N-CSRS 1 d317256dncsrs.htm J.P. MORGAN MUTUAL FUND INVESTMENT TRUST J.P. Morgan Mutual Fund Investment Trust
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UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORM N-CSR

 

 

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05526

 

 

J.P. Morgan Mutual Fund Investment Trust

(Exact name of registrant as specified in charter)

 

 

270 Park Avenue

New York, NY 10017

(Address of principal executive offices) (Zip code)

 

 

Frank J. Nasta

270 Park Avenue

New York, NY 10017

(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: July 1, 2016 to December 31, 2016

 

 

Form N-CSR is to be used by management investment companies to file reports with the Commission not later than 10 days after the transmission to stockholders of any report that is required to be transmitted to stockholders under Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1). The Commission may use the information provided on Form N-CSR in its regulatory, disclosure review, inspection, and policymaking roles.

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

 

 

 

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ITEM 1. REPORTS TO STOCKHOLDERS.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940 (17 CFR 270.30e-1).

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Semi-Annual Report

J.P. Morgan Mid Cap/Multi-Cap Funds

December 31, 2016 (Unaudited)

JPMorgan Growth Advantage Fund

JPMorgan Mid Cap Equity Fund

JPMorgan Mid Cap Growth Fund

JPMorgan Mid Cap Value Fund

JPMorgan Multi-Cap Market Neutral Fund

JPMorgan Value Advantage Fund

LOGO

Table of Contents

CONTENTS

 

CEO’s Letter        1  
Market Overview        2  

Fund Commentaries:

     

JPMorgan Growth Advantage Fund

        3  

JPMorgan Mid Cap Equity Fund

        5  

JPMorgan Mid Cap Growth Fund

        7  

JPMorgan Mid Cap Value Fund

        9  

JPMorgan Multi-Cap Market Neutral Fund

        12  

JPMorgan Value Advantage Fund

        15  
Schedules of Portfolio Investments        18  
Financial Statements        42  
Financial Highlights        58  
Notes to Financial Statements        70  
Schedule of Shareholder Expenses        80  
Board Approval of Investment Advisory Agreement        83  

Investments in a Fund are not deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when a Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets. References to specific securities and their issuers are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations to purchase or sell such securities. Such views are not meant as investment advice and may not be relied on as an indication of trading intent on behalf of any Fund.

Prospective investors should refer to the Funds’ prospectus for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Funds Service Center at 1-800-480-4111 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

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CEO’S LETTER

January 25, 2017 (Unaudited)

 

Dear Shareholder,

The continued expansion of the U.S. economy through the second half of 2016 helped support U.S. equity prices and spurred the U.S. Federal Reserve (the “Fed”) to raise interest rates in December. During the period, corporate earnings overall showed positive growth and by the end of the year the unemployment rate had reached it lowest levels since 2007.

 

LOGO   

 

“We believe the market performance over the past year has further validated both patience and diversification as fundamental components of a sound investment strategy.”

Gross domestic product in the U.S. rose by an estimated 3.5% in the third quarter of 2016, surpassing other developed markets. Global oil prices also continued to rise for most of the reporting period and the price of West Texas Intermediate crude reached a 15-month high in November. The Standard & Poor’s 500 Index reached fresh closing highs in July and August and remained buoyant through October.

The November 8th victory of Republican Party presidential candidate Donald Trump surprised many investors and led to brief declines in global equities. However, within 24 hours

global share prices had largely recovered. U.S. equity prices rallied through the end of the year, reaching new highs in December.

Against this backdrop, the Fed raised interest rates by a quarter of a percentage point on December 14th. “Economic growth has picked up since the middle of the year,” said Fed Chairwoman Janet Yellen. “We expect the economy will continue to perform well.”

While the prospect of further interest rate increases put pressure on U.S. bond prices, equities provided investors with positive returns. We believe the market performance over the past year has further validated both patience and diversification as fundamental components of a sound investment strategy.

We look forward to managing your investment needs for years to come. Should you have any questions, please visit www.jpmorganfunds.com or contact the J.P. Morgan Funds Service Center at 1-800-480-4111.

Sincerely yours,

 

LOGO

George C.W. Gatch

CEO, Investment Funds Management,

J.P. Morgan Asset Management

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         1   

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J.P. Morgan Mid Cap/Multi-Cap Funds

MARKET OVERVIEW

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

U.S. equity investments generally continued to outperform both other developed markets and emerging markets during the second half of 2016. Rebounding in the wake of the U.K.’s vote to exit from the European Union, the Standard & Poor’s 500 (the “S&P 500”) reached new closing highs in July and August. Global oil prices also continued to rise during the reporting period and reached 15-month highs in advance of the November 30th meeting of the Organization of Petroleum Exporting Countries.

Meanwhile, the November 8th victory of Republican Party presidential candidate Donald Trump surprised many investors and led to brief declines in global equities. The U.S. equity market recovered within a day and in the following weeks the S&P 500 surpassed 2,200 points for the first time and reached eight new closing highs by the end of 2016. The Dow Jones Industrial Average surpassed 19,000 points for the first time and reached 17 new closing highs between the election and the end of the year. In particular, energy, pharmaceutical and financial sector stocks generally rose amid investor expectations that a Trump administration’s policies would be beneficial for those industries.

During the reporting period, value stocks generally outperformed growth stocks and small-cap and mid-cap stocks outperformed large-cap stocks. By sector, the energy and financials sectors were top performers, while the health care and real estate sectors underperformed other sectors. For the six months ended December 31, 2016, the Russell MidCap Index returned 7.87% and the Russell 3000 Index returned 8.79%.

 

 
2       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

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JPMorgan Growth Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Class A Shares, without a sales charge)*      5.20%  
Russell 3000 Growth Index      6.18%  
Net Assets as of 12/31/2016 (In Thousands)    $ 6,101,660  

 

INVESTMENT OBJECTIVE**

The JPMorgan Growth Advantage Fund (the “Fund”) seeks to provide long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class A Shares, without a sales charge, underperformed the Russell 3000 Growth Index (the “Benchmark”) for the six months ended December 31, 2016. The Fund’s security selection in the health care and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark. The Fund’s security selection in the financials sector and its underweight position in the consumer staples sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight position in Acadia Healthcare Co., its underweight position in Apple Inc. and its allocation to Bristol-Myers Squibb Co. Shares of Acadia Healthcare, an operator of inpatient psychiatric and substance abuse treatment centers, fell after the company forecast lower-than-expected earnings and revenue. Shares of Apple, a maker of computers and mobile devices, rose amid the broader trend of increased investment in U.S. equities during the reporting period. Shares of Bristol Myers Squibb, a drug maker, fell amid investor concerns about the company’s ability to compete in the market for lung cancer treatments.

Leading individual contributors to relative performance included the Fund’s overweight positions in Charles Schwab Co., East West Bancorp Inc. and Arista Networks Inc.

Shares of Charles Schwab, a discount securities brokerage, and East West Bancorp, a California regional bank, rose amid an increase in U.S. interest rates. Shares of Arista Networks, a maker of data network equipment, rose after the company reported earnings growth and raised its earnings forecast.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies across

market capitalizations in an effort to construct portfolios of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Alphabet, Inc., Class C      6.3 % 
  2.      Facebook, Inc., Class A      4.3  
  3.      Amazon.com, Inc.      3.9  
  4.      UnitedHealth Group, Inc.      3.0  
  5.      Waste Connections, Inc., (Canada)      2.6  
  6.      Microsoft Corp.      2.6  
  7.      Apple, Inc.      2.4  
  8.      Mohawk Industries, Inc.      2.3  
  9.      Electronic Arts, Inc.      1.9  
  10.      Visa, Inc., Class A      1.8  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      38.1 % 
Consumer Discretionary      16.6
Industrials      14.2
Health Care      14.1
Financials      8.0
Consumer Staples      2.2
Energy      2.2
Materials      1.8
Real Estate      1.0
Short-Term Investment      1.8  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         3  

Table of Contents

JPMorgan Growth Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2016

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    October 29, 1999                    

With Sales Charge**

           (0.33 )%         (4.23 )%         13.76 %         8.44 % 

Without Sales Charge

           5.20           1.07           14.99           9.02   

CLASS C SHARES

    May 1, 2006                    

With CDSC***

           3.96           (0.41 )         14.42           8.46   

Without CDSC

           4.96          0.59          14.42          8.46  

CLASS R5 SHARES

    January 8, 2009        5.41          1.41          15.43          9.44  

CLASS R6 SHARES

    December 23, 2013        5.47          1.54          15.50          9.47  

SELECT CLASS SHARES

    May 1, 2006        5.36          1.30          15.20          9.26  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/06 TO 12/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R5 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Select Class Shares.

