||||
| Call Options Purchased — 0.1% |
| |||||||
| Index Funds — 0.1% |
||||||||
| S&P 500 Index 12/31/2021 at USD 4,650.00, European Style Notional Amount: USD 21,185 Counterparty: Exchange-Traded * |
46 | 363 | ||||||
| 12/31/2021 at USD 4,700.00, European Style Notional Amount: USD 12,895 Counterparty: Exchange-Traded * |
28 | 151 | ||||||
| 12/31/2021 at USD 4,770.00, European Style Notional Amount: USD 20,264 Counterparty: Exchange-Traded * |
44 | 122 | ||||||
| 12/31/2021 at USD 4,850.00, European Style Notional Amount: USD 34,079 Counterparty: Exchange-Traded * |
74 | 90 | ||||||
|
|
|
|||||||
| 726 | ||||||||
|
|
|
|||||||
| Total Options Purchased |
726 | |||||||
|
|
|
|||||||
| SHARES (000) |
||||||||
| Short-Term Investments — 16.1% |
| |||||||
| Investment Companies — 16.1% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (b) (c) |
119,886 | 119,946 | ||||||
|
|
|
|||||||
| Total Long Positions |
728,797 | |||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 16 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Short Positions — (12.7)% |
| |||||||
| Common Stocks — (12.7)% |
| |||||||
| Airlines — (0.7)% |
||||||||
| American Airlines Group, Inc. * |
(97 | ) | (1,855 | ) | ||||
| Delta Air Lines, Inc. * |
(47 | ) | (1,842 | ) | ||||
| United Airlines Holdings, Inc. * |
(40 | ) | (1,851 | ) | ||||
|
|
|
|||||||
| (5,548 | ) | |||||||
|
|
|
|||||||
| Chemicals — (0.5)% |
| |||||||
| Dow, Inc. |
(66 | ) | (3,675 | ) | ||||
|
|
|
|||||||
| Food Products — (2.9)% |
| |||||||
| Campbell Soup Co. |
(316 | ) | (12,610 | ) | ||||
| Conagra Brands, Inc. |
(106 | ) | (3,418 | ) | ||||
| Kellogg Co. |
(90 | ) | (5,515 | ) | ||||
|
|
|
|||||||
| (21,543 | ) | |||||||
|
|
|
|||||||
| Industrial Conglomerates — (1.7)% |
| |||||||
| 3M Co. |
(72 | ) | (12,900 | ) | ||||
|
|
|
|||||||
| Machinery — (0.3)% |
| |||||||
| Cummins, Inc. |
(8 | ) | (1,877 | ) | ||||
|
|
|
|||||||
| Media — (5.1)% |
| |||||||
| Sirius XM Holdings, Inc. |
(6,199 | ) | (37,751 | ) | ||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — (1.0)% |
| |||||||
| Intel Corp. |
(149 | ) | (7,300 | ) | ||||
|
|
|
|||||||
| Software — (0.5)% |
| |||||||
| Alteryx, Inc., Class A * |
(53 | ) | (3,865 | ) | ||||
|
|
|
|||||||
| Total Common Stocks |
(94,459 | ) | ||||||
|
|
|
|||||||
| Total Short Positions |
(94,459 | ) | ||||||
|
|
|
|||||||
| Total Investments — 85.0% |
634,338 | |||||||
| Other Assets Less Liabilities — 15.0% |
111,316 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
745,654 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Abbreviations
| USD | United States Dollar | |
| (a) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is $89,765 and $187,322 respectively. | |
| (b) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (c) | The rate shown is the current yield as of October 31, 2021. | |
| * | Non-income producing security. | |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 17 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Long Positions — 99.3% |
| |||||||
| Common Stocks — 88.7% |
| |||||||
| Aerospace & Defense — 0.7% |
| |||||||
| Howmet Aerospace, Inc. |
7 | 212 | ||||||
| Northrop Grumman Corp. |
1 | 312 | ||||||
| TransDigm Group, Inc. * |
— | (a) | 97 | |||||
|
|
|
|||||||
| 621 | ||||||||
|
|
|
|||||||
| Air Freight & Logistics — 0.6% |
| |||||||
| FedEx Corp. |
1 | 255 | ||||||
| United Parcel Service, Inc., Class B |
1 | 284 | ||||||
|
|
|
|||||||
| 539 | ||||||||
|
|
|
|||||||
| Auto Components — 0.6% |
| |||||||
| Aptiv plc * |
1 | 196 | ||||||
| Lear Corp. |
1 | 197 | ||||||
| Magna International, Inc. (Canada) |
2 | 136 | ||||||
|
|
|
|||||||
| 529 | ||||||||
|
|
|
|||||||
| Automobiles — 0.2% |
| |||||||
| General Motors Co. * |
3 | 146 | ||||||
|
|
|
|||||||
| Banks — 4.7% |
| |||||||
| Bank of America Corp. |
9 | 416 | ||||||
| Fifth Third Bancorp |
14 | 589 | ||||||
| M&T Bank Corp. |
1 | 186 | ||||||
| SVB Financial Group * |
1 | 1,052 | ||||||
| Truist Financial Corp. |
7 | 415 | ||||||
| US Bancorp |
2 | 99 | ||||||
| Wells Fargo & Co. (b) |
31 | 1,572 | ||||||
|
|
|
|||||||
| 4,329 | ||||||||
|
|
|
|||||||
| Beverages — 0.9% |
| |||||||
| Coca-Cola Co. (The) |
3 | 149 | ||||||
| Constellation Brands, Inc., Class A |
— | (a) | 88 | |||||
| PepsiCo, Inc. |
4 | 570 | ||||||
|
|
|
|||||||
| 807 | ||||||||
|
|
|
|||||||
| Biotechnology — 3.6% |
| |||||||
| AbbVie, Inc. |
8 | 946 | ||||||
| Biogen, Inc. * |
2 | 531 | ||||||
| BioMarin Pharmaceutical, Inc. * |
4 | 281 | ||||||
| Neurocrine Biosciences, Inc. * |
3 | 364 | ||||||
| Regeneron Pharmaceuticals, Inc. * |
1 | 805 | ||||||
| Vertex Pharmaceuticals, Inc. * |
2 | 434 | ||||||
|
|
|
|||||||
| 3,361 | ||||||||
|
|
|
|||||||
| Building Products — 1.0% |
| |||||||
| Allegion plc |
1 | 87 | ||||||
| Fortune Brands Home & Security, Inc. |
— | (a) | 33 | |||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Building Products — continued |
| |||||||
| Johnson Controls International plc |
6 | 446 | ||||||
| Trane Technologies plc |
2 | 393 | ||||||
|
|
|
|||||||
| 959 | ||||||||
|
|
|
|||||||
| Capital Markets — 1.3% |
| |||||||
| Ameriprise Financial, Inc. |
— | (a) | 66 | |||||
| Charles Schwab Corp. (The) |
2 | 123 | ||||||
| Intercontinental Exchange, Inc. |
— | (a) | 66 | |||||
| Morgan Stanley |
3 | 295 | ||||||
| State Street Corp. |
4 | 434 | ||||||
| T. Rowe Price Group, Inc. |
1 | 195 | ||||||
|
|
|
|||||||
| 1,179 | ||||||||
|
|
|
|||||||
| Chemicals — 3.8% |
| |||||||
| Air Products and Chemicals, Inc. (b) |
1 | 326 | ||||||
| Celanese Corp. |
3 | 473 | ||||||
| Corteva, Inc. |
3 | 147 | ||||||
| DuPont de Nemours, Inc. (b) |
14 | 951 | ||||||
| Eastman Chemical Co. (b) |
5 | 523 | ||||||
| Linde plc (United Kingdom) |
1 | 322 | ||||||
| PPG Industries, Inc. |
5 | 748 | ||||||
|
|
|
|||||||
| 3,490 | ||||||||
|
|
|
|||||||
| Commercial Services & Supplies — 0.3% |
| |||||||
| Waste Connections, Inc. |
2 | 301 | ||||||
|
|
|
|||||||
| Diversified Financial Services — 0.3% |
| |||||||
| Voya Financial, Inc. |
3 | 234 | ||||||
|
|
|
|||||||
| Electric Utilities — 1.9% |
| |||||||
| Alliant Energy Corp. |
5 | 266 | ||||||
| FirstEnergy Corp. |
19 | 740 | ||||||
| NextEra Energy, Inc. |
8 | 700 | ||||||
|
|
|
|||||||
| 1,706 | ||||||||
|
|
|
|||||||
| Electrical Equipment — 0.9% |
| |||||||
| AMETEK, Inc. |
— | (a) | 56 | |||||
| Eaton Corp. plc |
5 | 776 | ||||||
|
|
|
|||||||
| 832 | ||||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — 0.7% |
| |||||||
| Corning, Inc. |
13 | 471 | ||||||
| Keysight Technologies, Inc. * |
1 | 143 | ||||||
|
|
|
|||||||
| 614 | ||||||||
|
|
|
|||||||
| Energy Equipment & Services — 0.6% |
| |||||||
| Baker Hughes Co. |
24 | 590 | ||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 18 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Long Positions — continued |
| |||||||
| Common Stocks — continued |
| |||||||
| Entertainment — 2.1% |
| |||||||
| Activision Blizzard, Inc. |
5 | 420 | ||||||
| Electronic Arts, Inc. |
3 | 416 | ||||||
| Endeavor Group Holdings, Inc., Class A * |
37 | 1,000 | ||||||
| Netflix, Inc. * |
— | (a) | 126 | |||||
|
|
|
|||||||
| 1,962 | ||||||||
|
|
|
|||||||
| Equity Real Estate Investment Trusts (REITs) — 4.1% |
| |||||||
| American Homes 4 Rent, Class A |
6 | 246 | ||||||
| Camden Property Trust |
2 | 376 | ||||||
| Cousins Properties, Inc. |
8 | 328 | ||||||
| Equinix, Inc. |
— | (a) | 281 | |||||
| Equity LifeStyle Properties, Inc. |
1 | 109 | ||||||
| Host Hotels & Resorts, Inc. * |
11 | 191 | ||||||
| Invitation Homes, Inc. |
11 | 434 | ||||||
| Kimco Realty Corp. |
35 | 792 | ||||||
| Prologis, Inc. |
2 | 308 | ||||||
| Sun Communities, Inc. |
1 | 264 | ||||||
| UDR, Inc. |
5 | 277 | ||||||
| Ventas, Inc. |
1 | 66 | ||||||
| WP Carey, Inc. |
1 | 85 | ||||||
|
|
|
|||||||
| 3,757 | ||||||||
|
|
|
|||||||
| Food Products — 0.6% |
| |||||||
| Hershey Co. (The) |
1 | 233 | ||||||
| Mondelez International, Inc., Class A |
5 | 280 | ||||||
|
|
|
|||||||
| 513 | ||||||||
|
|
|
|||||||
| Health Care Equipment & Supplies — 2.3% |
| |||||||
| Abbott Laboratories |
1 | 104 | ||||||
| Becton Dickinson and Co. |
1 | 208 | ||||||
| Boston Scientific Corp. * |
9 | 406 | ||||||
| Danaher Corp. |
2 | 573 | ||||||
| Medtronic plc |
4 | 438 | ||||||
| Zimmer Biomet Holdings, Inc. |
3 | 396 | ||||||
|
|
|
|||||||
| 2,125 | ||||||||
|
|
|
|||||||
| Health Care Providers & Services — 2.5% |
| |||||||
| Centene Corp. * |
8 | 553 | ||||||
| Cigna Corp. |
1 | 163 | ||||||
| CVS Health Corp. |
8 | 709 | ||||||
| Humana, Inc. |
— | (a) | 157 | |||||
| UnitedHealth Group, Inc. (b) |
2 | 696 | ||||||
|
|
|
|||||||
| 2,278 | ||||||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — 2.2% |
| |||||||
| Booking Holdings, Inc. * |
— | (a) | 545 | |||||
| Hilton Worldwide Holdings, Inc. * |
1 | 81 | ||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Hotels, Restaurants & Leisure — continued |
| |||||||
| McDonald’s Corp. |
3 | 767 | ||||||
| Yum! Brands, Inc. (b) |
5 | 655 | ||||||
|
|
|
|||||||
| 2,048 | ||||||||
|
|
|
|||||||
| Household Durables — 0.8% |
| |||||||
| KB Home |
7 | 265 | ||||||
| Mohawk Industries, Inc. * |
1 | 202 | ||||||
| Toll Brothers, Inc. |
5 | 284 | ||||||
|
|
|
|||||||
| 751 | ||||||||
|
|
|
|||||||
| Household Products — 0.2% |
| |||||||
| Kimberly-Clark Corp. |
— | (a) | 29 | |||||
| Procter & Gamble Co. (The) |
1 | 165 | ||||||
|
|
|
|||||||
| 194 | ||||||||
|
|
|
|||||||
| Industrial Conglomerates — 0.1% |
| |||||||
| Roper Technologies, Inc. |
— | (a) | 49 | |||||
|
|
|
|||||||
| Insurance — 2.1% |
| |||||||
| Arthur J Gallagher & Co. |
2 | 393 | ||||||
| Hartford Financial Services Group, Inc. (The) |
4 | 287 | ||||||
| Lincoln National Corp. |
1 | 74 | ||||||
| Marsh & McLennan Cos., Inc. |
1 | 150 | ||||||
| Progressive Corp. (The) |
6 | 544 | ||||||
| Prudential Financial, Inc. |
1 | 125 | ||||||
| RenaissanceRe Holdings Ltd. (Bermuda) |
— | (a) | 57 | |||||
| Ryan Specialty Group Holdings, Inc., Class A * |
9 | 325 | ||||||
|
|
|
|||||||
| 1,955 | ||||||||
|
|
|
|||||||
| Interactive Media & Services — 3.0% |
| |||||||
| Alphabet, Inc., Class A * |
— | (a) | 376 | |||||
| Alphabet, Inc., Class C * |
— | (a) | 756 | |||||
| Meta Platforms, Inc., Class A * (b) |
— | (a) | 134 | |||||
| Snap, Inc., Class A * |
13 | 689 | ||||||
| ZoomInfo Technologies, Inc., Class A * |
12 | 790 | ||||||
|
|
|
|||||||
| 2,745 | ||||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — 2.0% |
| |||||||
| Amazon.com, Inc. * (b) |
1 | 1,848 | ||||||
|
|
|
|||||||
| IT Services — 4.9% |
| |||||||
| Affirm Holdings, Inc. * |
4 | 577 | ||||||
| FleetCor Technologies, Inc. * |
2 | 522 | ||||||
| Mastercard, Inc., Class A (b) |
5 | 1,704 | ||||||
| Shopify, Inc., Class A (Canada) * |
1 | 1,350 | ||||||
| Square, Inc., Class A * |
1 | 141 | ||||||
| WEX, Inc. * |
2 | 328 | ||||||
|
|
|
|||||||
| 4,622 | ||||||||
|
|
|
|||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 19 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Long Positions — continued |
| |||||||
| Common Stocks — continued |
| |||||||
| Life Sciences Tools & Services — 1.6% |
| |||||||
| PerkinElmer, Inc. |
4 | 682 | ||||||
| Thermo Fisher Scientific, Inc. |
1 | 790 | ||||||
|
|
|
|||||||
| 1,472 | ||||||||
|
|
|
|||||||
| Machinery — 5.1% |
| |||||||
| Deere & Co. (b) |
3 | 1,082 | ||||||
| Dover Corp. |
4 | 593 | ||||||
| Ingersoll Rand, Inc. * |
27 | 1,472 | ||||||
| Otis Worldwide Corp. |
8 | 607 | ||||||
| Parker-Hannifin Corp. |
— | (a) | 48 | |||||
| Stanley Black & Decker, Inc. |
5 | 986 | ||||||
|
|
|
|||||||
| 4,788 | ||||||||
|
|
|
|||||||
| Media — 1.9% |
| |||||||
| Charter Communications, Inc., Class A * |
1 | 520 | ||||||
| Comcast Corp., Class A |
11 | 547 | ||||||
| Liberty Media Corp.-Liberty SiriusXM, Class A * |
14 | 688 | ||||||
|
|
|
|||||||
| 1,755 | ||||||||
|
|
|
|||||||
| Metals & Mining — 0.4% |
| |||||||
| Freeport-McMoRan, Inc. |
11 | 400 | ||||||
|
|
|
|||||||
| Multiline Retail — 0.5% |
| |||||||
| Dollar General Corp. |
1 | 320 | ||||||
| Dollar Tree, Inc. * |
1 | 95 | ||||||
|
|
|
|||||||
| 415 | ||||||||
|
|
|
|||||||
| Multi-Utilities — 2.6% |
| |||||||
| Ameren Corp. |
3 | 281 | ||||||
| CenterPoint Energy, Inc. |
25 | 660 | ||||||
| DTE Energy Co. |
2 | 274 | ||||||
| Public Service Enterprise Group, Inc. |
11 | 731 | ||||||
| WEC Energy Group, Inc. |
5 | 445 | ||||||
|
|
|
|||||||
| 2,391 | ||||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — 6.5% |
| |||||||
| Cheniere Energy, Inc. * |
4 | 425 | ||||||
| Chevron Corp. |
3 | 400 | ||||||
| ConocoPhillips |
8 | 584 | ||||||
| Coterra Energy, Inc. |
54 | 1,141 | ||||||
| Diamondback Energy, Inc. (b) |
17 | 1,822 | ||||||
| EOG Resources, Inc. |
4 | 373 | ||||||
| Phillips 66 |
5 | 344 | ||||||
| Pioneer Natural Resources Co. (b) |
4 | 690 | ||||||
| TC Energy Corp. (Canada) |
6 | 311 | ||||||
|
|
|
|||||||
| 6,090 | ||||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Personal Products — 0.6% |
| |||||||
| Estee Lauder Cos., Inc. (The), Class A |
2 | 563 | ||||||
|
|
|
|||||||
| Pharmaceuticals — 1.3% |
| |||||||
| Bristol-Myers Squibb Co. |
9 | 518 | ||||||
| Eli Lilly & Co. |
2 | 557 | ||||||
| Organon & Co. |
2 | 89 | ||||||
|
|
|
|||||||
| 1,164 | ||||||||
|
|
|
|||||||
| Professional Services — 1.6% |
| |||||||
| Booz Allen Hamilton Holding Corp. |
5 | 418 | ||||||
| IHS Markit Ltd. |
4 | 485 | ||||||
| Leidos Holdings, Inc. (b) |
6 | 573 | ||||||
|
|
|
|||||||
| 1,476 | ||||||||
|
|
|
|||||||
| Road & Rail — 3.9% |
| |||||||
| Canadian National Railway Co. (Canada) |
1 | 154 | ||||||
| CSX Corp. |
9 | 315 | ||||||
| Lyft, Inc., Class A * (b) |
26 | 1,206 | ||||||
| Norfolk Southern Corp. (b) |
3 | 1,025 | ||||||
| Old Dominion Freight Line, Inc. |
2 | 624 | ||||||
| Uber Technologies, Inc. * (b) |
3 | 132 | ||||||
| Union Pacific Corp. |
1 | 169 | ||||||
|
|
|
|||||||
| 3,625 | ||||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — 4.4% |
| |||||||
| Advanced Micro Devices, Inc. * (b) |
7 | 889 | ||||||
| Analog Devices, Inc. |
3 | 514 | ||||||
| Lam Research Corp. (b) |
1 | 336 | ||||||
| Micron Technology, Inc. |
4 | 276 | ||||||
| NXP Semiconductors NV (China) |
5 | 931 | ||||||
| ON Semiconductor Corp. * |
6 | 294 | ||||||
| Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan) |
2 | 223 | ||||||
| Texas Instruments, Inc. |
3 | 554 | ||||||
|
|
|
|||||||
| 4,017 | ||||||||
|
|
|
|||||||
| Software — 3.3% |
| |||||||
| Ceridian HCM Holding, Inc. * |
9 | 1,150 | ||||||
| Intuit, Inc. (b) |
— | (a) | 303 | |||||
| Microsoft Corp. (b) |
3 | 923 | ||||||
| Workday, Inc., Class A * |
2 | 656 | ||||||
|
|
|
|||||||
| 3,032 | ||||||||
|
|
|
|||||||
| Specialty Retail — 3.6% |
| |||||||
| AutoZone, Inc. * |
— | (a) | 596 | |||||
| Best Buy Co., Inc. |
2 | 202 | ||||||
| Burlington Stores, Inc. * |
1 | 253 | ||||||
| Home Depot, Inc. (The) |
