N-Q 1 d23054.htm

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF

REGISTERED MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number: 811-04236

 

JPMorgan Trust II

(Exact name of registrant as specified in charter)

 

245 Park Avenue

New York, New York 10167

(Address of principal executive offices) (Zip code)

 

John Fitzgerald

245 Park Avenue

New York, New York 10167

(Name and Address of Agent for Service)

 

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

 

Date of fiscal year end: June 30

 

Date of reporting period: March 31, 2008

 

ITEM 1. SCHEDULE OF INVESTMENTS.

 

JPMorgan Trust II

Schedule of Portfolio Investments as of March 31, 2008

(Unaudited)

 

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

 

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

 

JPMorgan Distribution Services, Inc.

 

© J.P. Morgan Chase & Co., 2006.

 


JPMorgan Diversified Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Long-Term Investments — 97.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks — 97.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense2.0%

 

 

 

 

 

85

 

Precision Castparts Corp.

 

 

8,704

 

 

183

 

Rockwell Collins, Inc.

 

 

10,431

 

 

 

 

 

 

   

 

 

 

 

 

 

 

19,135

 

 

 

 

 

 

   

 

 

 

 

Auto Components3.4%

 

 

 

 

 

196

 

BorgWarner, Inc.

 

 

8,453

 

 

843

 

Gentex Corp. (c)

 

 

14,463

 

 

212

 

WABCO Holdings, Inc.

 

 

9,685

 

 

 

 

 

 

   

 

 

 

 

 

 

 

32,601

 

 

 

 

 

 

   

 

 

 

 

Biotechnology2.7%

 

 

 

 

 

225

 

BioMarin Pharmaceutical, Inc. (a) (c)

 

 

7,962

 

 

190

 

Celgene Corp. (a)

 

 

11,636

 

 

401

 

Millennium Pharmaceuticals, Inc. (a)

 

 

6,198

 

 

 

 

 

 

   

 

 

 

 

 

 

 

25,796

 

 

 

 

 

 

   

 

 

 

 

Capital Markets6.7%

 

 

 

 

 

87

 

Affiliated Managers Group, Inc. (a) (c)

 

 

7,932

 

 

331

 

Investment Technology Group, Inc. (a)

 

 

15,287

 

 

129

 

Northern Trust Corp.

 

 

8,589

 

 

625

 

Och-Ziff Capital Management Group LLC, Class A

 

 

13,127

 

 

158

 

T. Rowe Price Group, Inc. (c)

 

 

7,911

 

 

706

 

TD AMERITRADE Holding Corp. (a) (c)

 

 

11,652

 

 

 

 

 

 

   

 

 

 

 

 

 

 

64,498

 

 

 

 

 

 

   

 

 

 

 

Chemicals2.3%

 

 

 

 

 

234

 

Ecolab, Inc.

 

 

10,147

 

 

375

 

Rockwood Holdings, Inc. (a)

 

 

12,279

 

 

 

 

 

 

   

 

 

 

 

 

 

 

22,426

 

 

 

 

 

 

   

 

 

 

 

Commercial Services & Supplies4.9%

 

 

 

 

 

591

 

Corrections Corp. of America (a)

 

 

16,262

 

 

302

 

Stericycle, Inc. (a)

 

 

15,569

 

 

502

 

Waste Connections, Inc. (a)

 

 

15,436

 

 

 

 

 

 

   

 

 

 

 

 

 

 

47,267

 

 

 

 

 

 

   

 

 

 

 

Communications Equipment1.2%

 

 

 

 

 

241

 

Harris Corp.

 

 

11,699

 

 

 

 

 

 

   

 

 

 

 

Computers & Peripherals0.8%

 

 

 

 

 

390

 

Seagate Technology, (Cayman Islands) (c)

 

 

8,172

 

 

 

 

 

 

   

 

 

 

 

Construction & Engineering0.8%

 

 

 

 

 

164

 

Shaw Group, Inc. (The) (a)

 

 

7,733

 

 

 

 

 

 

   

 

 

 

 

Diversified Consumer Services0.6%

 

 

 

 

 

129

 

Apollo Group, Inc., Class A (a)

 

 

5,591

 

 

 

 

 

 

   

 

 

 

 

Diversified Financial Services2.0%

 

 

 

 

 

415

 

Interactive Brokers Group, Inc., Class A (a) (c)

 

 

10,649

 

 

96

 

Nymex Holdings, Inc.

 

 

8,700

 

 

 

 

 

 

   

 

 

 

 

 

 

 

19,349

 

 

 

 

 

 

   

 

 

 

 

Diversified Telecommunication Services — 1.9%

 

 

 

 

 

1,211

 

Time Warner Telecom, Inc., Class A (a) (c)

 

 

18,753

 

 

 

 

 

 

   

 

 

 

 

Electrical Equipment3.3%

 

 

 

 

 

41

 

First Solar, Inc. (a)

 

 

9,414

 

 

149

 

General Cable Corp. (a)

 

 

8,772

 

 

240

 

Roper Industries, Inc.

 

 

14,294

 

 

 

 

 

 

   

 

 

 

 

 

 

 

32,480

 

 

 

 

 

 

   

 

 

 

 

Electronic Equipment & Instruments4.5%

 

 

 

 

 

665

 

Amphenol Corp., Class A

 

 

24,782

 

 

263

 

Dolby Laboratories, Inc., Class A (a)

 

 

9,554

 

 

322

 

FLIR Systems, Inc. (a)

 

 

9,702

 

 

 

 

 

 

   

 

 

 

 

 

 

 

44,038

 

 

 

 

 

 

   

 

 

 

 

Energy Equipment & Services5.6%

 

 

 

 

 

293

 

Cameron International Corp. (a)

 

 

12,196

 

 

159

 

Exterran Holdings, Inc. (a)

 

 

10,271

 

 

259

 

Helmerich & Payne, Inc.

 

 

12,130

 

 

141

 

National Oilwell Varco, Inc. (a)

 

 

8,237

 

 

184

 

Oceaneering International, Inc. (a)

 

 

11,563

 

 

 

 

 

 

   

 

 

 

 

 

 

 

54,397

 

 

 

 

 

 

   

 

 

 

 

Food & Staples Retailing1.3%

 

 

 

 

 

381

 

Whole Foods Market, Inc. (c)

 

 

12,546

 

 

 

 

 

 

   

 

 

 

 

Food Products1.3%

 

 

 

 

 

198

 

Wm. Wrigley Jr., Co.

 

 

12,423

 

 

 

 

 

 

   

 

 

 

 

Gas Utilities1.5%

 

 

 

 

 

255

 

Questar Corp.

 

 

14,427

 

 

 

 

 

 

   

 

 

 

 

Health Care Equipment & Supplies5.0%

 

 

 

 

 

126

 

Beckman Coulter, Inc.

 

 

8,149

 

 

356

 

Dentsply International, Inc.

 

 

13,739

 

 

260

 

Hologic, Inc. (a)

 

 

14,431

 



JPMorgan Diversified Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Long-Term Investments — Continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Health Care Equipment & Supplies — Continued

 

 

 

 

 

244

 

IDEXX Laboratories, Inc. (a)

 

 

12,029

 

 

 

 

 

 

   

 

 

 

 

 

 

 

48,348

 

 

 

 

 

 

   

 

 

 

 

Health Care Providers & Services3.4%

 

 

 

 

 

183

 

Coventry Health Care, Inc. (a)

 

 

7,372

 

 

220

 

DaVita, Inc. (a)

 

 

10,505

 

 

138

 

Humana, Inc. (a)

 

 

6,212

 

 

332

 

VCA Antech, Inc. (a)

 

 

9,071

 

 

 

 

 

 

   

 

 

 

 

 

 

 

33,160

 

 

 

 

 

 

   

 

 

 

 

Health Care Technology1.0%

 

 

 

 

 

248

 

Cerner Corp. (a) (c)

 

 

9,237

 

 

 

 

 

 

   

 

 

 

 

Hotels, Restaurants & Leisure1.3%

 

 

 

 

 

443

 

Burger King Holdings, Inc. (c)

 

 

12,245

 

 

 

 

 

 

   

 

 

 

 

Household Durables0.9%

 

 

 

 

 

165

 

Garmin Ltd., (Cayman Islands) (c)

 

 

8,936

 

 

 

 

 

 

   

 

 

 

 

Industrial Conglomerates1.0%

 

 

 

 

 

182

 

McDermott International, Inc. (a)

 

 

9,982

 

 

 

 

 

 

   

 

 

 

 

Insurance1.0%

 

 

 

 

 

298

 

Philadelphia Consolidated Holding Co. (a)

 

 

9,579

 

 

 

 

 

 

   

 

 

 

 

Internet Software & Services0.5%

 

 

 

 

 

227

 

DealerTrack Holdings, Inc. (a)

 

 

4,592

 

 

 

 

 

 

   

 

 

 

 

IT Services4.4%

 

 

 

 

 

625

 

Genpact Ltd., (Bermuda) (a) (c)

 

 

7,657

 

 

123

 

MasterCard, Inc., Class A (c)

 

 

27,479

 

 

457

 

VeriFone Holdings, Inc. (a) (c)

 

 

7,258

 

 

 

 

 

 

   

 

 

 

 

 

 

 

42,394

 

 

 

 

 

 

   

 

 

 

 

Life Sciences Tools & Services3.0%

 

 

 

 

 

191

 

Covance, Inc. (a)

 

 

15,832

 

 

179

 

Illumina, Inc. (a) (c)

 

 

13,570

 

 

 

 

 

 

   

 

 

 

 

 

 

 

29,402

 

 

 

 

 

 

   

 

 

 

 

Machinery3.5%

 

 

 

 

 

70

 

Bucyrus International, Inc., Class A (c)

 

 

7,085

 

 

164

 

Cummins, Inc.

 

 

7,697

 

 

253

 

Kaydon Corp.

 

 

11,096

 

 

233

 

Pall Corp.

 

 

8,163

 

 

 

 

 

 

   

 

 

 

 

 

 

 

34,041

 

 

 

 

 

 

   

 

 

 

 

Media1.7%

 

 

 

 

 

266

 

John Wiley & Sons, Inc., Class A

 

 

10,563

 

 

98

 

Morningstar, Inc. (a)

 

 

6,019

 

 

 

 

 

 

   

 

 

 

 

 

 

 

16,582

 

 

 

 

 

 

   

 

 

 

 

Metals & Mining1.1%

 

 

 

 

 

154

 

Century Aluminum Co. (a)

 

 

10,200

 

 

 

 

 

 

   

 

 

 

 

Multiline Retail0.4%

 

 

 

 

 

340

 

Saks, Inc. (a) (c)

 

 

4,242

 

 

 

 

 

 

   

 

 

 

 

Office Electronics1.0%

 

 

 

 

 

286

 

Zebra Technologies Corp., Class A (a)

 

 

9,531

 

 

 

 

 

 

   

 

 

 

 

Oil, Gas & Consumable Fuels5.9%

 

 

 

 

 

309

 

Cabot Oil & Gas Corp.

 

 

15,709

 

 

411

 

Forest Oil Corp. (a)

 

 

20,131

 

 

116

 

Peabody Energy Corp.

 

 

5,903

 

 

450

 

Southwestern Energy Co. (a)

 

 

15,165

 

 

 

 

 

 

   

 

 

 

 

 

 

 

56,908

 

 

 

 

 

 

   

 

 

 

 

Pharmaceuticals1.4%

 

 

 

 

 

86

 

Allergan, Inc.

 

 

4,838

 

 

157

 

Shire plc. ADR, (United Kingdom)

 

 

9,080

 

 

 

 

 

 

   

 

 

 

 

 

 

 

13,918

 

 

 

 

 

 

   

 

 

 

 

Road & Rail1.9%

 

 

 

 

 

315

 

J.B. Hunt Transport Services, Inc.

 

 

9,903

 

 

162

 

Norfolk Southern Corp.

 

 

8,773

 

 

 

 

 

 

   

 

 

 

 

 

 

 

18,676

 

 

 

 

 

 

   

 

 

 

 

Semiconductors & Semiconductor Equipment4.5%

 

 

 

 

 

352

 

Broadcom Corp., Class A (a)

 

 

6,791

 

 

215

 

KLA-Tencor Corp.

 

 

7,988

 

 

182

 

MEMC Electronic Materials, Inc. (a)

 

 

12,897

 

 

570

 

NVIDIA Corp. (a)

 

 

11,280

 

 

248

 

Tessera Technologies, Inc. (a) (c)

 

 

5,161

 

 

 

 

 

 

   

 

 

 

 

 

 

 

44,117

 

 

 

 

 

 

   

 

 

 

 

Software4.6%

 

 

 

 

 

339

 

Amdocs Ltd., (United Kingdom) (a)

 

 

9,628

 

 

248

 

ANSYS, Inc. (a)

 

 

8,571

 

 

203

 

Autodesk, Inc. (a)

 

 

6,399

 

 

249

 

Electronic Arts, Inc. (a) (c)

 

 

12,422

 

 

436

 

Nuance Communications, Inc. (a)

 

 

7,590

 

 

 

 

 

 

   

 

 

 

 

 

 

 

44,610

 

 

 

 

 

 

   

 



JPMorgan Diversified Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Long-Term Investments — Continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Specialty Retail — 3.0%

 

 

 

 

 

122

 

Best Buy Co., Inc.

 

 

5,070

 

 

222

 

J Crew Group, Inc. (a) (c)

 

 

9,791

 

 

112

 

Penske Auto Group, Inc. (c)

 

 

2,173

 

 

388

 

Urban Outfitters, Inc. (a)

 

 

12,176

 

 

 

 

 

 

   

 

 

 

 

 

 

 

29,210

 

 

 

 

 

 

   

 

 

 

 

Total Long-Term Investments
(Cost $873,994)

 

 

943,241

 

 

 

 

 

 

   

 

 

 

 

 

 

Short-Term Investment — 2.4%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Company — 2.4%

 

 

 

 

 

23,634

 

JPMorgan Liquid Assets Money
Market Fund, Institutional Class
(Cost $23,634) (b) (m)

 

 

23,634

 

 

 

 

 

 

   

 


 

 

 

 

 

 

 

 

PRINCIPAL
AMOUNT ($)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Investments of Cash Collateral for Securities on Loan — 9.6%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Certificate of Deposit — 0.5%

 

 

 

 

 

4,500

 

Calyon, New York, FRN, 2.40%,
03/15/10

 

 

4,499

 

 

 

 

 

 

   

 

 

 

 

Corporate Notes — 6.3%

 

 

 

 

 

5,000

 

Banque Federative du Credit
Mutuel, (France), FRN, 2.90%,
08/01/08

 

 

5,000

 

 

5,000

 

BBVA U.S. Senior SAU, (Spain),
FRN, 2.95%, 03/12/10

 

 

4,979

 

 

9,700

 

Caixa d’Estalvis de Catalunya,
(Spain), FRN, 3.04%, 06/30/08

 

 

9,691

 

 

5,000

 

First Tennessee Bank N.A., FRN,
2.84%, 08/15/08

 

 

5,000

 

 

6,000

 

General Electric Capital Corp.,
FRN, 2.40%, 03/12/10

 

 

5,928

 

 

5,000

 

Macquarie Bank Ltd., (Australia),
FRN, 2.62%, 08/20/08

 

 

5,000

 

 

1,000

 

Monumental Global Funding III,
FRN, 2.40%, 03/26/10

 

 

1,000

 

 

7,000

 

Monumental Global Funding III,
FRN, 3.14%, 05/24/10

 

 

6,855

 

 

5,000

 

National Rural Utilities
Cooperative Finance Corp., FRN,
3.12%, 09/04/08

 

 

5,000

 

 

6,000

 

Nationwide Building Society,
(United Kingdom), FRN, 3.14%,
07/03/08

 

 

6,000

 

 

2,000

 

Pricoa Global Funding I, FRN,
2.41%, 12/15/09

 

 

2,000

 

 

5,000

 

Pricoa Global Funding I, FRN,
2.65%, 09/26/08

 

 

5,000

 

 

 

 

 

 

   

 

 

 

 

 

 

 

61,453

 

 

 

 

 

 

   

 

 

 

 

Repurchase Agreements — 2.1%

 

 

 

 

 

4,000

 

Barclays Capital, Inc., 2.50%,
dated 03/31/08, due 04/01/08,
repurchase price $4,000,
collateralized by U.S. Government
Agency Mortgages

 

 

4,000

 

 

11,970

 

Credit Suisse (USA) LLC, 3.01%,
dated 03/31/08, due 04/01/08,
repurchase price $11,971,
collateralized by U.S. Government
Agency Mortgages

 

 

11,970

 

 

4,000

 

Lehman Brothers, Inc., 2.99%,
dated 03/31/08, due 04/01/08,
repurchase price $4,000,
collateralized by U.S. Government
Agency Mortgages

 

 

4,000

 

 

 

 

 

 

   

 

 

 

 

 

 

 

19,970

 

 

 

 

 

 

   

 

 

 

 

Time Deposits — 0.7%

 

 

 

 

 

2,000

 

Caisse Nationale des Caisses
d’Epargne, (France), 3.10%,
04/01/08

 

 

2,000

 

 

3,000

 

Dresdner Bank, 3.50%, 04/01/08

 

 

3,000

 

 

2,000

 

ING Bank NV, Seoul, 3.60%,
04/01/08

 

 

2,000

 

 

 

 

 

 

   

 

 

 

 

 

 

 

7,000

 

 

 

 

 

 

   

 

 

 

 

Total Investments of Cash
Collateral for Securities on Loan
(Cost $93,169)

 

 

92,922

 

 

 

 

 

 

   

 

 

 

 

Total Investments — 109.3%
(Cost $990,797)

 

 

1,059,797

 

 

 

 

 

 

Liabilities in Excess of Other
Assets — (9.3)%

 

 

(90,589

)

 

 

 

 

 

   

 

 

 

 

 

 

NET ASSETS — 100.0%

 

$

969,208

 

 

 

 

 

 

   

 


 

 

Percentages indicated are based on net assets.