Returns for Class R6 Shares prior to their inception date are based on the performance of Class R5 Shares from January 8, 2009 to December 23, 2013 and Select Class Shares prior to January 8, 2009. The actual returns of Class R6 Shares would have been different than those shown because Class R6 Shares have different expenses than Class R5 Shares and Select Class Shares.

The graph illustrates comparative performance for $10,000 invested in Class A Shares of the JPMorgan Growth Advantage Fund, the Russell 3000 Growth Index and the Lipper Multi-Cap Growth Funds Index from December 31, 2006 to December 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and includes a sales charge. The performance of the Russell 3000 Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been

adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Growth Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with higher price-to-book ratios and higher forecasted growth values. The Lipper Multi-Cap Growth Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class A Shares have a $1,000 minimum initial investment and carry a 5.25% sales charge.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
4       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      5.56%  
Russell Midcap Index      7.87%  
Net Assets as of 12/31/2016 (In Thousands)    $ 2,608,317  

 

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Equity Fund (the “Fund”) seeks long-term capital growth.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell Midcap Index (the “Benchmark”) for the six months ended December 31, 2016. The Fund’s overweight position and security selection in the health care sector and its underweight position and security selection in the energy sector were leading detractors from performance relative to the Benchmark. The Fund’s security selection in the financial sector and its underweight position in the utilities sectors were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Acadia Healthcare Co., EQT Corp. and Dollar General Corp. Shares of Acadia Healthcare, an operator of inpatient psychiatric and substance abuse treatment centers, fell after the company forecast lower-than-expected earnings and revenue. Shares of EQT, a natural gas producer, fell after the company forecast higher-than-expected capital expenditures and lower product volumes for 2017. Shares of Dollar General, a discount retail chain, fell after the company reported lower-than-expected sales.

Leading individual contributors to relative performance included the Fund’s overweight positions in TD Ameritrade Holdings Co., Hilton Worldwide Holdings Inc. and Fifth Third Bancorp. Shares of both TD Ameritrade, a discount securities brokerage, and Fifth Third Bancorp, an Ohio regional bank, rose amid an increase in U.S. interest rates. Shares of Hilton Worldwide, a hotels and resorts operator, rose after management reaffirmed its forecast for revenue growth and on better-than-expected revenue per available room.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to

identify dominant franchises with predictable business models deemed capable of achieving, in their view, sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Mohawk Industries, Inc.      2.2 % 
  2.      Hilton Worldwide Holdings, Inc.      1.8  
  3.      Amphenol Corp., Class A      1.5  
  4.      Waste Connections, Inc., (Canada)      1.3  
  5.      Electronic Arts, Inc.      1.3  
  6.      NVIDIA Corp.      1.2  
  7.      Energen Corp.      1.1  
  8.      Humana, Inc.      1.1  
  9.      Carlisle Cos., Inc.      1.1  
  10.      Fortune Brands Home & Security, Inc.      1.1  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      18.2 % 
Consumer Discretionary      17.9
Financials      15.7
Industrials      13.2
Health Care      9.5
Real Estate      5.6
Consumer Staples      4.7
Utilities      4.5
Energy      4.0
Materials      3.3
Short-Term Investment      3.4  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         5  

Table of Contents

JPMorgan Mid Cap Equity Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2016

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    November 2, 2009                    

With Sales Charge**

           (0.17 )%        1.38 %        12.77 %        7.17 %

Without Sales Charge

           5.36          6.98          14.00          7.75  

CLASS C SHARES

    November 2, 2009                    

With CDSC***

           4.11          5.46          13.43          7.36  

Without CDSC

           5.11          6.46          13.43          7.36  

CLASS R2 SHARES

    March 14, 2014        5.25          6.72          13.84          7.67  

CLASS R5 SHARES

    March 14, 2014        5.63          7.48          14.47          8.05  

CLASS R6 SHARES

    March 14, 2014        5.63          7.54          14.50          8.06  

SELECT CLASS SHARES

    January 1, 1997        5.56          7.36          14.40          8.02  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/06 TO 12/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class A and Class C Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class A and Class C Shares would have been lower than those shown because Class A and Class C Shares have higher expenses than Select Class Shares.

Returns for Class R2 Shares prior to their inception date are based of Class A Shares from November 2, 2009 to March 13, 2014 and Select Class Shares prior to November 2, 2009. The actual returns of Class R2 Shares would have been lower than those shown because Class R2 Shares have higher expenses than Class A and Select Class Shares.

Returns for Class R5 and Class R6 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R5 and Class R6 Shares would have been different because Class R5 and Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in the Select Class Shares of JPMorgan Mid Cap Equity Fund, the Russell Midcap Index, and the Lipper Multi-Cap Growth Funds Index from December 31, 2006 to December 31, 2016. The performance of the Fund assumes reinvestment of all

dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Index is an unmanaged index which measures the performance of the 800 smallest companies in the Russell 1000 Index. The Lipper Mid-Cap Core Funds Index and the Lipper Multi-Cap Growth Funds Index are indices based on total returns of certain mutual funds within the mid cap fund categories as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
6       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      3.70%  
Russell Midcap Growth Index .      5.07%  
Net Assets as of 12/31/2016 (In Thousands) .    $ 2,717,536  

 

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Growth Fund (the “Fund”) seeks growth of capital.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares underperformed the Russell Midcap Growth Index (the “Benchmark”) for the six months ended December 31, 2016. The Fund’s security selection in the health care and consumer discretionary sectors was a leading detractor from performance relative to the Benchmark, while the Fund’s security selection in the financials sector and its overweight position in the technology sector were leading contributors to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in Acadia Healthcare Co., Dollar General Corp. and Inovalon Holdings Inc. Shares of Acadia Healthcare, an operator of inpatient psychiatric and substance abuse treatment centers, fell after the company forecast lower-than-expected earnings and revenue. Shares of Dollar General, a discount retail chain, fell following weaker-than-expected sales. Shares of Inovalon Holdings, a cloud computing technology provider, fell after the company reduced its forecast for earnings and sales.

Leading individual contributors to relative performance included the Fund’s overweight positions in TD Ameritrade Holdings Co., East West Bancorp Inc. and Cavium Inc.

Shares of both TD Ameritrade, a discount securities brokerage, and East West Bancorp, a California regional bank, rose amid an increase in U.S. interest rates. Shares of Cavium, a semiconductor manufacturer, rose after the company posted better-than-expected earnings.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection, researching individual companies in an effort to construct a portfolio of stocks that have strong fundamentals. The Fund’s portfolio managers sought to invest in high

quality companies with durable franchises that, in their view, possessed the ability to generate strong future earnings growth.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Mohawk Industries, Inc.      2.8 % 
  2.      Electronic Arts, Inc.      2.7  
  3.      Waste Connections, Inc., (Canada)      2.7  
  4.      NVIDIA Corp.      2.4  
  5.      Hilton Worldwide Holdings, Inc.      2.3  
  6.      Vantiv, Inc., Class A      2.2  
  7.      Ross Stores, Inc.      1.9  
  8.      O’Reilly Automotive, Inc.      1.9  
  9.      Amphenol Corp., Class A      1.8  
  10.      Acuity Brands, Inc.      1.8  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      27.0 % 
Consumer Discretionary      19.0
Industrials      18.0
Health Care      14.8
Financials      9.5
Consumer Staples      3.0
Materials      2.6
Energy      2.4
Real Estate      1.4
Short-Term Investment      2.3  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         7  

Table of Contents

JPMorgan Mid Cap Growth Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2016

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 18, 1992                    

With Sales Charge**

           (1.89 )%        (5.37 )%        11.98 %        6.83 %

Without Sales Charge

           3.55          (0.12 )        13.19          7.41  

CLASS C SHARES

    November 4, 1997                    

With CDSC***

           2.27           (1.60 )         12.63           6.83   

Without CDSC

           3.27          (0.60 )        12.63          6.83  

CLASS R2 SHARES

    June 19, 2009        3.47          (0.26 )        13.02          7.24  

CLASS R3 SHARES

    September 9, 2016        3.57          (0.10 )        13.20          7.41  

CLASS R4 SHARES

    September 9, 2016        3.69          0.15          13.48          7.68  

CLASS R5 SHARES

    November 1, 2011        3.75          0.33          13.70          7.80  

CLASS R6 SHARES

    November 1, 2011        3.77          0.37          13.76          7.83  

SELECT CLASS SHARES

    March 2, 1989        3.70          0.19          13.54          7.72  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/06 TO 12/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for the Class R2, Class R3, Class R4, Class R5 and Class R6 Shares prior to their inception dates are based on the performance of Select Class Shares. Prior performance for Class R2, Class R3 and Class R4 Shares has been adjusted to reflect the differences in expenses between classes. The actual returns of Class R5 and Class R6 Shares would have been different than those shown because Class R5 and Class R6 Shares have different expenses than Select Class Shares.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Mid Cap Growth Fund, the Russell Midcap Growth Index, the Lipper Mid-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index from December 31, 2006 to December 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Growth Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect

reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Growth Index is an unmanaged index which measures the performance of those Russell Midcap companies with higher price-to-book ratios and higher forecasted growth values. The Lipper Mid-Cap Growth Funds Index and the Lipper Multi-Cap Growth Funds Index are indices based on total returns of certain mutual funds as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
8       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)* (1)      7.59%  
Russell Midcap Value Index      10.22%  
Net Assets as of 12/31/2016 (In Thousands) .    $ 17,139,226  

 

INVESTMENT OBJECTIVE**

The JPMorgan Mid Cap Value Fund (the “Fund”) seeks growth from capital appreciation.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class L Shares underperformed the Russell Midcap Value Index (the “Benchmark”) for the six months ended December 31, 2016. The Fund’s security selection in the industrials sector and its overweight position and security selection in the consumer staples sector were leading detractors from performance relative to the Benchmark. The Fund’s underweight positions in both the real estate and utilities sectors were a leading contributor to relative performance.