— | (a) | 178 | |||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 20 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Long Positions — continued |
| |||||||
| Common Stocks — continued |
| |||||||
| Specialty Retail — continued |
| |||||||
| Lowe’s Cos., Inc. (b) |
4 | 1,027 | ||||||
| O’Reilly Automotive, Inc. * (b) |
2 | 1,022 | ||||||
| TJX Cos., Inc. (The) |
— | (a) | 32 | |||||
|
|
|
|||||||
| 3,310 | ||||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — 1.6% |
| |||||||
| Hewlett Packard Enterprise Co. |
60 | 876 | ||||||
| Seagate Technology Holdings plc |
6 | 569 | ||||||
|
|
|
|||||||
| 1,445 | ||||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — 0.4% |
| |||||||
| NIKE, Inc., Class B |
2 | 394 | ||||||
|
|
|
|||||||
| Wireless Telecommunication Services — 0.4% |
| |||||||
| T-Mobile US, Inc. * |
3 | 400 | ||||||
|
|
|
|||||||
| Total Common Stocks |
81,821 | |||||||
|
|
|
|||||||
| Short-Term Investments — 10.6% |
| |||||||
| Investment Companies — 10.6% |
| |||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (c) (d) |
9,747 | 9,752 | ||||||
|
|
|
|||||||
| Total Long Positions |
91,573 | |||||||
|
|
|
|||||||
| Short Positions — (77.9)% |
| |||||||
| Common Stocks — (77.9)% |
| |||||||
| Aerospace & Defense — (1.4)% |
||||||||
| Boeing Co. (The) * |
(2 | ) | (344 | ) | ||||
| Hexcel Corp. * |
(2 | ) | (133 | ) | ||||
| Huntington Ingalls Industries, Inc. |
(3 | ) | (654 | ) | ||||
| L3Harris Technologies, Inc. |
(1 | ) | (125 | ) | ||||
|
|
|
|||||||
| (1,256 | ) | |||||||
|
|
|
|||||||
| Air Freight & Logistics — (0.9)% |
| |||||||
| CH Robinson Worldwide, Inc. |
(5 | ) | (490 | ) | ||||
| Expeditors International of Washington, Inc. |
(3 | ) | (382 | ) | ||||
|
|
|
|||||||
| (872 | ) | |||||||
|
|
|
|||||||
| Airlines — 0.0% (e) |
| |||||||
| United Airlines Holdings, Inc. * |
(1 | ) | (43 | ) | ||||
|
|
|
|||||||
| Auto Components — (0.6)% |
| |||||||
| Autoliv, Inc. (Sweden) |
(2 | ) | (240 | ) | ||||
| BorgWarner, Inc. |
(6 | ) | (281 | ) | ||||
|
|
|
|||||||
| (521 | ) | |||||||
|
|
|
|||||||
| Automobiles — (0.2)% |
| |||||||
| Ford Motor Co. * |
(5 | ) | (88 | ) | ||||
| Harley-Davidson, Inc. |
(2 | ) | (68 | ) | ||||
|
|
|
|||||||
| (156 | ) | |||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Banks — (2.3)% |
| |||||||
| Associated Banc-Corp. |
(5 | ) | (106 | ) | ||||
| Citizens Financial Group, Inc. |
(12 | ) | (563 | ) | ||||
| First Republic Bank |
(2 | ) | (467 | ) | ||||
| KeyCorp |
(18 | ) | (418 | ) | ||||
| PNC Financial Services Group, Inc. (The) |
(3 | ) | (555 | ) | ||||
|
|
|
|||||||
| (2,109 | ) | |||||||
|
|
|
|||||||
| Biotechnology — (2.2)% |
| |||||||
| Amgen, Inc. |
(1 | ) | (268 | ) | ||||
| Gilead Sciences, Inc. |
(14 | ) | (886 | ) | ||||
| Moderna, Inc. * |
(3 | ) | (881 | ) | ||||
|
|
|
|||||||
| (2,035 | ) | |||||||
|
|
|
|||||||
| Building Products — (0.7)% |
| |||||||
| Lennox International, Inc. |
(1 | ) | (285 | ) | ||||
| Masco Corp. |
(5 | ) | (331 | ) | ||||
|
|
|
|||||||
| (616 | ) | |||||||
|
|
|
|||||||
| Capital Markets — (4.4)% |
| |||||||
| BlackRock, Inc. |
(1 | ) | (670 | ) | ||||
| Franklin Resources, Inc. |
(14 | ) | (432 | ) | ||||
| Goldman Sachs Group, Inc. (The) |
(2 | ) | (709 | ) | ||||
| Moody’s Corp. |
(1 | ) | (487 | ) | ||||
| MSCI, Inc. |
(2 | ) | (1,218 | ) | ||||
| Northern Trust Corp. |
(4 | ) | (516 | ) | ||||
|
|
|
|||||||
| (4,032 | ) | |||||||
|
|
|
|||||||
| Chemicals — (1.0)% |
| |||||||
| Dow, Inc. |
(7 | ) | (373 | ) | ||||
| Ecolab, Inc. |
(2 | ) | (432 | ) | ||||
| LyondellBasell Industries NV, Class A |
(1 | ) | (77 | ) | ||||
|
|
|
|||||||
| (882 | ) | |||||||
|
|
|
|||||||
| Commercial Services & Supplies — (0.7)% |
| |||||||
| Republic Services, Inc. |
(4 | ) | (604 | ) | ||||
|
|
|
|||||||
| Communications Equipment — (0.7)% |
| |||||||
| Cisco Systems, Inc. |
(11 | ) | (617 | ) | ||||
|
|
|
|||||||
| Construction Materials — (0.2)% |
| |||||||
| Martin Marietta Materials, Inc. |
— | (a) | (102 | ) | ||||
| Vulcan Materials Co. |
— | (a) | (39 | ) | ||||
|
|
|
|||||||
| (141 | ) | |||||||
|
|
|
|||||||
| Consumer Finance — (0.7)% |
| |||||||
| Discover Financial Services |
(6 | ) | (690 | ) | ||||
|
|
|
|||||||
| Containers & Packaging — (2.5)% |
| |||||||
| AptarGroup, Inc. |
(2 | ) | (209 | ) | ||||
| Ball Corp. |
(4 | ) | (397 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 21 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Short Positions — continued |
| |||||||
| Common Stocks — continued |
| |||||||
| Containers & Packaging — continued |
| |||||||
| Crown Holdings, Inc. |
(2 | ) | (196 | ) | ||||
| International Paper Co. |
(9 | ) | (466 | ) | ||||
| Packaging Corp. of America |
(1 | ) | (80 | ) | ||||
| Silgan Holdings, Inc. |
(14 | ) | (572 | ) | ||||
| Sonoco Products Co. |
(7 | ) | (397 | ) | ||||
|
|
|
|||||||
| (2,317 | ) | |||||||
|
|
|
|||||||
| Diversified Telecommunication Services — (2.0)% |
| |||||||
| AT&T, Inc. |
(32 | ) | (804 | ) | ||||
| Lumen Technologies, Inc. |
(43 | ) | (513 | ) | ||||
| Verizon Communications, Inc. |
(9 | ) | (501 | ) | ||||
|
|
|
|||||||
| (1,818 | ) | |||||||
|
|
|
|||||||
| Electric Utilities — (2.5)% |
| |||||||
| American Electric Power Co., Inc. |
(11 | ) | (895 | ) | ||||
| Eversource Energy |
(5 | ) | (407 | ) | ||||
| Pinnacle West Capital Corp. |
(3 | ) | (217 | ) | ||||
| Southern Co. (The) |
(12 | ) | (770 | ) | ||||
|
|
|
|||||||
| (2,289 | ) | |||||||
|
|
|
|||||||
| Electrical Equipment — (1.9)% |
| |||||||
| Acuity Brands, Inc. |
(5 | ) | (927 | ) | ||||
| Hubbell, Inc. |
(2 | ) | (470 | ) | ||||
| Sensata Technologies Holding plc * |
(7 | ) | (368 | ) | ||||
|
|
|
|||||||
| (1,765 | ) | |||||||
|
|
|
|||||||
| Electronic Equipment, Instruments & Components — (0.2)% |
| |||||||
| Cognex Corp. |
(2 | ) | (191 | ) | ||||
|
|
|
|||||||
| Energy Equipment & Services — (1.5)% |
| |||||||
| Halliburton Co. |
(35 | ) | (870 | ) | ||||
| Schlumberger NV |
(15 | ) | (478 | ) | ||||
|
|
|
|||||||
| (1,348 | ) | |||||||
|
|
|
|||||||
| Entertainment — (1.4)% |
| |||||||
| AMC Entertainment Holdings, Inc., Class A * |
(19 | ) | (680 | ) | ||||
| Walt Disney Co. (The)* |
(4 | ) | (628 | ) | ||||
|
|
|
|||||||
| (1,308 | ) | |||||||
|
|
|
|||||||
| Equity Real Estate Investment Trusts (REITs) — (4.3)% |
| |||||||
| AvalonBay Communities, Inc. |
(1 | ) | (289 | ) | ||||
| Duke Realty Corp. |
(5 | ) | (285 | ) | ||||
| Equity Residential |
(5 | ) | (399 | ) | ||||
| Iron Mountain, Inc. |
(17 | ) | (785 | ) | ||||
| National Retail Properties, Inc. |
(12 | ) | (527 | ) | ||||
| Realty Income Corp. |
(1 | ) | (95 | ) | ||||
| Simon Property Group, Inc. |
(6 | ) | (892 | ) | ||||
| SL Green Realty Corp. |
(4 | ) | (300 | ) | ||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Equity Real Estate Investment Trusts (REITs) — continued |
| |||||||
| Vornado Realty Trust |
(4 | ) | (185 | ) | ||||
| Welltower, Inc. |
(2 | ) | (183 | ) | ||||
|
|
|
|||||||
| (3,940 | ) | |||||||
|
|
|
|||||||
| Food & Staples Retailing — (4.9)% |
| |||||||
| Kroger Co. (The) |
(50 | ) | (1,992 | ) | ||||
| Walgreens Boots Alliance, Inc. |
(23 | ) | (1,082 | ) | ||||
| Walmart, Inc. |
(10 | ) | (1,485 | ) | ||||
|
|
|
|||||||
| (4,559 | ) | |||||||
|
|
|
|||||||
| Food Products — (1.5)% |
| |||||||
| Campbell Soup Co. |
(8 | ) | (314 | ) | ||||
| Conagra Brands, Inc. |
(8 | ) | (260 | ) | ||||
| General Mills, Inc. |
(5 | ) | (316 | ) | ||||
| Kellogg Co. |
(7 | ) | (459 | ) | ||||
|
|
|
|||||||
| (1,349 | ) | |||||||
|
|
|
|||||||
| Gas Utilities — (0.3)% |
| |||||||
| National Fuel Gas Co. |
(6 | ) | (318 | ) | ||||
|
|
|
|||||||
| Health Care Equipment & Supplies — (1.7)% |
| |||||||
| Baxter International, Inc. |
(8 | ) | (610 | ) | ||||
| Stryker Corp. |
(4 | ) | (986 | ) | ||||
|
|
|
|||||||
| (1,596 | ) | |||||||
|
|
|
|||||||
| Health Care Providers & Services — (0.5)% |
| |||||||
| Henry Schein, Inc. * |
(6 | ) | (487 | ) | ||||
|
|
|
|||||||
| Health Care Technology — (0.4)% |
| |||||||
| Cerner Corp. |
(5 | ) | (376 | ) | ||||
|
|
|
|||||||
| Hotels, Restaurants & Leisure — (0.7)% |
| |||||||
| Starbucks Corp. |
(6 | ) | (675 | ) | ||||
|
|
|
|||||||
| Household Durables — (0.4)% |
| |||||||
| NVR, Inc. * |
— | (a) | (157 | ) | ||||
| PulteGroup, Inc. |
(4 | ) | (182 | ) | ||||
|
|
|
|||||||
| (339 | ) | |||||||
|
|
|
|||||||
| Household Products — (1.3)% |
| |||||||
| Clorox Co. (The) |
(5 | ) | (882 | ) | ||||
| Colgate-Palmolive Co. |
(4 | ) | (280 | ) | ||||
|
|
|
|||||||
| (1,162 | ) | |||||||
|
|
|
|||||||
| Industrial Conglomerates — (2.2)% |
| |||||||
| 3M Co. |
(7 | ) | (1,258 | ) | ||||
| General Electric Co. |
(8 | ) | (800 | ) | ||||
|
|
|
|||||||
| (2,058 | ) | |||||||
|
|
|
|||||||
| Insurance — (2.0)% |
| |||||||
| Aflac, Inc. |
(3 | ) | (144 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
| 22 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Short Positions — continued |
| |||||||
| Common Stocks — continued |
| |||||||
| Insurance — continued |
| |||||||
| Allstate Corp. (The) |
(4 | ) | (437 | ) | ||||
| Aon plc, Class A |
(2 | ) | (698 | ) | ||||
| Axis Capital Holdings Ltd. |
(2 | ) | (111 | ) | ||||
| Globe Life, Inc. |
(1 | ) | (79 | ) | ||||
| MetLife, Inc. |
(2 | ) | (106 | ) | ||||
| Willis Towers Watson plc |
(1 | ) | (138 | ) | ||||
| WR Berkley Corp. |
(2 | ) | (150 | ) | ||||
|
|
|
|||||||
| (1,863 | ) | |||||||
|
|
|
|||||||
| Internet & Direct Marketing Retail — (0.9)% |
| |||||||
| eBay, Inc. |
(11 | ) | (838 | ) | ||||
|
|
|
|||||||
| IT Services — (3.6)% |
| |||||||
| Automatic Data Processing, Inc. |
(1 | ) | (253 | ) | ||||
| Cognizant Technology Solutions Corp., Class A |
(6 | ) | (455 | ) | ||||
| DXC Technology Co. * |
(4 | ) | (129 | ) | ||||
| EPAM Systems, Inc. * |
— | (a) | (135 | ) | ||||
| Global Payments, Inc. |
(1 | ) | (123 | ) | ||||
| Infosys Ltd., ADR (India) |
(18 | ) | (408 | ) | ||||
| Jack Henry & Associates, Inc. |
(1 | ) | (176 | ) | ||||
| Paychex, Inc. |
(5 | ) | (620 | ) | ||||
| PayPal Holdings, Inc. * |
(1 | ) | (337 | ) | ||||
| Western Union Co. (The) |
(37 | ) | (684 | ) | ||||
|
|
|
|||||||
| (3,320 | ) | |||||||
|
|
|
|||||||
| Life Sciences Tools & Services — (1.2)% |
| |||||||
| Agilent Technologies, Inc. |
(3 | ) | (541 | ) | ||||
| Waters Corp. * |
(2 | ) | (582 | ) | ||||
|
|
|
|||||||
| (1,123 | ) | |||||||
|
|
|
|||||||
| Machinery — (1.9)% |
| |||||||
| Caterpillar, Inc. |
(3 | ) | (650 | ) | ||||
| Illinois Tool Works, Inc. |
(3 | ) | (728 | ) | ||||
| PACCAR, Inc. |
(4 | ) | (356 | ) | ||||
|
|
|
|||||||
| (1,734 | ) | |||||||
|
|
|
|||||||
| Media — (4.0)% |
| |||||||
| Interpublic Group of Cos., Inc. (The) |
(19 | ) | (679 | ) | ||||
| Omnicom Group, Inc. |
(24 | ) | (1,667 | ) | ||||
| Sirius XM Holdings, Inc. |
(59 | ) | (359 | ) | ||||
| ViacomCBS, Inc. |
(27 | ) | (969 | ) | ||||
|
|
|
|||||||
| (3,674 | ) | |||||||
|
|
|
|||||||
| Multiline Retail — (0.4)% |
| |||||||
| Kohl’s Corp. |
(2 | ) | (110 | ) | ||||
| Macy’s, Inc. |
(5 | ) | (138 | ) | ||||
| Nordstrom, Inc. * |
(4 | ) | (116 | ) | ||||
|
|
|
|||||||
| (364 | ) | |||||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Multi-Utilities — (1.7)% |
| |||||||
| CMS Energy Corp. |
(5 | ) | (274 | ) | ||||
| Consolidated Edison, Inc. |
(12 | ) | (899 | ) | ||||
| Dominion Energy, Inc. |
(5 | ) | (380 | ) | ||||
|
|
|
|||||||
| (1,553 | ) | |||||||
|
|
|
|||||||
| Oil, Gas & Consumable Fuels — (4.3)% |
| |||||||
| APA Corp. |
(2 | ) | (65 | ) | ||||
| Devon Energy Corp. |
(2 | ) | (100 | ) | ||||
| Enbridge, Inc. (Canada) |
(24 | ) | (985 | ) | ||||
| Exxon Mobil Corp. |
(21 | ) | (1,347 | ) | ||||
| Hess Corp. |
(7 | ) | (582 | ) | ||||
| HollyFrontier Corp. |
(6 | ) | (195 | ) | ||||
| Kinder Morgan, Inc. |
(8 | ) | (139 | ) | ||||
| Marathon Oil Corp. |
(34 | ) | (557 | ) | ||||
|
|
|
|||||||
| (3,970 | ) | |||||||
|
|
|
|||||||
| Paper & Forest Products — 0.0% (e) |
| |||||||
| Sylvamo Corp. * |
— | (a) | — | (a) | ||||
|
|
|
|||||||
| Pharmaceuticals — (2.2)% |
| |||||||
| Johnson & Johnson |
(3 | ) | (414 | ) | ||||
| Merck & Co., Inc. |
(5 | ) | (482 | ) | ||||
| Pfizer, Inc. |
(16 | ) | (687 | ) | ||||
| Zoetis, Inc. |
(2 | ) | (458 | ) | ||||
|
|
|
|||||||
| (2,041 | ) | |||||||
|
|
|
|||||||
| Professional Services — (0.9)% |
| |||||||
| TransUnion |
(4 | ) | (421 | ) | ||||
| Verisk Analytics, Inc. |
(2 | ) | (378 | ) | ||||
|
|
|
|||||||
| (799 | ) | |||||||
|
|
|
|||||||
| Road & Rail — (0.8)% |
| |||||||
| Canadian Pacific Railway Ltd. (Canada) |
(2 | ) | (152 | ) | ||||
| Heartland Express, Inc. |
(16 | ) | (254 | ) | ||||
| JB Hunt Transport Services, Inc. |
(1 | ) | (206 | ) | ||||
| Werner Enterprises, Inc. |
(3 | ) | (128 | ) | ||||
|
|
|
|||||||
| (740 | ) | |||||||
|
|
|
|||||||
| Semiconductors & Semiconductor Equipment — (3.3)% |
| |||||||
| Broadcom, Inc. |
(1 | ) | (699 | ) | ||||
| Intel Corp. |
(36 | ) | (1,769 | ) | ||||
| KLA Corp. |
(1 | ) | (293 | ) | ||||
| Skyworks Solutions, Inc. |
(2 | ) | (286 | ) | ||||
|
|
|
|||||||
| (3,047 | ) | |||||||
|
|
|
|||||||
| Software — (1.0)% |
| |||||||
| Adobe, Inc. * |
— | (a) | (212 | ) | ||||
| Citrix Systems, Inc. |
(1 | ) | (99 | ) | ||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 23 | ||||||||
Table of Contents
JPMorgan Research Market Neutral Fund
SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF OCTOBER 31, 2021 (continued)
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Short Positions — continued |
| |||||||
| Common Stocks — continued |
| |||||||
| Software — continued |
| |||||||
| Oracle Corp. |
(2 | ) | (165 | ) | ||||
| Palantir Technologies, Inc., Class A * |
(12 | ) | (321 | ) | ||||
| VMware, Inc., Class A * |
(1 | ) | (133 | ) | ||||
|
|
|
|||||||
| (930 | ) | |||||||
|
|
|
|||||||
| Specialty Retail — (0.4)% |
| |||||||
| CarMax, Inc. * |
(1 | ) | (146 | ) | ||||
| Williams-Sonoma, Inc. |
(1 | ) | (194 | ) | ||||
|
|
|
|||||||
| (340 | ) | |||||||
|
|
|
|||||||
| Technology Hardware, Storage & Peripherals — (2.2)% |
| |||||||
| Apple, Inc. |
(10 | ) | (1,426 | ) | ||||
| NetApp, Inc. |
(6 | ) | (578 | ) | ||||
| Xerox Holdings Corp. |
(4 | ) | (68 | ) | ||||
|
|
|
|||||||
| (2,072 | ) | |||||||
|
|
|
|||||||
| Textiles, Apparel & Luxury Goods — (0.3)% |
| |||||||
| VF Corp. |
(4 | ) | (293 | ) | ||||
|
|
|
|||||||
| Trading Companies & Distributors — (0.3)% |
| |||||||
| Fastenal Co. |
(5 | ) | (304 | ) | ||||
|
|
|
|||||||
| INVESTMENTS | SHARES (000) |
VALUE ($000) |
||||||
| Water Utilities — (0.3)% |
| |||||||
| Essential Utilities, Inc. |
(7 | ) | (314 | ) | ||||
|
|
|
|||||||
| Total Common Stocks |
(71,788 | ) | ||||||
|
|
|
|||||||
| Total Short Positions |
(71,788 | ) | ||||||
|
|
|
|||||||
| Total Investments — 21.4% |
19,785 | |||||||
| Other Assets Less Liabilities — 78.6% |
72,405 | |||||||
|
|
|
|||||||
| NET ASSETS — 100.0% |
92,190 | |||||||
|
|
|
|||||||
Percentages indicated are based on net assets.