JPMorgan Diversified Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

As of March 31, 2008, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

 

 

 

 

Aggregate gross unrealized appreciation

 

$

141,411

 

Aggregate gross unrealized depreciation

 

 

(72,410

)

 

 

   

 

Net unrealized appreciation/depreciation

 

$

69,001

 

 

 

   

 

Federal income tax cost of investments

 

$

990,797

 

 

 

   

 


 

 

ABBREVIATIONS AND DEFINITIONS:

 

 

ADR

American Depositary Receipt

 

 

FRN

Floating Rate Note. The interest rate shown is the rate in effect as of 3/31/2008.

 

 

(a)

Non-income producing security.

 

 

(b)

Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc.

 

 

(c)

Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

 

 

(m)

All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reserve purchase agreements.



JPMorgan Diversified Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Long-Term Investments — 99.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Common Stocks — 99.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aerospace & Defense — 2.3%

 

 

 

 

 

45

 

Alliant Techsystems, Inc. (a)

 

 

4,655

 

 

132

 

Spirit Aerosystems Holdings, Inc., Class A (a)

 

 

2,921

 

 

 

 

 

 

   

 

 

 

 

 

 

 

7,576

 

 

 

 

 

 

   

 

 

 

 

Auto Components — 0.7%

 

 

 

 

 

48

 

WABCO Holdings, Inc.

 

 

2,203

 

 

 

 

 

 

   

 

 

 

 

Beverages — 1.8%

 

 

 

 

 

44

 

Brown-Forman Corp., Class B

 

 

2,918

 

 

79

 

Fomento Economico Mexicano

 

 

3,280

 

 

 

 

 

 

   

 

 

 

 

S.A.B. de C.V. ADR, (Mexico)

 

 

6,198

 

 

 

 

 

 

   

 

 

 

 

Building Products — 1.0%

 

 

 

 

 

188

 

Owens Corning, Inc. (a) (c)

 

 

3,407

 

 

 

 

 

 

   

 

 

 

 

Capital Markets — 3.2%

 

 

 

 

 

36

 

Affiliated Managers Group, Inc. (a)

 

 

3,257

 

 

120

 

Charles Schwab Corp. (The)

 

 

2,254

 

 

83

 

Cohen & Steers, Inc. (c)

 

 

2,207

 

 

15

 

Northern Trust Corp.

 

 

977

 

 

41

 

T. Rowe Price Group, Inc.

 

 

2,059

 

 

 

 

 

 

   

 

 

 

 

 

 

 

10,754

 

 

 

 

 

 

   

 

 

 

 

Chemicals — 4.1%

 

 

 

 

 

107

 

Albemarle Corp.

 

 

3,896

 

 

39

 

Lubrizol Corp.

 

 

2,154

 

 

46

 

PPG Industries, Inc.

 

 

2,771

 

 

52

 

Rohm & Haas Co.

 

 

2,823

 

 

36

 

Sigma-Aldrich Corp.

 

 

2,130

 

 

 

 

 

 

   

 

 

 

 

 

 

 

13,774

 

 

 

 

 

 

   

 

 

 

 

Commercial Banks — 5.0%

 

 

 

 

 

51

 

City National Corp.

 

 

2,508

 

 

90

 

Cullen/Frost Bankers, Inc.

 

 

4,747

 

 

44

 

East West Bancorp, Inc. (c)

 

 

776

 

 

56

 

M&T Bank Corp.

 

 

4,522

 

 

292

 

Synovus Financial Corp. (c)

 

 

3,224

 

 

53

 

United Community Banks, Inc. (c)

 

 

907

 

 

 

 

 

 

   

 

 

 

 

 

 

 

16,684

 

 

 

 

 

 

   

 

 

 

 

Commercial Services & Supplies — 0.6%

 

 

 

 

 

68

 

Republic Services, Inc.

 

 

1,982

 

 

 

 

 

 

   

 

 

 

 

Computers & Peripherals — 0.6%

 

 

 

 

 

88

 

NCR Corp. (a)

 

 

2,002

 

 

 

 

 

 

   

 

 

 

 

Construction Materials — 1.1%

 

 

 

 

 

67

 

Cemex S.A.B. de C.V. ADR, (Mexico) (a)

 

 

1,758

 

 

30

 

Vulcan Materials Co. (c)

 

 

1,965

 

 

 

 

 

 

   

 

 

 

 

 

 

 

3,723

 

 

 

 

 

 

   

 

 

 

 

Containers & Packaging — 0.8%

 

 

 

 

 

39

 

Ball Corp.

 

 

1,787

 

 

79

 

Temple-Inland, Inc. (c)

 

 

1,002

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,789

 

 

 

 

 

 

   

 

 

 

 

Distributors — 0.8%

 

 

 

 

 

66

 

Genuine Parts Co.

 

 

2,634

 

 

 

 

 

 

   

 

 

 

 

Diversified Telecommunication Services — 1.3%

 

 

 

 

 

59

 

CenturyTel, Inc.

 

 

1,944

 

 

183

 

Qwest Communications International, Inc. (c)

 

 

831

 

 

141

 

Windstream Corp.

 

 

1,691

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,466

 

 

 

 

 

 

   

 

 

 

 

Electric Utilities — 4.1%

 

 

 

 

 

119

 

American Electric Power Co., Inc.

 

 

4,957

 

 

58

 

Edison International

 

 

2,835

 

 

42

 

FirstEnergy Corp.

 

 

2,882

 

 

135

 

Westar Energy, Inc.

 

 

3,083

 

 

 

 

 

 

   

 

 

 

 

 

 

 

13,757

 

 

 

 

 

 

   

 

 

 

 

Electrical Equipment — 0.7%

 

 

 

 

 

51

 

Ametek, Inc.

 

 

2,220

 

 

 

 

 

 

   

 

 

 

 

Electronic Equipment & Instruments — 1.7%

 

 

 

 

 

60

 

Amphenol Corp., Class A

 

 

2,250

 

 

101

 

Arrow Electronics, Inc. (a)

 

 

3,409

 

 

 

 

 

 

   

 

 

 

 

 

 

 

5,659

 

 

 

 

 

 

   

 

 

 

 

Energy Equipment & Services — 1.4%

 

 

 

 

 

96

 

Helix Energy Solutions Group, Inc. (a)

 

 

3,037

 

 

31

 

Unit Corp. (a)

 

 

1,756

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,793

 

 

 

 

 

 

   

 

 

 

 

Food & Staples Retailing — 2.6%

 

 

 

 

 

63

 

Great Atlantic & Pacific Tea Co., Inc. (a) (c)

 

 

1,644

 

 

167

 

Safeway, Inc.

 

 

4,890

 

 

72

 

SUPERVALU, Inc.

 

 

2,161

 

 

 

 

 

 

   

 

 

 

 

 

 

 

8,695

 

 

 

 

 

 

   

 



JPMorgan Diversified Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited) (continued)
(Amounts in thousands)

 

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Long-Term Investments — Continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Food Products — 1.4%

 

 

 

 

 

43

 

Archer-Daniels-Midland Co.

 

 

1,766

 

 

103

 

Dean Foods Co.

 

 

2,059

 

 

16

 

Wm. Wrigley, Jr., Co.

 

 

1,016

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,841

 

 

 

 

 

 

   

 

 

 

 

Gas Utilities — 3.0%

 

 

 

 

 

42

 

Energen Corp.

 

 

2,598

 

 

76

 

ONEOK, Inc.

 

 

3,392

 

 

36

 

Questar Corp.

 

 

2,042

 

 

82

 

UGI Corp.

 

 

2,051

 

 

 

 

 

 

   

 

 

 

 

 

 

 

10,083

 

 

 

 

 

 

   

 

 

 

 

Health Care Equipment & Supplies — 0.3%

 

 

 

 

 

12

 

Becton, Dickinson & Co.

 

 

1,056

 

 

 

 

 

 

   

 

 

 

 

Health Care Providers & Services — 2.8%

 

 

 

 

 

148

 

Community Health Systems, Inc. (a)

 

 

4,951

 

 

73

 

Coventry Health Care, Inc. (a)

 

 

2,960

 

 

58

 

Lincare Holdings, Inc. (a)

 

 

1,642

 

 

 

 

 

 

   

 

 

 

 

 

 

 

9,553

 

 

 

 

 

 

   

 

 

 

 

Hotels, Restaurants & Leisure — 4.1%

 

 

 

 

 

147

 

Burger King Holdings, Inc.

 

 

4,058

 

 

138

 

Marriott International, Inc., Class A

 

 

4,748

 

 

13

 

MGM Mirage (a)

 

 

777

 

 

87

 

Vail Resorts, Inc. (a) (c)

 

 

4,187

 

 

 

 

 

 

   

 

 

 

 

 

 

 

13,770

 

 

 

 

 

 

   

 

 

 

 

Household Durables — 2.2%

 

 

 

 

 

68

 

Fortune Brands, Inc.

 

 

4,712

 

 

24

 

Jarden Corp. (a) (c)

 

 

514

 

 

44

 

KB Home (c)

 

 

1,083

 

 

50

 

Toll Brothers, Inc. (a)

 

 

1,163

 

 

 

 

 

 

   

 

 

 

 

 

 

 

7,472

 

 

 

 

 

 

   

 

 

 

 

Household Products — 0.4%

 

 

 

 

 

21

 

Clorox Co.

 

 

1,198

 

 

 

 

 

 

   

 

 

 

 

Industrial Conglomerates — 0.6%

 

 

 

 

 

61

 

Carlisle Cos., Inc.

 

 

2,023

 

 

 

 

 

 

   

 

 

 

 

Insurance — 9.2%

 

 

 

 

 

63

 

Assurant, Inc.

 

 

3,826

 

 

87

 

Cincinnati Financial Corp.

 

 

3,298

 

 

35

 

Everest Re Group Ltd., (Bermuda)

 

 

3,166

 

 

47

 

IPC Holdings Ltd., (Bermuda)

 

 

1,303

 

 

100

 

Loews Corp.

 

 

4,010

 

 

303

 

Old Republic International Corp.

 

 

3,906

 

 

162

 

OneBeacon Insurance Group Ltd.

 

 

3,087

 

 

33

 

Principal Financial Group, Inc.

 

 

1,828

 

 

58

 

ProAssurance Corp. (a) (c)

 

 

3,111

 

 

34

 

Protective Life Corp.

 

 

1,387

 

 

73

 

W.R. Berkley Corp.

 

 

2,019

 

 

 

 

 

 

   

 

 

 

 

 

 

 

30,941

 

 

 

 

 

 

   

 

 

 

 

Internet & Catalog Retail — 0.6%

 

 

 

 

 

14

 

Amazon.com, Inc. (a)

 

 

1,013

 

 

48

 

Expedia, Inc. (a)

 

 

1,046

 

 

 

 

 

 

   

 

 

 

 

 

 

 

2,059

 

 

 

 

 

 

   

 

 

 

 

IT Services — 2.2%

 

 

 

 

 

65

 

Fidelity National Information Services, Inc.

 

 

2,489

 

 

151

 

Total System Services, Inc.

 

 

3,573

 

 

54

 

Western Union Co. (The)

 

 

1,146

 

 

 

 

 

 

   

 

 

 

 

 

 

 

7,208

 

 

 

 

 

 

   

 

 

 

 

Machinery — 2.6%

 

 

 

 

 

39

 

Dover Corp.

 

 

1,611

 

 

37

 

Harsco Corp.

 

 

2,043

 

 

16

 

Joy Global, Inc.

 

 

1,062

 

 

59

 

Kennametal, Inc.

 

 

1,733

 

 

63

 

Oshkosh Corp.

 

 

2,275

 

 

 

 

 

 

   

 

 

 

 

 

 

 

8,724

 

 

 

 

 

 

   

 

 

 

 

Media — 4.1%

 

 

 

 

 

84

 

AH Belo Corp., Class A (a) (c)

 

 

965

 

 

87

 

Belo Corp., Class A

 

 

914

 

 

88

 

Cablevision Systems Corp., Class A (a)

 

 

1,879

 

 

121

 

Clear Channel Communications, Inc.

 

 

3,546

 

 

80

 

Clear Channel Outdoor Holdings, Inc., Class A (a) (c)

 

 

1,520

 

 

44

 

Lamar Advertising Co., Class A (a) (c)

 

 

1,577

 

 

59

 

Omnicom Group, Inc.

 

 

2,602

 

 

1

 

Washington Post Co. (The), Class B

 

 

801

 

 

 

 

 

 

   

 

 

 

 

 

 

 

13,804

 

 

 

 

 

 

   

 

 

 

 

Metals & Mining — 0.6%

 

 

 

 

 

33

 

Carpenter Technology Corp.

 

 

1,847

 

 

 

 

 

 

   

 



JPMorgan Diversified Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited) (continued)
(Amounts in thousands)

 

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Long-Term Investments — Continued

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Multi-Utilities — 3.8%

 

 

 

 

 

252

 

CMS Energy Corp.

 

 

3,415

 

 

67

 

MDU Resources Group, Inc. (c)

 

 

1,657

 

 

57

 

NSTAR

 

 

1,731

 

 

106

 

PG&E Corp.

 

 

3,885

 

 

110

 

Xcel Energy, Inc.

 

 

2,202

 

 

 

 

 

 

   

 

 

 

 

 

 

 

12,890

 

 

 

 

 

 

   

 

 

 

 

Oil, Gas & Consumable Fuels — 6.6%

 

 

 

 

 

62

 

CVR Energy, Inc. (a) (c)

 

 

1,428

 

 

29

 

Devon Energy Corp.

 

 

3,029

 

 

53

 

Kinder Morgan Management LLC (a)

 

 

2,677

 

 

39

 

Murphy Oil Corp.

 

 

3,228

 

 

41

 

Newfield Exploration Co. (a)

 

 

2,188

 

 

60

 

Penn Virginia Corp. (c)

 

 

2,646

 

 

93

 

Teekay Corp., (Bahamas) (c)

 

 

3,958

 

 

87

 

Williams Cos., Inc.

 

 

2,856

 

 

 

 

 

 

   

 

 

 

 

 

 

 

22,010

 

 

 

 

 

 

   

 

 

 

 

Pharmaceuticals — 0.9%

 

 

 

 

 

169

 

Warner Chilcott Ltd., Class A (a)

 

 

3,042

 

 

 

 

 

 

   

 

 

 

 

Real Estate Investment Trusts (REITs) — 4.6%

 

 

 

 

 

86

 

Cousins Properties, Inc. (c)

 

 

2,135

 

 

93

 

Kimco Realty Corp.

 

 

3,627

 

 

37

 

PS Business Parks, Inc.

 

 

1,899

 

 

24

 

Public Storage

 

 

2,153

 

 

41

 

Rayonier, Inc.

 

 

1,801

 

 

19

 

Regency Centers Corp.

 

 

1,204

 

 

31

 

Vornado Realty Trust

 

 

2,683

 

 

 

 

 

 

   

 

 

 

 

 

 

 

15,502

 

 

 

 

 

 

   

 

 

 

 

Real Estate Management & Development — 1.4%

 

 

 

 

 

67

 

Brookfield Asset Management, Inc., Class A, (Canada)

 

 

1,803

 

 

143

 

Brookfield Properties Corp., (Canada)

 

 

2,770

 

 

 

 

 

 

   

 

 

 

 

 

 

 

4,573

 

 

 

 

 

 

   

 

 

 

 

Software — 0.6%

 

 

 

 

 

85

 

Jack Henry & Associates, Inc. (c)

 

 

2,099

 

 

 

 

 

 

   

 

 

 

 

Specialty Retail — 6.1%

 

 

 

 

 

43

 

Abercrombie & Fitch Co., Class A

 

 

3,138

 

 

42

 

AutoZone, Inc. (a)

 

 

4,770

 

 

42

 

Sherwin-Williams Co. (The)

 

 

2,122

 

 

161

 

Staples, Inc.

 

 

3,551

 

 

103

 

Tiffany & Co.

 

 

4,320

 

 

77

 

TJX Cos., Inc.

 

 

2,553

 

 

 

 

 

 

   

 

 

 

 

 

 

 

20,454

 

 

 

 

 

 

   

 

 

 

 

Textiles, Apparel & Luxury Goods — 3.0%

 

 

 

 

 

91

 

Coach, Inc. (a)

 

 

2,747

 

 

9

 

Columbia Sportswear Co. (c)

 

 

379

 

 

56

 

Phillips-Van Heusen Corp.

 

 

2,135

 

 

61

 

V.F. Corp.

 

 

4,747

 

 

 

 

 

 

   

 

 

 

 

 

 

 

10,008

 

 

 

 

 

 

   

 

 

 

 

Thrifts & Mortgage Finance — 2.8%

 

 

 

 

 

34

 

Federal National Mortgage Association

 

 

887

 

 

72

 

FirstFed Financial Corp. (a) (c)

 

 

1,955

 

 

47

 

Freddie Mac

 

 

1,185

 

 

93

 

Hudson City Bancorp, Inc.

 

 

1,639

 

 

224

 

People’s United Financial, Inc.

 

 

3,869

 

 

 

 

 

 

   

 

 

 

 

 

 

 

9,535

 

 

 

 

 

 

   

 

 

 

 

Tobacco — 1.0%

 

 

 

 

 

47

 

Loews Corp. - Carolina Group

 

 

3,381

 

 

 

 

 

 

   

 

 

 

 

Wireless Telecommunication Services — 0.4%

 

 

 

 

 

37

 

Telephone & Data Systems, Inc.