Leading individual detractors from relative performance included the Fund’s overweight positions in EQT Corp., Marsh & McLennan Cos. and Newell Brands Inc. (formerly named Newell Rubbermaid Inc.) Shares of EQT, a natural gas producer, fell after the company forecast higher-than-expected capital expenditures and lower product volumes for 2017. Shares of Marsh & McLennan, an insurance and risk consulting company that was not held in the Benchmark, underperformed the broader financials sector during the reporting period. Shares of Newell Rubbermaid, a household products maker that was not held in the Benchmark, fell following mixed quarterly financial results and investor concerns about the company’s divestiture of assets.

Leading individual contributors to relative performance included the Fund’s overweight positions in Kohl’s Corp., Citizens Financial Group Inc. and Fifth Third Bancorp. Shares of Kohl’s, a discount apparel retailer, rose on better-than-expected earnings and strong revenue from back-to-school sales. Shares of both Fifth Third Bancorp, a regional bank based in Ohio, and Citizens Financial, a regional bank based in Rhode Island, rose amid an increase in U.S. interest rates.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises

possessing the ability to generate, in their view, sustainable levels of free cash flow.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Energen Corp.      2.2 % 
  2.      EQT Corp.      2.0  
  3.      Loews Corp.      1.9  
  4.      M&T Bank Corp.      1.7  
  5.      Mohawk Industries, Inc.      1.7  
  6.      Fifth Third Bancorp      1.5  
  7.      SunTrust Banks, Inc.      1.4  
  8.      Arrow Electronics, Inc.      1.4  
  9.      WestRock Co.      1.4  
  10.      Xcel Energy, Inc.      1.4  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      22.2 % 
Consumer Discretionary      16.9
Information Technology      9.7
Real Estate      9.5
Utilities      8.8
Industrials      8.5
Consumer Staples      6.4
Energy      5.2
Health Care      4.3
Materials      4.0
Short-Term Investment      4.5  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
(1)   

On December 1, 2016, the Fund’s Institutional Class Shares were redesignated and renamed Class L Shares.

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         9  

Table of Contents

JPMorgan Mid Cap Value Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2016

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    April 30, 2001                    

With Sales Charge**

           1.70 %        8.06 %        13.63 %        7.40 %

Without Sales Charge

           7.33          14.06          14.87          7.99  

CLASS C SHARES

    April 30, 2001                    

With CDSC***

           6.04          12.48          14.28          7.44  

Without CDSC

           7.04          13.48          14.28          7.44  

CLASS L SHARES (FORMERLY INSTITUTIONAL SHARES)

    November 13, 1997        7.59           14.62           15.43           8.52   

CLASS R2 SHARES

    November 3, 2008        7.15          13.75          14.57          7.75  

CLASS R3 SHARES

    September 9, 2016        7.32          14.05          14.86          7.98  

CLASS R4 SHARES

    September 9, 2016        7.45          14.35          15.15          8.25  

CLASS R5 SHARES

    September 9, 2016        7.57          14.60          15.43          8.51  

CLASS R6 SHARES

    September 9, 2016        7.58          14.61          15.43          8.51  

SELECT CLASS SHARES

    October 31, 2001        7.47          14.37          15.15          8.25  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/06 TO 12/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R2 and Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R2 and Class R3 Shares would have been lower than those shown because Class R2 and Class R3 Shares have higher expenses than Class A Shares.

Returns for the Class R4 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R4 Shares would have been different because Class R4 Shares have different expenses than Select Class Shares.

Returns for the Class R5 and R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class L Shares.

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Mid Cap Value Fund, the Russell Midcap Value Index, the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index from December 31, 2006 to December 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell Midcap Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell Midcap Value Index is an unmanaged index which measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The Lipper Mid-Cap Value Funds Index and the Lipper Multi-Cap Core Funds Index are indices based on total returns of certain mutual funds within the mid cap and multi cap fund categories, respectively, as determined by Lipper, Inc. Investors cannot invest directly in an index.

 

 

 
10       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

Class L Shares have a $3,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         11   

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Select Class Shares)*      1.68%  
BofA Merrill Lynch 3-Month U.S. Treasury Bill Index      0.18%  
Net Assets as of 12/31/16 (In Thousands)    $ 168,681  

 

INVESTMENT OBJECTIVE**

The JPMorgan Multi-Cap Market Neutral Fund (the “Fund”) seeks long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Select Class Shares outperformed the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index (the “Benchmark”) for the six months ended December 31, 2016. U.S. equity securities, which were not included in the Benchmark, generally outperformed U.S. Treasury bonds during the reporting period. The Fund’s security selection in the industrials and information technology sectors helped the Fund’s performance relative to the Benchmark, while the Fund’s security selection in the consumer staples and telecom services sectors detracted from relative performance.

Leading individual contributors to Fund returns included its long positions in Steel Dynamics Inc. and NCR Corp., and its short position in Acadia Healthcare Co. Shares of Steel Dynamics, a steel making and metal recycling company, rose amid investor expectations that the domestic steel sector would benefit from the policies of the incoming Trump administration. Shares of NCR, a maker of automatic teller machines and other transaction technology, rose on an improved business environment for its financial services clients. Shares of Acadia Healthcare, an operator of inpatient psychiatric and substance abuse treatment centers, fell after the company forecast lower-than-expected earnings and revenue.

Leading individual detractors from Fund returns included its short positions in Micron Technology, NetSuite, and Cavium Inc. Shares of Micron Technology, a semiconductor manufacturer, rose after the company posted better-than-expected earnings and raised its forecast for 2017 results. Shares of NetSuite, a provider of cloud-computing services, rose following news of a $9.3 billion acquisition offer from Oracle Corp. Shares of Cavium, a maker of semiconductors for the telecommunications sector, rose on better-than-expected earnings.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers employed a bottom-up approach to stock selection, constructing a portfolio based on company fundamentals, quantitative screening and proprietary fundamental analysis. The Fund’s portfolio managers sought to identify dominant franchises with predictable business models deemed capable of achieving, in their view, sustained growth, as well as undervalued companies with the potential to grow their intrinsic value per share. Companies that ranked lowest in the above factors were selected by the Fund’s portfolio managers for possible short sales.

 

TOP TEN LONG POSITIONS OF THE PORTFOLIO***  
  1.      NCR Corp.      1.2 % 
  2.      QUALCOMM, Inc.      1.0  
  3.      Lam Research Corp.      1.0  
  4.      Hologic, Inc.      1.0  
  5.      eBay, Inc.      1.0  
  6.      Microsoft Corp.      1.0  
  7.      Western Union Co. (The)      1.0  
  8.      Humana, Inc.      1.0  
  9.      Steel Dynamics, Inc.      1.0  
  10.      Allison Transmission Holdings, Inc.      1.0  

 

TOP TEN SHORT POSITIONS OF THE PORTFOLIO****  
  1.      Chevron Corp.      1.6 % 
  2.      People’s United Financial, Inc.      1.6  
  3.      National Instruments Corp.      1.3  
  4.      CDW Corp.      1.3  
  5.      Microsemi Corp.      1.3  
  6.      Tesla Motors, Inc.      1.2  
  7.      Zoetis, Inc.      1.2  
  8.      Dominion Resources, Inc.      1.2  
  9.      AMERCO      1.2  
  10.      Amphenol Corp., Class A      1.2  
 

 

 
12       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

LONG POSITION PORTFOLIO COMPOSITION BY SECTOR***

  
Information Technology      24.0 % 
Consumer Discretionary      14.5
Industrials      13.3
Health Care      11.5
Consumer Staples      5.7
Materials      4.3
Energy      3.7
Utilities      3.6
Financials      2.8
Real Estate      2.0
Telecommunication Services      0.9  
Short-Term Investment      13.7  