Abbreviations
| ADR | American Depositary Receipt | |
| (a) | Amount rounds to less than one thousand. | |
| (b) | All or a portion of this security is segregated as collateral for short sales. The total value of securities and cash segregated as collateral is $14,258 and $72,237 respectively. | |
| (c) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. | |
| (d) | The rate shown is the current yield as of October 31, 2021. | |
| (e) | Amount rounds to less than 0.1% of net assets. | |
| * | Non-income producing security. | |
| Futures contracts outstanding as of October 31, 2021 (amounts in thousands, except number of contracts): | ||||||||||||||||||
| DESCRIPTION | NUMBER OF CONTRACTS |
EXPIRATION DATE |
TRADING CURRENCY |
NOTIONAL AMOUNT ($) |
VALUE AND UNREALIZED APPRECIATION (DEPRECIATION) ($) |
|||||||||||||
| Short Contracts |
| |||||||||||||||||
| S&P 500 E-Mini Index |
(4 | ) | 12/2021 | USD | (920 | ) | (7 | ) | ||||||||||
|
|
|
|||||||||||||||||
Abbreviations
| USD | United States Dollar |
SEE NOTES TO FINANCIAL STATEMENTS.
| 24 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 25 | ||||||||
Table of Contents
STATEMENTS OF ASSETS AND LIABILITIES
AS OF OCTOBER 31, 2021
(Amounts in thousands, except per share amounts)
| JPMorgan Macro Opportunities Fund |
JPMorgan Opportunistic Equity Long/Short Fund |
JPMorgan Research Market Neutral Fund |
||||||||||
| ASSETS: |
| |||||||||||
| Investments in non-affiliates, at value |
$ | 14,618 | $ | 608,125 | $ | 81,821 | ||||||
| Investments in affiliates, at value |
2,529 | 119,946 | 9,752 | |||||||||
| Options purchased, at value |
61 | 726 | — | |||||||||
| Restricted cash for exchange-traded options |
706 | — | — | |||||||||
| Cash |
864 | — | — | (a) | ||||||||
| Foreign currency, at value |
66 | — | — | |||||||||
| Deposits at broker for futures contracts |
— | — | 89 | |||||||||
| Deposits at broker for securities sold short |
— | 187,322 | 72,237 | |||||||||
| Receivables: |
||||||||||||
| Investment securities sold |
4 | 18,425 | 1,287 | |||||||||
| Fund shares sold |
— | (a) | 3,101 | 61 | ||||||||
| Interest from non-affiliates |
4 | — | (a) | — | ||||||||
| Dividends from non-affiliates |
2 | 91 | 48 | |||||||||
| Dividends from affiliates |
— | (a) | 7 | — | (a) | |||||||
| Tax reclaims |
4 | — | — | |||||||||
| Variation margin on futures contracts |
441 | — | — | |||||||||
| Unrealized appreciation on forward foreign currency exchange contracts |
94 | — | — | |||||||||
| Due from adviser |
15 | — | — | |||||||||
| Due from broker |
16 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Total Assets |
19,424 | 937,743 | 165,295 | |||||||||
|
|
|
|
|
|
|
|||||||
| LIABILITIES: |
| |||||||||||
| Payables: |
||||||||||||
| Due to custodian |
— | — | (a) | — | ||||||||
| Securities sold short, at value |
— | 94,459 | 71,788 | |||||||||
| Dividend expense to non-affiliates on securities sold short |
— | 153 | 74 | |||||||||
| Investment securities purchased |
11 | 95,957 | 1,059 | |||||||||
| Interest expense to non-affiliates on securities sold short |
— | 34 | 10 | |||||||||
| Fund shares redeemed |
— | 518 | 9 | |||||||||
| Variation margin on futures contracts |
— | — | 2 | |||||||||
| Unrealized depreciation on forward foreign currency exchange contracts |
21 | — | — | |||||||||
| Accrued liabilities: |
||||||||||||
| Investment advisory fees |
— | 715 | 17 | |||||||||
| Administration fees |
— | 45 | — | |||||||||
| Distribution fees |
— | (a) | 11 | 4 | ||||||||
| Service fees |
4 | 89 | 18 | |||||||||
| Custodian and accounting fees |
11 | 10 | 14 | |||||||||
| Trustees’ and Chief Compliance Officer’s fees |
— | (a) | — | (a) | — | (a) | ||||||
| Other |
190 | 98 | 110 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total Liabilities |
237 | 192,089 | 73,105 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net Assets |
$ | 19,187 | $ | 745,654 | $ | 92,190 | ||||||
|
|
|
|
|
|
|
|||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 26 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan Macro Opportunities Fund |
JPMorgan Opportunistic Equity Long/Short Fund |
JPMorgan Research Market Neutral Fund |
||||||||||
| NET ASSETS: |
| |||||||||||
|
Paid-in-Capital |
$ | 16,765 | $ | 589,812 | $ | 109,330 | ||||||
| Total distributable earnings (loss) |
2,422 | 155,842 | (17,140 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Total Net Assets |
$ | 19,187 | $ | 745,654 | $ | 92,190 | ||||||
|
|
|
|
|
|
|
|||||||
| Net Assets: |
| |||||||||||
| Class A |
$ | 290 | $ | 30,516 | $ | 16,867 | ||||||
| Class C |
77 | 7,079 | 1,211 | |||||||||
| Class I |
18,798 | 398,771 | 74,112 | |||||||||
| Class R6 |
22 | 309,288 | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Total |
$ | 19,187 | $ | 745,654 | $ | 92,190 | ||||||
|
|
|
|
|
|
|
|||||||
| Outstanding units of beneficial interest (shares) |
||||||||||||
| ($0.0001 par value; unlimited number of shares authorized): |
||||||||||||
| Class A |
17 | 1,291 | 1,359 | |||||||||
| Class C |
5 | 311 | 109 | |||||||||
| Class I |
1,098 | 16,563 | 5,582 | |||||||||
| Class R6 |
1 | 12,634 | — | |||||||||
| Net Asset Value (a): |
||||||||||||
| Class A — Redemption price per share |
$ | 17.05 | $ | 23.65 | $ | 12.41 | ||||||
| Class C — Offering price per share (b) |
16.93 | 22.75 | 11.09 | |||||||||
| Class I — Offering and redemption price per share |
17.12 | 24.08 | 13.28 | |||||||||
| Class R6 — Offering and redemption price per share |
17.17 | 24.48 | — | |||||||||
| Class A maximum sales charge |
5.25 | % | 5.25 | % | 5.25 | % | ||||||
| Class A maximum public offering price per share |
$ | 17.99 | $ | 24.96 | $ | 13.10 | ||||||
|
|
|
|
|
|
|
|||||||
| Cost of investments in non-affiliates |
$ | 12,256 | $ | 501,802 | $ | 58,575 | ||||||
| Cost of investments in affiliates |
2,529 | 119,946 | 9,749 | |||||||||
| Cost of options purchased |
95 | 705 | — | |||||||||
| Cost of foreign currency |
66 | — | — | |||||||||
| Proceeds from securities sold short |
— | 94,578 | 67,933 | |||||||||
| (a) | Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding. |
| (b) | Redemption price for Class C Shares varies based upon length of time the shares are held. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 27 | ||||||||
Table of Contents
STATEMENTS OF OPERATIONS
FOR THE YEAR ENDED OCTOBER 31, 2021
(Amounts in thousands)
| JPMorgan Macro Opportunities Fund |
JPMorgan Opportunistic Equity Long/Short Fund |
JPMorgan Research Market Neutral Fund |
||||||||||
| INVESTMENT INCOME: |
| |||||||||||
| Interest income from non-affiliates |
$ | 28 | $ | — | $ | — | ||||||
| Dividend income from non-affiliates |
143 | 3,607 | 1,239 | |||||||||
| Dividend income from affiliates |
2 | 24 | 7 | |||||||||
| Income from securities lending (net) (See Note 2.C.) |
1 | — | — | |||||||||
| Foreign taxes withheld (net) |
(10 | ) | — | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Total investment income |
164 | 3,631 | 1,246 | |||||||||
|
|
|
|
|
|
|
|||||||
| EXPENSES: |
| |||||||||||
| Investment advisory fees |
106 | 7,559 | 353 | |||||||||
| Administration fees |
13 | 472 | 76 | |||||||||
| Distribution fees: |
||||||||||||
| Class A |
— | (a) | 70 | 38 | ||||||||
| Class C |
— | (a) | 46 | 12 | ||||||||
| Service fees: |
||||||||||||
| Class A |
— | (a) | 70 | 38 | ||||||||
| Class C |
— | (a) | 15 | 4 | ||||||||
| Class I |
44 | 806 | 210 | |||||||||
| Custodian and accounting fees |
43 | 39 | 40 | |||||||||
| Interest expense to affiliates |
1 | — | (a) | — | (a) | |||||||
| Professional fees |
174 | 88 | 60 | |||||||||
| Trustees’ and Chief Compliance Officer’s fees |
25 | 27 | 25 | |||||||||
| Printing and mailing costs |
2 | 43 | — | (a) | ||||||||
| Registration and filing fees |
119 | 88 | 77 | |||||||||
| Transfer agency fees (See Note 2.J.) |
— | (a) | 17 | 8 | ||||||||
| Offering costs (See Note 2.H.) |
10 | — | — | |||||||||
| Dividend expense to non-affiliates on securities sold short |
— | 3,993 | 1,920 | |||||||||
| Interest expense to non-affiliates on securities sold short |
— | 1,327 | 160 | |||||||||
| Other |
12 | 19 | 9 | |||||||||
|
|
|
|
|
|
|
|||||||
| Total expenses |
549 | 14,679 | 3,030 | |||||||||
|
|
|
|
|
|
|
|||||||
| Less fees waived |
(122 | ) | (41 | ) | (218 | ) | ||||||
| Less expense reimbursements |
(258 | ) | — | — | ||||||||
|
|
|
|
|
|
|
|||||||
| Net expenses |
169 | 14,638 | 2,812 | |||||||||
|
|
|
|
|
|
|
|||||||
| Net investment income (loss) |
(5 | ) | (11,007 | ) | (1,566 | ) | ||||||
|
|
|
|
|
|
|
|||||||
| REALIZED/UNREALIZED GAINS (LOSSES): |
||||||||||||
| Net realized gain (loss) on transactions from: |
| |||||||||||
| Investments in non-affiliates |
1,699 | 129,159 | 30,685 | |||||||||
| Investments in affiliates |
— | (a) | 1 | 2 | ||||||||
| Options purchased |
(561 | ) | (1,325 | ) | — | |||||||
| Futures contracts |
(841 | ) | — | (549 | ) | |||||||
| Securities sold short |
— | (49,885 | ) | (24,401 | ) | |||||||
| Foreign currency transactions |
64 | — | — | |||||||||
| Forward foreign currency exchange contracts |
218 | — | — | |||||||||
| Options written |
183 | 84 | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Net realized gain (loss) |
762 | 78,034 | 5,737 | |||||||||
|
|
|
|
|
|
|
|||||||
| Change in net unrealized appreciation/depreciation on: |
| |||||||||||
| Investments in non-affiliates |
1,244 | 43,084 | 10,395 | |||||||||
| Investments in affiliates |
— | (a) | — | (a) | (3 | ) | ||||||
| Options purchased |
35 | 21 | — | |||||||||
| Futures contracts |
(307 | ) | — | (92 | ) | |||||||
| Securities sold short |
— | (749 | ) | (12,333 | ) | |||||||
| Foreign currency translations |
(1 | ) | — | — | (a) | |||||||
| Forward foreign currency exchange contracts |
53 | — | — | |||||||||
|
|
|
|
|
|
|
|||||||
| Change in net unrealized appreciation/depreciation |
1,024 | 42,356 | (2,033 | ) | ||||||||
|
|
|
|
|
|
|
|||||||
| Net realized/unrealized gains (losses) |
1,786 | 120,390 | 3,704 | |||||||||
|
|
|
|
|
|
|
|||||||
| Change in net assets resulting from operations |
$ | 1,781 | $ | 109,383 | $ | 2,138 | ||||||
|
|
|
|
|
|
|
|||||||
| (a) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 28 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED
(Amounts in thousands)
| JPMorgan Macro Opportunities Fund |
JPMorgan Opportunistic Equity Long/Short Fund | |||||||||||||||
| Year Ended October 31, 2021 |
Period Ended October 31, 2020 (a) |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||||||||||
| Net investment income (loss) |
$ | (5 | ) | $ | 6 | $ | (11,007 | ) | $ | (4,527 | ) | |||||
| Net realized gain (loss) |
762 | (892 | ) | 78,034 | 29,177 | |||||||||||
| Change in net unrealized appreciation/depreciation |
1,024 | 1,287 | 42,356 | 40,552 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from operations |
1,781 | 401 | 109,383 | 65,202 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||||||||||
| Class A |
— | — | (918 | ) | — | |||||||||||
| Class C |
— | — | (222 | ) | — | |||||||||||
| Class I |
— | — | (10,347 | ) | (191 | ) | ||||||||||
| Class R6 (b) |
— | — | (9,883 | ) | (727 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total distributions to shareholders |
— | — | (21,370 | ) | (918 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| CAPITAL TRANSACTIONS: |
| |||||||||||||||
| Change in net assets resulting from capital transactions |
1,974 | 15,031 | 172,125 | 102,197 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| NET ASSETS: |
| |||||||||||||||
| Change in net assets |
3,755 | 15,432 | 260,138 | 166,481 | ||||||||||||
| Beginning of period |
15,432 | — | 485,516 | 319,035 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| End of period |
$ | 19,187 | $ | 15,432 | $ | 745,654 | $ | 485,516 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Commencement of operations was April 15, 2020. |
| (b) | Commencement of offering of class of shares effective September 30, 2020 for JPMorgan Macro Opportunities Fund. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 29 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Research Market Neutral Fund |
||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||
| CHANGE IN NET ASSETS RESULTING FROM OPERATIONS: |
||||||||
| Net investment income (loss) |
$ | (1,566 | ) | $ | (1,092 | ) | ||
| Net realized gain (loss) |
5,737 | 4,294 | ||||||
| Change in net unrealized appreciation/depreciation |
(2,033 | ) | 4,263 | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from operations |
2,138 | 7,465 | ||||||
|
|
|
|
|
|||||
| DISTRIBUTIONS TO SHAREHOLDERS: |
||||||||
| Class A |
(1,124 | ) | (1,559 | ) | ||||
| Class C |
(159 | ) | (450 | ) | ||||
| Class I |
(6,901 | ) | (2,527 | ) | ||||
| Class L (a) |
— | (1,689 | ) | |||||
|
|
|
|
|
|||||
| Total distributions to shareholders |
(8,184 | ) | (6,225 | ) | ||||
|
|
|
|
|
|||||
| CAPITAL TRANSACTIONS: |
||||||||
| Change in net assets resulting from capital transactions |
(43,203 | ) | 77,802 | |||||
|
|
|
|
|
|||||
| NET ASSETS: |
||||||||
| Change in net assets |
(49,249 | ) | 79,042 | |||||
| Beginning of period |
141,439 | 62,397 | ||||||
|
|
|
|
|
|||||
| End of period |
$ | 92,190 | $ | 141,439 | ||||
|
|
|
|
|
|||||
| (a) | On July 2, 2020, the Fund’s Class L Shares were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 30 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
| JPMorgan Macro Opportunities Fund | JPMorgan Opportunistic Equity Long/Short Fund |
|||||||||||||||
| Year Ended October 31, 2021 |
Period Ended October 31, 2020 (a) |
Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||||||||
| CAPITAL TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Proceeds from shares issued |
$ | 337 | $ | 33 | $ | 16,519 | $ | 10,155 | ||||||||
| Distributions reinvested |
— | — | 913 | — | ||||||||||||
| Cost of shares redeemed |
(80 | ) | (7 | ) | (11,337 | ) | (11,256 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class A capital transactions |
257 | 26 | 6,095 | (1,101 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
||||||||||||||||
| Proceeds from shares issued |
54 | 20 | 2,019 | 2,177 | ||||||||||||
| Distributions reinvested |
— | — | 218 | — | ||||||||||||
| Cost of shares redeemed |
— | — | (537 | ) | (684 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class C capital transactions |
54 | 20 | 1,700 | 1,493 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
||||||||||||||||
| Proceeds from shares issued |
1,682 | 14,965 | 242,796 | 180,729 | ||||||||||||
| Distributions reinvested |
— | — | 10,199 | 185 | ||||||||||||
| Cost of shares redeemed |
(19 | ) | — | (124,700 | ) | (115,513 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class I capital transactions |
1,663 | 14,965 | 128,295 | 65,401 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 (b) |
||||||||||||||||
| Proceeds from shares issued |
— | 20 | 76,310 | 93,501 | ||||||||||||
| Distributions reinvested |
— | — | 2,265 | 131 | ||||||||||||
| Cost of shares redeemed |
— | — | (42,540 | ) | (57,228 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in net assets resulting from Class R6 capital transactions |
— | 20 | 36,035 | 36,404 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total change in net assets resulting from capital transactions |
$ | 1,974 | $ | 15,031 | $ | 172,125 | $ | 102,197 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| SHARE TRANSACTIONS: |
||||||||||||||||
| Class A |
||||||||||||||||
| Issued |
20 | 2 | 742 | 515 | ||||||||||||
| Reinvested |
— | — | 43 | — | ||||||||||||
| Redeemed |
(5 | ) | — | (c) | (512 | ) | (613 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class A Shares |
15 | 2 | 273 | (98 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class C |
||||||||||||||||
| Issued |
4 | 1 | 94 | 115 | ||||||||||||
| Reinvested |
— | — | 11 | — | ||||||||||||
| Redeemed |
— | — | (25 | ) | (38 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class C Shares |
4 | 1 | 80 | 77 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class I |
||||||||||||||||
| Issued |
101 | 998 | 10,786 | 9,392 | ||||||||||||
| Reinvested |
— | — | 471 | 11 | ||||||||||||
| Redeemed |
(1 | ) | — | (5,539 | ) | (6,104 | ) | |||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class I Shares |
100 | 998 | 5,718 | 3,299 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Class R6 (b) |
||||||||||||||||
| Issued |
— | 1 | 3,324 | 4,846 | ||||||||||||
| Reinvested |
— | — | 103 | 7 | ||||||||||||
| Redeemed |
— | — | (1,866 | ) | (3,003 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Change in Class R6 Shares |
— | 1 | 1,561 | 1,850 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Commencement of operations was April 15, 2020. |
| (b) | Commencement of offering of class of shares effective September 30, 2020 for JPMorgan Macro Opportunities Fund. |
| (c) | Amount rounds to less than one thousand. |
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 31 | ||||||||
Table of Contents
STATEMENTS OF CHANGES IN NET ASSETS
FOR THE PERIODS INDICATED (continued)
(Amounts in thousands)
| JPMorgan Research Market Neutral Fund |
||||||||
| Year Ended October 31, 2021 |
Year Ended October 31, 2020 |
|||||||
| CAPITAL TRANSACTIONS: |
||||||||
| Class A |
||||||||
| Proceeds from shares issued |
$ | 6,793 | $ | 10,274 | ||||
| Distributions reinvested |
1,075 | 1,461 | ||||||
| Cost of shares redeemed |
(8,506 | ) | (7,858 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class A capital transactions |
(638 | ) | 3,877 | |||||
|
|
|
|
|
|||||
| Class C |
||||||||
| Proceeds from shares issued |
417 | 1,554 | ||||||
| Distributions reinvested |
159 | 426 | ||||||
| Cost of shares redeemed |
(1,175 | ) | (3,621 | ) | ||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class C capital transactions |
(599 | ) | (1,641 | ) | ||||
|
|
|
|
|
|||||
| Class I |
||||||||
| Proceeds from shares issued |