 

 

1,373

 

 

 

 

 

 

   

 

 

 

 

Total Long-Term Investments
(Cost $304,120)

 

 

332,762

 

 

 

 

 

 

   

 

 

 

 

Short-Term Investment — 1.1%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Investment Company — 1.1%

 

 

 

 

 

3,513

 

JPMorgan Liquid Assets Money
Market Fund, Institutional Class (b) (m)
(Cost $3,513)

 

 

3,513

 

 

 

 

 

 

   

 


 

 

 

 

 

 

 

 

PRINCIPAL
AMOUNT ($)

 

 

 

 

 

 


 

 

 

 

 

 

 

 

 

Investments of Cash Collateral for Securities on Loan — 10.3%

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Certificate of Deposit — 0.7%

 

 

 

 

 

2,500

 

Calyon, New York, FRN, 2.40%,
03/15/10

 

 

2,500

 

 

 

 

 

 

   

 

 

 

 

Corporate Notes — 8.1%

 

 

 

 

 

2,000

 

Banque Federative du Credit
Mutuel, (France), FRN, 2.90%,
08/01/08

 

 

2,000

 

 

4,000

 

BBVA U.S. Senior SAU, (Spain),
FRN, 2.95%, 03/12/10

 

 

3,984

 



JPMorgan Diversified Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited) (continued)
(Amounts in thousands)

 

 

 

 

 

 

 

 

PRINCIPAL
AMOUNT ($)

 

SECURITY DESCRIPTION

 

VALUE ($)

 


 

 

 

Corporate Notes — Continued

 

 

 

 

 

4,000

 

General Electric Capital Corp.,
FRN, 2.40%, 03/12/10

 

 

3,952

 

 

3,000

 

Macquarie Bank Ltd., (Australia),
FRN, 2.62%, 08/20/08

 

 

3,000

 

 

2,000

 

Metropolitan Life Global Funding
I, FRN, 2.59%, 08/21/08

 

 

2,000

 

 

3,000

 

Monumental Global Funding III,
FRN, 3.14%, 05/24/10

 

 

2,938

 

 

3,000

 

Pricoa Global Funding I, FRN,
2.41%, 12/15/09

 

 

3,000

 

 

3,000

 

Unicredito Italiano Bank Ireland
plc (Ireland), FRN, 3.09%,
08/08/08

 

 

3,000

 

 

3,000

 

Wachovia Bank N.A., FRN,
2.36%, 02/23/09

 

 

3,000

 

 

 

 

 

 

   

 

 

 

 

 

 

 

26,874

 

 

 

 

 

 

   

 

 

 

 

Repurchase Agreements — 1.1%

 

 

 

 

 

3,494

 

Barclays Capital, Inc., 2.50%,
dated 03/31/08, due 04/01/08,
repurchase price $3,494,
collateralized by U.S. Government
Agency Mortgages

 

 

3,494

 

 

172

 

Credit Suisse First Boston
LLC, 3.01%, dated 03/31/08, due
04/01/08, repurchase price $172,
collateralized by U.S. Government
Agency Mortgages

 

 

172

 

 

 

 

 

 

   

 

 

 

 

 

 

 

3,666

 

 

 

 

 

 

   

 

 

 

 

Time Deposits — 0.4%

 

 

 

 

 

750

 

Caisse Nationale des Caisses
d’Epargne, (France), 3.10%,
04/01/08

 

 

750

 

 

750

 

ING Bank NV, Seoul, 3.60%,
04/01/08

 

 

750

 

 

 

 

 

 

   

 

 

 

 

 

 

 

1,500

 

 

 

 

 

 

   

 

 

 

 

Total Investments of Cash
Collateral for Securities on Loan
(Cost $34,666)

 

 

34,540

 

 

 

 

 

 

   

 

 

 

 

Total Investments — 110.5%
(Proceeds $342,299 )

 

 

370,815

 

 

 

 

 

 

 

 

 

 

 

 

Liabilities in Excess of Other
Assets — (10.5)%

 

 

(35,106

)

 

 

 

 

 

   

 

 

 

 

 

NET ASSETS — 100.0%

 

$

335,709

 

 

 

 

 

 

   

 


 

 

 

 

 

 

 

 

 

Percentages indicated are based on net assets.

 

 

 

 

 

 

 

 

As of March 31, 2008, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:


 

 

 

 

 

 

 

 

Aggregate gross unrealized appreciation

 

$

52,050

 

Aggregate gross unrealized depreciation

 

 

(23,534

)

 

 

   

 

Net unrealized appreciation/depreciation

 

$

28,516

 

 

 

   

 

Federal income tax cost of investments

 

$

342,299

 

 

 

   

 


 

 

 

 

 

 

 

ABBREVIATIONS AND DEFINITIONS:

 

 

 

 

 

ADR

 

American Depositary Receipt

 

 

 

 

FRN

 

Floating Rate Note. The interest rate shown is the rate in effect as of March 31, 2008.

 

 

 

 

(a)

 

Non-income producing security.

 

 

 

 

(b)

 

Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc.

 

 

 

(c)

 

Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

 

 

 

 

(m)

 

All or a portion of this security is segregated for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements.



JPMorgan Equity Income Fund

Schedule of Portfolio Investments
As of March 31, 2008 (Unaudited)
(Amounts in thousands)

               
 

 

   

Shares

   

Security Description

   

Value ($)

 
               
 

Long-Term Investments — 96.0%

 
               
 

Common Stocks — 94.6%

 
               
 

Aerospace & Defense — 1.6%

 
 

 

   

62

   

United Technologies Corp.

   

4,239

 
               
 

Beverages — 4.1%

 
 

 

   

109

   

Anheuser-Busch Cos., Inc.

   

5,148

 
 

 

   

92

   

Coca-Cola Co. (The)

   

5,588

 
 

 

   

 

   

 

   

10,736

 
               
 

Capital Markets — 3.2%

 
 

 

   

112

   

Bank of New York Mellon Corp. (The)

   

4,661

 
 

 

   

43

   

Morgan Stanley

   

1,974

 
 

 

   

58

   

W.P. Carey & Co. LLC

   

1,750

 
 

 

   

 

   

 

   

8,385

 
               
 

Chemicals — 2.8%

 
 

 

   

21

   

Air Products & Chemicals, Inc.

   

1,905

 
 

 

   

30

   

PPG Industries, Inc.

   

1,821

 
 

 

   

67

   

Rohm & Haas Co.

   

3,618

 
 

 

   

 

   

 

   

7,344

 
               
 

Commercial Banks — 3.3%

 
 

 

   

14

   

M&T Bank Corp.

   

1,159

 
 

 

   

43

   

SunTrust Banks, Inc.

   

2,377

 
 

 

   

99

   

Synovus Financial Corp. (c)

   

1,098

 
 

 

   

114

   

TCF Financial Corp.

   

2,036

 
 

 

   

65

   

Wells Fargo & Co.

   

1,900

 
 

 

   

 

   

 

   

8,570

 
               
 

Commercial Services & Supplies — 1.0%

 
 

 

   

73

   

Pitney Bowes, Inc.

   

2,570

 
               
 

Construction Materials — 2.0%

 
 

 

   

109

   

Cemex, S.A.B. de C.V. ADR (Mexico) (a) (c)

   

2,844

 
 

 

   

34

   

Vulcan Materials Co. (c)

   

2,258

 
 

 

   

 

   

 

   

5,102

 
               
 

Containers & Packaging — 0.4%

 
 

 

   

83

   

Temple-Inland, Inc. (c)

   

1,053

 
 

Distributors - 1.2%

   

 

   

 

   

 

 
 

 

   

78

   

Genuine Parts Co.

   

3,133

 
               
 

Diversified Financial Services — 3.2%

 
 

 

   

138

   

Bank of America Corp.

   

5,229

 
 

 

   

152

   

Citigroup, Inc.

   

3,247

 
 

 

   

 

   

 

   

8,476

 
               
 

Diversified Telecommunication Services — 6.5%

 
 

 

   

203

   

AT&T, Inc.

   

7,792

 
 

 

   

110

   

Consolidated Communications Holdings, Inc. (c)

   

1,658

 
 

 

   

139

   

Verizon Communications, Inc.

   

5,052

 
 

 

   

196

   

Windstream Corp.

   

2,342

 
 

 

   

 

   

 

   

16,844

 
               
 

Electric Utilities — 3.4%

 
 

 

   

69

   

American Electric Power Co., Inc.

   

2,881

 
                       
 

 

   

40

   

FirstEnergy Corp.

   

2,738

 
 

 

   

133

   

Northeast Utilities

   

3,268

 
 

 

   

 

   

 

   

8,887

 
 

Electrical Equipment - 2.0%

   

 

   

 

   

 

 
 

 

   

100

   

Emerson Electric Co.

   

5,125

 
 

Food Staples Retailing - 0.3%

   

 

   

 

   

 

 
 

 

   

28

   

SUPERVALU, Inc.

   

845

 
               
 

Food Products — 4.8%

 
 

 

   

191

   

B&G Foods, Inc., Class A

   

2,104

 
 

 

   

49

   

General Mills, Inc.

   

2,904

 
 

 

   

54

   

Kellogg Co.

   

2,812

 
 

 

   

99

   

Kraft Foods, Inc., Class A

   

3,059

 
 

 

   

27

   

Wm. Wrigley, Jr., Co.

   

1,684

 
 

 

   

 

   

 

   

12,563

 
               
 

Household Durables — 1.4%

 
 

 

   

15

   

Black & Decker Corp.

   

998

 
 

 

   

36

   

Fortune Brands, Inc.

   

2,495

 
 

 

   

 

   

 

   

3,493

 
               
 

Household Products — 1.9%

 
 

 

   

72

   

Procter & Gamble Co.

   

5,031

 
               
 

Industrial Conglomerates — 2.3%

 
 

 

   

165

   

General Electric Co.

   

6,118

 
               
 

Insurance — 6.1%

 
 

 

   

68

   

Allstate Corp. (The)

   

3,287

 
 

 

   

96

   

Chubb Corp. (The)

   

4,740

 
 

 

   

30

   

Hartford Financial Services Group, Inc.

   

2,265

 
 

 

   

63

   

IPC Holdings Ltd. (Bermuda)

   

1,764

 
 

 

   

32

   

Old Republic International Corp.

   

412

 
 

 

   

82

   

OneBeacon Insurance Group Ltd.

   

1,562

 
 

 

   

40

   

Travelers Cos., Inc. (The)

   

1,924

 
 

 

   

 

   

 

   

15,954

 
               
 

Marine — 1.8%

 
 

 

   

166

   

Seaspan Corp. (Hong Kong) (c)

   

4,718

 
               
 

Media — 1.1%

 
 

 

   

143

   

Regal Entertainment Group, Class A (c)

   

2,757

 
               
 

Multi-Utilities — 3.5%

 
 

 

   

127

   

CMS Energy Corp.

   

1,718

 
 

 

   

109

   

PG&E Corp.

   

3,995

 
 

 

   

168

   

Xcel Energy, Inc.

   

3,352

 
 

 

   

 

   

 

   

9,065

 
               
 

Oil, Gas & Consumable Fuels — 13.1%

 
 

 

   

87

   

Chevron Corp.

   

7,465

 
 

 

   

76

   

ConocoPhillips

   

5,807

 
 

 

   

91

   

Energy Transfer Equity LP

   

2,836

 
 

 

   

162

   

Exxon Mobil Corp.

   

13,660

 
 

 

   

78

   

NuStar GP Holdings LLC

   

1,982

 
 

 

   

34

   

Royal Dutch Shell plc ADR (Netherlands)

   

2,311

 
 

 

   

 

   

 

   

34,061

 
               
 

Pharmaceuticals — 8.1%

 
 

 

   

72

   

Abbott Laboratories

   

3,943

 
                       
 

 

   

67

   

Johnson & Johnson

   

4,372

 
 

 

   

105

   

Merck & Co., Inc.

   

3,992

 
 

 

   

64

   

Novartis AG ADR (Switzerland)

   

3,279

 
 

 

   

174

   

Pfizer, Inc.

   

3,646

 
 

 

   

45

   

Wyeth

   

1,867

 
 

 

   

 

   

 

   

21,099

 
               
 

Real Estate Investment Trusts (REITs) — 3.8%

 
 

 

   

24

   

Agree Realty Corp. (c)

   

670

 
 

 

   

30

   

Plum Creek Timber Co., Inc. (c)

   

1,204

 
 

 

   

31

   

Public Storage

   

2,765

 
 

 

   

58

   

Rayonier, Inc.

   

2,534

 
 

 

   

42

   

Regency Centers Corp. (c)

   

2,746

 
 

 

   

 

   

 

   

9,919

 
               
 

Real Estate Management & Development — 0.3%

 
 

 

   

28

   

Forestar Real Estate Group, Inc. (a) (c)

   

687

 
               
 

Semiconductors & Semiconductor Equipment — 1.2%

 
 

 

   

151

   

Intel Corp.

   

3,202

 
               
 

Specialty Retail — 0.8%

 
 

 

   

96

   

Limited Brands, Inc.

   

1,637

 
 

 

   

10

   

Sherwin-Williams Co. (The)

   

485

 
 

 

   

 

   

 

   

2,122

 
               
 

Textiles, Apparel & Luxury Goods — 1.9%

 
 

 

   

62

   

V.F. Corp.

   

4,829

 
               
 

Thrifts & Mortgage Finance — 2.3%

 
 

 

   

90

   

Freddie Mac

   

2,266

 
 

 

   

209

   

People's United Financial, Inc.

   

3,618

 
 

 

   

 

   

 

   

5,884

 
               
 

Tobacco — 4.5%

 
 

 

   

87

   

Altria Group, Inc.

   

1,923

 
 

 

   

75

   

Loews Corp. - Carolina Group

   

5,405

 
 

 

   

87

   

Philip Morris International, Inc. (a)

   

4,380

 
 

 

   

 

   

 

   

11,708

 
               
 

Transportation Infrastructure — 0.3%

 
 

 

   

29

   

Macquarie Infrastructure Co. LLC (c)

   

851

 
               
 

Wireless Telecommunication Services — 0.4%

 
 

 

   

27

   

Crown Castle International Corp. (a) (c)

   

934

 
 

 

   

 

   

Total Common Stocks

   

 

 
 

 

   

 

   

(Cost $182,075)

   

246,304

 
               
 

 

   

Principal Amount ($)

   

 

   

 

 
               
 

Convertible Bonds — 1.4%

 
               
 

Media — 1.4%

 
 

 

   

3,000

   

Liberty Media LLC

   

 

 
 

 

   

 

   

3.25%, 03/15/31

   

2,025

 
 

 

   

40

   

Tribune Co.

   

 

 
 

 

   

 

   

2.00%, 05/15/29

   

1,520

 
 

 

   

 

   

Total Convertible Bonds

   

 

 
 

 

   

 

   

(Cost $6,101)

   

3,545

 
 

 

   

 

   

Total Long-Term Investments

   

 

 
 

 

   

 

   

(Cost $188,176)

   

249,849

 
 

 

   

Shares

   

 

   

 

 
               
                       
 

Short-Term Investment — 3.6%

 
               
 

Investment Company — 3.6%

 
 

 

   

9,436

   

JPMorgan Prime Money Market Fund, Institutional Fund, (b) (m)

   

9,436

 
 

 

   

 

   

(Cost $9,436)

   

 

 
               
 

 

   

Principal Amount ($)

   

 

   

 

 
               
 

Investments of Cash Collateral for Securities on Loan — 5.7%

 
               
 

Corporate Note — 0.1%

 
 

 

   

235

   

HBOS Treasury Services plc,

   

 

 
 

 

   

 

   

FRN, 3.19%, 08/29/08

   

236

 
               
 

Repurchase Agreements — 5.5%

 
 

 

   

1,846

   

Banc of America Securities LLC, 2.40%, dated 03/31/08, due 04/01/08, repurchase price $1,846, collateralized by U.S. Government Agency Mortgages

   

1,846

 
 

 

   

3,100

   

Barclays Capital, 2.50%, dated 03/31/08, due 04/01/08, repurchase price $3,100, collateralized by U.S. Government Agency Mortgages

   

3,100

 
 

 

   

3,100

   

Credit Suisse First Boston LLC, 3.01%, dated 03/31/08, due 04/01/08, repurchase price $3,100, collateralized by U.S. Government Agency Mortgages

   

3,100

 
 

 

   

3,000

   

Goldman Sachs & Co., 2.75%, dated 03/31/08, due 04/01/08, repurchase price $3,000, collateralized by U.S. Government Agency Mortgages

   

3,000

 
 

 

   

3,100

   

Lehman Brothers, Inc., 2.99%, dated 03/31/08, due 04/01/08, repurchase price $3,100, collateralized by U.S. Government Agency Mortgages

   

3,100

 
 

 

   

225

   

Merrill Lynch, 2.25%, dated 03/31/08, due 04/01/08, repurchase price $225, collateralized by U.S. Government Agency Mortgages

   

225

 
 

 

   

 

   

 

   

14,371

 
               
 

Time Deposits — 0.1%

 
 

 

   

200

   

Caisse Nationale des Caisses d' Epargne (France),

   

 

 
 

 

   

 

   

3.10%, 04/01/08

   

200

 
 

 

   

200

   

ING Bank,

   

 

 
 

 

   

 

   

3.60%, 04/01/08

   

200

 
 

 

   

 

   

 

   

400

 
 

 

   

 

   

Total Investments of Cash Collateral for Securities on Loan

   

 

 
 

 

   

 

   

(Cost $15,007)

   

15,007

 
               
 

Total Investments — 105.3%

 
 

(Cost $212,619)

   

 

   

 

   

274,292

 
               
 

Liabilities in Excess of Other Assets — (5.3)%

   

(13,929

)
               
 

NET ASSETS-- 100.0%

   

 

   

 

  $

260,363

 

   
 

Percentages indicated are based on net assets.

 

   
 

ABBREVIATIONS AND DEFINITIONS:

 

               
 

(a) - Non-income producing security.

 
 

(b) - Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc.

 
 

(c) - Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

 
 

(m) - All or a portion of this security is reserved for current or potential holdings of futures, swaps,options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

 
 

ADR - American Depositary Receipt

 
 

FRN - Floating Rate Note. The interest rate shown is the rate in effect as of March 31, 2008.

 

               
 

As of March 31, 2008, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

               
 

Aggregate gross unrealized appreciation

  $

74,618

 
 

Aggregate gross unrealized depreciation

   

(12,945

 

Net unrealized appreciation/depreciation

  $

61,673

 
 

Federal income tax cost of investments

  $

212,619

 


JPMorgan Equity Index Fund

Schedule of Portfolio Investments
As of March 31, 2008 (Unaudited)
(Amounts in thousands, except number of contracts)

                   
 

 

   

Shares

   

Security Description

   

Value ($)

   

 

 
                   
 

Long-Term Investments — 98.6%

 
                   
 

Common Stocks — 98.6%

 
                   
 

Aerospace & Defense — 2.8%

 
 

 

   

124

   

Boeing Co.