 

SHORT POSITION PORTFOLIO COMPOSITION BY SECTOR****

  
Information Technology      28.9 % 
Consumer Discretionary      18.5
Industrials      17.2
Health Care      11.3
Materials      5.7
Consumer Staples      5.3
Financials      3.5
Energy      3.3
Utilities      2.7
Real Estate      2.1
Telecommunication Services      1.5

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total long investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
****   Percentages indicated are based on total short investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         13  

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2016

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    May 23, 2003                    

With Sales Charge**

           (3.83 )%         (6.51 )%         (0.04 )%         (0.87 )% 

Without Sales Charge

           1.52          (1.37 )        1.05          (0.33 )

CLASS C SHARES

    May 23, 2003                    

With CDSC***

           0.29          (2.98 )        0.47          (0.99 )

Without CDSC

           1.29          (1.98 )        0.47          (0.99 )

SELECT CLASS SHARES

    May 23, 2003        1.68          (1.15 )        1.29          (0.08 )

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/06 TO 12/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

The graph illustrates comparative performance for $1,000,000 invested in Select Class Shares of the JPMorgan Multi-Cap Market Neutral Fund, the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index and the Lipper Alternative Equity Market Neutral Funds Index from December 31, 2006 to December 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the indices reflects an initial investment at the end of the month following the Fund’s inception. The performance of the BofA Merrill Lynch 3-Month U.S. Treasury Bill Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Alternative Equity Market Neutral Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the

expenses incurred by the Fund. The BofA Merrill Lynch 3-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. Each month the index is rebalanced and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond, 3 months from the rebalancing date. The Lipper Alternative Equity Market Neutral Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Select Class Shares have a $1,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
14       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

 

 

REPORTING PERIOD RETURN:  
Fund (Class L Shares)* (1)      13.25%  
Russell 3000 Value Index      11.40%  
Net Assets as of 12/31/2016 (In Thousands) .    $ 10,667,718  

 

INVESTMENT OBJECTIVE**

The JPMorgan Value Advantage Fund (the “Fund”) seeks to provide long-term total return from a combination of income and capital gains.

WHAT WERE THE MAIN DRIVERS OF THE FUND’S PERFORMANCE?

The Fund’s Class L Shares outperformed the Russell 3000 Value Index (the “Benchmark”) for the six months ended December 31, 2016. The Fund’s overweight position and security selection in the financials sector and its security selection and underweight position in the health care sector were leading contributors to performance relative to the Benchmark. The Fund’s security selection in the utilities sector and its security selection and underweight position in the industrials sector were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s underweight position in Berkshire Hathaway Inc. and its overweight positions in Citizens Financial Group Inc. and Delta Air Lines Inc. Shares of Berkshire Hathaway, a diversified holding company that was not held in the Fund, underperformed the broader financials sector during the reporting period. Shares of Citizens Financial, a regional bank based in Rhode Island, rose on investor expectations for increased earnings. Shares of Delta Air Lines rose on better-than-expected earnings.

Leading individual detractors from relative performance included the Fund’s overweight positions in Loews Corp. and Treehouse Foods Inc. and its underweight position in J.P.Morgan Chase & Co. Shares of Loews, a diversified holding company, underperformed the broader financials sector during the reporting period. Shares of Treehouse Foods, a packaged foods company, fell amid management changes and after the company reported lower-than-expected earnings and reduced its earnings forecast. Shares of J.P.Morgan Chase, a banking and financial services company that the Fund is prohibited from holding because of its affiliation with the Fund’s adviser, rose on investor expectations of an improved operating environment for large banks.

HOW WAS THE FUND POSITIONED?

The Fund’s portfolio managers utilized a bottom-up approach to stock selection and sought to identify durable franchises possessing the ability to generate, in the portfolio managers’

view, significant levels of free cash flow. During the reporting period, the Fund’s largest average overweight position remained the consumer discretionary sector, where the Fund’s portfolio managers found what they believed to be compelling investment opportunities. The Fund’s largest average underweight position was in the energy sector.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO***  
  1.      Wells Fargo & Co.      4.0 % 
  2.      Bank of America Corp.      2.6  
  3.      Pfizer, Inc.      2.4  
  4.      Exxon Mobil Corp.      2.3  
  5.      Capital One Financial Corp.      2.3  
  6.      Loews Corp.      2.1  
  7.      American International Group, Inc.      1.7  
  8.      Delta Air Lines, Inc.      1.6  
  9.      Johnson & Johnson      1.6  
  10.      PNC Financial Services Group, Inc. (The)      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR***

  
Financials      32.4 % 
Consumer Discretionary      15.1
Health Care      9.0
Energy      7.2
Information Technology      7.0
Industrials      6.2
Consumer Staples      5.9
Utilities      5.8
Real Estate      4.5
Materials      3.8
Telecommunication Services      1.4
Short-Term Investment      1.7  

 

*   The return shown is based on net asset values calculated for shareholder transactions and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.
**   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
***   Percentages indicated are based on total investments as of December 31, 2016. The Fund’s portfolio composition is subject to change.
(1)   

On December 1, 2016, the Fund’s Institutional Class Shares were redesignated and renamed Class L Shares.

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         15  

Table of Contents

JPMorgan Value Advantage Fund

FUND COMMENTARY

SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF DECEMBER 31, 2016

  
     INCEPTION DATE OF
CLASS		      6 MONTH*        1 YEAR        5 YEAR        10 YEAR  

CLASS A SHARES

    February 28, 2005                    

With Sales Charge**

           7.05 %        10.38 %        13.15 %        7.25 %

Without Sales Charge

           12.98          16.49          14.38          7.82  

CLASS C SHARES

    February 28, 2005                    

With CDSC***

           11.68          14.86          13.80          7.28  

Without CDSC

           12.68          15.86          13.80          7.28  

CLASS L SHARES (FORMERLY INSTITUTIONAL SHARES)

    February 28, 2005        13.25          17.03          14.95          8.37  

CLASS R3 SHARES

    September 9, 2016        12.95          16.46          14.37          7.82  

CLASS R4 SHARES

    September 9, 2016        13.12          16.73          14.66          8.10  

CLASS R5 SHARES

    September 9, 2016        13.25          17.03          14.95          8.37  

CLASS R6 SHARES

    September 9, 2016        13.27          17.05          14.96          8.37  

SELECT CLASS SHARES

    February 28, 2005        13.12          16.73          14.66          8.10  

 

*   Not annualized.
**   Sales Charge for Class A Shares is 5.25%.
***   Assumes a 1% CDSC (contingent deferred sales charge) for the 6 month and one year periods and 0% CDSC thereafter.

TEN YEAR PERFORMANCE (12/31/06 TO 12/31/16)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date month-end performance information please call 1-800-480-4111.

Returns for Class R3 Shares prior to their inception date are based on the performance of Class A Shares. The actual returns of Class R3 Shares would have been lower than those shown because Class R3 Shares have higher expenses than Class A Shares.

Returns for the Class R4 Shares prior to their inception date are based on the performance of Select Class Shares. The actual returns of Class R4 Shares would have been different because Class R4 Shares have different expenses than Select Class Shares.

Returns for the Class R5 and R6 Shares prior to their inception dates are based on the performance of Class L Shares. The actual returns of Class R5 Shares would have been different than those shown because Class R5 Shares have different expenses than Class L Shares.

The graph illustrates comparative performance for $3,000,000 invested in Class L Shares of the JPMorgan Value Advantage Fund, the Russell 3000 Value Index and the Lipper Multi-Cap Value Funds Index from December 31, 2006 to December 31, 2016. The performance of the Fund assumes reinvestment of all dividends and capital gain distributions, if any, and does not include a sales charge. The performance of the Russell 3000 Value Index does not reflect the deduction of expenses or a sales charge associated with a mutual fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the benchmark, if applicable. The performance of the Lipper Multi-Cap Value Funds Index includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses incurred by the Fund. The Russell 3000 Value Index is an unmanaged index which measures the performance of those Russell 3000 companies (largest 3000 U.S. companies) with lower price-to-book ratios and lower forecasted growth values. The Lipper Multi-Cap Value Funds Index is an index based on total returns of certain mutual funds within the Fund’s designated category as determined by Lipper, Inc. Investors cannot invest directly in an index.

Class L Shares have a $3,000,000 minimum initial investment.

Fund performance may reflect the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these

 

 

 
16       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemptions of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         17   

Table of Contents

JPMorgan Growth Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 98.0%

  

  

Consumer Discretionary — 16.6%

  

  

Automobiles — 0.6%

  

  167      

Tesla Motors, Inc. (a)

     35,750   
    

 

 

  
  

Distributors — 0.9%

  

  1,753      

LKQ Corp. (a)

     53,714   
    

 

 

  
  

Hotels, Restaurants & Leisure — 3.5%

  

  3,354      

Hilton Worldwide Holdings, Inc.