41,158 | 128,845 | ||||||
| Distributions reinvested |
6,758 | 2,418 | ||||||
| Cost of shares redeemed |
(89,882 | ) | (65,906 | ) | ||||
| Conversion from Class L Shares |
— | 26,571 | ||||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class I capital transactions |
(41,966 | ) | 91,928 | |||||
|
|
|
|
|
|||||
| Class L (a) |
||||||||
| Proceeds from shares issued |
— | 17,165 | ||||||
| Distributions reinvested |
— | 1,660 | ||||||
| Cost of shares redeemed |
— | (8,616 | ) | |||||
| Conversion to Class I Shares |
— | (26,571 | ) | |||||
|
|
|
|
|
|||||
| Change in net assets resulting from Class L capital transactions |
— | (16,362 | ) | |||||
|
|
|
|
|
|||||
| Total change in net assets resulting from capital transactions |
$ | (43,203 | ) | $ | 77,802 | |||
|
|
|
|
|
|||||
| SHARE TRANSACTIONS: |
| |||||||
| Class A |
| |||||||
| Issued |
559 | 812 | ||||||
| Reinvested |
90 | 126 | ||||||
| Redeemed |
(689 | ) | (628 | ) | ||||
|
|
|
|
|
|||||
| Change in Class A Shares |
(40 | ) | 310 | |||||
|
|
|
|
|
|||||
| Class C |
| |||||||
| Issued |
37 | 136 | ||||||
| Reinvested |
15 | 40 | ||||||
| Redeemed |
(109 | ) | (319 | ) | ||||
|
|
|
|
|
|||||
| Change in Class C Shares |
(57 | ) | (143 | ) | ||||
|
|
|
|
|
|||||
| Class I |
| |||||||
| Issued |
3,149 | 9,519 | ||||||
| Reinvested |
532 | 197 | ||||||
| Redeemed |
(6,877 | ) | (4,916 | ) | ||||
| Conversion from Class L Shares |
— | 1,971 | ||||||
|
|
|
|
|
|||||
| Change in Class I Shares |
(3,196 | ) | 6,771 | |||||
|
|
|
|
|
|||||
| Class L (a) |
| |||||||
| Issued |
— | 1,254 | ||||||
| Reinvested |
— | 132 | ||||||
| Redeemed |
— | (651 | ) | |||||
| Conversion to Class I Shares |
— | (1,917 | ) | |||||
|
|
|
|
|
|||||
| Change in Class L Shares |
— | (1,182 | ) | |||||
|
|
|
|
|
|||||
| (a) | On July 2, 2020, the Fund’s Class L Shares were converted into Class I Shares. Additionally, as of July 2, 2020, the Class L Shares are no longer offered. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 32 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
THIS PAGE IS INTENTIONALLY LEFT BLANK
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 33 | ||||||||
Table of Contents
FOR THE PERIODS INDICATED
|
|
Per share operating performance | |||||||||||||||
| Investment operations | ||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (b) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
|||||||||||||
| JPMorgan Macro Opportunities Fund |
| |||||||||||||||
| Class A |
| |||||||||||||||
| Year Ended October 31, 2021 |
$ | 15.38 | $ | (0.08 | ) | $ | 1.75 | $ | 1.67 | |||||||
| April 15, 2020 (f) through October 31, 2020 |
15.00 | (0.01 | ) | 0.39 | 0.38 | |||||||||||
| Class C |
| |||||||||||||||
| Year Ended October 31, 2021 |
15.34 | (0.15 | ) | 1.74 | 1.59 | |||||||||||
| April 15, 2020 (f) through October 31, 2020 |
15.00 | (0.06 | ) | 0.40 | 0.34 | |||||||||||
| Class I |
| |||||||||||||||
| Year Ended October 31, 2021 |
15.40 | (0.01 | ) | 1.73 | 1.72 | |||||||||||
| April 15, 2020 (f) through October 31, 2020 |
15.00 | — | (h) | 0.40 | 0.40 | |||||||||||
| Class R6 |
| |||||||||||||||
| Year Ended October 31, 2021 |
15.41 | 0.04 | 1.72 | 1.76 | ||||||||||||
| September 30, 2020 (i) through October 31, 2020 |
15.35 | 0.01 | 0.05 | 0.06 | ||||||||||||
| (a) | Annualized for periods less than one year, unless otherwise noted. |
| (b) | Calculated based upon average shares outstanding. |
| (c) | Not annualized for periods less than one year. |
| (d) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (e) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (f) | Commencement of operations. |
| (g) | Certain non-recurring expenses incurred by the Fund were not annualized for the period indicated. |
| (h) | Amount rounds to less than $0.005. |
| (i) | Commencement of offering of class of shares. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 34 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||
| Ratios to average net assets (a) | ||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (c)(d) |
Net assets, end of period (000’s) |
Net expenses (e) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits (e) |
Portfolio turnover rate (c) |
||||||||||||||||||||
| $ | 17.05 | 10.86 | % | $ | 290 | 1.21 | % | (0.48 | )% | 3.28 | % | 99 | % | |||||||||||||
| 15.38 | 2.53 | 27 | 1.20 | (g) | (0.18 | )(g) | 5.12 | (g) | 49 | |||||||||||||||||
| 16.93 | 10.37 | 77 | 1.71 | (0.89 | ) | 3.83 | 99 | |||||||||||||||||||
| 15.34 | 2.27 | 20 | 1.70 | (g) | (0.70 | )(g) | 5.76 | (g) | 49 | |||||||||||||||||
| 17.12 | 11.17 | 18,798 | 0.96 | (0.04 | ) | 3.11 | 99 | |||||||||||||||||||
| 15.40 | 2.67 | 15,365 | 0.95 | (g) | 0.05 | (g) | 4.24 | (g) | 49 | |||||||||||||||||
| 17.17 | 11.42 | 22 | 0.71 | 0.22 | 2.93 | 99 | ||||||||||||||||||||
| 15.41 | 0.39 | 20 | 0.77 | (g) | 0.84 | (g) | 7.24 | (g) | 49 | |||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 35 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net investment income |
Net realized gain |
Total distributions |
||||||||||||||||||||||
| JPMorgan Opportunistic Equity Long/Short Fund |
| |||||||||||||||||||||||||||
| Class A |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 20.54 | $ | (0.46 | ) | $ | 4.46 | $ | 4.00 | $ | — | $ | (0.89 | ) | $ | (0.89 | ) | |||||||||||
| Year Ended October 31, 2020 |
17.34 | (0.29 | ) | 3.49 | 3.20 | — | — | — | ||||||||||||||||||||
| Year Ended October 31, 2019 |
18.22 | — | (f) | (0.55 | ) | (0.55 | ) | — | (0.33 | ) | (0.33 | ) | ||||||||||||||||
| Year Ended October 31, 2018 |
18.13 | (0.21 | ) | 0.53 | 0.32 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
| Year Ended October 31, 2017 |
17.12 | (0.19 | ) | 2.46 | 2.27 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
| Class C |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
19.88 | (0.56 | ) | 4.32 | 3.76 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
16.87 | (0.39 | ) | 3.40 | 3.01 | — | — | — | ||||||||||||||||||||
| Year Ended October 31, 2019 |
17.83 | (0.08 | ) | (0.55 | ) | (0.63 | ) | — | (0.33 | ) | (0.33 | ) | ||||||||||||||||
| Year Ended October 31, 2018 |
17.83 | (0.29 | ) | 0.52 | 0.23 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
| Year Ended October 31, 2017 |
16.94 | (0.27 | ) | 2.42 | 2.15 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
| Class I |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
20.84 | (0.42 | ) | 4.55 | 4.13 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
17.58 | (0.27 | ) | 3.56 | 3.29 | (0.03 | ) | — | (0.03 | ) | ||||||||||||||||||
| Year Ended October 31, 2019 |
18.43 | 0.07 | (0.59 | ) | (0.52 | ) | — | (0.33 | ) | (0.33 | ) | |||||||||||||||||
| Year Ended October 31, 2018 |
18.28 | (0.16 | ) | 0.54 | 0.38 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
| Year Ended October 31, 2017 |
17.21 | (0.14 | ) | 2.47 | 2.33 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
| Class R6 |
| |||||||||||||||||||||||||||
| Year Ended October 31, 2021 |
21.13 | (0.37 | ) | 4.61 | 4.24 | — | (0.89 | ) | (0.89 | ) | ||||||||||||||||||
| Year Ended October 31, 2020 |
17.83 | (0.21 | ) | 3.59 | 3.38 | (0.08 | ) | — | (0.08 | ) | ||||||||||||||||||
| Year Ended October 31, 2019 |
18.63 | 0.17 | (0.64 | ) | (0.47 | ) | — | (0.33 | ) | (0.33 | ) | |||||||||||||||||
| Year Ended October 31, 2018 |
18.44 | (0.12 | ) | 0.54 | 0.42 | — | (0.23 | ) | (0.23 | ) | ||||||||||||||||||
| Year Ended October 31, 2017 |
17.31 | (0.10 | ) | 2.49 | 2.39 | — | (1.26 | ) | (1.26 | ) | ||||||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class A are 1.82% and 1.83% for the year ended October 31, 2021, 1.81% and 1.86% for the year ended October 31, 2020, 1.79% and 1.90% for the year ended October 31, 2019, 1.82% and 1.90% for the year ended October 31, 2018 and 1.83% and 2.02% for the year ended October 31, 2017; for Class C are 2.31% and 2.32% for the year ended October 31, 2021, 2.32% and 2.38% for the year ended October 31, 2020, 2.28% and 2.39% for the year ended October 31, 2019, 2.32% and 2.40% for the year ended October 31, 2018 and 2.31% and 2.52% for the year ended October 31, 2017; for Class I are 1.57% and 1.58% for the year ended October 31, 2021, 1.57% and 1.61% for the year ended October 31, 2020, 1.53% and 1.64% for the year ended October 31, 2019, 1.57 and 1.65% for the year ended October 31, 2018 and 1.56% and 1.73% for the year ended October 31, 2017; for Class R6 are 1.31% and 1.32% for the year ended October 31, 2021, 1.31% and 1.35% for the year ended October 31, 2020, 1.29% and 1.39% for the year ended October 31, 2019, 1.32% and 1.38% for the year ended October 31, 2018 and 1.31% and 1.47% for the year ended October 31, 2017, respectively. |
| (e) | Interest expense on securities sold short is 0.21%. |
| (f) | Amount rounds to less than $0.005. |
| (g) | Amount rounds to less than 0.005%. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 36 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (b) |
Net assets, end of period (000’s) |
Net expenses (including dividend and interest expense for securities sold short) (c)(d) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (d) |
Portfolio turnover rate (excluding securities sold short) |
Portfolio turnover rate (including securities sold short) |
|||||||||||||||||||||||
| $ | 23.65 | 19.94 | % | $ | 30,516 | 2.66 | %(e) | (2.08 | )% | 2.67 | % | 548 | % | 1,013 | % | |||||||||||||||
| 20.54 | 18.45 | 20,914 | 2.28 | (1.54 | ) | 2.33 | 511 | 1,058 | ||||||||||||||||||||||
| 17.34 | (3.10 | ) | 19,352 | 2.25 | 0.00 | (g) | 2.36 | 636 | 1,232 | |||||||||||||||||||||
| 18.22 | 1.80 | 50,803 | 2.55 | (1.11 | ) | 2.63 | 548 | 995 | ||||||||||||||||||||||
| 18.13 | 13.58 | 49,338 | 2.42 | (1.05 | ) | 2.61 | 493 | 795 | ||||||||||||||||||||||
| 22.75 | 19.37 | 7,079 | 3.15 | (e) | (2.57 | ) | 3.16 | 548 | 1,013 | |||||||||||||||||||||
| 19.88 | 17.84 | 4,596 | 2.79 | (2.12 | ) | 2.85 | 511 | 1,058 | ||||||||||||||||||||||
| 16.87 | (3.62 | ) | 2,599 | 2.74 | (0.45 | ) | 2.85 | 636 | 1,232 | |||||||||||||||||||||
| 17.83 | 1.32 | 3,544 | 3.05 | (1.61 | ) | 3.13 | 548 | 995 | ||||||||||||||||||||||
| 17.83 | 13.00 | 2,594 | 2.90 | (1.53 | ) | 3.11 | 493 | 795 | ||||||||||||||||||||||
| 24.08 | 20.28 | 398,771 | 2.41 | (e) | (1.84 | ) | 2.42 | 548 | 1,013 | |||||||||||||||||||||
| 20.84 | 18.71 | 226,048 | 2.04 | (1.38 | ) | 2.08 | 511 | 1,058 | ||||||||||||||||||||||
| 17.58 | (2.89 | ) | 132,665 | 1.99 | 0.40 | 2.10 | 636 | 1,232 | ||||||||||||||||||||||
| 18.43 | 2.12 | 151,261 | 2.30 | (0.87 | ) | 2.38 | 548 | 995 | ||||||||||||||||||||||
| 18.28 | 13.86 | 103,091 | 2.15 | (0.81 | ) | 2.32 | 493 | 795 | ||||||||||||||||||||||
| 24.48 | 20.54 | 309,288 | 2.15 | (e) | (1.57 | ) | 2.16 | 548 | 1,013 | |||||||||||||||||||||
| 21.13 | 19.01 | 233,958 | 1.78 | (1.09 | ) | 1.82 | 511 | 1,058 | ||||||||||||||||||||||
| 17.83 | (2.59 | ) | 164,419 | 1.75 | 0.91 | 1.85 | 636 | 1,232 | ||||||||||||||||||||||
| 18.63 | 2.32 | 56,436 | 2.05 | (0.66 | ) | 2.11 | 548 | 995 | ||||||||||||||||||||||
| 18.44 | 14.13 | 6,350 | 1.90 | (0.56 | ) | 2.06 | 493 | 795 | ||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 37 | ||||||||
Table of Contents
FINANCIAL HIGHLIGHTS
FOR THE PERIODS INDICATED (continued)
|
|
Per share operating performance | |||||||||||||||||||
| Investment operations | Distributions | |||||||||||||||||||
| Net asset value, beginning of period |
Net investment income (loss) (a) |
Net realized and unrealized gains (losses) on investments |
Total from investment operations |
Net realized gain |
||||||||||||||||
| JPMorgan Research Market Neutral Fund |
||||||||||||||||||||
| Class A |
||||||||||||||||||||
| Year Ended October 31, 2021 |
$ | 13.01 | $ | (0.21 | ) | $ | 0.52 | $ | 0.31 | $ | (0.91 | ) | ||||||||
| Year Ended October 31, 2020 |
13.11 | (0.20 | ) | 1.59 | 1.39 | (1.49 | ) | |||||||||||||
| Year Ended October 31, 2019 |
14.29 | (0.04 | ) | 0.31 | 0.27 | (1.45 | ) | |||||||||||||
| Year Ended October 31, 2018 |
14.69 | (0.11 | ) | 0.10 | (0.01 | ) | (0.39 | ) | ||||||||||||
| Year Ended October 31, 2017 |
13.84 | (0.22 | ) | 1.07 | 0.85 | — | ||||||||||||||
| Class C |
||||||||||||||||||||
| Year Ended October 31, 2021 |
11.77 | (0.25 | ) | 0.48 | 0.23 | (0.91 | ) | |||||||||||||
| Year Ended October 31, 2020 |
12.06 | (0.23 | ) | 1.43 | 1.20 | (1.49 | ) | |||||||||||||
| Year Ended October 31, 2019 |
13.32 | (0.10 | ) | 0.29 | 0.19 | (1.45 | ) | |||||||||||||
| Year Ended October 31, 2018 |
13.79 | (0.17 | ) | 0.09 | (0.08 | ) | (0.39 | ) | ||||||||||||
| Year Ended October 31, 2017 |
13.06 | (0.27 | ) | 1.00 | 0.73 | — | ||||||||||||||
| Class I |
||||||||||||||||||||
| Year Ended October 31, 2021 |
13.82 | (0.20 | ) | 0.57 | 0.37 | (0.91 | ) | |||||||||||||
| Year Ended October 31, 2020 |
13.80 | (0.19 | ) | 1.70 | 1.51 | (1.49 | ) | |||||||||||||
| Year Ended October 31, 2019 |
14.93 | — | (f) | 0.32 | 0.32 | (1.45 | ) | |||||||||||||
| Year Ended October 31, 2018 |
15.30 | (0.07 | ) | 0.09 | 0.02 | (0.39 | ) | |||||||||||||
| Year Ended October 31, 2017 |
14.37 | (0.18 | ) | 1.11 | 0.93 | — | ||||||||||||||
| (a) | Calculated based upon average shares outstanding. |
| (b) | Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions. |
| (c) | Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted. |
| (d) | The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend and interest expense for securities sold short) for Class A are 0.93% and 1.16% for the year ended October 31, 2021, 1.08% and 1.46% for the year ended October 31, 2020, 1.22% and 1.62% for the year ended October 31, 2019, 1.22% and 1.55% for the year ended October 31, 2018 and 1.24% and 1.53% for the year ended October 31, 2017; for Class C are 1.43% and 1.67% for the year ended October 31, 2021, 1.60% and 1.95% for the year ended October 31, 2020, 1.73% and 2.09% for the year ended October 31, 2019, 1.73% and 2.02% for the year ended October 31, 2018 and 1.72% and 2.07% for the year ended October 31, 2017; for Class I are 0.68% and 0.89% for the year ended October 31, 2021, 0.76% and 1.13% for the year ended October 31, 2020, 0.96% and 1.32% for the year ended October 31, 2019, 0.96% and 1.25% for the year ended October 31, 2018 and 0.96% and 1.25% for the year ended October 31, 2017, respectively. |
| (e) | Interest expense on securities sold short is 0.16%. |
| (f) | Amount rounds to less than $0.005. |
SEE NOTES TO FINANCIAL STATEMENTS.
| 38 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
|
|
Ratios/Supplemental data | |||||||||||||||||||||||||||||
| Ratios to average net assets | ||||||||||||||||||||||||||||||
| Net asset value, end of period |
Total return (excludes sales charge) (b) |
Net assets, end of period (000’s) |
Net expenses (including dividend and interest expense for securities sold short) (c)(d) |
Net investment income (loss) |
Expenses without waivers, reimbursements and earnings credits (including dividend and interest expense for securities sold short) (d) |
Portfolio turnover rate (excluding securities sold short) |
Portfolio turnover rate (including securities sold short) |
|||||||||||||||||||||||
| $ | 12.41 | 2.72 | % | $ | 16,867 | 2.99 | %(e) | (1.77 | )% | 3.22 | % | 119 | % | 307 | % | |||||||||||||||
| 13.01 | 11.97 | 18,205 | 3.23 | (1.57 | ) | 3.61 | 224 | 531 | ||||||||||||||||||||||
| 13.11 | 2.01 | 14,276 | 3.69 | (0.26 | ) | 4.09 | 125 | 356 | ||||||||||||||||||||||
| 14.29 | (0.01 | ) | 14,973 | 3.50 | (0.73 | ) | 3.83 | 131 | 252 | |||||||||||||||||||||
| 14.69 | 6.14 | 17,932 | 3.66 | (1.51 | ) | 3.95 | 109 | 278 | ||||||||||||||||||||||
| 11.09 | 2.29 | 1,211 | 3.49 | (e) | (2.25 | ) | 3.73 | 119 | 307 | |||||||||||||||||||||
| 11.77 | 11.36 | 1,949 | 3.75 | (2.00 | ) | 4.10 | 224 | 531 | ||||||||||||||||||||||
| 12.06 | 1.52 | 3,731 | 4.20 | (0.74 | ) | 4.56 | 125 | 356 | ||||||||||||||||||||||
| 13.32 | (0.53 | ) | 6,155 | 4.01 | (1.26 | ) | 4.30 | 131 | 252 | |||||||||||||||||||||
| 13.79 | 5.59 | 10,920 | 4.14 | (2.01 | ) | 4.49 | 109 | 278 | ||||||||||||||||||||||
| 13.28 | 3.01 | 74,112 | 2.74 | (e) | (1.50 | ) | 2.95 | 119 | 307 | |||||||||||||||||||||
| 13.82 | 12.26 | 121,285 | 2.91 | (1.42 | ) | 3.28 | 224 | 531 | ||||||||||||||||||||||
| 13.80 | 2.27 | 27,694 | 3.43 | 0.01 | 3.79 | 125 | 356 | |||||||||||||||||||||||
| 14.93 | 0.20 | 34,927 | 3.24 | (0.47 | ) | 3.53 | 131 | 252 | ||||||||||||||||||||||
| 15.30 | 6.47 | 44,219 | 3.37 | (1.24 | ) | 3.68 | 109 | 278 | ||||||||||||||||||||||
SEE NOTES TO FINANCIAL STATEMENTS.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 39 | ||||||||
Table of Contents
AS OF OCTOBER 31, 2021
(Dollar values in thousands)
1. Organization
JPMorgan Trust I (“JPM I”) and JPMorgan Trust IV (“JPM IV”) (collectively, the “Trusts”) were formed on November 12, 2004 and November 11, 2015, respectively, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and November 11, 2015, respectively, and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.
The following are 3 separate funds of the Trusts (each, a “Fund” and collectively, the “Funds”) covered by this report:
| Classes Offered | Trust | Diversification Classification | ||||
| JPMorgan Macro Opportunities Fund(1) | Class A, Class C, Class I and Class R6(2) | JPM IV | Diversified | |||
| JPMorgan Opportunistic Equity Long/Short Fund | Class A, Class C, Class I and Class R6 | JPM I | Non-Diversified | |||
| JPMorgan Research Market Neutral Fund | Class A, Class C and Class I(3) | JPM I | Diversified |
| (1) | Commenced operations on April 15, 2020. |
| (2) | Commenced operations on September 30, 2020. |
| (3) | On July 2, 2020, Class L Shares were converted into Class I Shares. Additionally, as of July 2, 2020, Class L Shares are no longer offered. |
The investment objective of JPMorgan Macro Opportunities Fund (“Macro Opportunities Fund”) is to seek to provide long-term capital appreciation.