   

9,240

   

 

 
 

 

   

65

   

General Dynamics Corp.

   

5,447

   

 

 
 

 

   

20

   

Goodrich Corp.

   

1,169

   

 

 
 

 

   

121

   

Honeywell International, Inc.

   

6,823

   

 

 
 

 

   

20

   

L-3 Communications Holdings, Inc.

   

2,174

   

 

 
 

 

   

56

   

Lockheed Martin Corp.

   

5,530

   

 

 
 

 

   

55

   

Northrop Grumman Corp.

   

4,271

   

 

 
 

 

   

23

   

Precision Castparts Corp.

   

2,304

   

 

 
 

 

   

69

   

Raytheon Co.

   

4,475

   

 

 
 

 

   

26

   

Rockwell Collins, Inc.

   

1,508

   

 

 
 

 

   

159

   

United Technologies Corp.

   

10,973

   

 

 
 

 

   

 

   

 

   

53,914

   

 

 
                   
 

Air Freight & Logistics — 1.0%

 
 

 

   

28

   

CH Robinson Worldwide, Inc.

   

1,514

   

 

 
 

 

   

35

   

Expeditors International of Washington, Inc. (c)

   

1,564

   

 

 
 

 

   

50

   

FedEx Corp.

   

4,659

   

 

 
 

 

   

168

   

United Parcel Service, Inc., Class B

   

12,270

   

 

 
 

 

   

 

   

 

   

20,007

   

 

 
                   
 

Airlines — 0.1%

 
 

 

   

120

   

Southwest Airlines Co.

   

1,482

   

 

 
                   
 

Auto Components — 0.2%

 
 

 

   

39

   

Goodyear Tire & Rubber Co. (The) (a)

   

1,007

   

 

 
 

 

   

96

   

Johnson Controls, Inc.

   

3,260

   

 

 
 

 

   

 

   

 

   

4,267

   

 

 
                   
 

Automobiles — 0.3%

 
 

 

   

359

   

Ford Motor Co. (a) (c)

   

2,050

   

 

 
 

 

   

92

   

General Motors Corp. (c)

   

1,752

   

 

 
 

 

   

39

   

Harley-Davidson, Inc. (c)

   

1,453

   

 

 
 

 

   

 

   

 

   

5,255

   

 

 
                   
 

Beverages — 2.6%

 
 

 

   

116

   

Anheuser-Busch Cos., Inc.

   

5,512

   

 

 
 

 

   

14

   

Brown-Forman Corp., Class B

   

907

   

 

 
 

 

   

325

   

Coca-Cola Co. (The)

   

19,763

   

 

 
 

 

   

47

   

Coca-Cola Enterprises, Inc.

   

1,130

   

 

 
 

 

   

32

   

Constellation Brands, Inc., Class A (a)

   

557

   

 

 
 

 

   

22

   

Molson Coors Brewing Co., Class B

   

1,175

   

 

 
 

 

   

22

   

Pepsi Bottling Group, Inc.

   

756

   

 

 
 

 

   

260

   

PepsiCo, Inc. (c)

   

18,787

   

 

 
 

 

   

 

   

 

   

48,587

   

 

 
                   
 

Biotechnology — 1.4%

 
 

 

   

177

   

Amgen, Inc. (a)

   

7,382

   

 

 
 

 

   

48

   

Biogen Idec, Inc. (a) (c)

   

2,984

   

 

 
 

 

   

71

   

Celgene Corp. (a)

   

4,332

   

 

 
 

 

   

43

   

Genzyme Corp. (a)

   

3,240

   

 

 
                             
 

 

   

151

   

Gilead Sciences, Inc. (a)

   

7,775

   

 

 
 

 

   

 

   

 

   

25,713

   

 

 
                   
 

Building Products — 0.1%

 
 

 

   

59

   

Masco Corp. (c)

   

1,175

   

 

 
 

 

   

28

   

Trane, Inc.

   

1,296

   

 

 
 

 

   

 

   

 

   

2,471

   

 

 
                   
 

Capital Markets — 3.0%

 
 

 

   

32

   

American Capital Strategies Ltd. (c)

   

1,083

   

 

 
 

 

   

37

   

Ameriprise Financial, Inc.

   

1,912

   

 

 
 

 

   

185

   

Bank of New York Mellon Corp. (The)

   

7,737

   

 

 
 

 

   

19

   

Bear Stearns Cos., Inc. (The) (c) (q) (y)

   

201

   

 

 
 

 

   

153

   

Charles Schwab Corp. (The)

   

2,872

   

 

 
 

 

   

75

   

E*Trade Financial Corp. (a) (c)

   

290

   

 

 
 

 

   

14

   

Federated Investors, Inc., Class B (c)

   

550

   

 

 
 

 

   

26

   

Franklin Resources, Inc.

   

2,478

   

 

 
 

 

   

64

   

Goldman Sachs Group, Inc. (The)

   

10,616

   

 

 
 

 

   

24

   

Janus Capital Group, Inc.

   

559

   

 

 
 

 

   

22

   

Legg Mason, Inc.

   

1,226

   

 

 
 

 

   

86

   

Lehman Brothers Holdings, Inc. (c)

   

3,244

   

 

 
 

 

   

158

   

Merrill Lynch & Co., Inc.

   

6,430

   

 

 
 

 

   

179

   

Morgan Stanley

   

8,200

   

 

 
 

 

   

31

   

Northern Trust Corp.

   

2,072

   

 

 
 

 

   

63

   

State Street Corp.

   

4,972

   

 

 
 

 

   

43

   

T. Rowe Price Group, Inc. (c)

   

2,142

   

 

 
 

 

   

 

   

 

   

56,584

   

 

 
                   
 

Chemicals — 2.0%

 
 

 

   

35

   

Air Products & Chemicals, Inc.

   

3,205

   

 

 
 

 

   

9

   

Ashland, Inc. (c)

   

430

   

 

 
 

 

   

153

   

Dow Chemical Co. (The)

   

5,625

   

 

 
 

 

   

146

   

E.l. du Pont de Nemours & Co.

   

6,832

   

 

 
 

 

   

13

   

Eastman Chemical Co.

   

809

   

 

 
 

 

   

29

   

Ecolab, Inc.

   

1,238

   

 

 
 

 

   

18

   

Hercules, Inc.

   

337

   

 

 
 

 

   

13

   

International Flavors & Fragrances, Inc.

   

580

   

 

 
 

 

   

89

   

Monsanto Co.

   

9,926

   

 

 
 

 

   

27

   

PPG Industries, Inc.

   

1,610

   

 

 
 

 

   

51

   

Praxair, Inc.

   

4,286

   

 

 
 

 

   

20

   

Rohm & Haas Co.

   

1,101

   

 

 
 

 

   

21

   

Sigma-Aldrich Corp. (c)

   

1,254

   

 

 
 

 

   

 

   

 

   

37,233

   

 

 
                   
 

Commercial Banks — 2.8%

 
 

 

   

89

   

BB&T Corp. (c)

   

2,845

   

 

 
 

 

   

24

   

Comerica, Inc.

   

858

   

 

 
 

 

   

87

   

Fifth Third Bancorp (c)

   

1,811

   

 

 
 

 

   

21

   

First Horizon National Corp. (c)

   

288

   

 

 
 

 

   

59

   

Huntington Bancshares, Inc. (c)

   

639

   

 

 
 

 

   

65

   

KeyCorp

   

1,422

   

 

 
 

 

   

13

   

M&T Bank Corp. (c)

   

1,006

   

 

 
 

 

   

43

   

Marshall & Ilsley Corp. (c)

   

986

   

 

 
 

 

   

103

   

National City Corp.

   

1,025

   

 

 
                             
 

 

   

55

   

PNC Financial Services Group, Inc.

   

3,630

   

 

 
 

 

   

113

   

Regions Financial Corp.

   

2,225

   

 

 
 

 

   

57

   

SunTrust Banks, Inc.

   

3,142

   

 

 
 

 

   

281

   

U.S. Bancorp

   

9,093

   

 

 
 

 

   

322

   

Wachovia Corp.

   

8,693

   

 

 
 

 

   

536

   

Wells Fargo & Co.

   

15,585

   

 

 
 

 

   

17

   

Zions Bancorp

   

793

   

 

 
 

 

   

 

   

 

   

54,041

   

 

 
                   
 

Commercial Services & Supplies — 0.5%

 
 

 

   

55

   

Allied Waste Industries, Inc. (a)

   

592

   

 

 
 

 

   

17

   

Avery Dennison Corp. (c)

   

852

   

 

 
 

 

   

21

   

Cintas Corp.

   

606

   

 

 
 

 

   

21

   

Equifax, Inc.

   

726

   

 

 
 

 

   

20

   

Monster Worldwide, Inc. (a) (c)

   

494

   

 

 
 

 

   

34

   

Pitney Bowes, Inc.

   

1,201

   

 

 
 

 

   

35

   

R.R. Donnelley & Sons Co.

   

1,058

   

 

 
 

 

   

26

   

Robert Half International, Inc.

   

664

   

 

 
 

 

   

80

   

Waste Management, Inc.

   

2,700

   

 

 
 

 

   

 

   

 

   

8,893

   

 

 
                   
 

Communications Equipment — 2.5%

 
 

 

   

14

   

Ciena Corp. (a) (c)

   

436

   

 

 
 

 

   

968

   

Cisco Systems, Inc. (a)

   

23,328

   

 

 
 

 

   

256

   

Corning, Inc.

   

6,149

   

 

 
 

 

   

37

   

JDS Uniphase Corp. (a) (c)

   

489

   

 

 
 

 

   

85

   

Juniper Networks, Inc. (a)

   

2,126

   

 

 
 

 

   

366

   

Motorola, Inc.

   

3,407

   

 

 
 

 

   

262

   

QUALCOMM, Inc.

   

10,738

   

 

 
 

 

   

67

   

Tellabs, Inc. (a) (c)

   

366

   

 

 
 

 

   

 

   

 

   

47,039

   

 

 
                   
 

Computers & Peripherals — 4.3%

 
 

 

   

143

   

Apple, Inc. (a)

   

20,487

   

 

 
 

 

   

364

   

Dell, Inc. (a)

   

7,252

   

 

 
 

 

   

341

   

EMC Corp. (a)

   

4,893

   

 

 
 

 

   

400

   

Hewlett-Packard Co.

   

18,286

   

 

 
 

 

   

225

   

International Business Machines Corp.

   

25,893

   

 

 
 

 

   

15

   

Lexmark International, Inc., Class A (a)

   

474

   

 

 
 

 

   

56

   

NetApp, Inc. (a) (c)

   

1,119

   

 

 
 

 

   

22

   

QLogic Corp. (a)

   

335

   

 

 
 

 

   

37

   

SanDisk Corp. (a)

   

840

   

 

 
 

 

   

129

   

Sun Microsystems, Inc. (a)

   

2,000

   

 

 
 

 

   

29

   

Teradata Corp. (a)

   

643

   

 

 
 

 

   

 

   

 

   

82,222

   

 

 
                   
 

Construction & Engineering — 0.2%

 
 

 

   

14

   

Fluor Corp. (c)

   

2,031

   

 

 
 

 

   

20

   

Jacobs Engineering Group, Inc. (a)

   

1,451

   

 

 
 

 

   

 

   

 

   

3,482

   

 

 
                   
 

Construction Materials — 0.1%

 
 

 

   

18

   

Vulcan Materials Co. (c)

   

1,169

   

 

 
                   
 

Consumer Finance — 0.7%

 
 

 

   

188

   

American Express Co.

   

8,211

   

 

 
                             
 

 

   

61

   

Capital One Financial Corp.

   

2,982

   

 

 
 

 

   

78

   

Discover Financial Services (c)

   

1,274

   

 

 
 

 

   

76

   

SLM Corp. (a)

   

1,164

   

 

 
 

 

   

 

   

 

   

13,631

   

 

 
                   
 

Containers & Packaging — 0.1%

 
 

 

   

16

   

Ball Corp.

   

728

   

 

 
 

 

   

16

   

Bemis Co., Inc. (c)

   

412

   

 

 
 

 

   

21

   

Pactiv Corp. (a)

   

555

   

 

 
 

 

   

26

   

Sealed Air Corp.

   

663

   

 

 
 

 

   

 

   

 

   

2,358

   

 

 
                   
 

Distributors — 0.1%

 
 

 

   

27

   

Genuine Parts Co.

   

1,080

   

 

 
                   
 

Diversified Consumer Services — 0.1%

 
 

 

   

22

   

Apollo Group, Inc., Class A (a)

   

964

   

 

 
 

 

   

53

   

H&R Block, Inc.

   

1,097

   

 

 
 

 

   

 

   

 

   

2,061

   

 

 
                   
 

Diversified Financial Services — 4.2%

 
 

 

   

722

   

Bank of America Corp.

   

27,357

   

 

 
 

 

   

31

   

CIT Group, Inc.

   

368

   

 

 
 

 

   

846

   

Citigroup, Inc.

   

18,116

   

 

 
 

 

   

9

   

CME Group, Inc.

   

4,063

   

 

 
 

 

   

11

   

IntercontinentalExchange, Inc. (a)

   

1,487

   

 

 
 

 

   

552

   

JPMorgan Chase & Co. (q)

   

23,698

   

 

 
 

 

   

27

   

Leucadia National Corp. (c)

   

1,243

   

 

 
 

 

   

33

   

Moody's Corp. (c)

   

1,164

   

 

 
 

 

   

43

   

NYSE Euronext

   

2,656

   

 

 
 

 

   

 

   

 

   

80,152

   

 

 
                   
 

Diversified Telecommunication Services — 3.1%

 
 

 

   

980

   

AT&T, Inc.

   

37,553

   

 

 
 

 

   

17

   

CenturyTel, Inc.

   

576

   

 

 
 

 

   

53

   

Citizens Communications Co.

   

559

   

 

 
 

 

   

25

   

Embarq Corp.

   

999

   

 

 
 

 

   

250

   

Qwest Communications International, Inc. (c)

   

1,131

   

 

 
 

 

   

466

   

Verizon Communications, Inc.

   

17,000

   

 

 
 

 

   

74

   

Windstream Corp.

   

881

   

 

 
 

 

   

 

   

 

   

58,699

   

 

 
                   
 

Electric Utilities — 2.1%

 
 

 

   

27

   

Allegheny Energy, Inc.

   

1,372

   

 

 
 

 

   

65

   

American Electric Power Co., Inc.

   

2,708

   

 

 
 

 

   

205

   

Duke Energy Corp.

   

3,662

   

 

 
 

 

   

53

   

Edison International

   

2,594

   

 

 
 

 

   

31

   

Entergy Corp.

   

3,387

   

 

 
 

 

   

107

   

Exelon Corp.

   

8,729

   

 

 
 

 

   

50

   

FirstEnergy Corp.

   

3,398

   

 

 
 

 

   

66

   

FPL Group, Inc.

   

4,152

   

 

 
 

 

   

33

   

Pepco Holdings, Inc.

   

808

   

 

 
 

 

   

16

   

Pinnacle West Capital Corp.

   

573

   

 

 
 

 

   

61

   

PPL Corp.

   

2,785

   

 

 
 

 

   

42

   

Progress Energy, Inc. (c)

   

1,762

   

 

 
 

 

   

124

   

Southern Co. (The)

   

4,424

   

 

 
                             
 

 

   

 

   

 

   

40,354

   

 

 
                   
 

Electrical Equipment — 0.5%

 
 

 

   

29

   

Cooper Industries Ltd., Class A

   

1,149

   

 

 
 

 

   

128

   

Emerson Electric Co.

   

6,581

   

 

 
 

 

   

24

   

Rockwell Automation, Inc.

   

1,384

   

 

 
 

 

   

 

   

 

   

9,114

   

 

 
                   
 

Electronic Equipment & Instruments — 0.3%

 
 

 

   

59

   

Agilent Technologies, Inc. (a)

   

1,769

   

 

 
 

 

   

34

   

Jabil Circuit, Inc. (c)

   

320

   

 

 
 

 

   

23

   

Molex, Inc.

   

529

   

 

 
 

 

   

79

   

Tyco Electronics Ltd. (Bermuda)

   

2,717

   

 

 
 

 

   

 

   

 

   

5,335

   

 

 
                   
 

Energy Equipment & Services — 2.7%

 
 

 

   

50

   

Baker Hughes, Inc.

   

3,443

   

 

 
 

 

   

48

   

BJ Services Co.

   

1,357

   

 

 
 

 

   

35

   

Cameron International Corp. (a)

   

1,477

   

 

 
 

 

   

23

   

ENSCO International, Inc.

   

1,464

   

 

 
 

 

   

143

   

Halliburton Co.

   

5,623

   

 

 
 

 

   

46

   

Nabors Industries Ltd. (Bermuda) (a)

   

1,540

   

 

 
 

 

   

58

   

National Oilwell Varco, Inc. (a)

   

3,385

   

 

 
 

 

   

44

   

Noble Corp.

   

2,168

   

 

 
 

 

   

18

   

Rowan Cos., Inc. (c)

   

745

   

 

 
 

 

   

195

   

Schlumberger Ltd.

   

16,927

   

 

 
 

 

   

33

   

Smith International, Inc.

   

2,095

   

 

 
 

 

   

52

   

Transocean, Inc. (a)

   

6,979

   

 

 
 

 

   

55

   

Weatherford International Ltd. (a)

   

3,993

   

 

 
 

 

   

 

   

 

   

51,196

   

 

 
                   
 

Food & Staples Retailing — 2.6%

 
 

 

   

71

   

Costco Wholesale Corp.

   

4,589

   

 

 
 

 

   

233

   

CVS/Caremark Corp.

   

9,423

   

 

 
 

 

   

109

   

Kroger Co. (The)

   

2,776

   

 

 
 

 

   

72

   

Safeway, Inc.