     91,215   
  1,245      

Norwegian Cruise Line Holdings Ltd. (a)

     52,958   
  1,297      

Starbucks Corp.

     72,010   
    

 

 

  
       216,183   
    

 

 

  
  

Household Durables — 2.3%

  
  687      

Mohawk Industries, Inc. (a)

     137,240   
    

 

 

  
  

Internet & Direct Marketing Retail — 7.0%

  
  318      

Amazon.com, Inc. (a)

     238,309   
  481      

Netflix, Inc. (a)

     59,572   
  67      

Priceline Group, Inc. (The) (a)

     98,666   
  865      

Wayfair, Inc., Class A (a)

     30,308   
    

 

 

  
       426,855   
    

 

 

  
  

Multiline Retail — 1.7%

  
  881      

Dollar General Corp.

     65,234   
  821      

Nordstrom, Inc.

     39,331   
    

 

 

  
       104,565   
    

 

 

  
  

Specialty Retail — 0.6%

  
  146      

Ulta Salon Cosmetics & Fragrance, Inc. (a)

     37,119   
    

 

 

  
  

Total Consumer Discretionary

     1,011,426   
    

 

 

  
  

Consumer Staples — 2.2%

  
  

Beverages — 0.6%

  
  843      

Monster Beverage Corp. (a)

     37,374   
    

 

 

  
  

Food & Staples Retailing — 1.0%

  
  318      

Casey’s General Stores, Inc.

     37,745   
  1,157      

Sprouts Farmers Market, Inc. (a)

     21,894   
    

 

 

  
       59,639   
    

 

 

  
  

Food Products — 0.6%

  
  634      

Tyson Foods, Inc., Class A

     39,105   
    

 

 

  
  

Total Consumer Staples

     136,118   
    

 

 

  
  

Energy — 2.2%

  
  

Oil, Gas & Consumable Fuels — 2.2%

  
  653      

Concho Resources, Inc. (a)

     86,548   
  488      

EOG Resources, Inc.

     49,317   
    

 

 

  
  

Total Energy

     135,865   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Financials — 8.0%

  
  

Banks — 2.2%

  
  1,204      

East West Bancorp, Inc.

     61,184   
  494      

Signature Bank (a)

     74,199   
    

 

 

  
       135,383   
    

 

 

  
  

Capital Markets — 5.8%

  
  408      

Affiliated Managers Group, Inc. (a)

     59,224   
  152      

BlackRock, Inc.

     57,652   
  2,353      

Charles Schwab Corp. (The)

     92,861   
  849      

Lazard Ltd., Class A

     34,898   
  640      

Nasdaq, Inc.

     42,923   
  592      

S&P Global, Inc.

     63,664   
    

 

 

  
       351,222   
    

 

 

  
  

Total Financials

     486,605   
    

 

 

  
  

Health Care — 14.0%

  
  

Biotechnology — 5.4%

  
  151      

Biogen, Inc. (a)

     42,679   
  591      

Celgene Corp. (a)

     68,431   
  1,318      

Gilead Sciences, Inc.

     94,375   
  224      

Intercept Pharmaceuticals, Inc. (a)

     24,348   
  782      

Kite Pharma, Inc. (a)

     35,047   
  454      

Spark Therapeutics, Inc. (a)

     22,635   
  586      

Vertex Pharmaceuticals, Inc. (a)

     43,163   
    

 

 

  
       330,678   
    

 

 

  
  

Health Care Equipment & Supplies — 0.2%

  
  1,507      

Novadaq Technologies, Inc., (Canada) (a)

     10,686   
    

 

 

  
  

Health Care Providers & Services — 5.7%

  
  2,140      

Acadia Healthcare Co., Inc. (a)

     70,837   
  413      

Aetna, Inc.

     51,241   
  225      

Humana, Inc.

     45,825   
  1,144      

UnitedHealth Group, Inc.

     183,070   
    

 

 

  
       350,973   
    

 

 

  
  

Health Care Technology — 0.5%

  
  717      

Veeva Systems, Inc., Class A (a)

     29,174   
    

 

 

  
  

Life Sciences Tools & Services — 0.7%

  
  347      

Illumina, Inc. (a)

     44,481   
    

 

 

  
  

Pharmaceuticals — 1.5%

  
  671      

Eli Lilly & Co.

     49,315   
  1,016      

Revance Therapeutics, Inc. (a)

     21,036   
  3,524      

TherapeuticsMD, Inc. (a)

     20,335   
    

 

 

  
       90,686   
    

 

 

  
  

Total Health Care

     856,678   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
18       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Industrials — 14.2%

  
  

Airlines — 1.4%

  
  1,640      

Southwest Airlines Co.

     81,733   
    

 

 

  
  

Building Products — 2.4%

  
  1,134      

Fortune Brands Home & Security, Inc.

     60,613   
  573      

Lennox International, Inc.

     87,766   
    

 

 

  
       148,379   
    

 

 

  
  

Commercial Services & Supplies — 2.6%

  
  2,013      

Waste Connections, Inc., (Canada)

     158,170   
    

 

 

  
  

Electrical Equipment — 1.4%

  
  378      

Acuity Brands, Inc.

     87,288   
    

 

 

  
  

Industrial Conglomerates — 0.9%

  
  487      

Carlisle Cos., Inc.

     53,678   
    

 

 

  
  

Machinery — 2.8%

  
  297      

Middleby Corp. (The) (a)

     38,256   
  664      

Stanley Black & Decker, Inc.

     76,154   
  542      

WABCO Holdings, Inc. (a)

     57,576   
    

 

 

  
       171,986   
    

 

 

  
  

Professional Services — 0.8%

  
  398      

Equifax, Inc.

     47,032   
    

 

 

  
  

Road & Rail — 0.8%

  
  576      

Old Dominion Freight Line, Inc. (a)

     49,394   
    

 

 

  
  

Trading Companies & Distributors — 1.1%

  
  1,598      

HD Supply Holdings, Inc. (a)

     67,910   
    

 

 

  
  

Total Industrials

     865,570   
    

 

 

  
  

Information Technology — 38.0%

  
  

Communications Equipment — 2.3%

  
  441      

Arista Networks, Inc. (a)

     42,671   
  585      

Harris Corp.

     59,955   
  294      

Palo Alto Networks, Inc. (a)

     36,802   
    

 

 

  
       139,428   
    

 

 

  
  

Electronic Equipment, Instruments & Components — 2.3%

  

  1,146      

Amphenol Corp., Class A

     76,998   
  2,615      

Corning, Inc.

     63,466   
    

 

 

  
       140,464   
    

 

 

  
  

Internet Software & Services — 12.3%

  
  500      

Alphabet, Inc., Class C (a)

     385,836   
  184      

CoStar Group, Inc. (a)

     34,757   
  2,282      

Facebook, Inc., Class A (a)

     262,498   
  1,983      

GoDaddy, Inc., Class A (a)

     69,313   
    

 

 

  
       752,404   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

IT Services — 6.0%

  
  1,011      

Mastercard, Inc., Class A

     104,407   
  1,769      

PayPal Holdings, Inc. (a)

     69,826   
  1,426      

Vantiv, Inc., Class A (a)

     85,000   
  1,388      

Visa, Inc., Class A

     108,268   
    

 

 

  
       367,501   
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 4.4%

  

  1,431      

Applied Materials, Inc.

     46,169   
  470      

Broadcom Ltd., (Singapore)

     83,047   
  409      

Lam Research Corp.

     43,275   
  483      

NVIDIA Corp.

     51,598   
  464      

NXP Semiconductors NV, (Netherlands) (a)

     45,496   
    

 

 

  
       269,585   
    

 

 

  
  

Software — 8.3%

  
  595      

Adobe Systems, Inc. (a)

     61,266   
  1,463      

Electronic Arts, Inc. (a)

     115,210   
  583      

Guidewire Software, Inc. (a)

     28,764   
  2,515      

Microsoft Corp.

     156,276   
  684      

salesforce.com, Inc. (a)

     46,799   
  696      

ServiceNow, Inc. (a)

     51,704   
  864      

Splunk, Inc. (a)

     44,173   
    

 

 

  
       504,192   
    

 

 

  
  

Technology Hardware, Storage & Peripherals — 2.4%

  

  1,271      

Apple, Inc.

     147,190   
    

 

 

  
  

Total Information Technology

     2,320,764   
    

 

 

  
  

Materials — 1.8%

  
  

Construction Materials — 1.8%

  
  638      

Eagle Materials, Inc.

     62,853   
  352      

Vulcan Materials Co.