The investment objective of JPMorgan Opportunistic Equity Long/Short Fund (“Opportunistic Equity Long/Short Fund”) is to seek capital appreciation.
The investment objective of JPMorgan Research Market Neutral Fund (“Research Market Neutral Fund”) is to seek to provide long-term capital appreciation from a broadly diversified portfolio of U.S. stocks while neutralizing the general risks associated with stock market investing.
Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class I and Class R6 Shares. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus. Effective October 1, 2020, Class C Shares automatically convert to Class A Shares after eight years. Prior to October 1, 2020, Class C Shares automatically converted to Class A Shares after ten years. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, distribution and service fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements.
J.P. Morgan Investment Management Inc. (“JPMIM”), an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”), acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.
2. Significant Accounting Policies
The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect (i) the reported amounts of assets and liabilities, (ii) disclosure of contingent assets and liabilities at the date of the financial statements, and (iii) the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.
A. Valuation of Investments — Investments are valued in accordance with GAAP and the Funds’ valuation policies set forth by, and under the supervision and responsibility of, the Boards of Trustees of the Trusts (the “Boards”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at their market value and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Boards.
The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Boards with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Boards. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. 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 Boards.
Fixed income instruments are valued based on prices received from approved affiliated and unaffiliated pricing vendors or third party broker-dealers (collectively referred to as “Pricing Services”). The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values.
| 40 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
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 Funds are calculated on a valuation date. Certain foreign equity instruments are valued by applying international fair value factors provided by 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 (“Underlying Funds”) are valued at each Underlying Fund’s NAV per share as of the report date.
Futures contracts and options are generally valued on the basis of available market quotations. 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 Funds’ 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 Funds’ 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 tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”):
Macro Opportunities Fund
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Investments in Securities |
|
|||||||||||||||
| Common Stocks |
|
|||||||||||||||
| Banks |
$ | 1,147 | $ | 169 | $ | — | $ | 1,316 | ||||||||
| Building Products |
256 | — | — | 256 | ||||||||||||
| Electric Utilities |
— | 302 | — | 302 | ||||||||||||
| Electrical Equipment |
171 | — | — | 171 | ||||||||||||
| Electronic Equipment, Instruments & Components |
— | 103 | — | 103 | ||||||||||||
| Entertainment |
654 | — | — | 654 | ||||||||||||
| Health Care Equipment & Supplies |
104 | — | — | 104 | ||||||||||||
| Household Durables |
271 | — | — | 271 | ||||||||||||
| Insurance |
142 | 278 | — | 420 | ||||||||||||
| Interactive Media & Services |
415 | — | — | 415 | ||||||||||||
| Internet & Direct Marketing Retail |
391 | — | — | 391 | ||||||||||||
| IT Services |
505 | — | — | 505 | ||||||||||||
| Life Sciences Tools & Services |
422 | — | — | 422 | ||||||||||||
| Machinery |
85 | 138 | — | 223 | ||||||||||||
| Personal Products |
299 | — | — | 299 | ||||||||||||
| Pharmaceuticals |
204 | 278 | — | 482 | ||||||||||||
| Semiconductors & Semiconductor Equipment |
235 | — | — | 235 | ||||||||||||
| Software |
1,610 | — | — | 1,610 | ||||||||||||
| Specialty Retail |
398 | — | — | 398 | ||||||||||||
| Textiles, Apparel & Luxury Goods |
547 | 307 | — | 854 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Common Stocks |
7,856 | 1,575 | — | 9,431 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Foreign Government Securities |
— | 226 | — | 226 | ||||||||||||
| Options Purchased |
|
|||||||||||||||
| Call Options Purchased |
10 | 42 | — | 52 | ||||||||||||
| Put Options Purchased |
9 | — | — | 9 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Options Purchased |
19 | 42 | — | 61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 41 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
| Macro Opportunities Fund (continued) |
||||||||||||||||
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Short-Term Investments |
|
|||||||||||||||
| Foreign Government Treasury Bills |
$ | — | $ | 4,961 | $ | — | $ | 4,961 | ||||||||
| Investment Companies |
2,529 | — | — | 2,529 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Short-Term Investments |
2,529 | 4,961 | — | 7,490 | ||||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Investments in Securities |
$ | 10,404 | $ | 6,804 | $ | — | $ | 17,208 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Appreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Currency Contracts |
$ | — | $ | 94 | $ | — | $ | 94 | ||||||||
| Futures Contracts |
42 | — | — | 42 | ||||||||||||
| Depreciation in Other Financial Instruments |
|
|||||||||||||||
| Forward Foreign Currency Exchange Contracts |
— | (21 | ) | — | (21 | ) | ||||||||||
| Futures Contracts |
(131 | ) | — | — | (131 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Net Appreciation/Depreciation in Other Financial Instruments |
$ | (89 | ) | $ | 73 | $ | — | $ | (16 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Opportunistic Equity Long/Short Fund |
| |||||||||||||||
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 728,797 | $ | — | $ | — | $ | 728,797 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Liabilities for Securities Sold Short (a) |
$ | (94,459 | ) | $ | — | $ | — | $ | (94,459 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Please refer to the SOI for specifics of portfolio holdings. |
| Research Market Neutral Fund |
| |||||||||||||||
| Level 1 Quoted prices |
Level 2 Other significant observable inputs |
Level 3 Significant unobservable inputs |
Total | |||||||||||||
| Total Investments in Securities (a) |
$ | 91,573 | $ | — | $ | — | $ | 91,573 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Total Liabilities for Securities Sold Short (a) |
$ | (71,788 | ) | $ | — | $ | — | $ | (71,788 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Depreciation in Other Financial Instruments |
||||||||||||||||
| Futures Contracts (a) |
$ | (7 | ) | $ | — | $ | — | $ | (7 | ) | ||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | Please refer to the SOI for specifics of portfolio holdings. |
B. Restricted Securities — Certain securities held by the Funds may be subject to legal or contractual restrictions on resale. Restricted securities generally are resold in transactions exempt from registration under the Securities Act of 1933, as amended (the “Securities Act”). Disposal of these securities may involve time-consuming negotiations and expense. Prompt sale at the current valuation may be difficult and could adversely affect the NAVs of the Funds.
As of October 31, 2021, the Funds had no investments in restricted securities other than securities sold to the Funds under Rule 144A and/or Regulation S under the Securities Act.
C. Securities Lending — The Funds are authorized to engage in securities lending in order to generate additional income. The Funds are able to lend to approved borrowers. Citibank N.A. (“Citibank”) serves as lending agent for the Funds, pursuant to a Securities Lending Agency Agreement (the “Securities Lending Agency Agreement”). Securities loaned are collateralized by cash equal to at least 100% of the market value plus accrued interest on the securities lent, which is invested in an affiliated money market fund. The Funds retain the interest earned on cash collateral investments but are required to pay the borrower a rebate for the use of the cash collateral. In cases where the lent security is of high value to borrowers, there may be a negative rebate (i.e., a net payment from the borrower to the Funds). Upon termination of a loan, the Funds are required to return to the borrower an amount equal to the cash collateral, plus any rebate owed to the borrowers. The remaining maturities of the securities lending transactions are considered overnight and continuous. Loans are subject to termination by the Funds or the borrower at any time.
| 42 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
The net income earned on the securities lending (after payment of rebates and Citibank’s fee) is included on the Statements of Operations as Income from securities lending (net). The Funds also receive payments from the borrower during the period of the loan, equivalent to dividends and interest earned on the securities loaned, which are recorded as Dividend or Interest income, respectively, on the Statements of Operations.
Under the Securities Lending Agency Agreement, Citibank marks to market the loaned securities on a daily basis. In the event the cash received from the borrower is less than 102% of the value of the loaned securities (105% for loans of non-U.S. securities), Citibank requests additional cash from the borrower so as to maintain a collateralization level of at least 102% of the value of the loaned securities plus accrued interest (105% for loans of non-U.S. securities), subject to certain de minimis amounts.
The value of securities out on loan is recorded as an asset on the Statements of Assets and Liabilities. The value of the cash collateral received is recorded as a liability on the Statements of Assets and Liabilities and details of collateral investments are disclosed on the SOIs.
The Funds bear the risk of loss associated with the collateral investments and are not entitled to additional collateral from the borrower to cover any such losses. To the extent that the value of the collateral investments declines below the amount owed to a borrower, the Funds may incur losses that exceed the amount they earned on lending the security. Upon termination of a loan, the Funds may use leverage (borrow money) to repay the borrower for cash collateral posted if the Adviser does not believe that it is prudent to sell the collateral investments to fund the payment of this liability. Securities lending activity is subject to master netting arrangements.
Securities lending also involves counterparty risks, including the risk that the loaned securities may not be returned in a timely manner or at all. Subject to certain conditions, Citibank has agreed to indemnify the Funds from losses resulting from a borrower’s failure to return a loaned security.
JPMIM voluntarily waived investment advisory fees charged to the Funds to reduce the impact of the cash collateral investment in the JPMorgan U.S. Government Money Market Fund from 0.12% to 0.06%. For the year ended October 31, 2021, JPMIM waived fees associated with the Funds’ investment in the JPMorgan U.S. Government Money Market Fund as follows:
| Macro Opportunities Fund |
$ | — | (a) |
| (a) | Amount rounds to less than one thousand. |
The above waiver is included in the determination of earnings on cash collateral investment and in the calculation of Citibank’s compensation and is included on the Statements of Operations as Income from securities lending (net).
Opportunistic Equity Long/Short Fund and Research Market Neutral Fund did not lend out any securities during the year ended October 31, 2021. Macro Opportunities Fund did not have any securities out on loan at October 31, 2021.
D. Investment Transactions with Affiliates — The Funds invested in an Underlying Fund, which is advised by the Adviser. An issuer which is under common control with a Fund may be considered an affiliate. For the purposes of the financial statements, the Funds assume the issuer listed in the tables below to be an affiliated issuer. The Underlying Fund’s distributions may be reinvested into such Underlying Fund. Reinvestment amounts are included in the purchases at cost amounts in the tables below.
Macro Opportunities Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class IM Shares, 0.07% (a) (b) |
$ | 2,356 | $ | 9,957 | $ | 9,784 | $ | — | (c) | $ | — | (c) | $ | 2,529 | 2,527 | $ | 2 | $ | — | |||||||||||||||||
| JPMorgan U.S. Government Money Market Fund Class IM Shares, 0.03% (a) (b) |
— | 474 | 474 | — | — | — | — | 1 | * | — | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| Total |
$ | 2,356 | $ | 10,431 | $ | 10,258 | $ | — | (c) | $ | — | (c) | $ | 2,529 | $ | 3 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
| * | Amount is included on the Statements of Operations as Income from securities lending (net) (after payments of rebates and Citibank’s fee). |
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 43 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
Opportunistic Equity Long/Short Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 114,889 | $ | 1,266,532 | $ | 1,261,476 | $ | 1 | $ | — | (c) | $ | 119,946 | 119,886 | $ | 24 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
| (c) | Amount rounds to less than one thousand. |
Research Market Neutral Fund
| For the year ended October 31, 2021 | ||||||||||||||||||||||||||||||||||||
| Security Description | Value at October 31, 2020 |
Purchases at Cost |
Proceeds from Sales |
Net Realized Gain (Loss) |
Change in Unrealized Appreciation/ (Depreciation) |
Value at October 31, 2021 |
Shares at October 31, 2021 |
Dividend Income |
Capital Gain Distributions |
|||||||||||||||||||||||||||
| JPMorgan Prime Money Market Fund Class Institutional Shares, 0.05% (a) (b) |
$ | 23,773 | $ | 133,055 | $ | 147,075 | $ | 2 | $ | (3 | ) | $ | 9,752 | 9,747 | $ | 7 | $ | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||||||||||||
| (a) | Investment in an affiliated fund, which is registered under the Investment Company Act of 1940, as amended, and is advised by J.P. Morgan Investment Management Inc. |
| (b) | The rate shown is the current yield as of October 31, 2021. |
E. Foreign Currency Translation — The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts are translated into U.S. dollars at the prevailing exchange rates of such currencies against the U.S. dollar. The market value of investment securities and other assets and liabilities are translated at the exchange rate as of the valuation date. Purchases and sales of investment securities, income and expenses are translated at the exchange rate prevailing on the respective dates of such transactions.
The Funds do not isolate the effect of changes in foreign exchange rates from changes in market prices on securities held. Accordingly, such changes are included within Change in net unrealized appreciation/depreciation on investments in non-affiliates on the Statements of Operations.
Reported realized foreign currency gains and losses arise from the disposition of foreign currency, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on each Fund’s books on the transaction date and the U.S. dollar equivalent of the amounts actually received or paid. These reported realized foreign currency gains and losses are included in Net realized gain (loss) on foreign currency transactions on the Statements of Operations. Unrealized foreign currency gains and losses arise from changes (due to changes in exchange rates) in the value of foreign currency and other assets and liabilities denominated in foreign currencies, which are held at year end and are included in Change in net unrealized appreciation/depreciation on foreign currency translations on the Statements of Operations.
F. Derivatives — The Funds used derivative instruments including options, futures contracts and forward foreign currency exchange contracts in connection with their respective investment strategies. Derivative instruments may be used as substitutes for securities in which the Funds can invest, to hedge portfolio investments or to generate income or gain to the Funds. Derivatives may also be used to effectively manage the long and short equity exposures in the portfolio, manage duration, sector and yield curve exposures and credit and spread volatility.
The Funds 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 potential 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 Funds’ risk of loss associated with these instruments may exceed their value, as recorded on the Statements of Assets and Liabilities.
| 44 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
The Funds are party to various derivative contracts governed by International Swaps and Derivatives Association master agreements (“ISDA agreements”). The Funds’ 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 Funds in the event the Funds’ 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 Funds 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 Funds 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 Funds. The ISDA agreements give the Funds 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 against collateral posted to a segregated account by one party for the benefit of the other.
Counterparty credit risk may be mitigated to the extent a counterparty posts additional collateral for mark to market gains to the Funds.
Notes F(1) — F(3) below describe the various derivatives used by the Funds.
(1). Options — Macro Opportunities Fund and Opportunistic Equity Long/Short Fund purchased and/or sold (“wrote”) put and call options on various instruments including currencies, futures, securities, options on indices and interest rate swaps (“swaptions”) to manage and hedge interest rate risks within their portfolios and also to gain long or short exposure to the underlying instrument, index, currency or rate. A purchaser of a put option has the right, but not the obligation, to sell the underlying instrument at an agreed upon price (“strike price”) to the option seller. A purchaser of a call option has the right, but not the obligation, to purchase the underlying instrument at the strike price from the option seller.
Options Purchased — Premiums paid by the Funds for options purchased are included on the Statements of Assets and Liabilities as Options purchased. The option is adjusted daily to reflect the current market value of the option and the change is recorded as Change in net unrealized appreciation/depreciation on options purchased on the Statements of Operations. If the option is allowed to expire, the Funds will lose the entire premium they paid and record a realized loss for the premium amount. Premiums paid for options purchased which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) or cost basis of the underlying investment.
Options Written — Premiums received by the Funds for options written are included on the Statements of Assets and Liabilities as a liability. The amount of the liability is adjusted daily to reflect the current market value of the option written and the change in market value is recorded as Change in net unrealized appreciation/depreciation on options written on the Statements of Operations. Premiums received from options written that expire are treated as realized gains. If a written option is closed, the Funds record a realized gain or loss on options written based on whether the cost of the closing transaction exceeds the premium received. If a call option is exercised by the option buyer, the premium received by the Funds is added to the proceeds from the sale of the underlying security to the option buyer and compared to the cost of the closing transaction to determine whether there has been a realized gain or loss. If a put option is exercised by an option buyer, the premium received by the option seller reduces the cost basis of the purchased security.
Written uncovered call options subject the Funds to unlimited risk of loss. Written covered call options limit the upside potential of a security above the strike price. Written put options subject the Funds to risk of loss if the value of the security declines below the exercise price minus the put premium.
The Funds are not subject to credit risk on options written as the counterparty has already performed its obligation by paying the premium at the inception of the contract.
The Funds’ exchange-traded option 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). The Funds’ over-the-counter (“OTC”) options are subject to master netting agreements.
The Funds may be required to post or receive collateral for OTC options. Cash collateral posted by the Funds is considered restricted.
(2). Futures Contracts — Macro Opportunities Fund and Research Market Neutral Fund used index, interest rate and treasury futures contracts to gain or reduce exposure to the stock market, or maintain liquidity or minimize transaction costs. The Funds also used index futures contracts to more effectively manage the long and short equity exposures in the portfolio. The Funds also purchased futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.
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 Funds are 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 Funds periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on futures contracts on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 45 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs, while cash deposited, which is considered restricted, is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.
The use of futures contracts exposes the Funds to equity price and interest rate risks. The Funds may be subject 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 subjects the Funds to risk of loss in excess of the amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Funds to unlimited risk of loss. The Funds 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 Funds’ 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 Funds’ 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).
(3). Forward Foreign Currency Exchange Contracts — Macro Opportunities Fund is exposed to foreign currency risks associated with some or all of the portfolio investments and used forward foreign currency exchange contracts to hedge or manage certain of these exposures as part of the 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 the 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, upon settlement, when a forward foreign currency exchange contract offsets another forward foreign currency exchange contract with the same counterparty.
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.
(4). Summary of Derivatives Information
The following table presents the value of derivatives held as of October 31, 2021 by their primary underlying risk exposure and respective location on the Statements of Assets and Liabilities:
| Macro Opportunities Fund |
Opportunistic Equity Long/ Short Fund |
Research Market Neutral Fund |
||||||||||
| Equity Risk Exposure: |
||||||||||||
| Unrealized Appreciation on Futures Contracts* |
$ | 25 | $ | — | $ | — | ||||||
| Purchased Options at Market Value |
55 | 726 | — | |||||||||
| Unrealized Depreciation on Futures Contracts* |
(106 | ) | — | (7 | ) | |||||||
| Foreign Exchange Rate Risk Exposure: |
||||||||||||
| Unrealized Appreciation on Forward Foreign Currency Exchange Contracts |
94 | — | — | |||||||||
| Purchased Options at Market Value |
6 | — | — | |||||||||
| Unrealized Depreciation on Forward Foreign Currency Exchange Contracts |
(21 | ) | — | — | ||||||||
| Interest Rate Risk Exposure: |
||||||||||||
| Unrealized Appreciation on Futures Contracts* |
17 | — | — | |||||||||
| Unrealized Depreciation on Futures Contracts* |
(25 | ) | — | — | ||||||||
| Net Fair Value of Derivative Contracts: |
||||||||||||
| Unrealized Appreciation (Depreciation) on Futures Contracts* |
(89 | ) | — | (7 | ) | |||||||
| Unrealized Appreciation (Depreciation) on Forward Foreign Currency Exchange Contracts |
73 | — | — | |||||||||
| Purchased Options at Market Value |
61 | 726 | — | |||||||||
| * | Includes cumulative appreciation/(depreciation) on futures contracts, if any, as reported on the SOIs. Only current day’s variation margin is reported within the Statements of Assets and Liabilities. |
| 46 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
Table of Contents
The following table presents Macro Opportunities Fund’s gross derivative assets and liabilities by counterparty net of amounts available for offset under netting arrangements and any related collateral received or posted by the Fund as of October 31, 2021:
Macro Opportunities Fund
| Counterparty |
Gross Amount of Derivative Assets subject to Netting Arrangements |
Derivatives Available for offset |
Collateral Received |
Net Amount Due from Counterparty (Not less than zero) |
||||||||||||
| BNP Paribas |
$ | 14 | $ | (4 | ) | $ | — | $ | 10 | |||||||
| Citibank, NA |
8 | (1 | ) | — | 7 | |||||||||||
| Goldman Sachs International |
78 | (16 | ) | — | 62 | |||||||||||
| Merrill Lynch International |
— | (b) | — | (b) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 100 | $ | (21 | ) | $ | — | $ | 79 | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| Counterparty |
Gross Amount of Derivative Liabilities subject to Netting Arrangements |
Derivatives Available for offset |
Collateral Posted |
Net Amount Due to Counterparty (Not less than zero) |
||||||||||||
| Barclays Bank plc |
$ | — | (b) | $ | — | $ | — | $ | — | (b) | ||||||
| BNP Paribas |
4 | (4 | ) | — | — | |||||||||||
| Citibank, NA |
1 | (1 | ) | — | — | |||||||||||
| Goldman Sachs International |
16 | (16 | ) | — | — | |||||||||||
| Merrill Lynch International |
— | (b) | — | (b) | — | — | ||||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| $ | 21 | $ | (21 | ) | $ | — | — | (b) | ||||||||
|
|
|
|
|
|
|
|
|
|||||||||
| (a) | For financial reporting purposes the Fund does not offset derivative assets and derivative liabilities subject to master netting arrangements on the Statement of Assets and Liabilities. |
| (b) | Amount rounds to less than one thousand. |
The following table presents the effect of derivatives on the Statements of Operations for the year ended October 31, 2021, by primary underlying risk exposure:
| Macro Opportunities Fund |
Opportunistic Equity Long/ Short Fund |
Research Market Neutral Fund |
||||||||||
| Realized Gain (Loss) on Derivatives Recognized as a Result From Operations: |
||||||||||||
| Equity Risk Exposure: |
||||||||||||
| Futures Contracts |
$ | (893 | ) | $ | — | $ | (549 | ) | ||||
| Purchased Options |
(451 | ) | (1,325 | ) | — | |||||||
| Written Options |
140 | 84 | — | |||||||||
| Foreign Exchange Rate Risk Exposure: |
||||||||||||
| Forward Foreign Currency Exchange Contracts |
218 | — | — | |||||||||
| Purchased Options |
(110 | ) | — | — | ||||||||
| Written Options |
43 | — | — | |||||||||
| Interest Rate Risk Exposure: |
||||||||||||
| Futures Contracts |
52 | — | — | |||||||||
| Net Change in Unrealized Appreciation (Depreciation) on Derivatives Recognized as a Result of Operations: |
||||||||||||
| Equity Risk Exposure: |
||||||||||||
| Futures Contracts |
(295 | ) | — | (92 | ) | |||||||
| Purchased Options |
35 | 21 | — | |||||||||
| Foreign Exchange Rate Risk Exposure: |
||||||||||||
| Forward Foreign Currency Exchange Contracts |
53 | — | — | |||||||||
| Interest Rate Risk Exposure: |
||||||||||||
| Futures Contracts |
(12 | ) | — | — | ||||||||
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 47 | ||||||||
Table of Contents
NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
Derivatives Volume
The table below discloses the volume of the Funds’ options, futures contracts and forward foreign currency exchange contracts activity during the year ended October 31, 2021. Please refer to the tables in the Summary of Derivatives Information for derivative-related gains and losses associated with volume activity.