   

2,099

   

 

 
 

 

   

34

   

SUPERVALU, Inc.

   

1,030

   

 

 
 

 

   

98

   

SYSCO Corp.

   

2,845

   

 

 
 

 

   

384

   

Wal-Mart Stores, Inc.

   

20,220

   

 

 
 

 

   

161

   

Walgreen Co.

   

6,134

   

 

 
 

 

   

23

   

Whole Foods Market, Inc. (c)

   

747

   

 

 
 

 

   

 

   

 

   

49,863

   

 

 
                   
 

Food Products — 1.6%

 
 

 

   

105

   

Archer-Daniels-Midland Co.

   

4,303

   

 

 
 

 

   

36

   

Campbell Soup Co.

   

1,214

   

 

 
 

 

   

79

   

ConAgra Foods, Inc.

   

1,897

   

 

 
 

 

   

25

   

Dean Foods Co.

   

494

   

 

 
 

 

   

55

   

General Mills, Inc.

   

3,276

   

 

 
 

 

   

51

   

H.J. Heinz Co.

   

2,405

   

 

 
 

 

   

27

   

Hershey Co. (The) (c)

   

1,029

   

 

 
 

 

   

42

   

Kellogg Co.

   

2,225

   

 

 
 

 

   

249

   

Kraft Foods, Inc., Class A

   

7,724

   

 

 
 

 

   

21

   

McCormick & Co., Inc. (Non-Voting) (c)

   

769

   

 

 
 

 

   

116

   

Sara Lee Corp.

   

1,617

   

 

 
                             
 

 

   

44

   

Tyson Foods, Inc., Class A

   

709

   

 

 
 

 

   

35

   

Wm. Wrigley, Jr., Co.

   

2,210

   

 

 
 

 

   

 

   

 

   

29,872

   

 

 
                   
 

Gas Utilities — 0.1%

 
 

 

   

7

   

Nicor, Inc. (c)

   

246

   

 

 
 

 

   

28

   

Questar Corp.

   

1,587

   

 

 
 

 

   

 

   

 

   

1,833

   

 

 
                   
 

Health Care Equipment & Supplies — 1.9%

 
 

 

   

103

   

Baxter International, Inc.

   

5,959

   

 

 
 

 

   

40

   

Becton, Dickinson & Co.

   

3,404

   

 

 
 

 

   

218

   

Boston Scientific Corp. (a)

   

2,808

   

 

 
 

 

   

81

   

Covidien Ltd.

   

3,585

   

 

 
 

 

   

16

   

CR Bard, Inc.

   

1,571

   

 

 
 

 

   

26

   

Hospira, Inc. (a)

   

1,103

   

 

 
 

 

   

182

   

Medtronic, Inc.

   

8,824

   

 

 
 

 

   

56

   

St. Jude Medical, Inc. (a)

   

2,414

   

 

 
 

 

   

39

   

Stryker Corp.

   

2,520

   

 

 
 

 

   

20

   

Varian Medical Systems, Inc. (a)

   

956

   

 

 
 

 

   

38

   

Zimmer Holdings, Inc. (a)

   

2,949

   

 

 
 

 

   

 

   

 

   

36,093

   

 

 
                   
 

Health Care Providers & Services — 1.8%

 
 

 

   

81

   

Aetna, Inc.

   

3,395

   

 

 
 

 

   

26

   

AmerisourceBergen Corp.

   

1,082

   

 

 
 

 

   

58

   

Cardinal Health, Inc.

   

3,042

   

 

 
 

 

   

45

   

Cigna Corp.

   

1,846

   

 

 
 

 

   

25

   

Coventry Health Care, Inc. (a)

   

1,014

   

 

 
 

 

   

41

   

Express Scripts, Inc. (a)

   

2,641

   

 

 
 

 

   

28

   

Humana, Inc. (a)

   

1,240

   

 

 
 

 

   

18

   

Laboratory Corp. of America Holdings (a) (c)

   

1,323

   

 

 
 

 

   

47

   

McKesson Corp.

   

2,462

   

 

 
 

 

   

85

   

Medco Health Solutions, Inc. (a)

   

3,727

   

 

 
 

 

   

21

   

Patterson Cos., Inc. (a) (c)

   

763

   

 

 
 

 

   

26

   

Quest Diagnostics, Inc. (c)

   

1,157

   

 

 
 

 

   

77

   

Tenet Healthcare Corp. (a)

   

436

   

 

 
 

 

   

203

   

UnitedHealth Group, Inc.

   

6,985

   

 

 
 

 

   

88

   

WellPoint, Inc. (a)

   

3,885

   

 

 
 

 

   

 

   

 

   

34,998

   

 

 
                   
 

Health Care Technology — 0.0% (g)

 
 

 

   

30

   

IMS Health, Inc.

   

626

   

 

 
                   
 

Hotels, Restaurants & Leisure — 1.3%

 
 

 

   

71

   

Carnival Corp.

   

2,871

   

 

 
 

 

   

23

   

Darden Restaurants, Inc.

   

758

   

 

 
 

 

   

51

   

International Game Technology

   

2,043

   

 

 
 

 

   

49

   

Marriott International, Inc., Class A

   

1,680

   

 

 
 

 

   

187

   

McDonald's Corp.

   

10,433

   

 

 
 

 

   

119

   

Starbucks Corp. (a)

   

2,076

   

 

 
 

 

   

31

   

Starwood Hotels & Resorts Worldwide, Inc.

   

1,583

   

 

 
 

 

   

14

   

Wendy's International, Inc.

   

327

   

 

 
 

 

   

29

   

Wyndham Worldwide Corp.

   

595

   

 

 
 

 

   

77

   

Yum! Brands, Inc.

   

2,874

   

 

 
                             
 

 

   

 

   

 

   

25,240

   

 

 
                   
 

Household Durables — 0.5%

 
 

 

   

10

   

Black & Decker Corp.

   

654

   

 

 
 

 

   

20

   

Centex Corp. (c)

   

481

   

 

 
 

 

   

45

   

D.R. Horton, Inc.

   

701

   

 

 
 

 

   

25

   

Fortune Brands, Inc.

   

1,739

   

 

 
 

 

   

10

   

Harman International Industries, Inc. (c)

   

428

   

 

 
 

 

   

13

   

KB Home (c)

   

309

   

 

 
 

 

   

27

   

Leggett & Platt, Inc.

   

415

   

 

 
 

 

   

23

   

Lennar Corp., Class A (c)

   

425

   

 

 
 

 

   

45

   

Newell Rubbermaid, Inc.

   

1,028

   

 

 
 

 

   

35

   

Pulte Homes, Inc.

   

505

   

 

 
 

 

   

9

   

Snap-On, Inc.

   

477

   

 

 
 

 

   

13

   

Stanley Works (The)

   

606

   

 

 
 

 

   

12

   

Whirlpool Corp. (c)

   

1,066

   

 

 
 

 

   

 

   

 

   

8,834

   

 

 
                   
 

Household Products — 2.5%

 
 

 

   

23

   

Clorox Co.

   

1,278

   

 

 
 

 

   

83

   

Colgate-Palmolive Co.

   

6,452

   

 

 
 

 

   

68

   

Kimberly-Clark Corp.

   

4,407

   

 

 
 

 

   

500

   

Procter & Gamble Co.

   

35,030

   

 

 
 

 

   

 

   

 

   

47,167

   

 

 
                   
 

Independent Power Producers & Energy Traders — 0.3%

 
 

 

   

109

   

AES Corp. (The) (a)

   

1,812

   

 

 
 

 

   

29

   

Constellation Energy Group, Inc.

   

2,551

   

 

 
 

 

   

81

   

Dynegy, Inc., Class A (a)

   

636

   

 

 
 

 

   

 

   

 

   

4,999

   

 

 
                   
 

Industrial Conglomerates — 3.9%

 
 

 

   

115

   

3M Co.

   

9,099

   

 

 
 

 

   

1,622

   

General Electric Co. (k)

   

60,036

   

 

 
 

 

   

40

   

Textron, Inc.

   

2,239

   

 

 
 

 

   

79

   

Tyco International Ltd. (Bermuda)

   

3,470

   

 

 
 

 

   

 

   

 

   

74,844

   

 

 
                   
 

Insurance — 4.0%

 
 

 

   

54

   

ACE Ltd. (Bermuda)

   

2,951

   

 

 
 

 

   

77

   

Aflac, Inc.

   

5,009

   

 

 
 

 

   

91

   

Allstate Corp. (The)

   

4,375

   

 

 
 

 

   

47

   

AMBAC Financial Group, Inc. (c)

   

268

   

 

 
 

 

   

410

   

American International Group, Inc.

   

17,722

   

 

 
 

 

   

50

   

AON Corp.

   

1,995

   

 

 
 

 

   

16

   

Assurant, Inc.

   

946

   

 

 
 

 

   

60

   

Chubb Corp. (The)

   

2,976

   

 

 
 

 

   

27

   

Cincinnati Financial Corp.

   

1,022

   

 

 
 

 

   

70

   

Genworth Financial, Inc., Class A

   

1,591

   

 

 
 

 

   

51

   

Hartford Financial Services Group, Inc.

   

3,865

   

 

 
 

 

   

43

   

Lincoln National Corp.

   

2,235

   

 

 
 

 

   

71

   

Loews Corp.

   

2,872

   

 

 
 

 

   

85

   

Marsh & McLennan Cos., Inc.

   

2,061

   

 

 
 

 

   

34

   

MBIA, Inc. (c)

   

417

   

 

 
 

 

   

115

   

MetLife, Inc.

   

6,942

   

 

 
                             
 

 

   

42

   

Principal Financial Group, Inc.

   

2,339

   

 

 
 

 

   

110

   

Progressive Corp. (The) (c)

   

1,771

   

 

 
 

 

   

72

   

Prudential Financial, Inc.

   

5,669

   

 

 
 

 

   

15

   

Safeco Corp.

   

640

   

 

 
 

 

   

15

   

Torchmark Corp.

   

888

   

 

 
 

 

   

101

   

Travelers Cos., Inc. (The)

   

4,822

   

 

 
 

 

   

56

   

Unum Group

   

1,241

   

 

 
 

 

   

29

   

XL Capital Ltd., Class A (Bermuda)

   

854

   

 

 
 

 

   

 

   

 

   

75,471

   

 

 
                   
 

Internet & Catalog Retail — 0.3%

 
 

 

   

50

   

Amazon.com, Inc. (a)

   

3,573

   

 

 
 

 

   

34

   

Expedia, Inc. (a) (c)

   

741

   

 

 
 

 

   

29

   

IAC/InterActive Corp. (a)

   

609

   

 

 
 

 

   

 

   

 

   

4,923

   

 

 
                   
 

Internet Software & Services — 1.6%

 
 

 

   

27

   

Akamai Technologies, Inc. (a) (c)

   

765

   

 

 
 

 

   

181

   

eBay, Inc. (a)

   

5,407

   

 

 
 

 

   

38

   

Google, Inc., Class A (a)

   

16,593

   

 

 
 

 

   

35

   

VeriSign, Inc. (a) (c)

   

1,152

   

 

 
 

 

   

217

   

Yahoo!, Inc. (a)

   

6,284

   

 

 
 

 

   

 

   

 

   

30,201

   

 

 
                   
 

IT Services — 0.9%

 
 

 

   

16

   

Affiliated Computer Services, Inc., Class A (a)

   

781

   

 

 
 

 

   

85

   

Automatic Data Processing, Inc.

   

3,600

   

 

 
 

 

   

47

   

Cognizant Technology Solutions Corp., Class A (a)

   

1,351

   

 

 
 

 

   

27

   

Computer Sciences Corp. (a)

   

1,084

   

 

 
 

 

   

21

   

Convergys Corp. (a)

   

310

   

 

 
 

 

   

83

   

Electronic Data Systems Corp.

   

1,378

   

 

 
 

 

   

28

   

Fidelity National Information Services, Inc.

   

1,060

   

 

 
 

 

   

27

   

Fiserv, Inc. (a)

   

1,285

   

 

 
 

 

   

53

   

Paychex, Inc.

   

1,801

   

 

 
 

 

   

32

   

Total System Services, Inc.

   

764

   

 

 
 

 

   

57

   

Unisys Corp. (a)

   

254

   

 

 
 

 

   

122

   

Western Union Co. (The)

   

2,590

   

 

 
 

 

   

 

   

 

   

16,258

   

 

 
                   
 

Leisure Equipment & Products — 0.1%

 
 

 

   

14

   

Brunswick Corp. (c)

   

227

   

 

 
 

 

   

47

   

Eastman Kodak Co. (c)

   

827

   

 

 
 

 

   

23

   

Hasbro, Inc.

   

647

   

 

 
 

 

   

59

   

Mattel, Inc.

   

1,168

   

 

 
 

 

   

 

   

 

   

2,869

   

 

 
                   
 

Life Sciences Tools & Services — 0.3%

 
 

 

   

27

   

Applera Corp. - Applied Biosystems Group

   

894

   

 

 
 

 

   

9

   

Millipore Corp. (a)

   

603

   

 

 
 

 

   

19

   

PerkinElmer, Inc. (c)

   

463

   

 

 
 

 

   

68

   

Thermo Fisher Scientific, Inc. (a) (c)

   

3,865

   

 

 
 

 

   

16

   

Waters Corp. (a)

   

904

   

 

 
 

 

   

 

   

 

   

6,729

   

 

 
                   
 

Machinery — 1.9%

 
 

 

   

101

   

Caterpillar, Inc.

   

7,936

   

 

 
                             
 

 

   

33

   

Cummins, Inc.

   

1,538

   

 

 
 

 

   

41

   

Danaher Corp.

   

3,145

   

 

 
 

 

   

71

   

Deere & Co.

   

5,698

   

 

 
 

 

   

31

   

Dover Corp.

   

1,303

   

 

 
 

 

   

24

   

Eaton Corp.

   

1,896

   

 

 
 

 

   

65

   

Illinois Tool Works, Inc.

   

3,137

   

 

 
 

 

   

44

   

Ingersoll-Rand Co., Ltd., Class A (Bermuda)

   

1,974

   

 

 
 

 

   

29

   

ITT Corp.

   

1,528

   

 

 
 

 

   

21

   

Manitowoc Co., Inc. (The)

   

861

   

 

 
 

 

   

60

   

PACCAR, Inc.

   

2,680

   

 

 
 

 

   

20

   

Pall Corp.

   

698

   

 

 
 

 

   

27

   

Parker Hannifin Corp.

   

1,896

   

 

 
 

 

   

17

   

Terex Corp. (a)

   

1,032

   

 

 
 

 

   

 

   

 

   

35,322

   

 

 
                   
 

Media — 2.8%

 
 

 

   

111

   

CBS Corp., Class B

   

2,442

   

 

 
 

 

   

81

   

Clear Channel Communications, Inc.

   

2,363

   

 

 
 

 

   

489

   

Comcast Corp., Class A

   

9,460

   

 

 
 

 

   

116

   

DIRECTV Group, Inc. (The) (a)

   

2,869

   

 

 
 

 

   

15

   

E.W. Scripps Co., Class A (c)

   

611

   

 

 
 

 

   

37

   

Gannett Co., Inc. (c)

   

1,084

   

 

 
 

 

   

77

   

Interpublic Group of Companies, Inc. (The) (a) (c)

   

644

   

 

 
 

 

   

52

   

McGraw-Hill Cos., Inc. (The) (c)

   

1,938

   

 

 
 

 

   

6

   

Meredith Corp. (c)

   

234

   

 

 
 

 

   

23

   

New York Times Co. (The), Class A (c)

   

441

   

 

 
 

 

   

374

   

News Corp., Class A

   

7,008

   

 

 
 

 

   

52

   

Omnicom Group, Inc.

   

2,301

   

 

 
 

 

   

581

   

Time Warner, Inc.

   

8,145

   

 

 
 

 

   

104

   

Viacom, Inc., Class B (a)

   

4,125

   

 

 
 

 

   

306

   

Walt Disney Co. (The)

   

9,599

   

 

 
 

 

   

1

   

Washington Post Co. (The), Class B

   

624

   

 

 
 

 

   

 

   

 

   

53,888

   

 

 
                   
 

Metals & Mining — 1.1%

 
 

 

   

132

   

Alcoa, Inc.

   

4,770

   

 

 
 

 

   

16

   

Allegheny Technologies, Inc.

   

1,170

   

 

 
 

 

   

62

   

Freeport-McMoRan Copper & Gold, Inc.

   

5,983

   

 

 
 

 

   

74

   

Newmont Mining Corp.

   

3,335

   

 

 
 

 

   

47

   

Nucor Corp.

   

3,170

   

 

 
 

 

   

16

   

Titanium Metals Corp. (c)

   

242

   

 

 
 

 

   

19

   

United States Steel Corp.

   

2,428

   

 

 
 

 

   

 

   

 

   

21,098

   

 

 
                   
 

Multi-Utilities — 1.1%

 
 

 

   

34

   

Ameren Corp. (c)

   

1,493

   

 

 
 

 

   

53

   

CenterPoint Energy, Inc.

   

759

   

 

 
 

 

   

37

   

CMS Energy Corp.

   

495

   

 

 
 

 

   

44

   

Consolidated Edison, Inc. (c)

   

1,755

   

 

 
 

 

   

93

   

Dominion Resources, Inc.

   

3,814

   

 

 
 

 

   

27

   

DTE Energy Co. (c)

   

1,031

   

 

 
 

 

   

12

   

Integrys Energy Group, Inc.

   

579

   

 

 
 

 

   

45

   

NiSource, Inc.

   

768

   

 

 
                             
 

 

   

58

   

PG&E Corp.

   

2,128

   

 

 
 

 

   

83

   

Public Service Enterprise Group, Inc.

   

3,320

   

 

 
 

 

   

42

   

Sempra Energy

   

2,262

   

 

 
 

 

   

34

   

TECO Energy, Inc.

   

546

   

 

 
 

 

   

70

   

Xcel Energy, Inc.