     44,015   
    

 

 

  
  

Total Materials

     106,868   
    

 

 

  
  

Real Estate — 1.0%

  
  

Real Estate Management & Development — 1.0%

  

  1,999      

CBRE Group, Inc., Class A (a)

     62,958   
    

 

 

  
  

Total Common Stocks
(Cost $4,527,223)

     5,982,852   
    

 

 

  

 

Short-Term Investment — 1.8%

  

  

Investment Company — 1.8%

  
  108,763      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.410% (b) (l)
(Cost $108,763)

     108,763   
  

Total Investments — 99.8%
(Cost $4,635,986)

     6,091,615   
  

Other Assets in Excess of
Liabilities — 0.2%

     10,045   
    

 

 

  
  

NET ASSETS — 100.0%

   $ 6,101,660   
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         19   

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 96.1%

  

  

Consumer Discretionary — 17.9%

  

  

Auto Components — 0.4%

  

  291      

BorgWarner, Inc.

     11,467   
    

 

 

  
  

Automobiles — 0.2%

  

  30      

Tesla Motors, Inc. (a)

     6,304   
    

 

 

  
  

Distributors — 1.0%

  

  121      

Genuine Parts Co.

     11,592   
  507      

LKQ Corp. (a)

     15,527   
    

 

 

  
       27,119   
    

 

 

  
  

Hotels, Restaurants & Leisure — 2.9%

  

  341      

Aramark

     12,195   
  1,710      

Hilton Worldwide Holdings, Inc.

     46,522   
  49      

Marriott International, Inc., Class A

     4,054   
  272      

Norwegian Cruise Line Holdings Ltd. (a)

     11,572   
    

 

 

  
       74,343   
    

 

 

  
  

Household Durables — 3.2%

  

  156      

Lennar Corp., Class A

     6,706   
  293      

Mohawk Industries, Inc. (a)

     58,529   
  377      

Newell Brands, Inc.

     16,847   
    

 

 

  
       82,082   
    

 

 

  
  

Internet & Direct Marketing Retail — 1.2%

  

  152      

Expedia, Inc.

     17,179   
  57      

Netflix, Inc. (a)

     7,007   
  186      

Wayfair, Inc., Class A (a)

     6,506   
    

 

 

  
       30,692   
    

 

 

  
  

Media — 1.1%

  

  166      

CBS Corp. (Non-Voting), Class B

     10,534   
  241      

DISH Network Corp., Class A (a)

     13,938   
  232      

TEGNA, Inc.

     4,967   
    

 

 

  
       29,439   
    

 

 

  
  

Multiline Retail — 2.2%

  

  297      

Dollar General Corp.

     21,962   
  271      

Kohl’s Corp.

     13,374   
  439      

Nordstrom, Inc.

     21,032   
    

 

 

  
       56,368   
    

 

 

  
  

Specialty Retail — 4.4%

  

  16      

AutoZone, Inc. (a)

     12,638   
  231      

Bed Bath & Beyond, Inc.

     9,368   
  204      

Best Buy Co., Inc.

     8,692   
  400      

Gap, Inc. (The)

     8,979   
  87      

O’Reilly Automotive, Inc. (a)

     24,277   
  372      

Ross Stores, Inc.

     24,377   
  168      

Tiffany & Co.

     12,991   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Specialty Retail — continued

  

  54      

Ulta Salon Cosmetics & Fragrance, Inc. (a)

     13,741   
    

 

 

  
       115,063   
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.3%

  

  466      

Gildan Activewear, Inc., (Canada)

     11,814   
  121      

PVH Corp.

     10,953   
  56      

Ralph Lauren Corp.

     5,099   
  118      

VF Corp.

     6,301   
    

 

 

  
       34,167   
    

 

 

  
  

Total Consumer Discretionary

     467,044   
    

 

 

  
  

Consumer Staples — 4.7%

  

  

Beverages — 1.3%

  

  75      

Constellation Brands, Inc., Class A

     11,451   
  173      

Dr Pepper Snapple Group, Inc.

     15,725   
  146      

Monster Beverage Corp. (a)

     6,487   
    

 

 

  
       33,663   
    

 

 

  
  

Food & Staples Retailing — 1.6%

  

  115      

Casey’s General Stores, Inc.

     13,671   
  497      

Kroger Co. (The)

     17,140   
  475      

Rite Aid Corp. (a)

     3,913   
  329      

Sprouts Farmers Market, Inc. (a)

     6,225   
    

 

 

  
       40,949   
    

 

 

  
  

Food Products — 0.8%

  

  116      

TreeHouse Foods, Inc. (a)

     8,346   
  194      

Tyson Foods, Inc., Class A

     11,947   
    

 

 

  
       20,293   
    

 

 

  
  

Household Products — 0.2%

  

  122      

Energizer Holdings, Inc.

     5,456   
    

 

 

  
  

Personal Products — 0.8%

  

  598      

Coty, Inc., Class A

     10,941   
  144      

Edgewell Personal Care Co. (a)

     10,519   
    

 

 

  
       21,460   
    

 

 

  
  

Total Consumer Staples

     121,821   
    

 

 

  
  

Energy — 3.9%

  

  

Oil, Gas & Consumable Fuels — 3.9%

  

  160      

Concho Resources, Inc. (a)

     21,242   
  503      

Energen Corp. (a)

     29,025   
  405      

EQT Corp.

     26,499   
  434      

PBF Energy, Inc., Class A

     12,103   
  282      

Range Resources Corp.

     9,686   
  380      

Southwestern Energy Co. (a)

     4,109   
    

 

 

  
  

Total Energy

     102,664   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
20       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Financials — 15.3%

  

  

Banks — 5.4%

  

  420      

Citizens Financial Group, Inc.

     14,975   
  310      

East West Bancorp, Inc.

     15,747   
  725      

Fifth Third Bancorp

     19,564   
  141      

First Republic Bank

     13,034   
  752      

Huntington Bancshares, Inc.

     9,939   
  312      

Investors Bancorp, Inc.

     4,353   
  146      

M&T Bank Corp.

     22,834   
  117      

Signature Bank (a)

     17,558   
  345      

SunTrust Banks, Inc.

     18,917   
  128      

Zions Bancorp

     5,513   
    

 

 

  
       142,434   
    

 

 

  
  

Capital Markets — 5.4%

  

  125      

Affiliated Managers Group, Inc. (a)

     18,133   
  75      

Ameriprise Financial, Inc.

     8,284   
  414      

Invesco Ltd.

     12,554   
  257      

Lazard Ltd., Class A

     10,540   
  191      

Nasdaq, Inc.

     12,840   
  160      

Northern Trust Corp.

     14,230   
  179      

Raymond James Financial, Inc.

     12,387   
  144      

S&P Global, Inc.

     15,496   
  186      

T Rowe Price Group, Inc.

     14,021   
  501      

TD Ameritrade Holding Corp.

     21,848   
    

 

 

  
       140,333   
    

 

 

  
  

Consumer Finance — 0.4%

  

  501      

Ally Financial, Inc.

     9,528   
    

 

 

  
  

Insurance — 4.1%

  

  13      

Alleghany Corp. (a)

     7,769   
  51      

Chubb Ltd.

     6,680   
  352      

Hartford Financial Services Group, Inc. (The)

     16,789   
  531      

Loews Corp.

     24,861   
  216      

Marsh & McLennan Cos., Inc.

     14,587   
  184      

Progressive Corp. (The)

     6,545   
  225      

Unum Group

     9,905   
  87      

WR Berkley Corp.

     5,808   
  400      

XL Group Ltd., (Ireland)

     14,894   
    

 

 

  
       107,838   
    

 

 

  
  

Total Financials

     400,133   
    

 

 

  
  

Health Care — 9.5%

  

  

Biotechnology — 1.9%

  

  184      

ACADIA Pharmaceuticals, Inc. (a)

     5,304   
  174      

BioMarin Pharmaceutical, Inc. (a)

     14,389   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Biotechnology — continued

  

  74      

Incyte Corp. (a)

     7,460   
  64      

Intercept Pharmaceuticals, Inc. (a)

     6,921   
  168      

Kite Pharma, Inc. (a)

     7,551   
  100      

Vertex Pharmaceuticals, Inc. (a)

     7,367   
    

 

 

  
       48,992   
    

 

 

  
  

Health Care Equipment & Supplies — 1.1%

  

  255      

DENTSPLY SIRONA, Inc.

     14,729   
  73      

Edwards Lifesciences Corp. (a)

     6,807   
  13      

Intuitive Surgical, Inc. (a)

     7,991   
    

 

 

  
       29,527   
    

 

 

  
  

Health Care Providers & Services — 4.5%

  

  458      

Acadia Healthcare Co., Inc. (a)

     15,173   
  142      

AmerisourceBergen Corp.