| Macro Opportunities Fund |
Opportunistic Equity Long/ Short Fund |
Research Market Neutral Fund |
||||||||||
| Futures Contracts — Equity: |
||||||||||||
| Average Notional Balance Long |
$ | 1,213 | $ | — | $ | — | ||||||
| Average Notional Balance Short |
5,092 | — | 1,543 | |||||||||
| Ending Notional Balance Long |
687 | — | — | |||||||||
| Ending Notional Balance Short |
4,036 | — | 920 | |||||||||
| Futures Contracts — Interest Rate: |
||||||||||||
| Average Notional Balance Long |
$ | 1,756 | — | — | ||||||||
| Average Notional Balance Short |
2,418 | — | — | |||||||||
| Ending Notional Balance Long |
1,200 | — | — | |||||||||
| Ending Notional Balance Short |
1,429 | — | — | |||||||||
| Forward Foreign Currency Exchange Contracts: |
||||||||||||
| Average Settlement Value Purchased |
$ | 5,760 | — | — | ||||||||
| Average Settlement Value Sold |
12,642 | — | — | |||||||||
| Ending Settlement Value Purchased |
1,691 | — | — | |||||||||
| Ending Settlement Value Sold |
12,289 | — | — | |||||||||
| Exchange-Traded Options: |
||||||||||||
| Average Number of Contracts Purchased |
285 | 74 | — | |||||||||
| Average Number of Contracts Written |
2 | — | — | |||||||||
| Ending Number of Contracts Purchased |
212 | 192 | — | |||||||||
| OTC Options: |
||||||||||||
| Average Notional Balance Purchased |
$ | 1,185 | — | — | ||||||||
| Average Notional Balance Written |
341 | — | — | |||||||||
| Ending Notional Balance Purchased |
1,444 | — | — | |||||||||
The Funds may be required to post or receive collateral based on the net value of the Funds’ outstanding OTC options and non-deliverable forward foreign currency exchange 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 Funds is held in a segregated account at the Funds’ custodian bank. For certain counterparties cash collateral posted by the Funds is invested in an affiliated money market fund (See Note 3.F.), otherwise the cash collateral is included on the Statements of Assets and Liabilities as Restricted cash for OTC derivatives. Collateral received by the Funds is held in a separate segregated account maintained by JPMorgan Chase Bank, N.A. (“JPMCB”), an affiliate of the Funds.
The Funds’ derivatives contracts held at October 31, 2021 are not accounted for as hedging instruments under GAAP.
G. Short Sales — Opportunistic Equity Long/Short Fund and Research Market Neutral Fund engaged in short sales as part of their normal investment activities. In a short sale, the Funds sell securities they do not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Funds borrow securities from a broker. To close out a short position, the Funds deliver the same securities to the broker.
The Funds are required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as Deposits at broker for securities sold short, while cash collateral deposited at the Funds’ custodian for the benefit of the broker is recorded as Restricted cash for securities sold short on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Funds may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as interest income or interest expense on securities sold short on the Statements of Operations.
The Funds are obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short. The Funds are obligated to pay the broker interest accrued on short positions while the position is outstanding. Interest expense on short positions is reported as Interest expense to non-affiliates on securities sold short on the Statements of Operations. Liabilities for securities sold short are reported at market value on the
| 48 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
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Statements of Assets and Liabilities and the change in market value is recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Funds are also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.
The Funds will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Funds replace the borrowed security. The Funds will record a realized gain if the price of the borrowed security declines between those dates.
As of October 31, 2021, Opportunistic Equity Long/Short Fund and Research Market Neutral Fund had outstanding short sales as listed on their SOIs.
H. Offering and Organization Costs — Total offering costs of $21 paid in connection with the offering of shares of Macro Opportunities Fund are amortized on a straight line basis over 12 months from the date the Fund commenced operations. Costs paid in connection with the organization of the Fund, if any, were recorded as an expense at the time the Fund commenced operations. For the year ended October 31, 2021, total offering costs amortized were $10.
I. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income and interest expense on securities sold short, if any, is determined on the basis of coupon interest accrued using the effective interest method, which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and dividend expense on securities sold short are recorded on the ex-dividend date or when a Fund first learns of the dividend.
To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary, once the issuers provide information about the actual composition of the distributions.
J. Allocation of Income and Expenses — Expenses directly attributable to a Fund are charged directly to that Fund, while the expenses attributable to more than one fund of the Trusts are allocated among the applicable funds. Investment income, realized and unrealized gains and losses and expenses, other than class-specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Transfer agency fees are class-specific expenses. The amount of the transfer agency fees charged to each share class of the Funds for the year ended October 31, 2021 are as follows:
| Class A | Class C | Class I | Class R6 | Total | ||||||||||||||||
| Macro Opportunities Fund |
||||||||||||||||||||
| Transfer agency fees |
$ | — | (a) | $ | — | (a) | $ | — | (a) | $ | — | (a) | $ | — | (a) | |||||
| Opportunistic Equity Long/Short Fund |
||||||||||||||||||||
| Transfer agency fees |
1 | — | (a) | 15 | 1 | 17 | ||||||||||||||
| Research Market Neutral Fund |
||||||||||||||||||||
| Transfer agency fees |
3 | 1 | 4 | n/a | 8 | |||||||||||||||
| (a) | Amount rounds to less than one thousand. |
K. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code (the “Code”) applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of October 31, 2021, no liability for Federal income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Opportunistic Equity Long/Short Fund’s and Research Market Neutral Fund’s Federal tax returns for the prior three fiscal years remain subject to examination by the Internal Revenue Service. When filed, Macro Opportunities Fund’s Federal tax return since inception will be subject to examination by the Internal Revenue Service.
L. Foreign Taxes — The Funds may be subject to foreign taxes on income, gains on investments or currency purchases/repatriation, a portion of which may be recoverable. The Funds will accrue such taxes and recoveries as applicable, based upon their current interpretation of tax rules and regulations that exist in the markets in which they invest. When a capital gains tax is determined to apply, the Funds record an estimated deferred tax liability in an amount that would be payable if the securities were disposed of on the valuation date.
M. Distributions to Shareholders — Distributions from net investment income, if any, are generally declared and paid at least annually and are declared separately for each class. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 49 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax basis treatment.
The following amounts were reclassified within the capital accounts:
| Paid-in-Capital | Accumulated undistributed (distributions in excess of) net investment income |
Accumulated net realized gains (losses) |
||||||||||
| Macro Opportunities Fund |
$ | — | $ | 197 | $ | (197 | ) | |||||
| Opportunistic Equity Long/Short Fund |
— | 11,005 | (11,005 | ) | ||||||||
| Research Market Neutral Fund |
(360 | ) | 377 | (17 | ) | |||||||
The reclassifications for the Funds relate primarily to foreign currency gains or losses, net operating losses and short sales.
N. Recent Accounting Pronouncement — In March 2020, the FASB issued Accounting Standards Update No. 2020-04 (“ASU 2020-04”), Reference Rate Reform (Topic 848) — Facilitation of the Effects of Reference Rate Reform on Financial Reporting. ASU 2020-04 provides optional temporary financial reporting relief from the effect of certain types of contract modifications due to the planned discontinuation of the London Interbank Offered Rate (“LIBOR”) and other interbank-offered based reference rates as of the end of 2021. ASU 2020-04 became effective upon the issuance and its optional relief can be applied through December 31, 2022. Management is currently evaluating the impact, if any, to the Funds’ financial statements of applying ASU 2020-04.
3. Fees and Other Transactions with Affiliates
A. Investment Advisory Fee — Pursuant to an Investment Advisory Agreement, the Adviser manages the investments of each Fund and for such services is paid a fee. The investment advisory fee is accrued daily and paid monthly at an annual rate based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:
| Macro Opportunities Fund |
0.60 | % | ||
| Opportunistic Equity Long/Short Fund |
1.20 | |||
| Research Market Neutral Fund |
0.35 |
The Adviser waived investment advisory fees and/or reimbursed expenses as outlined in Note 3.F.
B. Administration Fee — Pursuant to an Administration Agreement, the Administrator provides certain administration services to each Fund. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.075% of the first $10 billion of each Fund’s respective average daily net assets, plus 0.050% of each Fund’s respective average daily net assets between $10 billion and $20 billion, plus 0.025% of each Fund’s respective average daily net assets between $20 billion and $25 billion, plus 0.01% of each Fund’s respective average daily net assets in excess of $25 billion. For the year ended October 31, 2021, the effective rate for Macro Opportunities Fund, Opportunistic Equity Long/Short Fund and Research Market Neutral Fund was 0.07%, 0.07% and 0.075%, respectively, of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.
The Administrator waived administration fees as outlined in Note 3.F.
JPMCB, a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.
C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (“JPMDS”), an indirect, wholly-owned subsidiary of JPMorgan, serves as each Fund’s principal underwriter and promotes and arranges for the sale of each Fund’s shares.
The Boards have adopted a Distribution Plan (the “Distribution Plan”) for Class A and Class C Shares of the Funds, as applicable, pursuant to Rule 12b-1 under the 1940 Act. Class I and Class R6 Shares of the Funds do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay, with respect to the applicable share classes, distribution fees, including payments to JPMDS, at annual rates of the average daily net assets as shown in the table below:
| Class A | Class C | |||||||
| Macro Opportunities Fund |
0.25 | % | 0.75 | % | ||||
| Opportunistic Equity Long/Short Fund |
0.25 | 0.75 | ||||||
| Research Market Neutral Fund |
0.25 | 0.75 | ||||||
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In addition, JPMDS is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the year ended October 31, 2021, JPMDS retained the following:
| Front-End Sales Charge | CDSC | |||||||
| Macro Opportunities Fund |
$ | — | (a) | $ | — | |||
| Opportunistic Equity Long/Short Fund |
11 | — | (a) | |||||
| Research Market Neutral Fund |
4 | — | ||||||
| (a) | Amount rounds to less than one thousand. |
D. Service Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with JPMDS under which JPMDS provides certain support services to fund shareholders. For performing these services, JPMDS receives a fee with respect to all share classes, except Class R6 Shares which do not charge a service fee, that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:
| Class A | Class C | Class I | ||||||||||
| Macro Opportunities Fund |
0.25 | % | 0.25 | % | 0.25 | % | ||||||
| Opportunistic Equity Long/Short Fund |
0.25 | 0.25 | 0.25 | |||||||||
| Research Market Neutral Fund |
0.25 | 0.25 | 0.25 | |||||||||
JPMDS has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds. Pursuant to such contracts, JPMDS will pay all or a portion of such fees earned to financial intermediaries for performing such services.
JPMDS waived service fees as outlined in Note 3.F.
E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations.
Interest income earned on cash balances at the custodian, if any, is included in Interest income from affiliates on the Statements of Operations.
Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.
F. Waivers and Reimbursements — The Adviser, Administrator and/or JPMDS have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation, expenses related to trustee elections and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:
| Class A | Class C | Class I | Class R6 | |||||||||||||
| Macro Opportunities Fund |
1.20 | % | 1.70 | % | 0.95 | % | 0.70 | % | ||||||||
| Opportunistic Equity Long/Short Fund |
1.85 | 2.35 | 1.60 | 1.35 | ||||||||||||
| Research Market Neutral Fund |
0.95 | 1.45 | 0.69 | (1) | n/a | |||||||||||
| (1) | The contractual expense percentage in the table above is in place until at least May 31, 2022. |
Except as noted above, the expense limitation agreements were in effect for the year ended October 31, 2021 and the contractual expense limitation percentages in the table above are in place until at least February 28, 2022.
For the year ended October 31, 2021, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
| Contractual Waivers | ||||||||||||||||||||
| Investment Advisory Fees |
Administration Fees |
Service Fees |
Total | Contractual Reimbursements |
||||||||||||||||
| Macro Opportunities Fund |
$ | 106 | $ | 13 | $ | — | (a) | $ | 119 | $ | 258 | |||||||||
| Research Market Neutral Fund |
128 | 69 | 5 | 202 | — | |||||||||||||||
| (a) | Amount rounds to less than one thousand. |
Additionally, the Funds may invest in one or more money market funds advised by the Adviser (affiliated money market funds). The Adviser, Administrator and/or JPMDS, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 51 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
to offset the respective net fees each collects from the affiliated money market fund on the applicable Fund’s investment in such affiliated money market fund, except for investments of securities lending cash collateral. None of these parties expect the Funds to repay any such waived fees and/or reimbursed expenses in future years.
The amounts of these waivers resulting from investments in these money market funds for the year ended October 31, 2021 were as follows:
| Macro Opportunities Fund |
$ | 3 | ||
| Opportunistic Equity Long/Short Fund |
41 | |||
| Research Market Neutral Fund |
16 |
G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and JPMDS. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.
The Boards designated and appointed a Chief Compliance Officer to the Funds pursuant to Rule 38a-1 under the 1940 Act. Each Fund, along with affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.
The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.
During the year ended October 31, 2021, Opportunistic Equity Long/Short Fund and Research Market Neutral Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.
The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities LLC, an affiliated broker, involving taxable money market instruments, subject to certain conditions.
4. Investment Transactions
During the year ended October 31, 2021, purchases and sales of investments (excluding short-term investments) were as follows:
| Purchases (excluding U.S. Government) |
Sales (excluding U.S. Government) |
Securities Sold Short |
Covers on Securities Sold Short |
|||||||||||||
| Macro Opportunities Fund |
$ | 10,770 | $ | 13,676 | $ | — | $ | — | ||||||||
| Opportunistic Equity Long/Short Fund |
3,331,442 | 3,293,558 | 2,791,996 | 2,899,317 | ||||||||||||
| Research Market Neutral Fund |
105,671 | 175,391 | 101,833 | 166,693 | ||||||||||||
During the year ended October 31, 2021, there were no purchases or sales of U.S. Government securities.
5. Federal Income Tax Matters
For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investments held at October 31, 2021 were as follows:
| Aggregate Cost |
Gross Unrealized Appreciation |
Gross Unrealized Depreciation |
Net Unrealized Appreciation (Depreciation) |
|||||||||||||
| Macro Opportunities Fund |
$ | 14,877 | $ | 2,705 | $ | 390 | $ | 2,315 | ||||||||
| Opportunistic Equity Long/Short Fund* |
550,185 | 87,838 | 3,685 | 84,153 | ||||||||||||
| Research Market Neutral Fund* |
6,333 | 22,021 | 8,576 | 13,445 | ||||||||||||
| * | The tax cost includes the proceeds from short sales which may result in a net negative cost. |
The difference between book and tax basis appreciation (depreciation) on investments is primarily attributed to, investments in futures contracts, investments in forwards foreign currency contracts and wash sale loss deferrals.
The tax character of distributions paid during the year ended October 31, 2021 was as follows:
| Ordinary Income* |
Net Long-Term Capital Gains |
Total Distributions Paid |
||||||||||
| Opportunistic Equity Long/Short Fund |
$ | 17,977 | $ | 3,393 | $ | 21,370 | ||||||
| Research Market Neutral Fund |
1,657 | 6,527 | 8,184 | |||||||||
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
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The tax character of distributions paid during the year ended October 31, 2020 was as follows:
| Ordinary Income* |
Net Long-Term Capital Gains |
Total Distributions Paid |
||||||||||
| Opportunistic Equity Long/Short Fund |
$ | 918 | $ | — | $ | 918 | ||||||
| Research Market Neutral Fund |
— | 6,225 | 6,225 | |||||||||
| * | Short-term gain distributions are treated as ordinary income for income tax purposes. |
At October 31, 2021, the estimated components of net assets (excluding paid-in-capital) on a tax basis were as follows:
| Current Distributable Ordinary Income |
Current Distributable Long-Term Capital Gain (Tax Basis Capital Loss Carryover) |
Unrealized Appreciation (Depreciation) |
||||||||||
| Macro Opportunities Fund |
$ | 249 | $ | (132 | ) | $ | 2,312 | |||||
| Opportunistic Equity Long/Short Fund |
45,817 | 25,900 | 84,153 | |||||||||
| Research Market Neutral Fund |
— | (29,216 | ) | 13,304 | ||||||||
The cumulative timing differences primarily consist of investments in forward foreign currency contracts, investments in futures contracts, investments in options contracts, late year specified loss deferrals, short sales, straddle loss deferral and wash sale loss deferrals.
As of October 31, 2021, the following Funds had net capital loss carryforwards as follows:
| Capital Loss Carryforward Character | ||||||||
| Short-Term | Long-Term | |||||||
| Macro Opportunities Fund |
$ | — | $ | 132 | ||||
| Research Market Neutral Fund |
29,216 | * | — | |||||
| * | Amount includes capital loss carry forwards which are limited in future years under Internal Revenue Code sections 381-384. |
Late year ordinary losses incurred after December 31, and within the taxable year are deemed to arise on the first business day of the Funds’ next taxable year. For the year ended October 31, 2021, the following Fund deferred to November 1, 2021 the following late year ordinary loss of:
| Late Year Ordinary Loss Deferral |
||||
| Research Market Neutral Fund |
$ | 1,186 | ||
During the year ended October 31, 2021, the following Funds utilized capital loss carryforwards as follows:
| Capital Loss Utilized | ||||||||
| Short-Term | Long-Term | |||||||
| Macro Opportunities Fund |
$ | — | $ | 274 | ||||
| Research Market Neutral Fund |
2,164 | — | ||||||
6. Borrowings
The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPMorgan Trust II and may be relied upon by the Funds because the Funds and the series of JPMorgan Trust II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).
The Funds had no borrowings outstanding from another fund during the year ended October 31, 2021.
The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until October 31, 2022.
The Funds had no borrowings outstanding from the unsecured, uncommitted credit facility during the year ended October 31, 2021.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 53 | ||||||||
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NOTES TO FINANCIAL STATEMENTS
AS OF OCTOBER 31, 2021 (continued)
(Dollar values in thousands)
The Trusts, along with certain other trusts for J.P. Morgan Funds (“Borrowers”), have entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.
Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.25%, which has decreased to 1.00% pursuant to the amendment referenced below (the “Applicable Margin”), plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. Effective August 10, 2021, the Credit Facility has been amended and restated for a term of 364 days, unless extended, and to include a reduction of the Applicable Margin charged for borrowing under the Credit Facility from 1.25% to 1.00%.
The Funds did not utilize the Credit Facility during the year ended October 31, 2021.
7. Risks, Concentrations and Indemnifications
In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be brought against each Fund. However, based on experience, the Funds expect the risk of loss to be remote.