   

1,391

   

 

 
 

 

   

 

   

 

   

20,341

   

 

 
                   
 

Multiline Retail — 0.8%

 
 

 

   

15

   

Big Lots, Inc. (a) (c)

   

328

   

 

 
 

 

   

9

   

Dillard's, Inc., Class A (c)

   

160

   

 

 
 

 

   

23

   

Family Dollar Stores, Inc.

   

445

   

 

 
 

 

   

36

   

J.C. Penney Co., Inc.

   

1,358

   

 

 
 

 

   

51

   

Kohl's Corp. (a)

   

2,185

   

 

 
 

 

   

70

   

Macy's, Inc.

   

1,622

   

 

 
 

 

   

29

   

Nordstrom, Inc.

   

948

   

 

 
 

 

   

12

   

Sears Holdings Corp. (a) (c)

   

1,210

   

 

 
 

 

   

133

   

Target Corp.

   

6,740

   

 

 
 

 

   

 

   

 

   

14,996

   

 

 
                   
 

Office Electronics — 0.1%

 
 

 

   

149

   

Xerox Corp.

   

2,231

   

 

 
                   
 

Oil, Gas & Consumable Fuels — 10.4%

 
 

 

   

76

   

Anadarko Petroleum Corp.

   

4,793

   

 

 
 

 

   

54

   

Apache Corp.

   

6,536

   

 

 
 

 

   

74

   

Chesapeake Energy Corp. (c)

   

3,430

   

 

 
 

 

   

337

   

Chevron Corp.

   

28,796

   

 

 
 

 

   

254

   

ConocoPhillips

   

19,332

   

 

 
 

 

   

30

   

Consol Energy, Inc.

   

2,051

   

 

 
 

 

   

72

   

Devon Energy Corp.

   

7,532

   

 

 
 

 

   

114

   

El Paso Corp. (c)

   

1,894

   

 

 
 

 

   

40

   

EOG Resources, Inc.

   

4,815

   

 

 
 

 

   

869

   

Exxon Mobil Corp.

   

73,508

   

 

 
 

 

   

45

   

Hess Corp.

   

3,995

   

 

 
 

 

   

115

   

Marathon Oil Corp.

   

5,252

   

 

 
 

 

   

31

   

Murphy Oil Corp.

   

2,532

   

 

 
 

 

   

28

   

Noble Energy, Inc.

   

2,032

   

 

 
 

 

   

134

   

Occidental Petroleum Corp.

   

9,777

   

 

 
 

 

   

44

   

Peabody Energy Corp.

   

2,245

   

 

 
 

 

   

24

   

Range Resources Corp.

   

1,545

   

 

 
 

 

   

103

   

Spectra Energy Corp.

   

2,338

   

 

 
 

 

   

19

   

Sunoco, Inc.

   

1,002

   

 

 
 

 

   

22

   

Tesoro Corp.

   

671

   

 

 
 

 

   

87

   

Valero Energy Corp.

   

4,265

   

 

 
 

 

   

95

   

Williams Cos., Inc.

   

3,134

   

 

 
 

 

   

83

   

XTO Energy, Inc.

   

5,128

   

 

 
 

 

   

 

   

 

   

196,603

   

 

 
                   
 

Paper & Forest Products — 0.3%

 
 

 

   

69

   

International Paper Co.

   

1,890

   

 

 
 

 

   

28

   

MeadWestvaco Corp. (c)

   

769

   

 

 
 

 

   

34

   

Weyerhaeuser Co. (c)

   

2,214

   

 

 
 

 

   

 

   

 

   

4,873

   

 

 
                   
 

Personal Products — 0.2%

 
                             
 

 

   

69

   

Avon Products, Inc.

   

2,741

   

 

 
 

 

   

19

   

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

   

850

   

 

 
 

 

   

 

   

 

   

3,591

   

 

 
                   
 

Pharmaceuticals — 6.1%

 
 

 

   

251

   

Abbott Laboratories

   

13,848

   

 

 
 

 

   

50

   

Allergan, Inc.

   

2,802

   

 

 
 

 

   

18

   

Barr Pharmaceuticals, Inc. (a)

   

847

   

 

 
 

 

   

322

   

Bristol-Myers Squibb Co.

   

6,849

   

 

 
 

 

   

161

   

Eli Lilly & Co.

   

8,290

   

 

 
 

 

   

51

   

Forest Laboratories, Inc. (a)

   

2,024

   

 

 
 

 

   

460

   

Johnson & Johnson

   

29,850

   

 

 
 

 

   

40

   

King Pharmaceuticals, Inc. (a)

   

348

   

 

 
 

 

   

352

   

Merck & Co., Inc.

   

13,349

   

 

 
 

 

   

49

   

Mylan Laboratories, Inc. (c)

   

574

   

 

 
 

 

   

1,098

   

Pfizer, Inc.

   

22,987

   

 

 
 

 

   

263

   

Schering-Plough Corp.

   

3,794

   

 

 
 

 

   

17

   

Watson Pharmaceuticals, Inc. (a)

   

494

   

 

 
 

 

   

217

   

Wyeth

   

9,076

   

 

 
 

 

   

 

   

 

   

115,132

   

 

 
                   
 

Real Estate Investment Trusts (REITs) — 1.2%

 
 

 

   

15

   

Apartment Investment & Management Co.

   

534

   

 

 
 

 

   

12

   

AvalonBay Communities, Inc.

   

1,205

   

 

 
 

 

   

19

   

Boston Properties, Inc.

   

1,787

   

 

 
 

 

   

19

   

Developers Diversified Realty Corp. (c)

   

813

   

 

 
 

 

   

44

   

Equity Residential

   

1,817

   

 

 
 

 

   

43

   

General Growth Properties, Inc.

   

1,653

   

 

 
 

 

   

38

   

HCP, Inc.

   

1,295

   

 

 
 

 

   

85

   

Host Hotels & Resorts, Inc. (c)

   

1,354

   

 

 
 

 

   

41

   

Kimco Realty Corp.

   

1,609

   

 

 
 

 

   

28

   

Plum Creek Timber Co., Inc. (c)

   

1,131

   

 

 
 

 

   

42

   

ProLogis (c)

   

2,469

   

 

 
 

 

   

20

   

Public Storage

   

1,793

   

 

 
 

 

   

36

   

Simon Property Group, Inc.

   

3,366

   

 

 
 

 

   

22

   

Vornado Realty Trust

   

1,890

   

 

 
 

 

   

 

   

 

   

22,716

   

 

 
                   
 

Real Estate Management & Development — 0.0% (g)

 
 

 

   

28

   

CB Richard Ellis Group, Inc., Class A (a) (c)

   

611

   

 

 
                   
 

Road & Rail — 0.9%

 
 

 

   

48

   

Burlington Northern Santa Fe Corp.

   

4,434

   

 

 
 

 

   

66

   

CSX Corp.

   

3,674

   

 

 
 

 

   

61

   

Norfolk Southern Corp.

   

3,321

   

 

 
 

 

   

9

   

Ryder System, Inc. (c)

   

574

   

 

 
 

 

   

42

   

Union Pacific Corp.

   

5,310

   

 

 
 

 

   

 

   

 

   

17,313

   

 

 
                   
 

Semiconductors & Semiconductor Equipment — 2.4%

 
 

 

   

98

   

Advanced Micro Devices, Inc. (a) (c)

   

579

   

 

 
 

 

   

50

   

Altera Corp.

   

920

   

 

 
 

 

   

48

   

Analog Devices, Inc.

   

1,409

   

 

 
 

 

   

220

   

Applied Materials, Inc. (c)

   

4,290

   

 

 
 

 

   

76

   

Broadcom Corp., Class A (a)

   

1,463

   

 

 
                             
 

 

   

940

   

Intel Corp.

   

19,914

   

 

 
 

 

   

29

   

KLA-Tencor Corp.

   

1,085

   

 

 
 

 

   

36

   

Linear Technology Corp. (c)

   

1,102

   

 

 
 

 

   

107

   

LSI Corp. (a)

   

532

   

 

 
 

 

   

37

   

MEMC Electronic Materials, Inc. (a)

   

2,631

   

 

 
 

 

   

31

   

Microchip Technology, Inc. (c)

   

1,004

   

 

 
 

 

   

124

   

Micron Technology, Inc. (a)

   

737

   

 

 
 

 

   

37

   

National Semiconductor Corp.

   

675

   

 

 
 

 

   

17

   

Novellus Systems, Inc. (a)

   

349

   

 

 
 

 

   

90

   

NVIDIA Corp. (a)

   

1,786

   

 

 
 

 

   

28

   

Teradyne, Inc. (a) (c)

   

352

   

 

 
 

 

   

215

   

Texas Instruments, Inc.

   

6,091

   

 

 
 

 

   

47

   

Xilinx, Inc.

   

1,105

   

 

 
 

 

   

 

   

 

   

46,024

   

 

 
                   
 

Software — 3.4%

 
 

 

   

92

   

Adobe Systems, Inc. (a)

   

3,289

   

 

 
 

 

   

38

   

Autodesk, Inc. (a)

   

1,181

   

 

 
 

 

   

31

   

BMC Software, Inc. (a)

   

1,015

   

 

 
 

 

   

63

   

CA, Inc.

   

1,426

   

 

 
 

 

   

30

   

Citrix Systems, Inc. (a)

   

883

   

 

 
 

 

   

45

   

Compuware Corp. (a) (c)

   

327

   

 

 
 

 

   

51

   

Electronic Arts, Inc. (a)

   

2,569

   

 

 
 

 

   

53

   

Intuit, Inc. (a)

   

1,438

   

 

 
 

 

   

1,300

   

Microsoft Corp.

   

36,901

   

 

 
 

 

   

57

   

Novell, Inc. (a) (c)

   

360

   

 

 
 

 

   

643

   

Oracle Corp. (a)

   

12,567

   

 

 
 

 

   

138

   

Symantec Corp. (a)

   

2,285

   

 

 
 

 

   

 

   

 

   

64,241

   

 

 
                   
 

Specialty Retail — 1.6%

 
 

 

   

14

   

Abercrombie & Fitch Co., Class A

   

1,024

   

 

 
 

 

   

22

   

AutoNation, Inc. (a) (c)

   

328

   

 

 
 

 

   

7

   

AutoZone, Inc. (a)

   

795

   

 

 
 

 

   

43

   

Bed Bath & Beyond, Inc. (a) (c)

   

1,255

   

 

 
 

 

   

57

   

Best Buy Co., Inc.

   

2,373

   

 

 
 

 

   

26

   

GameStop Corp., Class A (a)

   

1,352

   

 

 
 

 

   

74

   

Gap, Inc. (The)

   

1,454

   

 

 
 

 

   

274

   

Home Depot, Inc.

   

7,668

   

 

 
 

 

   

50

   

Limited Brands, Inc. (c)

   

863

   

 

 
 

 

   

238

   

Lowe's Cos., Inc.

   

5,451

   

 

 
 

 

   

44

   

Office Depot, Inc. (a)

   

490

   

 

 
 

 

   

12

   

OfficeMax, Inc. (c)

   

236

   

 

 
 

 

   

21

   

RadioShack Corp.

   

346

   

 

 
 

 

   

17

   

Sherwin-Williams Co. (The)

   

845

   

 

 
 

 

   

114

   

Staples, Inc.

   

2,518

   

 

 
 

 

   

21

   

Tiffany & Co. (c)

   

863

   

 

 
 

 

   

71

   

TJX Cos., Inc.

   

2,348

   

 

 
 

 

   

 

   

 

   

30,209

   

 

 
                   
 

Textiles, Apparel & Luxury Goods — 0.4%

 
 

 

   

57

   

Coach, Inc. (a)

   

1,724

   

 

 
 

 

   

14

   

Jones Apparel Group, Inc. (c)

   

189

   

 

 
                             
 

 

   

16

   

Liz Claiborne, Inc. (c)

   

293

   

 

 
 

 

   

62

   

Nike, Inc., Class B

   

4,229

   

 

 
 

 

   

10

   

Polo Ralph Lauren Corp.

   

558

   

 

 
 

 

   

14

   

V.F. Corp.

   

1,104

   

 

 
 

 

   

 

   

 

   

8,097

   

 

 
                   
 

Thrifts & Mortgage Finance — 0.6%

 
 

 

   

94

   

Countrywide Financial Corp. (c)

   

519

   

 

 
 

 

   

159

   

Fannie Mae

   

4,183

   

 

 
 

 

   

105

   

Freddie Mac

   

2,657

   

 

 
 

 

   

84

   

Hudson City Bancorp, Inc. (c)

   

1,489

   

 

 
 

 

   

19

   

MGIC Investment Corp. (c)

   

204

   

 

 
 

 

   

59

   

Sovereign Bancorp, Inc. (c)

   

547

   

 

 
 

 

   

143

   

Washington Mutual, Inc. (c)

   

1,477

   

 

 
 

 

   

 

   

 

   

11,076

   

 

 
                   
 

Tobacco — 1.5%

 
 

 

   

342

   

Altria Group, Inc.

   

7,603

   

 

 
 

 

   

342

   

Philip Morris International, Inc. (a)

   

17,323

   

 

 
 

 

   

28

   

Reynolds American, Inc. (c)

   

1,641

   

 

 
 

 

   

24

   

UST, Inc.

   

1,324

   

 

 
 

 

   

 

   

 

   

27,891

   

 

 
                   
 

Trading Companies & Distributors — 0.0% (g)

 
 

 

   

11

   

W.W. Grainger, Inc.

   

833

   

 

 
                   
 

Wireless Telecommunication Services — 0.3%

 
 

 

   

66

   

American Tower Corp., Class A (a)

   

2,578

   

 

 
 

 

   

463

   

Sprint Nextel Corp.

   

3,096

   

 

 
 

 

   

 

   

 

   

5,674

   

 

 
 

 

   

 

   

Total Long-Term Investments

   

 

   

 

 
 

 

   

 

   

(Cost $1,010,575)

   

1,869,919

   

 

 
                   
 

Short-Term Investment — 1.3%

 
                   
 

Investment Company — 1.3%

 
 

 

   

25,177

   

JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m)

   

 

   

 

 
 

 

   

 

   

(Cost $25,177)

   

25,177

   

 

 
                   
 

 

   

Principal Amount ($)

   

 

   

 

   

 

 
                   
 

Investments of Cash Collateral for Securities on Loan — 4.2%

 
                   
 

Certificates of Deposit — 0.1%

 
 

 

   

2,500

   

Calyon, New York,

   

 

   

 

 
 

 

   

 

   

FRN, 2.40%, 03/15/10

   

2,499

   

 

 
                   
 

Corporate Notes — 1.8%

 
 

 

   

5,500

   

BBVA Senior Finance S.A. (Spain),

   

 

   

 

 
 

 

   

 

   

FRN, 2.95%, 03/12/10

   

5,477

   

 

 
 

 

   

5,000

   

Beta Finance, Inc.,

   

 

   

 

 
 

 

   

 

   

FRN, 2.38%, 02/20/09 (i) (s)

   

4,913

   

 

 
 

 

   

1,500

   

Caixa d'Estalvisde Catalunya (Spain),

   

 

   

 

 
 

 

   

 

   

FRN, 3.04%, 06/30/08

   

1,499

   

 

 
 

 

   

4,225

   

HBOS Treasury Services plc (United Kingdom),

   

 

   

 

 
 

 

   

 

   

FRN, 3.19%, 08/29/08

   

4,225

   

 

 
 

 

   

6,000

   

Metropolitan Life Global Funding I,

   

 

   

 

 
 

 

   

 

   

FRN, 2.59%, 08/21/08

   

6,000

   

 

 
 

 

   

1,700

   

Monumental Global Funding III,

   

 

   

 

 
 

 

   

 

   

FRN, 3.14%, 05/24/10

   

1,665

   

 

 
                             
 

 

   

5,000

   

Nationwide Building Society (United Kingdom),

   

 

   

 

 
 

 

   

 

   

FRN, 3.14%, 07/03/08

   

5,000

   

 

 
 

 

   

5,000

   

Pricoa Global Funding I,

   

 

   

 

 
 

 

   

 

   

FRN, 2.65%, 09/26/08

   

5,000

   

 

 
 

 

   

 

   

 

   

33,779

   

 

 
                   
 

Repurchase Agreements — 1.8%

 
 

 

   

4

   

Banc of America Securities LLC, 2.40%, dated 03/31/08, due 04/01/08, repurchase price $4, collateralized by U.S. Government Agency Mortgages

   

4

   

 

 
 

 

   

5,551

   

Barclays Capital, Inc., 2.50%, dated 03/31/08, due 04/01/08, repurchase price $5,551, collateralized by U.S. Government Agency Mortgages

   

5,551

   

 

 
 

 

   

14,000

   

Credit Suisse (USA) LLC, 3.01%, dated 03/31/08, due 04/01/08, repurchase price $14,001, collateralized by U.S. Government Agency Mortgages

   

14,000

   

 

 
 

 

   

14,000

   

Lehman Brothers, Inc., 2.99%, dated 03/31/08, due 04/01/08, repurchase price $14,001, collateralized by U.S. Government Agency Mortgages

   

14,000

   

 

 
 

 

   

 

   

 

   

33,555

   

 

 
                   
 

Time Deposit — 0.5%

 
 

 

   

3,000

   

Banco Santander Central Hispano SA (Spain),

   

 

   

 

 
 

 

   

 

   

3.25%, 04/01/08

   

3,000

   

 

 
 

 

   

2,000

   

Caisse Nationale des Caisses d'Epargne et de Prevoyance (France), 3.10%, 04/01/08

   

2,000

   

 

 
 

 

   

3,000

   

Dresdner Bank,

   

 

   

 

 
 

 

   

 

   

3.50%, 04/01/08

   

3,000

   

 

 
 

 

   

2,000

   

ING Bank NV,

   

 

   

 

 
 

 

   

 

   

3.60%, 04/01/08

   

2,000

   

 

 
 

 

   

 

   

 

   

10,000

   

 

 
 

 

   

 

   

Total Investments of Cash Collateral for Securities on Loan

   

 

   

 

 
 

 

   

 

   

(Cost $79,977)

   

79,833

   

 

 
                   
 

Total Investments — 104.1%

 
 

(Cost $1,115,729)

   

 

   

 

   

1,974,929

   

 

 
                   
 

Other Assets in Excess of Liabilities — (4.1%)

   

(78,395

)  

 

 
                   
 

NET ASSETS — 100.0%

  $

1,896,534

   

 

 

                   
 

Percentages indicated are based on net assets.