     11,091   
  173      

Centene Corp. (a)

     9,776   
  79      

Cigna Corp.

     10,514   
  178      

Envision Healthcare Corp. (a)

     11,284   
  74      

Henry Schein, Inc. (a)

     11,295   
  140      

Humana, Inc.

     28,537   
  337      

Premier, Inc., Class A (a)

     10,231   
  83      

Universal Health Services, Inc., Class B

     8,808   
    

 

 

  
       116,709   
    

 

 

  
  

Health Care Technology — 0.3%

  

  193      

Veeva Systems, Inc., Class A (a)

     7,839   
    

 

 

  
  

Life Sciences Tools & Services — 1.0%

  

  131      

Illumina, Inc. (a)

     16,796   
  332      

Patheon NV (a)

     9,535   
    

 

 

  
       26,331   
    

 

 

  
  

Pharmaceuticals — 0.7%

  

  480      

Horizon Pharma plc (a)

     7,761   
  86      

Jazz Pharmaceuticals plc (a)

     9,366   
    

 

 

  
       17,127   
    

 

 

  
  

Total Health Care

     246,525   
    

 

 

  
  

Industrials — 13.2%

  

  

Aerospace & Defense — 0.3%

  

  116      

HEICO Corp., Class A

     7,890   
    

 

 

  
  

Airlines — 0.7%

  

  373      

Southwest Airlines Co.

     18,590   
    

 

 

  
  

Building Products — 1.9%

  

  526      

Fortune Brands Home & Security, Inc.

     28,142   
  138      

Lennox International, Inc.

     21,122   
    

 

 

  
       49,264   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         21   

Table of Contents

JPMorgan Mid Cap Equity Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Commercial Services & Supplies — 1.3%

  

  439      

Waste Connections, Inc., (Canada)

     34,517   
    

 

 

  
  

Electrical Equipment — 2.2%

  

  99      

Acuity Brands, Inc.

     22,878   
  290      

AMETEK, Inc.

     14,081   
  120      

Hubbell, Inc.

     14,004   
  94      

Regal Beloit Corp.

     6,477   
    

 

 

  
       57,440   
    

 

 

  
  

Industrial Conglomerates — 1.1%

  

  256      

Carlisle Cos., Inc.

     28,207   
    

 

 

  
  

Machinery — 3.4%

  

  157      

IDEX Corp.

     14,155   
  103      

Middleby Corp. (The) (a)

     13,242   
  107      

Oshkosh Corp.

     6,933   
  381      

Rexnord Corp. (a)

     7,472   
  93      

Snap-on, Inc.

     15,896   
  149      

Stanley Black & Decker, Inc.

     17,043   
  137      

WABCO Holdings, Inc. (a)

     14,521   
    

 

 

  
       89,262   
    

 

 

  
  

Professional Services — 0.6%

  

  140      

Equifax, Inc.

     16,529   
    

 

 

  
  

Road & Rail — 0.5%

  

  140      

Old Dominion Freight Line, Inc. (a)

     11,993   
    

 

 

  
  

Trading Companies & Distributors — 1.2%

  

  417      

HD Supply Holdings, Inc. (a)

     17,735   
  145      

MSC Industrial Direct Co., Inc., Class A

     13,420   
    

 

 

  
       31,155   
    

 

 

  
  

Total Industrials

     344,847   
    

 

 

  
  

Information Technology — 18.2%

  

  

Communications Equipment — 1.8%

  

  104      

Arista Networks, Inc. (a)

     10,112   
  309      

CommScope Holding Co., Inc. (a)

     11,485   
  126      

Harris Corp.

     12,880   
  99      

Palo Alto Networks, Inc. (a)

     12,375   
    

 

 

  
       46,852   
    

 

 

  
  

Electronic Equipment, Instruments & Components — 3.7%

  

  584      

Amphenol Corp., Class A

     39,241   
  258      

Arrow Electronics, Inc. (a)

     18,427   
  240      

CDW Corp.

     12,511   
  556      

Corning, Inc.

     13,492   
  342      

Keysight Technologies, Inc. (a)

     12,521   
    

 

 

  
       96,192   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Internet Software & Services — 1.2%

  
  52      

CoStar Group, Inc. (a)

     9,783   
  474      

GoDaddy, Inc., Class A (a)

     16,577   
  260      

Match Group, Inc. (a)

     4,450   
    

 

 

  
       30,810   
    

 

 

  
  

IT Services — 2.9%

  

  187      

Gartner, Inc. (a)

     18,900   
  170      

Global Payments, Inc.

     11,800   
  185      

Jack Henry & Associates, Inc.

     16,403   
  465      

Vantiv, Inc., Class A (a)

     27,741   
    

 

 

  
       74,844   
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 4.2%

  

  125      

Analog Devices, Inc.

     9,080   
  437      

Applied Materials, Inc.

     14,092   
  50      

Broadcom Ltd., (Singapore)

     8,891   
  204      

Cavium, Inc. (a)

     12,731   
  120      

KLA-Tencor Corp.

     9,422   
  145      

Lam Research Corp.

     15,363   
  292      

NVIDIA Corp.

     31,179   
  100      

NXP Semiconductors NV, (Netherlands) (a)

     9,775   
    

 

 

  
       110,533   
    

 

 

  
  

Software — 4.4%

  

  271      

Atlassian Corp. plc, (Australia), Class A (a)

     6,519   
  437      

Electronic Arts, Inc. (a)

     34,450   
  164      

Guidewire Software, Inc. (a)

     8,105   
  135      

Mobileye NV (a)

     5,161   
  209      

ServiceNow, Inc. (a)

     15,537   
  230      

Splunk, Inc. (a)

     11,759   
  301      

Synopsys, Inc. (a)

     17,715   
  175      

Take-Two Interactive Software, Inc. (a)

     8,606   
  116      

Workday, Inc., Class A (a)

     7,693   
    

 

 

  
       115,545   
    

 

 

  
  

Total Information Technology

     474,776   
    

 

 

  
  

Materials — 3.3%

  

  

Chemicals — 0.3%

  

  30      

Sherwin-Williams Co. (The)

     8,037   
    

 

 

  
  

Construction Materials — 1.3%

  

  177      

Eagle Materials, Inc.

     17,390   
  131      

Vulcan Materials Co.

     16,357   
    

 

 

  
       33,747   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
22       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Containers & Packaging — 1.7%

  

  208      

Ball Corp.

     15,614   
  209      

Silgan Holdings, Inc.

     10,687   
  361      

WestRock Co.

     18,334   
    

 

 

  
       44,635   
    

 

 

  
  

Total Materials

     86,419   
    

 

 

  
  

Real Estate — 5.6%

  

  

Equity Real Estate Investment Trusts (REITs) — 4.7%

  

  130      

American Campus Communities, Inc.

     6,458   
  249      

American Homes 4 Rent, Class A

     5,224   
  68      

AvalonBay Communities, Inc.

     12,101   
  89      

Boston Properties, Inc.

     11,236   
  433      

Brixmor Property Group, Inc.

     10,576   
  29      

Essex Property Trust, Inc.

     6,817   
  228      

General Growth Properties, Inc.

     5,689   
  79      

HCP, Inc.

     2,351   
  473      

Kimco Realty Corp.

     11,899   
  338      

Outfront Media, Inc.

     8,405   
  299      

Rayonier, Inc.

     7,943   
  117      

Regency Centers Corp.

     8,062   
  133      

Vornado Realty Trust

     13,930   
  268      

Weyerhaeuser Co.

     8,053   
  76      

WP Carey, Inc.

     4,515   
    

 

 

  
       123,259   
    

 

 

  
  

Real Estate Management & Development — 0.9%

  

  743      

CBRE Group, Inc., Class A (a)

     23,393   
    

 

 

  
  

Total Real Estate

     146,652   
    

 

 

  
  

Utilities — 4.5%

  

  

Electric Utilities — 1.6%

  

  224      

Edison International

     16,138   
  143      

Westar Energy, Inc.

     8,037   
  437      

Xcel Energy, Inc.

     17,786   
    

 

 

  
       41,961   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Gas Utilities — 0.5%

  

  224      

National Fuel Gas Co.

     12,665   
    

 

 

  
  

Multi-Utilities — 2.4%

  

  539      

CenterPoint Energy, Inc.

     13,291   
  390      

CMS Energy Corp.

     16,244   
  156      

Sempra Energy

     15,704   
  272      

WEC Energy Group, Inc.