As of October 31, 2021, the following Funds had individual shareholder and/or omnibus accounts each owning more than 10% of the respective Fund’s outstanding shares as follows:
| Number of Individual Shareholder and/or Affiliated Omnibus Accounts |
% of the Fund | Number
of Individual Shareholder and/or Non-Affiliated Omnibus Accounts |
% of the Fund | |||||||||||||
| Macro Opportunities Fund |
1 | 89.4 | % | — | — | % | ||||||||||
| Opportunistic Equity Long/Short Fund |
— | — | 3 | 61.5 | ||||||||||||
| Research Market Neutral Fund |
— | — | 2 | 38.0 | ||||||||||||
Significant shareholder transactions by these shareholders may impact the Funds’ performance and liquidity.
Macro Opportunities Fund may have elements of risk not typically associated with investments in the United States of America due to concentrated investments in a limited number of foreign countries or regions, which may vary throughout the period. Such concentrations may subject the Fund to additional risks resulting from political or economic conditions in such countries or regions and the possible imposition of adverse governmental laws or currency exchange restrictions could cause the securities and their markets to be less liquid and their prices to be more volatile than those of comparable U.S. securities.
As of October 31, 2021, a significant portion of the investments of Macro Opportunities Fund consisted of securities that were denominated in foreign currencies. Changes in currency exchange rates will affect the value of, and investment income from, such securities.
As of October 31, 2021, the following Fund had non-U.S. country allocations representing greater than 10% of total investments (excluding investment of cash collateral from securities loaned) as follows:
| Macro Opportunities Fund | ||||
| Japan |
22.4 | % | ||
Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic and market conditions and could result in losses that significantly exceed the Funds’ original investment. Many derivatives create leverage thereby causing the Funds to be more volatile than they would have been if they had not used derivatives. Derivatives also expose the Funds to counterparty risk (the risk that the derivative counterparty will not fulfill its contractual obligations), including credit risk of the derivative counterparty. The possible lack of a liquid secondary market for derivatives and the resulting inability of the Funds to sell or otherwise close a derivatives position could expose the Funds to losses.
The Funds are also subject to counterparty credit risk, which is the risk that a counterparty fails to perform on agreements with the Funds.
Since Opportunistic Equity Long/Short Fund is non-diversified, it may invest a greater percentage of its assets in a particular issuer or group of issuers than a diversified fund would. This increased investment in fewer issuers may result in the Fund’s shares being more sensitive to economic results of those issuing the securities.
| 54 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
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As of October 31, 2021, Opportunistic Equity Long/Short Fund and Research Market Neutral Fund pledged substantially all of their assets to Citigroup Global Markets, Inc. for securities sold short. For the Funds, deposits at broker for securities sold short, as noted on the Statements of Assets and Liabilities, are held at Citigroup Global Markets, Inc.
LIBOR is intended to represent the rate at which contributing banks may obtain short-term borrowings from each other in the London interbank market. On March 5, 2021, the U.K. Financial Conduct Authority (“FCA”) publicly announced that (i) immediately after December 31, 2021, publication of the 1-week and 2-month U.S. Dollar LIBOR settings will permanently cease; (ii) immediately after June 30, 2023, publication of the overnight and 12-month U.S. Dollar LIBOR settings will permanently cease; and (iii) immediately after June 30, 2023, the 1-month, 3-month and 6-month U.S. Dollar LIBOR settings will cease to be provided or, subject to the FCA’s consideration of the case, be provided on a synthetic basis and no longer be representative of the underlying market and economic reality they are intended to measure and that representativeness will not be restored. There is no assurance that the dates announced by the FCA will not change or that the administrator of LIBOR and/or regulators will not take further action that could impact the availability, composition or characteristics of LIBOR or the currencies and/or tenors for which LIBOR is published. Public and private sector industry initiatives are currently underway to implement new or alternative reference rates to be used in place of LIBOR. There is no assurance that any such alternative reference rate will be similar to or produce the same value or economic equivalence as LIBOR or that it will have the same volume or liquidity as did LIBOR prior to its discontinuance or unavailability, which may affect the value or liquidity or return on certain of a Fund’s loans, notes, derivatives and other instruments or investments comprising some or all of a Fund’s investments and result in costs incurred in connection with closing out positions and entering into new trades. These risks may also apply with respect to changes in connection with other interbank offering rates (e.g., Euribor) and a wide range of other index levels, rates and values that are treated as “benchmarks” and are the subject of recent regulatory reform.
The Funds are subject to infectious disease epidemics/pandemics risk. The worldwide outbreak of COVID-19, a novel coronavirus disease, has negatively affected economies, markets and individual companies throughout the world. The effects of this COVID-19 pandemic to public health, and business and market conditions, including exchange trading suspensions and closures may continue to have a significant negative impact on the performance of a Fund’s investments, increase a Fund’s volatility, exacerbate other pre-existing political, social and economic risks to the Funds and negatively impact broad segments of businesses and populations. The Funds’ operations may be interrupted as a result, which may have a significant negative impact on investment performance. In addition, governments, their regulatory agencies, or self-regulatory organizations may take actions in response to the pandemic that affect the instruments in which the Funds invest, or the issuers of such instruments, in ways that could also have a significant negative impact on a Fund’s investment performance. The full impact of this COVID-19 pandemic, or other future epidemics/pandemics, is currently unknown.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 55 | ||||||||
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REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Boards of Trustees of JPMorgan Trust I and JPMorgan Trust IV and Shareholders of JPMorgan Macro Opportunities Fund, JPMorgan Opportunistic Equity Long/Short Fund and JPMorgan Research Market Neutral Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of portfolio investments, of JPMorgan Opportunistic Equity Long/Short Fund and JPMorgan Research Market Neutral Fund (two of the funds constituting JPMorgan Trust I) and JPMorgan Macro Opportunities Fund (one of the funds constituting JPMorgan Trust IV) (hereafter collectively referred to as the “Funds”) as of October 31, 2021, the related statements of operations for the year ended October 31, 2021, the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of October 31, 2021, the results of each of their operations for the year then ended, the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein, in conformity with accounting principles generally accepted in the United States of America.
| JPMorgan Macro Opportunities Fund (1) |
|
JPMorgan Opportunistic Equity Long/Short Fund (2) |
|
JPMorgan Research Market Neutral Fund (2) |
|
(1) Statement of changes in net assets for the year ended October 31, 2021 and the period April 15, 2020 (commencement of operations) through October 31, 2020 |
|
(2) Statement of changes in net assets for the years ended October 31, 2021 and 2020 |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of October 31, 2021 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
| /s/PricewaterhouseCoopers LLP |
| New York, New York |
| December 22, 2021 |
We have served as the auditor of one or more investment companies in the JPMorgan Funds complex since 1993.
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(Unaudited)
The Funds’ Statement of Additional Information includes additional information about the Funds’ Trustees and is available, without charge, upon request by calling 1-800-480-4111 or on the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees |
||||||
| John F. Finn (1947); Chair since 2020; Trustee of the Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1998. | Chairman, Gardner, Inc. (supply chain management company serving industrial and consumer markets) (serving in various roles 1974-present). | 124 | Director, Greif, Inc. (GEF) (industrial package products and services) (2007-present); Trustee, Columbus Association for the Performing Arts (1988-present). | |||
| Stephen P. Fisher (1959); Trustee of the Trusts since 2018. | Retired; Chairman and Chief Executive Officer, NYLIFE Distributors LLC (registered broker-dealer) (serving in various roles 2008-2013); Chairman, NYLIM Service Company LLC (transfer agent) (2008-2017); New York Life Investment Management LLC (registered investment adviser) (serving in various roles 2005-2017); Chairman, IndexIQ Advisors LLC (registered investment adviser for ETFs) (2014-2017); President, MainStay VP Funds Trust (2007-2017), MainStay DefinedTerm Municipal Opportunities Fund (2011-2017) and MainStay Funds Trust (2007-2017) (registered investment companies). | 124 | Honors Program Advisory Board Member, The Zicklin School of Business, Baruch College, The City University of New York (2017-present). | |||
| Kathleen M. Gallagher (1958); Trustee of the Trusts since 2018. | Retired; Chief Investment Officer — Benefit Plans, Ford Motor Company (serving in various roles 1985-2016). | 124 | Non-Executive Director, Legal & General Investment Management (Holdings) (2018-present); Non-Executive Director, Legal & General Investment Management America (financial services and insurance) (2017-present); Advisory Board Member, State Street Global Advisors Global Fiduciary Solutions (2017-present); Member, Client Advisory Council, Financial Engines, LLC (registered investment adviser) (2011-2016); Director, Ford Pension Funds Investment Management Ltd. (2007-2016). | |||
| Frankie D. Hughes (1952); Trustee of the Trusts since 2008. | President, Ashland Hughes Properties (property management) (2014-present); President and Chief Investment Officer, Hughes Capital Management, Inc. (fixed income asset management) (1993-2014). | 124 | None | |||
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 57 | ||||||||
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TRUSTEES
(Unaudited) (continued)
| Name (Year of Birth); Positions With the Funds (1) |
Principal Occupation During Past 5 Years |
Number of Funds in Fund Complex Overseen by Trustee (2) |
Other Directorships Held During the Past 5 Years | |||
| Independent Trustees (continued) |
||||||
| Raymond Kanner (1953); Trustee of the Trusts since 2017. |
Retired; Managing Director & Chief Investment Officer, IBM Retirement Funds (2007-2016). | 124 | Advisory Board Member, Penso Advisors LLC (2020-present); Advisory Board Member, Los Angeles Capital (2018-present); Advisory Board Member, State Street Global Advisors Fiduciary Solutions Board (2017-present); Acting Executive Director, Committee on Investment of Employee Benefit Assets (CIEBA) (2016-2017); Advisory Board Member, Betterment for Business (robo advisor) (2016-2017); Advisory Board Member, BlueStar Indexes (index creator) (2013-2017); Director, Emerging Markets Growth Fund (registered investment company) (1997-2016); Member, Russell Index Client Advisory Board (2001-2015). | |||
| Mary E. Martinez (1960); Vice Chair since 2021; Trustee of the Trusts since 2013. | Associate, Special Properties, a Christie’s International Real Estate Affiliate (2010-present); Managing Director, Bank of America (asset management) (2007-2008); Chief Operating Officer, U.S. Trust Asset Management, U.S. Trust Company (asset management) (2003-2007); President, Excelsior Funds (registered investment companies) (2004-2005). | 124 | None | |||
| Marilyn McCoy (1948); Trustee of the Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1999. | Vice President, Administration and Planning, Northwestern University (1985-present). | 124 | None | |||
| Dr. Robert A. Oden, Jr. (1946); Trustee of the Trusts since 2005; Trustee of heritage One Group Mutual Funds since 1997. | Retired; President, Carleton College (2002-2010); President, Kenyon College (1995-2002). | 124 | Trustee and Vice Chair, Trout Unlimited (2017-present); Trustee, American Museum of Fly Fishing (2013-present); Trustee, Dartmouth-Hitchcock Medical Center (2011-2021). | |||
| Marian U. Pardo* (1946); Trustee of the Trusts since 2013. | Managing Director and Founder, Virtual Capital Management LLC (investment consulting) (2007-present); Managing Director, Credit Suisse Asset Management (portfolio manager) (2003-2006). | 124 | President and Member, Board of Governors, Columbus Citizens Foundation (not-for-profit supporting philanthropic and cultural programs) (2006-present). | |||
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| (1) | The Trustees serve for an indefinite term, subject to the Trusts’ current retirement policy, which is age 78 for all Trustees. |
| (2) | A Fund Complex means two or more registered investment companies that hold themselves out to investors as related companies for purposes of investment and investor services or have a common investment adviser or have an investment adviser that is an affiliated person of the investment adviser of any of the other registered investment companies. The J.P. Morgan Funds Complex for which the Boards of Trustees serve currently includes eight registered investment companies (124 funds). |
| * | In connection with prior employment with JPMorgan Chase, Ms. Pardo was the recipient of non-qualified pension plan payments from JPMorgan Chase in the amount of approximately $2,055 per month, which she irrevocably waived effective January 1, 2013, and deferred compensation payments from JPMorgan Chase in the amount of approximately $7,294 per year, which ended in January 2013. In addition, Ms. Pardo receives payments from a fully-funded qualified plan, which is not an obligation of JPMorgan Chase. |
The contact address for each of the Trustees is 277 Park Avenue, New York, NY 10172.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 59 | ||||||||
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(Unaudited)
| Name (Year of Birth), Positions Held with the Trusts (Since) |
Principal Occupations During Past 5 Years | |
| Brian S. Shlissel (1964), President and Principal Executive Officer (2016)* |
Managing Director and Chief Administrative Officer for J.P. Morgan pooled vehicles, J.P. Morgan Investment Management Inc. since 2014. | |
| Timothy J. Clemens (1975), Treasurer and Principal Financial Officer (2018) |
Executive Director, J.P. Morgan Investment Management Inc. since February 2016. Mr. Clemens has been with J.P. Morgan Investment Management Inc. since 2013. | |
| Gregory S. Samuels (1980), Secretary (2019) (formerly Assistant Secretary since 2010)** |
Managing Director and Assistant General Counsel, JPMorgan Chase. Mr. Samuels has been with JPMorgan Chase since 2010. | |
| Stephen M. Ungerman (1953), Chief Compliance Officer (2005) |
Managing Director, JPMorgan Chase & Co.; Mr. Ungerman has been with JPMorgan Chase & Co. since 2000. | |
| Elizabeth A. Davin (1964), Assistant Secretary (2005)*** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Davin has been with JPMorgan Chase (formerly Bank One Corporation) since 2004. | |
| Jessica K. Ditullio (1962), Assistant Secretary (2005)*** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Ms. Ditullio has been with JPMorgan Chase (formerly Bank One Corporation) since 1990. | |
| Anthony Geron (1971), Assistant Secretary (2018)** |
Vice President and Assistant General Counsel, JPMorgan Chase since September 2018; Lead Director and Counsel, AXA Equitable Life Insurance Company from 2015 to 2018 and Senior Director and Counsel, AXA Equitable Life Insurance Company from 2014 to 2015. | |
| Carmine Lekstutis (1980), Assistant Secretary (2011)** |
Executive Director and Assistant General Counsel, JPMorgan Chase. Mr. Lekstutis has been with JPMorgan Chase since 2011. | |
| Zachary E. Vonnegut-Gabovitch (1986), Assistant Secretary (2017)** |
Vice President and Assistant General Counsel, JPMorgan Chase since September 2016; Associate, Morgan, Lewis & Bockius (law firm) from 2012 to 2016. | |
| Michael M. D’Ambrosio (1969), Assistant Treasurer (2012) |
Managing Director, J.P. Morgan Investment Management Inc. Mr. D’Ambrosio has been with J.P. Morgan Investment Management Inc. since 2012. | |
| Aleksandr Fleytekh (1972), Assistant Treasurer (2019) |
Vice President, J.P. Morgan Investment Management Inc. since February 2012. | |
| Shannon Gaines (1977), Assistant Treasurer (2018)*** |
Vice President, J.P. Morgan Investment Management Inc. since January 2014. | |
| Jeffrey D. House (1972), Assistant Treasurer (2017)*** |
Vice President, J.P. Morgan Investment Management Inc. since July 2006. | |
| Michael Mannarino (1985), Assistant Treasurer (2020) |
Vice President, J.P. Morgan Investment Management Inc. since 2014. | |
| Joseph Parascondola (1963), Assistant Treasurer (2011)* |
Executive Director, J.P. Morgan Investment Management Inc. since February 2020, formerly Vice President, J.P. Morgan Investment Management Inc. from August 2006 to January 2020. | |
| Gillian I. Sands (1969), Assistant Treasurer (2012) |
Vice President, J.P. Morgan Investment Management Inc. since September 2012. | |
The contact address for each of the officers, unless otherwise noted, is 277 Park Avenue, New York, NY 10172.
| * | The contact address for the officer is 575 Washington Boulevard, Jersey City, NJ 07310. |
| ** | The contact address for the officer is 4 New York Plaza, New York, NY 10004. |
| *** | The contact address for the officer is 1111 Polaris Parkway, Columbus, OH 43240. |
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SCHEDULE OF SHAREHOLDER EXPENSES
(Unaudited)
Hypothetical $1,000 Investment
As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, May 1, 2021, and continued to hold your shares at the end of the reporting period, October 31, 2021.
Actual Expenses
For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading titled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes
The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.
| Beginning Account Value May 1, 2021 |
Ending Account Value October 31, 2021 |
Expenses Paid During the Period* |
Annualized Expense Ratio |
|||||||||||||
| JPMorgan Macro Opportunities Fund |
||||||||||||||||
| Class A |
||||||||||||||||
| Actual |
$ | 1,000.00 | $ | 1,017.30 | $ | 6.15 | 1.21 | % | ||||||||
| Hypothetical |
1,000.00 | 1,019.11 | 6.16 | 1.21 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,015.00 | 8.68 | 1.71 | ||||||||||||
| Hypothetical |
1,000.00 | 1,016.59 | 8.69 | 1.71 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,018.40 | 4.88 | 0.96 | ||||||||||||
| Hypothetical |
1,000.00 | 1,020.37 | 4.89 | 0.96 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,020.20 | 3.62 | 0.71 | ||||||||||||
| Hypothetical |
1,000.00 | 1,021.63 | 3.62 | 0.71 | ||||||||||||
| JPMorgan Opportunistic Equity Long/Short Fund |
||||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,038.20 | 11.79 | 2.29 | ||||||||||||
| Hypothetical |
1,000.00 | 1,013.64 | 11.65 | 2.29 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,035.50 | 14.34 | 2.79 | ||||||||||||
| Hypothetical |
1,000.00 | 1,011.12 | 14.17 | 2.79 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,039.80 | 10.56 | 2.05 | ||||||||||||
| Hypothetical |
1,000.00 | 1,014.85 | 10.43 | 2.05 | ||||||||||||
| Class R6 |
||||||||||||||||
| Actual |
1,000.00 | 1,040.90 | 9.23 | 1.79 | ||||||||||||
| Hypothetical |
1,000.00 | 1,016.16 | 9.12 | 1.79 | ||||||||||||
| JPMorgan Research Market Neutral Fund |
||||||||||||||||
| Class A |
||||||||||||||||
| Actual |
1,000.00 | 1,009.80 | 14.97 | 2.96 | ||||||||||||
| Hypothetical |
1,000.00 | 1,010.31 | 14.97 | 2.96 | ||||||||||||
| Class C |
||||||||||||||||
| Actual |
1,000.00 | 1,008.20 | 17.49 | 3.46 | ||||||||||||
| Hypothetical |
1,000.00 | 1,007.79 | 17.49 | 3.46 | ||||||||||||
| Class I |
||||||||||||||||
| Actual |
1,000.00 | 1,011.40 | 13.66 | 2.70 | ||||||||||||
| Hypothetical |
1,000.00 | 1,011.62 | 13.67 | 2.70 | ||||||||||||
| * | Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period). |
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited)
The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in June and August 2021, at which the Trustees considered the continuation of the investment advisory agreements for the JPMorgan Macro Opportunities Fund, JPMorgan Opportunistic Equity Long Short Fund and JPMorgan Research Market Neutral Fund, whose annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). In accordance with SEC guidance, due to the COVID-19 pandemic, the meetings were conducted through video conference. At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not parties to an Advisory Agreement or “interested persons” (as defined in the 1940 Act) of any party to an Advisory Agreement or any of their affiliates, approved the continuation of each Advisory Agreement on August 11, 2021.
As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, at each of their regular meetings throughout the year, the Trustees considered reports on the performance of certain J.P. Morgan Funds provided by an independent investment consulting firm (“independent consultant”). In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc. and/or Morningstar Inc., independent providers of investment company data (together, “Broadridge”). The Trustees’ independent consultant also provided additional quantitative and statistical analyses of certain Funds, including risk/ and performance return assessment as compared to the Funds’ objectives, benchmarks, and peers. Before voting on the Advisory Agreements, the Trustees reviewed the Advisory Agreements with representatives of the Adviser, counsel to the Trust and independent legal counsel and received a memorandum from independent legal counsel
to the Trustees discussing the legal standards for their consideration of the Advisory Agreements. The Trustees also discussed the Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present.
A summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement is provided below. Each Trustee attributed different weights to the various factors and no factor alone was considered determinative. The Trustees considered information provided with respect to the Funds throughout the year, including additional reporting and information provided in connection with the COVID-19 pandemic, as well as materials furnished specifically in connection with the annual review process. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. After considering and weighing the factors and information they had received, the Trustees found that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable under the circumstances and determined that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.
Nature, Extent and Quality of Services Provided by the Adviser
The Trustees received and considered information regarding the nature, extent and quality of services provided to each Fund under the applicable Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management, personnel changes, if any, and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team, including personnel changes, if any. In addition, the Board considered its discussions with the Adviser regarding the Adviser’s business continuity plan and steps the Adviser was taking to provide ongoing services to the Funds during the COVID-19 pandemic, and the Adviser’s success in continuing to provide services to the Funds and their shareholders throughout this period. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administration services provided by the Adviser in its role as administrator.