 

                   
 

Futures Contracts

   

 

   

 

   

 

   

 

 
 

Number of Contracts

   

Description

   

Expiration Date

   

Notional Value at 03/31/08

   

Unrealized Appreciation (Depreciation)

 
 

 

   

Long Futures Outstanding

   

 

   

 

   

 

 
 

76

   

S&P 500 Index

   

June, 2008

  $

25,156

  $

256

 

       
 

ABBREVIATIONS AND DEFINITIONS:

 

                   
 

(a)

   

Non-income producing security.

 
 

(b)

   

Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc.

 
 

(c)

   

Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

 
 

(g)

   

Amount rounds to less than 0.1%.

 
 

(i)

   

Security has been deemed illiquid pursuant to procedures approved by the Board of Trustees and may be difficult to sell.

 
 

(k)

   

Security is fully or partially segregated with the broker as collateral for futures or with brokers as initial margin for futures contracts.

 
 

(m)

   

All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

 
 

(q)

   

Investment in affiliate. This security is included in an index in which the Portfolio, as an index fund, invests.

 
 

(s)

   

These holdings represent investments in structured investment vehicles (SIVs). The value of SIVs may be affected by, among other things, changes in: interest rates, the quality of the underlying assets or the market’s assessment thereof, factors concerning interests in and structure of the issuer or the originator of the receivables, or the creditworthiness of the entities that provide credit enhancements. SIVs have experienced decreased liquidity primarily resulting from declines in the market value of certain categories of collateral underlying the SIVs. These holdings were previously determined to be liquid at the time of acquisition of such investments and have since been deemed to be illiquid due to the changes in market conditions.

 
 

(y)

   

The Bear Stearns Companies Inc. and its affiliates are affiliated with JPMorgan Chase & Co.

 
 

FRN

   

Floating Rate Note. The interest rate shown is the rate in effect as of March 31, 2008.

 

                   
 

As of March 31, 2008 the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

                   
 

Aggregate gross unrealized appreciation

   

929,900

 
 

Aggregate gross unrealized depreciation

   

(70,700

)
 

Net unrealized appreciation

  $

859,200

 
 

Federal income tax cost of investments

  $

1,115,729

 


JPMorgan Intrepid Mid Cap Fund

Schedule of Portfolio Investments
As of March 31, 2008 (Unaudited)
(Amounts in thousands)

               
 

 

   

Shares

   

Security Description

   

Value ($)

 
               
 

Long-Term Investments — 97.7%

 
               
 

Common Stocks — 97.7%

 
               
 

Aerospace & Defense — 2.5%

 
 

 

   

55

   

Goodrich Corp.

   

3,180

 
 

 

   

26

   

L-3 Communications Holdings, Inc.

   

2,799

 
 

 

   

42

   

Northrop Grumman Corp.

   

3,229

 
 

 

   

55

   

Precision Castparts Corp.

   

5,574

 
 

 

   

51

   

TransDigm Group, Inc. (a) (c)

   

1,875

 
 

 

   

 

   

 

   

16,657

 
               
 

Auto Components — 1.4%

 
 

 

   

42

   

Autoliv, Inc. (Sweden)

   

2,083

 
 

 

   

47

   

BorgWarner, Inc.

   

2,014

 
 

 

   

102

   

Johnson Controls, Inc.

   

3,461

 
 

 

   

73

   

Lear Corp. (a) (c)

   

1,892

 
 

 

   

 

   

 

   

9,450

 
               
 

Beverages — 1.3%

 
 

 

   

55

   

Coca-Cola Enterprises, Inc.

   

1,336

 
 

 

   

114

   

Pepsi Bottling Group, Inc.

   

3,872

 
 

 

   

131

   

PepsiAmericas, Inc.

   

3,352

 
 

 

   

 

   

 

   

8,560

 
               
 

Building Products — 0.3%

 
 

 

   

66

   

Lennox International, Inc.

   

2,381

 
               
 

Capital Markets — 3.1%

 
 

 

   

129

   

American Capital Strategies Ltd. (c)

   

4,389

 
 

 

   

97

   

Federated Investors, Inc., Class B

   

3,787

 
 

 

   

209

   

Invesco Ltd.

   

5,089

 
 

 

   

51

   

Investment Technology Group, Inc. (a)

   

2,351

 
 

 

   

57

   

Raymond James Financial, Inc. (c)

   

1,303

 
 

 

   

244

   

TD AMERITRADE Holding Corp. (a)

   

4,025

 
 

 

   

 

   

 

   

20,944

 
               
 

Chemicals — 1.6%

 
 

 

   

109

   

Celanese Corp., Class A

   

4,260

 
 

 

   

34

   

CF Industries Holdings, Inc.

   

3,482

 
 

 

   

91

   

Terra Industries, Inc. (a)

   

3,237

 
 

 

   

 

   

 

   

10,979

 
               
 

Commercial Banks — 1.8%

 
 

 

   

95

   

Bancorpsouth, Inc.

   

2,205

 
 

 

   

56

   

Bank of Hawaii Corp.

   

2,760

 
 

 

   

48

   

BOK Financial Corp. (c)

   

2,502

 
 

 

   

35

   

PNC Financial Services Group, Inc.

   

2,262

 
 

 

   

124

   

TCF Financial Corp.

   

2,215

 
 

 

   

 

   

 

   

11,944

 
               
 

Commercial Services & Supplies — 1.9%

 
 

 

   

405

   

Allied Waste Industries, Inc. (a)

   

4,378

 
 

 

   

66

   

Herman Miller, Inc. (c)

   

1,619

 
 

 

   

161

   

R.R. Donnelley & Sons Co.

   

4,886

 
 

 

   

38

   

Watson Wyatt Worldwide, Inc., Class A (c)

   

2,151

 
                       
 

 

   

 

   

 

   

13,034

 
               
 

Communications Equipment — 0.3%

 
 

 

   

66

   

CommScope, Inc. (a)

   

2,295

 
               
 

Computers & Peripherals — 1.1%

 
 

 

   

153

   

Seagate Technology (Cayman Islands)

   

3,200

 
 

 

   

151

   

Western Digital Corp. (a)

   

4,069

 
 

 

   

 

   

 

   

7,269

 
               
 

Construction & Engineering — 0.9%

 
 

 

   

108

   

McDermott International, Inc. (a)

   

5,932

 
               
 

Containers & Packaging — 0.7%

 
 

 

   

88

   

Owens-Illinois, Inc. (a)

   

4,971

 
               
 

Diversified Consumer Services — 1.9%

 
 

 

   

83

   

Apollo Group, Inc., Class A (a)

   

3,590

 
 

 

   

78

   

DeVry, Inc.

   

3,259

 
 

 

   

52

   

ITT Educational Services, Inc. (a) (c)

   

2,389

 
 

 

   

77

   

Weight Watchers International, Inc.

   

3,586

 
 

 

   

 

   

 

   

12,824

 
               
 

Diversified Financial Services — 0.6%

 
 

 

   

112

   

Nasdaq OMX Group, Inc. (The) (a)

   

4,342

 
               
 

Diversified Telecommunication Services — 1.9%

 
 

 

   

123

   

CenturyTel, Inc.

   

4,079

 
 

 

   

111

   

Embarq Corp.

   

4,463

 
 

 

   

354

   

Windstream Corp.

   

4,225

 
 

 

   

 

   

 

   

12,767

 
               
 

Electric Utilities — 1.8%

 
 

 

   

95

   

DPL, Inc. (c)

   

2,426

 
 

 

   

126

   

Edison International

   

6,152

 
 

 

   

48

   

FirstEnergy Corp.

   

3,314

 
 

 

   

 

   

 

   

11,892

 
               
 

Electrical Equipment — 0.7%

 
 

 

   

52

   

Belden, Inc. (c)

   

1,844

 
 

 

   

60

   

Hubbell, Inc., Class B

   

2,604

 
 

 

   

 

   

 

   

4,448

 
               
 

Electronic Equipment & Instruments — 1.8%

 
 

 

   

137

   

Arrow Electronics, Inc. (a)

   

4,610

 
 

 

   

149

   

Avnet, Inc. (a)

   

4,870

 
 

 

   

28

   

Mettler-Toledo International, Inc. (a)

   

2,758

 
 

 

   

 

   

 

   

12,238

 
               
 

Energy Equipment & Services — 5.5%

 
 

 

   

91

   

ENSCO International, Inc.

   

5,680

 
 

 

   

138

   

Global Industries Ltd. (a)

   

2,222

 
 

 

   

81

   

Grant Prideco, Inc. (a)

   

4,007

 
 

 

   

95

   

Helmerich & Payne, Inc.

   

4,462

 
 

 

   

129

   

National Oilwell Varco, Inc. (a)

   

7,513

 
 

 

   

49

   

Oil States International, Inc. (a)

   

2,214

 
 

 

   

169

   

Patterson-UTI Energy, Inc.

   

4,432

 
 

 

   

103

   

Superior Energy Services, Inc. (a)

   

4,061

 
 

 

   

47

   

Tidewater, Inc.

   

2,568

 
 

 

   

 

   

 

   

37,159

 
               
 

Food & Staples Retailing — 0.4%

 
                       
 

 

   

70

   

BJ's Wholesale Club, Inc. (a)

   

2,495

 
               
 

Food Products — 0.7%

 
 

 

   

99

   

Flowers Foods, Inc. (c)

   

2,440

 
 

 

   

59

   

Fresh Del Monte Produce, Inc. (Cayman Islands) (a)

   

2,137

 
 

 

   

 

   

 

   

4,577

 
               
 

Gas Utilities — 1.7%

 
 

 

   

68

   

Energen Corp.

   

4,208

 
 

 

   

99

   

National Fuel Gas Co.

   

4,693

 
 

 

   

103

   

Southern Union Co.

   

2,401

 
 

 

   

 

   

 

   

11,302

 
               
 

Health Care Equipment & Supplies — 0.6%

 
 

 

   

81

   

Kinetic Concepts, Inc. (a)

   

3,749

 
               
 

Health Care Providers & Services — 4.7%

 
 

 

   

80

   

Aetna, Inc.

   

3,350

 
 

 

   

57

   

AMERIGROUP Corp. (a)

   

1,552

 
 

 

   

140

   

Cigna Corp.

   

5,672

 
 

 

   

93

   

Coventry Health Care, Inc. (a)

   

3,749

 
 

 

   

51

   

Express Scripts, Inc. (a)

   

3,274

 
 

 

   

98

   

Health Net, Inc. (a)

   

3,003

 
 

 

   

101

   

Humana, Inc. (a)

   

4,531

 
 

 

   

52

   

Laboratory Corp. of America Holdings (a)

   

3,832

 
 

 

   

62

   

Medco Health Solutions, Inc. (a)

   

2,719

 
 

 

   

 

   

 

   

31,682

 
               
 

Hotels, Restaurants & Leisure — 0.3%

 
 

 

   

58

   

Bally Technologies, Inc. (a)

   

1,995

 
               
 

Household Durables — 2.1%

 
 

 

   

81

   

Garmin Ltd. (Cayman Islands) (c)

   

4,375

 
 

 

   

66

   

Snap-On, Inc.

   

3,351

 
 

 

   

91

   

Stanley Works (The)

   

4,343

 
 

 

   

53

   

Tupperware Brands Corp.

   

2,050

 
 

 

   

 

   

 

   

14,119

 
               
 

Household Products — 0.7%

 
 

 

   

49

   

Energizer Holdings, Inc. (a)

   

4,449

 
               
 

Independent Power Producers & Energy Traders — 0.8%

 
 

 

   

154

   

Mirant Corp. (a) (c)

   

5,589

 
               
 

Industrial Conglomerates — 0.3%

 
 

 

   

36

   

Walter Industries, Inc.

   

2,273

 
               
 

Insurance — 4.5%

 
 

 

   

56

   

Allied World Assurance Co. Holdings Ltd. (Bermuda)

   

2,235

 
 

 

   

60

   

Arch Capital Group Ltd. (Bermuda) (a)

   

4,093

 
 

 

   

69

   

Aspen Insurance Holdings Ltd. (Bermuda)

   

1,810

 
 

 

   

55

   

Assurant, Inc.

   

3,359

 
 

 

   

119

   

Axis Capital Holdings Ltd. (Bermuda)

   

4,050

 
 

 

   

72

   

Endurance Specialty Holdings Ltd. (Bermuda)

   

2,646

 
 

 

   

63

   

Odyssey Re Holdings Corp. (c)

   

2,312

 
 

 

   

54

   

PartnerRe Ltd. (Bermuda) (c)

   

4,120

 
 

 

   

62

   

Platinum Underwriters Holdings Ltd. (Bermuda)

   

1,996

 
 

 

   

74

   

RenaissanceRe Holdings Ltd. (Bermuda)

   

3,852

 
 

 

   

 

   

 

   

30,473

 
               
 

Internet & Catalog Retail — 1.1%

 
                       
 

 

   

195

   

Expedia, Inc. (a) (c)

   

4,258

 
 

 

   

27

   

priceline.com, Inc. (a) (c)

   

3,227

 
 

 

   

 

   

 

   

7,485

 
               
 

IT Services — 3.3%

 
 

 

   

97

   

Accenture Ltd., Class A (Bermuda)

   

3,412

 
 

 

   

56

   

Affiliated Computer Services, Inc., Class A (a)

   

2,796

 
 

 

   

89

   

Alliance Data Systems Corp. (a)

   

4,243

 
 

 

   

70

   

Fiserv, Inc. (a)

   

3,366

 
 

 

   

104

   

Hewitt Associates, Inc., Class A (a)

   

4,124

 
 

 

   

18

   

MasterCard, Inc., Class A (c)

   

4,058

 
 

 

   

 

   

 

   

21,999

 
               
 

Leisure Equipment & Products — 0.6%

 
 

 

   

155

   

Hasbro, Inc.

   

4,324

 
               
 

Life Sciences Tools & Services — 1.7%

 
 

 

   

127

   

Applera Corp. - Applied Biosystems Group

   

4,177

 
 

 

   

48

   

Invitrogen Corp. (a)

   

4,128

 
 

 

   

61

   

Thermo Fisher Scientific, Inc. (a)

   

3,467

 
 

 

   

 

   

 

   

11,772

 
               
 

Machinery — 4.8%

 
 

 

   

76

   

AGCO Corp. (a)

   

4,575

 
 

 

   

107

   

Cummins, Inc.

   

5,028

 
 

 

   

67

   

Eaton Corp.

   

5,330

 
 

 

   

66

   

Gardner Denver, Inc. (a)

   

2,437

 
 

 

   

111

   

Manitowoc Co., Inc. (The) (c)

   

4,537

 
 

 

   

88

   

Parker-Hannifin Corp.

   

6,113

 
 

 

   

42

   

SPX Corp.

   

4,395

 
 

 

   

 

   

 

   

32,415

 
               
 

Marine — 0.6%

 
 

 

   

66

   

Kirby Corp. (a)

   

3,756

 
               
 

Media — 2.3%

 
 

 

   

80

   

CBS Corp., Class B

   

1,762

 
 

 

   

93

   

Interactive Data Corp.

   

2,636

 
 

 

   

53

   

Meredith Corp.

   

2,027

 
 

 

   

76

   

Omnicom Group, Inc.

   

3,371

 
 

 

   

105

   

Regal Entertainment Group, Class A (c)

   

2,016

 
 

 

   

86

   

Viacom, Inc., Class B (a)

   

3,404

 
 

 

   

 

   

 

   

15,216

 
               
 

Metals & Mining — 3.5%

 
 

 

   

84

   

AK Steel Holding Corp.

   

4,582

 
 

 

   

37

   

Cleveland-Cliffs, Inc.

   

4,469

 
 

 

   

66

   

Reliance Steel & Aluminum Co.

   

3,975

 
 

 

   

131

   

Steel Dynamics, Inc.

   

4,315

 
 

 

   

50

   

United States Steel Corp.

   

6,293

 
 

 

   

 

   

 

   

23,634

 
               
 

Multi-Utilities — 3.9%

 
 

 

   

116

   

Alliant Energy Corp.

   

4,068

 
 

 

   

318

   

CenterPoint Energy, Inc.

   

4,532

 
 

 

   

82

   

Dominion Resources, Inc.

   

3,353

 
 

 

   

166

   

MDU Resources Group, Inc.

   

4,080

 
 

 

   

88

   

Public Service Enterprise Group, Inc.

   

3,521

 
                       
 

 

   

253

   

TECO Energy, Inc.

   

4,040

 
 

 

   

91

   

Vectren Corp.

   

2,436

 
 

 

   

 

   

 

   

26,030

 
               
 

Office Electronics — 0.8%

 
 

 

   

381

   

Xerox Corp.

   

5,708

 
               
 

Oil, Gas & Consumable Fuels — 5.8%

 
 

 

   

42

   

Apache Corp.

   

5,038

 
 

 

   

79

   

Cimarex Energy Co.

   

4,325

 
 

 

   

128

   

Frontier Oil Corp.

   

3,500

 
 

 

   

87

   

Frontline Ltd. (Bermuda) (c)

   

3,990

 
 

 

   

58

   

Holly Corp.

   

2,513

 
 

 

   

74

   

Mariner Energy, Inc. (a) (c)

   

2,004

 
 

 

   

77

   

Murphy Oil Corp.

   

6,333

 
 

 

   

81

   

Noble Energy, Inc.

   

5,897

 
 

 

   

59

   

Valero Energy Corp.

   

2,907

 
 

 

   

78

   

W&T Offshore, Inc. (c)

   

2,647

 
 

 

   

 

   

 

   

39,154

 
               
 

Personal Products — 0.6%

 
 

 

   

85

   

Herbalife Ltd. (Cayman Islands)

   

4,028

 
               
 

Pharmaceuticals — 1.4%

 
 

 

   

79

   

Perrigo Co.