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The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes designed to improve investment results and the services provided to each Fund.
Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to each Fund by the Adviser.
Costs of Services Provided and Profitability to the Adviser and its Affiliates
The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each Fund. The Trustees reviewed and discussed this information. The Trustees recognized that this information is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, and taking into consideration the factors noted above, the Trustees concluded that the profitability to the Adviser under each Advisory Agreement was not unreasonable in light of the services and benefits provided to each Fund.
The Trustees also considered that JPMDS, an affiliate of the Adviser, and the Adviser earn fees from the Funds for providing shareholder and administration services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser (although they are retained by JPMDS in certain instances). The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.
Fall-Out Benefits
The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees considered that the J.P. Morgan Funds’ operating accounts are held at JPMCB, which, as a result, will receive float benefits for certain J.P. Morgan Funds, as applicable. The Trustees also noted that the Adviser supports a diverse set of products and services, which benefits the Adviser by allowing it to leverage its infrastructure to serve additional clients. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser, as well as the Adviser’s use of affiliates to provide other services and the benefits to such affiliates of doing so.
Economies of Scale
The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees considered the extent to which the Funds were priced to scale and whether it would be appropriate to add advisory fee breakpoints. The Trustees noted certain Funds with contractual expense limitations and fee waivers (“Fee Caps”), which allow a Fund’s shareholders to share potential economies of scale from a Fund’s inception, prior to reaching scale. The Trustees also noted that other Funds which had achieved scale as asset levels had increased, no longer had Fee Caps in place for some or all of their share classes, but shared economies of scale through lower average expenses. The Trustees noted that the fees remain satisfactory relative to peer funds. The Trustees considered the benefits to the Funds of the use of an affiliated distributor and custodian, including the ability to rely on existing infrastructure supporting distribution, custodial and transfer agent services and the ability to negotiate competitive fees for the Funds. The Trustees further considered the Adviser’s and JPMDS’s ongoing investments in their business in support of the Funds, including the Adviser’s and/or JPMDS’s investments in trading systems, technology (including improvements to the J.P. Morgan Funds’ website, and cybersecurity improvements), retention of key talent, and regulatory support enhancements. The Trustees concluded that the current fee structure for each Fund, including any Fee Caps the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels, was reasonable. The Trustees concluded that, for Funds with Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders received the benefits of potential economies of scale through the Fee Caps and, for Funds that achieved scale and no longer had Fee Caps in place for some or all of their share classes, the relevant Fund’s shareholders benefited from lower average expenses resulting from
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 63 | ||||||||
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENTS
(Unaudited) (continued)
increased assets. The Trustees also concluded that all Funds benefited from the Adviser’s reinvestment in its operations to serve the Funds and their shareholders. The Trustees noted that the Adviser’s reinvestment ensures sufficient resources in terms of personnel and infrastructure to support the Funds.
Fees Relative to Adviser’s Other Clients
The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts, collective investment trusts, ETFs and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences, as applicable, in the fee structure and the regulatory, legal and other risks and responsibilities of providing services to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.
Investment Performance
The Trustees received and considered absolute and/or relative performance information for the Funds in a report prepared by Broadridge. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge investment classification and objective (the “Universe”), as well as a subset of funds within the Universe (the “Peer Group”), by total return for the applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge methodology for selecting mutual funds in each Fund’s Universe and Peer Group and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Group did not meet a predetermined minimum. The Broadridge materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant, and also considered the special analysis prepared for certain Funds by the Trustees’ independent consultant. The special analysis includes a multi-factor quantitative scoring
system for summarizing a Fund’s historical investment performance. The approach relies on multiple metrics, incorporates several time periods, adjusts for risk and considers how a fund’s customized peer group (as selected by the Independent Consultant) has performed. The Trustees also engaged with the Adviser to consider what steps might be taken to improve performance, as applicable. The Broadridge performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:
The Trustees noted the performance of the Macro Opportunities Fund since its inception on April 15, 2020, as compared with that of its benchmark index. The Trustees discussed the performance and investment strategy of the Fund with the Advisor and, based upon this discussion and various other factors, concluded that the performance was reasonable.
The Trustees noted that the Opportunistic Equity Long/Short Fund’s performance for Class A shares was in the first, first and second quintiles based upon the Peer Group, for the one-, three- and five-year periods ended December 31, 2020, respectively, and in the first quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class I shares was in the first, second and second quintiles based upon the Peer Group, for the one-, three-and five-year periods ended December 31, 2020, respectively, and in the first quintile based upon the Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees noted that the performance for Class R6 shares was in the first quintile based upon both the Peer Group and Universe, for each of the one-, three- and five-year periods ended December 31, 2020. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
The Trustees noted that the Research Market Neutral Fund’s performance for Class A shares was in the first, second and second quintiles based upon both the Peer Group and Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees noted that the performance for Class I shares was in the first, second and second quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2020, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was satisfactory.
| 64 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
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Advisory Fees and Expense Ratios
The Trustees considered the contractual advisory fee rate and administration fee rate paid by each Fund to the Adviser and compared the combined rate to the information prepared by Broadridge concerning management fee rates paid by other funds in the same Broadridge category as each Fund. The Trustees recognized that Broadridge reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund and noted that Universe and Peer Group rankings were not calculated if the number of funds in the Universe and/or Peer Groups did not meet a predetermined minimum. For each Fund that had a Fee Cap in place, the Trustees considered the net advisory fee rate and net expense ratio for each class, as applicable, taking into account any waivers and/or reimbursements. The Trustees also considered any proposed changes to a Fee Cap, and, where deemed appropriate by the Trustees, additional waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:
The Trustees noted that the Macro Opportunities Fund’s net advisory fee for both Class A and Class I shares was in the first quintile based upon both the Peer Group and Universe, and that the actual total expenses for both Class A and Class I shares were in the first and second quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class R6
shares were both in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Opportunistic Equity Long/Short Fund’s net advisory fee for Class A shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the fourth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were both in the third and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Class R6 shares was in the third and fourth quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class R6 shares were in the second quintile, based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
The Trustees noted that the Research Market Neutral Fund’s net advisory fee and actual total expenses for Class A shares were both in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee and actual total expenses for Class I shares were both in the first quintile based upon the Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was satisfactory in light of the services provided to the Fund.
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 65 | ||||||||
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(Unaudited)
(Dollar values in thousands)
Certain tax information for the J.P. Morgan Funds is required to be provided to shareholders based upon the Fund’s income and distributions for the taxable year ended October 31, 2021. The information and distributions reported in this letter may differ from the information and taxable distributions reported to the shareholders for the calendar year ending December 31, 2021. The information necessary to complete your income tax returns for the calendar year ending December 31, 2021 will be provided under separate cover.
Dividends Received Deduction (DRD)
Each Fund listed below had the following percentage, or maximum allowable percentage, of ordinary income distributions eligible for the dividends received deduction for corporate shareholders for the fiscal year ended October 31, 2021:
| Dividends Received Deduction |
||||
| JPMorgan Opportunistic Equity Long/Short Fund |
15.08 | % | ||
| JPMorgan Research Market Neutral Fund |
60.18 | |||
Long Term Capital Gain
Each Fund listed below distributed the following amount, or maximum allowable amount, of long-term capital gain dividends for the fiscal year ended October 31, 2021:
| Long-Term Capital Gain Distribution |
||||
| JPMorgan Opportunistic Equity Long/Short Fund |
$ | 3,393 | ||
| JPMorgan Research Market Neutral Fund |
6,527 | |||
Qualified Dividend Income (QDI)
Each Fund listed below had the following amount, or maximum allowable amount, of ordinary income distributions treated as qualified dividends for the fiscal year ended October 31, 2021:
| Qualified Dividend Income |
||||
| JPMorgan Opportunistic Equity Long/Short Fund |
$ | 3,082 | ||
| JPMorgan Research Market Neutral Fund |
1,094 | |||
| 66 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited)
JPM I held a special meeting of shareholders on October 27, 2021, for the purpose of considering and voting upon the election of Trustees, which meeting was adjourned to November 23, 2021 to allow shareholders to vote on the proposal.
When the special meeting reconvened on November 23, 2021, Trustees were elected by the shareholders of all of the series of JPM I, including Opportunistic Equity Long/Short Fund and Research Market Neutral Fund.
The results of the voting were as follows:
| Votes Received (Amounts in thousands) |
||||
| Independent Nominee |
||||
| John F. Finn | ||||
| In Favor |
218,161,076 | |||
| Withheld |
3,798,560 | |||
| Steven P. Fisher | ||||
| In Favor |
219,683,469 | |||
| Withheld |
2,276,167 | |||
| Gary L. French | ||||
| In Favor |
219,573,994 | |||
| Withheld |
2,385,642 | |||
| Kathleen Gallagher | ||||
| In Favor |
219,614,901 | |||
| Withheld |
2,344,735 | |||
| Robert J. Grassi | ||||
| In Favor |
219,652,125 | |||
| Withheld |
2,307,510 | |||
| Frankie D. Hughes | ||||
| In Favor |
219,173,958 | |||
| Withheld |
2,785,677 | |||
| Raymond Kanner | ||||
| In Favor |
219,638,172 | |||
| Withheld |
2,321,463 | |||
| Thomas P. Lemke | ||||
| In Favor |
219,600,003 | |||
| Withheld |
2,359,633 | |||
| Votes Received (Amounts in thousands) |
||||
| Lawrence R. Maffia | ||||
| In Favor |
219,558,283 | |||
| Withheld |
2,401,353 | |||
| Mary E. Martinez | ||||
| In Favor |
219,188,002 | |||
| Withheld |
2,771,634 | |||
| Marilyn McCoy | ||||
| In Favor |
218,775,511 | |||
| Withheld |
3,184,125 | |||
| Robert A. Oden, Jr. | ||||
| In Favor |
218,109,306 | |||
| Withheld |
3,850,330 | |||
| Marian U. Pardo | ||||
| In Favor |
219,504,107 | |||
| Withheld |
2,445,528 | |||
| Emily A. Youssouf | ||||
| In Favor |
219,549,573 | |||
| Withheld |
2,410,062 | |||
| Interested Nominee |
||||
| Robert F. Deutsch | ||||
| In Favor |
219,143,836 | |||
| Withheld |
2,815,799 | |||
| Nina A. Shenker | ||||
| In Favor |
219,183,139 | |||
| Withheld |
2,776,497 | |||
| OCTOBER 31, 2021 | J.P. MORGAN SPECIALTY FUNDS | 67 | ||||||||
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SPECIAL SHAREHOLDER MEETING RESULTS
(Unaudited) (continued)
JPM IV held a special meeting of shareholders on October 27, 2021, for the purpose of considering and voting upon the election of Trustees.
Trustees were elected by the shareholders of all of the series of JPM IV, including Macro Opportunities Fund. The results of the voting were as follows:
| Votes Received (Amounts in thousands) |
||||
| Independent Nominee |
||||
| John F. Finn | ||||
| In Favor |
6,478,459 | |||
| Withheld |
59,314 | |||
| Steven P. Fisher | ||||
| In Favor |
6,504,144 | |||
| Withheld |
33,629 | |||
| Gary L. French | ||||
| In Favor |
6,504,712 | |||
| Withheld |
33,061 | |||
| Kathleen Gallagher | ||||
| In Favor |
6,506,726 | |||
| Withheld |
31,047 | |||
| Robert J. Grassi | ||||
| In Favor |
6,504,765 | |||
| Withheld |
33,008 | |||
| Frankie D. Hughes | ||||
| In Favor |
6,503,505 | |||
| Withheld |
34,269 | |||
| Raymond Kanner | ||||
| In Favor |
6,505,098 | |||
| Withheld |
32,675 | |||
| Thomas P. Lemke | ||||
| In Favor |
6,504,411 | |||
| Withheld |
33,363 | |||
| Votes Received (Amounts in thousands) |
||||
| Lawrence R. Maffia | ||||
| In Favor |
6,504,157 | |||
| Withheld |
33,616 | |||
| Mary E. Martinez | ||||
| In Favor |
6,506,889 | |||
| Withheld |
30,885 | |||
| Marilyn McCoy | ||||
| In Favor |
6,507,227 | |||
| Withheld |
30,546 | |||
| Robert A. Oden, Jr. | ||||
| In Favor |
6,492,324 | |||
| Withheld |
45,450 | |||
| Marian U. Pardo | ||||
| In Favor |
6,505,978 | |||
| Withheld |
31,796 | |||
| Emily A. Youssouf | ||||
| In Favor |
6,506,064 | |||
| Withheld |
31,710 | |||
| Interested Nominee |
||||
| Robert F. Deutsch | ||||
| In Favor |
6,503,180 | |||
| Withheld |
34,594 | |||
| Nina A. Shenker | ||||
| In Favor |
6,505,581 | |||
| Withheld |
32,193 | |||
| 68 | J.P. MORGAN SPECIALTY FUNDS | OCTOBER 31, 2021 | ||||||||
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Rev. January 2011
| FACTS | WHAT DOES J.P. MORGAN FUNDS DO WITH YOUR PERSONAL INFORMATION? | |
| Why? | Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do. |
| What? | The types of personal information we collect and share depend on the product or service you have with us. This information can include:
◾ Social Security number and account balances
◾ transaction history and account transactions
◾ checking account information and wire transfer instructions
When you are no longer our customer, we continue to share your information as described in this notice. |
| How? | All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons J.P. Morgan Funds chooses to share; and whether you can limit this sharing. |
| Reasons we can share your personal information | Does J.P. Morgan Funds share? |
Can you limit
this sharing? | ||
| For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus |
Yes | No | ||
| For marketing purposes — to offer our products and services to you |
Yes | No | ||
| For joint marketing with other financial companies | No | We don’t share | ||
| For our affiliates’ everyday business purposes — information about your transactions and experiences |
No | We don’t share | ||
| For our affiliates’ everyday business purposes — information about your creditworthiness |
No | We don’t share | ||
| For nonaffiliates to market to you | No | We don’t share | ||
| Questions? | Call 1-800-480-4111 or go to www.jpmorganfunds.com | |
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|
Page 2 |
||
| Who we are | ||
| Who is providing this notice? | J.P. Morgan Funds | |
| What we do | ||
| How does J.P. Morgan Funds protect my personal information? | To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings. We authorize our employees to access your information only when they need it to do their work and we require companies that work for us to protect your information. | |
| How does J.P. Morgan Funds collect my personal information? |
We collect your personal information, for example, when you:
◾ open an account or provide contact information
◾ give us your account information or pay us by check
◾ make a wire transfer
We also collect your personal information from others, such as credit bureaus, affiliates and other companies. | |
| Why can’t I limit all sharing? | Federal law gives you the right to limit only
◾ sharing for affiliates’ everyday business purposes – information about your creditworthiness
◾ affiliates from using your information to market to you
◾ sharing for nonaffiliates to market to you
State laws and individual companies may give you additional rights to limit sharing. | |
| Definitions | ||
| Affiliates | Companies related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with our affiliates. | |
| Nonaffiliates | Companies not related by common ownership or control. They can be financial and nonfinancial companies.
◾ J.P. Morgan Funds does not share with nonaffiliates so they can market to you. | |
| Joint Marketing | A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
◾ J.P. Morgan Funds doesn’t jointly market. | |
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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.
Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.
Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure, by visiting www.sipc.org or by calling SIPC at 202-371-8300.
Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC as an exhibit to its report on Form N-PORT. The Funds’ Form N-PORT reports are available on the SEC’s website at http://www.sec.gov. Each Fund’s quarterly holdings can be found by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.
A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectuses and Statement of Additional Information.
A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.
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J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co. and its affiliates worldwide.
| © JPMorgan Chase & Co., 2021. All rights reserved. October 2021. | AN-SPEC-1021 |
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ITEM 2. CODE OF ETHICS.
Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.
The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 13(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.
If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.
The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer and principal financial officer. There were no amendments to the code of ethics or waivers granted with respect to the code of ethics in the period covered by the report.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:
(i) Has at least one audit committee financial expert serving on its audit committee; or
(ii) Does not have an audit committee financial expert serving on its audit committee.
The Registrant’s Board of Trustees has determined that the Registrant has at least one audit committee financial expert serving on its audit committee. The Securities and Exchange Commission has stated that the designation or identification of a person as an audit committee financial expert pursuant to this Item 3 of Form N-CSR does not impose on such person any duties, obligations or liabilities that are greater than the duties, obligations and liabilities imposed on such person as a member of the Audit Committee and the Board of Trustees in the absence of such designation or identification.
(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:
(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or
(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).
The audit committee financial expert is Dennis P. Harrington. He is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for purposes of audit committee financial expert determinations.
On April 1, 2021, Kathleen M. Gallagher replaced Dennis P. Harrington as the audit committee financial expert. Ms. Gallagher is not an “interested person” of the Registrant and is also “independent” as defined by the U.S. Securities and Exchange Commission for the purposes of the audit committee financial expert determination.
(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.
Not applicable.
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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional
services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.
AUDIT FEES
2021 – $ 238,801
2020 – $ 290,593
(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
AUDIT-RELATED FEES
2021 – $ 35,724
2020 – $ 47,694
Audit-related fees consists of semi-annual financial statement reviews and security count procedures performed as required under Rule 17f-2 of the Investment Company Act of 1940 during the Registrant’s fiscal year.
(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
TAX FEES
2021 – $ 63,749
2020 – $ 63,720
The tax fees consist of fees billed in connection with preparing the federal regulated investment company income tax returns for the Registrant for the tax years ended October 31, 2021 and 2020, respectively.
For the last fiscal year, no tax fees were required to be approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X.
(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.
ALL OTHER FEES
2021 – Not applicable
2020 – Not applicable
(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.
Pursuant to the Registrant’s Audit Committee Charter and written policies and procedures for the pre-approval of audit and non-audit services (the “Pre-approval Policy”), the Audit Committee pre-approves all audit and non-audit services performed by the Registrant’s independent public registered accounting firm for the Registrant. In addition, the Audit Committee pre-approves the auditor’s engagement for non-audit services with the Registrant’s investment adviser (not including a sub-adviser whose role is primarily portfolio management and is sub-contracted or overseen by another investment adviser) and any Service Affiliate in accordance with paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, if the engagement relates directly to the operations and financial reporting of the Registrant. Proposed services may be pre-approved either 1) without consideration of specific case-by-case services or 2) require the specific pre-approval of the Audit Committee. Therefore, initially the Pre-approval Policy listed a number of audit and non-audit services that have been approved by the Audit Committee, or which were not subject to pre-approval under the transition provisions of Sarbanes-Oxley Act of 2002 (the “Pre-approval List”). The Audit Committee annually reviews and pre-approves the services included on the Pre-approval List
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that may be provided by the independent public registered accounting firm without obtaining additional specific pre-approval of individual services from the Audit Committee. The Audit Committee adds to, or subtracts from, the list of general pre-approved services from time to time, based on subsequent determinations. All other audit and non-audit services not on the Pre-approval List must be specifically pre-approved by the Audit Committee.
One or more members of the Audit Committee may be appointed as the Committee’s delegate for the purposes of considering whether to approve such services. Any pre-approvals granted by the delegate will be reported, for informational purposes only, to the Audit Committee at its next scheduled meeting. The Audit Committee’s responsibilities to pre-approve services performed by the independent public registered accounting firm are not delegated to management.
(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.
2021 – 0.0%
2020 – 0.0%
(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.
Not applicable—Less than 50%.
(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.
The aggregate non-audit fees billed by the independent registered public accounting firm for services rendered to the Registrant, and rendered to Service Affiliates, for the last two calendar year ends were:
2020—$ 30.1 million
2019—$ 30.3 million
(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.
The Registrant’s Audit Committee has considered whether the provision of the non-audit services that were rendered to Service Affiliates that were not pre-approved (not requiring pre-approval) is compatible with maintaining the independent public registered accounting firm’s independence. All services provided by the independent public registered accounting firm to the Registrant or to Service Affiliates that were required to be pre-approved were pre-approved as required.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.
(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.
Not applicable.
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ITEM 6. INVESTMENTS.
File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.
Included in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.
No material changes to report.
ITEM 11. CONTROLS AND PROCEDURES.
(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).
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-CSR 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-CSR 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) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.
There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
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ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 13. EXHIBITS.
| (a) | File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated. |
(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.
(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).
(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.
Not applicable.
| (b) | A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940. |
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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.
| JPMorgan Trust IV | ||
| By: | /s/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| December 30, 2021 | ||
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/ Brian S. Shlissel | |
| Brian S. Shlissel | ||
| President and Principal Executive Officer | ||
| December 30, 2021 | ||
| By: | /s/ Timothy J. Clemens | |
| Timothy J. Clemens | ||
| Treasurer and Principal Financial Officer | ||
| December 30, 2021 | ||