   

2,969

 
 

 

   

240

   

Warner Chilcott Ltd., Class A (a) (c)

   

4,320

 
 

 

   

69

   

Watson Pharmaceuticals, Inc. (a)

   

2,032

 
 

 

   

 

   

 

   

9,321

 
               
 

Real Estate Investment Trusts (REITs) — 4.6%

 
 

 

   

77

   

AMB Property Corp.

   

4,185

 
 

 

   

283

   

Annaly Capital Management, Inc.

   

4,337

 
 

 

   

38

   

General Growth Properties, Inc.

   

1,431

 
 

 

   

113

   

Hospitality Properties Trust

   

3,844

 
 

 

   

87

   

Nationwide Health Properties, Inc. (c)

   

2,930

 
 

 

   

109

   

ProLogis

   

6,392

 
 

 

   

74

   

Realty Income Corp. (c)

   

1,883

 
 

 

   

79

   

Senior Housing Properties Trust

   

1,868

 
 

 

   

94

   

Ventas, Inc.

   

4,235

 
 

 

   

 

   

 

   

31,105

 
               
 

Real Estate Management & Development — 0.5%

 
 

 

   

45

   

Jones Lang LaSalle, Inc. (c)

   

3,504

 
               
 

Road & Rail — 1.7%

 
 

 

   

138

   

CSX Corp.

   

7,738

 
 

 

   

59

   

Ryder System, Inc.

   

3,606

 
 

 

   

 

   

 

   

11,344

 
               
 

Semiconductors & Semiconductor Equipment — 3.2%

 
 

 

   

188

   

Amkor Technology, Inc. (a) (c)

   

2,015

 
 

 

   

81

   

Cree, Inc. (a) (c)

   

2,253

 
 

 

   

124

   

Lam Research Corp. (a)

   

4,747

 
 

 

   

80

   

MEMC Electronic Materials, Inc. (a)

   

5,651

 
 

 

   

278

   

NVIDIA Corp. (a)

   

5,495

 
 

 

   

274

   

ON Semiconductor Corp. (a) (c)

   

1,556

 
 

 

   

 

   

 

   

21,717

 
               
 

Software — 2.9%

 
                       
 

 

   

147

   

BMC Software, Inc. (a)

   

4,781

 
 

 

   

241

   

CA, Inc.

   

5,418

 
 

 

   

336

   

Compuware Corp. (a)

   

2,463

 
 

 

   

75

   

Sybase, Inc. (a)

   

1,962

 
 

 

   

195

   

Symantec Corp. (a)

   

3,248

 
 

 

   

87

   

Synopsys, Inc. (a)

   

1,985

 
 

 

   

 

   

 

   

19,857

 
               
 

Specialty Retail — 3.4%

 
 

 

   

80

   

Aeropostale, Inc. (a)

   

2,163

 
 

 

   

39

   

AutoZone, Inc. (a)

   

4,439

 
 

 

   

72

   

GameStop Corp., Class A (a)

   

3,733

 
 

 

   

261

   

Gap, Inc. (The)

   

5,137

 
 

 

   

173

   

RadioShack Corp.

   

2,805

 
 

 

   

91

   

Sherwin-Williams Co. (The)

   

4,626

 
 

 

   

 

   

 

   

22,903

 
               
 

Textiles, Apparel & Luxury Goods — 0.3%

 
 

 

   

70

   

Fossil, Inc. (a) (c)

   

2,132

 
               
 

Thrifts & Mortgage Finance — 1.1%

 
 

 

   

83

   

Astoria Financial Corp.

   

2,246

 
 

 

   

194

   

Hudson City Bancorp, Inc.

   

3,428

 
 

 

   

78

   

Washington Federal, Inc.

   

1,782

 
 

 

   

 

   

 

   

7,456

 
               
 

Tobacco — 1.7%

 
 

 

   

66

   

Loews Corp. - Carolina Group

   

4,808

 
 

 

   

37

   

Reynolds American, Inc. (c)

   

2,208

 
 

 

   

85

   

UST, Inc.

   

4,618

 
 

 

   

 

   

 

   

11,634

 
 

 

   

 

   

Total Long-Term Investments

   

 

 
 

 

   

 

   

(Cost $641,304)

   

659,283

 
               
 

Short-Term Investment — 2.5%

 
               
 

Investment Company — 2.5%

 
 

 

   

16,610

   

JPMorgan Liquid Assets Money Market Fund, Institutional Class (b) (m)

   

 

 
 

 

   

 

   

(Cost $16,610)

   

16,610

 
               
 

 

   

Principal Amount ($)

   

 

   

 

 
               
 

Investments of Cash Collateral for Securities on Loan — 8.7%

 
               
 

Certificates of Deposit — 0.4%

 
 

 

   

2,500

   

Calyon, New York,

   

 

 
 

 

   

 

   

FRN, 2.40%, 01/01/80

   

2,493

 
               
 

Corporate Notes — 5.8%

 
 

 

   

4,000

   

Anglo Irish Bank Corp. plc, (Ireland)

   

 

 
 

 

   

 

   

FRN, 3.13%, 09/05/08

   

3,974

 
 

 

   

4,000

   

Banque Federative du Credit Mutuel, (France)

   

 

 
 

 

   

 

   

FRN, 2.90%, 08/01/08

   

3,993

 
 

 

   

4,000

   

BBVA Senior Finance S.A., (Spain)

   

 
 

 

   

 

   

FRN, 2.95%, 03/12/10

   

3,984

 
 

 

   

4,000

   

Caixa d'Estalvis de Catalunya, (Spain)

   

 

 
 

 

   

 

   

FRN, 3.04%, 06/30/08

   

3,996

 
 

 

   

5,000

   

General Electric Capital Corp.,

   

 

 
 

 

   

 

   

FRN, 2.40%, 03/12/10

   

4,940

 
 

 

   

4,000

   

Macquarie Bank Ltd., (Australia)

   

 

 
                       
 

 

   

 

   

FRN, 2.62%, 08/20/08

   

4,000

 
 

 

   

4,500

   

Monumental Global Funding,

   

 

 
 

 

   

 

   

FRN, 3.14%, 05/24/10

   

4,407

 
 

 

   

5,000

   

National Rural Utilities Cooperative Finance Corp.,

   

 

 
 

 

   

 

   

FRN, 3.12%, 09/04/08

   

4,992

 
 

 

   

5,000

   

Pricoa Global Funding I,

   

 

 
 

 

   

 

   

FRN, 2.65%, 09/26/08

   

4,981

 
 

 

   

 

   

 

   

39,267

 
               
 

Repurchase Agreements — 1.8%

 
 

 

   

1,502

   

Barclays Capital, Inc., 2.50%, dated 03/31/08, due 04/01/08, repurchase

   

 

 
 

 

   

 

   

price $1,502, collateralized by U.S. Government Agency Mortgages

   

1,502

 
 

 

   

5,450

   

Credit Suisse First Boston LLC, 3.01%, dated 03/31/08, due 04/01/08,

   

 

 
 

 

   

 

   

repurchase price $5,451, collateralized by U.S. Government Agency Mortgages

   

5,450

 
 

 

   

4,894

   

Lehman Brothers, Inc., 2.99%, dated 03/31/08, due 04/01/08, repurchase

   

 

 
 

 

   

 

   

price $4,895, collateralized by U.S. Government Agency Mortgages

   

4,894

 
 

 

   

 

   

 

   

11,846

 
               
 

Time Deposit — 0.7%

 
 

 

   

1,000

   

Banco Santander S.A. (Spain),

   

 

 
 

 

   

 

   

3.25%, 04/01/08

   

1,000

 
 

 

   

1,000

   

Caisse Nat Des Cais D'Epar (Italy),

   

 

 
 

 

   

 

   

3.10%, 04/01/08

   

1,000

 
 

 

   

1,000

   

Dresdner Bank,

   

 

 
 

 

   

 

   

3.50%, 04/01/08

   

1,000

 
 

 

   

1,000

   

ING Bank N.V. (Seoul),

   

 

 
 

 

   

 

   

3.60%, 04/01/08

   

1,000

 
 

 

   

1,000

   

Natixis (Italy),

   

 

 
 

 

   

 

   

3.10%, 04/01/08

   

1,000

 
 

 

   

 

   

 

   

5,000

 
 

 

   

 

   

Total Investments of Cash Collateral for Securities on Loan

   

 

 
 

 

   

 

   

(Cost $58,845)

   

58,606

 
               
 

Total Investments — 108.9%

 
 

(Cost $716,759)

   

 

   

 

   

734,499

 
               
 

Liabilities in Excess of Other Assets — (8.9)%

   

(59,781

)
               
 

NET ASSETS — 100.0%

  $

674,718

 

   
 

Percentages indicated are based on net assets.

 

   
 

ABBREVIATIONS AND DEFINITIONS:

 

               
 

FRN

   

Floating Rate Note. The interest rate shown is the rate in effect as of March 31, 2008.

 
 

(a)

   

Non-income producing security.

 
 

(b)

   

Investment in affiliate. Money market fund registered under the Investment Company Act of 1940, as amended, and advised by JPMorgan Investment Advisors Inc.

 
 

(c)

   

Security, or a portion of the security, has been delivered to a counterparty as part of a security lending transaction.

 
 

(m)

   

All or a portion of this security is reserved for current or potential holdings of futures, swaps, options, TBAs, when-issued securities, delayed delivery securities, and reverse repurchase agreements.

 

               
 

As of March, 31, 2008, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

               
 

Aggregate gross unrealized appreciation

  $

69,023

 
 

Aggregate gross unrealized depreciation

   

(51,283

)
 

Net unrealized appreciation/depreciation

  $

17,740

 

               
 

Federal income tax cost of investments

  $

716,759

 


JPMorgan Investor Balanced Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE($)

 


 

 

Investment Companies – 99.6%

 

 

 

 

22,168

 

JPMorgan Core Bond Fund, Select
Class (b)

 

 

242,071

 

30,951

 

JPMorgan Core Plus Bond Fund,
Select Class (b)

 

 

239,564

 

2,210

 

JPMorgan Emerging Markets Debt
Fund, Select Class (b)

 

 

18,142

 

12,277

 

JPMorgan Government Bond
Fund, Select Class (b)

 

 

129,150

 

19,799

 

JPMorgan High Yield Bond Fund,
Select Class (b)

 

 

149,286

 

4,375

 

JPMorgan International Equity
Index Fund, Select Class (b)

 

 

117,462

 

4,805

 

JPMorgan Intrepid America Fund,
Select Class (b)

 

 

118,594

 

3,080

 

JPMorgan Intrepid Growth Fund,
Select Class (b)

 

 

66,398

 

2,652

 

JPMorgan Intrepid Mid Cap Fund,
Select Class (b)

 

 

37,850

 

1,243

 

JPMorgan Intrepid Plus Fund,
Select Class (a) (b)

 

 

18,669

 

1,220

 

JPMorgan Large Cap Growth
Fund, Select Class (a) (b)

 

 

22,122

 

7,711

 

JPMorgan Large Cap Value Fund,
Select Class (b)

 

 

86,597

 

19,978

 

JPMorgan Liquid Assets Money
Market Fund, Institutional Class
(b)

 

 

19,978

 

7,742

 

JPMorgan Market Expansion Index
Fund, Select Class (b)

 

 

76,493

 

14,377

 

JPMorgan Multi-Cap Market
Neutral Fund, Select Class (b)

 

 

147,653

 

1,892

 

JPMorgan Real Return Fund,
Select Class (b)

 

 

18,916

 

8,628

 

JPMorgan Short Duration Bond
Fund, Select Class (b)

 

 

92,837

 

16,597

 

JPMorgan U.S. Equity Fund,
Select Class (b)

 

 

161,985

 

5,801

 

JPMorgan U.S. Large Cap Core
Plus Fund, Select Class (b)

 

 

109,866

 

 

 

 

 

   

 

 

 

Total Investments — 99.6%
(Cost $1,822,980)

 

 

1,873,633

 

 

 

 

Other Assets in Excess of
Liabilities — 0.4%

 

 

6,778

 

 

 

 

 

   

 

 

 

NET ASSETS — 100.0%

 

$

1,880,411

 

 

 

 

 

   

 


 

 

 

 

 

 

 

 

Percentages indicated are based on net assets.

 

 

 

 

 

 

 

Allocation Of Investments *

 

 

 


Taxable Fixed Income Funds

 

47.5

%

Domestic Equity Funds

 

37.3

 

Specialty Funds

 

7.9

 

International Equity Funds

 

6.3

 

Money Market Funds

 

1.1

 


 

 

 

 

 

 

 

* Percentages indicated are based upon total investments as of March 31, 2008. The funds composition is subject to change.

 

 

 

 

 

As of March 31, 2008, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

 

 

 

 

Aggregate gross unrealized appreciation

 

$

80,105

 

Aggregate gross unrealized depreciation

 

 

(29,452

)

 

 

   

 

Net unrealized appreciation/depreciation

 

$

50,653

 

 

 

   

 

Federal income tax cost of investments

 

$

1,822,980

 

 

 

   

 

 

 

 

 

 

 

ABBREVIATIONS AND DEFINITIONS:

 

 

 

 

 

 

 

 

 

 

(a)

Non-income producing security.

 

 

 

 

 

 

 

 

 

 

(b)

Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc. or Security Capital Research & Management, Incorporated.



JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE($)

 


 

 

Investment Companies – 99.5%

 

 

 

 

11,846

 

JPMorgan Core Bond Fund, Select Class (b)

 

 

129,360

 

19,920

 

JPMorgan Core Plus Bond Fund, Select Class (b)

 

 

154,181

 

1,020

 

JPMorgan Emerging Markets Debt Fund, Select Class (b)

 

 

8,372

 

11,347

 

JPMorgan Government Bond Fund, Select Class (b)

 

 

119,374

 

6,846

 

JPMorgan High Yield Bond Fund, Select Class (b)

 

 

51,621

 

1,008

 

JPMorgan International Equity Index Fund, Select Class (b)

 

 

27,064

 

1,478

 

JPMorgan Intrepid America Fund, Select Class (b)

 

 

36,479

 

914

 

JPMorgan Intrepid Growth Fund, Select Class (b)

 

 

19,713

 

1,217

 

JPMorgan Intrepid Mid Cap Fund, Select Class (b)

 

 

17,370

 

563

 

JPMorgan Intrepid Plus Fund, Select Class (a) (b)

 

 

8,463

 

1,719

 

JPMorgan Large Cap Value Fund, Select Class (b)

 

 

19,309

 

11,842

 

JPMorgan Liquid Assets Money Market Fund, Institutional Class (b)

 

 

11,842

 

5,808

 

JPMorgan Multi-Cap Market Neutral Fund, Select Class (b)

 

 

59,648

 

837

 

JPMorgan Real Return Fund, Select Class (b)

 

 

8,373

 

4,716

 

JPMorgan U.S. Equity Fund, Select Class (b)

 

 

46,028

 

2,308

 

JPMorgan U.S. Large Cap Core Plus Fund, Select Class (b)

 

 

43,704

 

11,208

 

JPMorgan Ultra Short Term Bond Fund, Select Class (b)

 

 

101,882

 

 

 

 

 

   

 

 

 

Total Investments — 99.5%
(Cost $859,501)

 

 

862,783

 

 

 

Other Assets in Excess of Liabilities — 0.5%

 

 

4,714

 

 

 

 

 

   

 

 

 

NET ASSETS — 100.0%

 

$

867,497

 

 

 

 

 

   

 


 

 

Percentages indicated are based on net assets.


 

 

 

 

 

Allocation Of Investments *

 

 

 

 


Taxable Fixed Income Funds

 

 

66.4

%

Domestic Equity Funds

 

 

22.2

 

Specialty Funds

 

 

6.9

 

International Equity Funds

 

 

3.1

 

Money Market Funds

 

 

1.4

 

 

 

* Percentages indicated are based upon total investments as of March 31, 2008. The funds composition is subject to change.



JPMorgan Investor Conservative Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited) (continued)
(Amounts in thousands)

 

 

 

 

 

As of March 31, 2008, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows:

 

 

 

 

 

Aggregate gross unrealized appreciation

 

$

17,050

 

Aggregate gross unrealized depreciation

 

 

(13,768

)

 

 

   

 

Net unrealized appreciation/depreciation

 

$

3,282

 

 

 

   

 

Federal income tax cost of investments

 

$

859,501

 

 

 

   

 

 

 

 

 

 

ABBREVIATIONS AND DEFINITIONS :

 

 

 

 

 

 

 

 

 

 

 

(a)

Non-income producing security.

 

 

(b)

Investment in affiliate. Fund registered under the Investment Company Act of 1940, as amended, and advised by J.P. Morgan Investment Management Inc. or JPMorgan Investment Advisors Inc. or Security Capital Research & Management, Incorporated.



JPMorgan Investor Growth & Income Fund

SCHEDULE OF PORTFOLIO INVESTMENTS
AS OF MARCH 31, 2008 (Unaudited)
(Amounts in thousands)

 

 

 

 

 

 

 

SHARES

 

SECURITY DESCRIPTION

 

VALUE($)

 


 

 

Investment Companies – 99.8%

 

 

 

 

8,642

 

JPMorgan Core Bond Fund, Select
Class (b)

 

 

94,372

 

19,034

 

JPMorgan Core Plus Bond Fund,
Select Class (b)

 

 

147,321

 

2,285

 

JPMorgan Emerging Markets Debt
Fund, Select Class (b)

 

 

18,759

 

19,804

 

JPMorgan High Yield Bond Fund,
Select Class (b)

 

 

149,320

 

8,730

 

JPMorgan Intermediate Bond
Fund, Select Class (b)

 

 

92,452

 

1,291

 

JPMorgan International Equity
Fund, Select Class (b)

 

 

37,959

 

4,415

 

JPMorgan International Equity
Index Fund, Select Class (b)

 

 

118,540

 

7,172

 

JPMorgan Intrepid America Fund,
Select Class (b)

 

 

177,009

 

3,513

 

JPMorgan Intrepid Growth Fund,
Select Class (b)

 

 

75,742

 

3,988