     15,967   
    

 

 

  
       61,206   
    

 

 

  
  

Total Utilities

     115,832   
    

 

 

  
  

Total Common Stocks
(Cost $1,869,305)

     2,506,713   
    

 

 

  

 

Master Limited Partnership — 0.4%

  

  

Financials — 0.4%

  

  

Capital Markets— 0.4%

  

  261      

Oaktree Capital Group LLC
(Cost $12,198)

     9,799   
    

 

 

  

 

Short-Term Investment — 3.4%

  

  

Investment Company — 3.4%

  

  89,081      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.410% (b) (l)
(Cost $89,081)

     89,081   
    

 

 

  
  

Total Investments — 99.9%
(Cost $1,970,584)

     2,605,593   
  

Other Assets in Excess of
Liabilities — 0.1%

     2,724   
    

 

 

  
  

NET ASSETS — 100.0%

   $ 2,608,317   
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         23   

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 97.1%

  

  

Consumer Discretionary — 19.0%

  
  

Automobiles — 0.5%

  
  63      

Tesla Motors, Inc. (a)

     13,366   
    

 

 

  
  

Distributors — 1.2%

  
  1,071      

LKQ Corp. (a)

     32,811   
    

 

 

  
  

Hotels, Restaurants & Leisure — 4.2%

  
  721      

Aramark

     25,747   
  2,326      

Hilton Worldwide Holdings, Inc.

     63,260   
  574      

Norwegian Cruise Line Holdings Ltd. (a)

     24,423   
    

 

 

  
       113,430   
    

 

 

  
  

Household Durables — 3.3%

  
  329      

Lennar Corp., Class A

     14,111   
  379      

Mohawk Industries, Inc. (a)

     75,753   
    

 

 

  
       89,864   
    

 

 

  
  

Internet & Direct Marketing Retail — 1.0%

  
  119      

Netflix, Inc. (a)

     14,760   
  391      

Wayfair, Inc., Class A (a)

     13,688   
    

 

 

  
       28,448   
    

 

 

  
  

Multiline Retail — 2.5%

  
  627      

Dollar General Corp.

     46,452   
  473      

Nordstrom, Inc.

     22,647   
    

 

 

  
       69,099   
    

 

 

  
  

Specialty Retail — 4.9%

  
  184      

O’Reilly Automotive, Inc. (a)

     51,329   
  786      

Ross Stores, Inc.

     51,574   
  114      

Ulta Salon Cosmetics & Fragrance, Inc. (a)

     29,003   
    

 

 

  
       131,906   
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.4%

  
  983      

Gildan Activewear, Inc., (Canada)

     24,947   
  248      

VF Corp.

     13,247   
    

 

 

  
       38,194   
    

 

 

  
  

Total Consumer Discretionary

     517,118   
    

 

 

  
  

Consumer Staples — 3.0%

  
  

Beverages — 0.5%

  
  308      

Monster Beverage Corp. (a)

     13,647   
    

 

 

  
  

Food & Staples Retailing — 1.6%

  
  243      

Casey’s General Stores, Inc.

     28,888   
  692      

Sprouts Farmers Market, Inc. (a)

     13,099   
    

 

 

  
       41,987   
    

 

 

  
  

Food Products — 0.9%

  
  409      

Tyson Foods, Inc., Class A

     25,215   
    

 

 

  
  

Total Consumer Staples

     80,849   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Energy — 2.4%

  
  

Oil, Gas & Consumable Fuels — 2.4%

  
  339      

Concho Resources, Inc. (a)

     44,915   
  594      

Range Resources Corp.

     20,424   
    

 

 

  
  

Total Energy

     65,339   
    

 

 

  
  

Financials — 8.8%

  
  

Banks — 2.6%

  
  667      

East West Bancorp, Inc.

     33,911   
  247      

Signature Bank (a)

     37,092   
    

 

 

  
       71,003   
    

 

 

  
  

Capital Markets — 6.2%

  
  264      

Affiliated Managers Group, Inc. (a)

     38,346   
  541      

Lazard Ltd., Class A

     22,233   
  404      

Nasdaq, Inc.

     27,110   
  306      

S&P Global, Inc.

     32,878   
  1,060      

TD Ameritrade Holding Corp.

     46,209   
    

 

 

  
       166,776   
    

 

 

  
  

Total Financials

     237,779   
    

 

 

  
  

Health Care — 14.8%

  
  

Biotechnology — 3.8%

  
  386      

ACADIA Pharmaceuticals, Inc. (a)

     11,124   
  367      

BioMarin Pharmaceutical, Inc. (a)

     30,403   
  157      

Incyte Corp. (a)

     15,702   
  134      

Intercept Pharmaceuticals, Inc. (a)

     14,567   
  355      

Kite Pharma, Inc. (a)

     15,909   
  211      

Vertex Pharmaceuticals, Inc. (a)

     15,514   
    

 

 

  
       103,219   
    

 

 

  
  

Health Care Equipment & Supplies — 2.3%

  
  539      

DENTSPLY SIRONA, Inc.

     31,116   
  153      

Edwards Lifesciences Corp. (a)

     14,327   
  27      

Intuitive Surgical, Inc. (a)

     16,869   
    

 

 

  
       62,312   
    

 

 

  
  

Health Care Providers & Services — 4.7%

  
  969      

Acadia Healthcare Co., Inc. (a)

     32,062   
  367      

Centene Corp. (a)

     20,745   
  376      

Envision Healthcare Corp. (a)

     23,816   
  148      

Humana, Inc.

     30,296   
  711      

Premier, Inc., Class A (a)

     21,586   
    

 

 

  
       128,505   
    

 

 

  
  

Health Care Technology — 0.6%

  
  406      

Veeva Systems, Inc., Class A (a)

     16,518   
    

 

 

  
  

Life Sciences Tools & Services — 2.1%

  
  277      

Illumina, Inc. (a)

     35,489   
  700      

Patheon NV (a)

     20,103   
    

 

 

  
       55,592   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
24       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Pharmaceuticals — 1.3%

  
  1,010      

Horizon Pharma plc (a)

     16,347   
  181      

Jazz Pharmaceuticals plc (a)

     19,731   
    

 

 

  
       36,078   
    

 

 

  
  

Total Health Care

     402,224   
    

 

 

  
  

Industrials — 18.1%

  
  

Aerospace & Defense — 0.6%

  
  245      

HEICO Corp., Class A

     16,615   
    

 

 

  
  

Airlines — 1.4%

  
  789      

Southwest Airlines Co.

     39,299   
    

 

 

  
  

Building Products — 3.0%

  
  673      

Fortune Brands Home & Security, Inc.

     35,957   
  292      

Lennox International, Inc.

     44,669   
    

 

 

  
       80,626   
    

 

 

  
  

Commercial Services & Supplies — 2.7%

  
  922      

Waste Connections, Inc., (Canada)

     72,457   
    

 

 

  
  

Electrical Equipment — 1.8%

  
  210      

Acuity Brands, Inc.

     48,372   
    

 

 

  
  

Industrial Conglomerates — 1.0%

  
  244      

Carlisle Cos., Inc.

     26,881   
    

 

 

  
  

Machinery — 4.0%

  
  217      

Middleby Corp. (The) (a)

     27,971   
  226      

Oshkosh Corp.

     14,589   
  312      

Stanley Black & Decker, Inc.

     35,829   
  287      

WABCO Holdings, Inc. (a)

     30,497   
    

 

 

  
       108,886   
    

 

 

  
  

Professional Services — 1.3%

  
  296      

Equifax, Inc.

     34,937   
    

 

 

  
  

Road & Rail — 0.9%

  
  295      

Old Dominion Freight Line, Inc. (a)

     25,325   
    

 

 

  
  

Trading Companies & Distributors — 1.4%

  
  882      

HD Supply Holdings, Inc. (a)

     37,480   
    

 

 

  
  

Total Industrials

     490,878   
    

 

 

  
  

Information Technology — 27.0%

  
  

Communications Equipment — 2.7%

  
  220      

Arista Networks, Inc. (a)

     21,321   
  265      

Harris Corp.

     27,192   
  209      

Palo Alto Networks, Inc. (a)

     26,125   
    

 

 

  
       74,638   
    

 

 

  
  

Electronic Equipment, Instruments & Components — 2.9%

  

  747      

Amphenol Corp., Class A

     50,221   
  1,174      

Corning, Inc.

     28,491   
    

 

 

  
       78,712   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Internet Software & Services — 2.1%

  
  109      

CoStar Group, Inc. (a)

     20,635   
  1,002      

GoDaddy, Inc., Class A (a)

     35,034   
    

 

 

  
       55,669   
    

 

 

  
  

IT Services — 4.5%

  
  395      

Gartner, Inc. (a)

     39,951   
  359      

Global Payments, Inc.

     24,911   
  985      

Vantiv, Inc., Class A (a)

     58,698   
    

 

 

  
       123,560   
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 7.2%

  

  922      

Applied Materials, Inc.

     29,766   
  106      

Broadcom Ltd., (Singapore)

     18,743   
  431      

Cavium, Inc. (a)

     26,887   
  307      

Lam Research Corp.

     32,447   
  618      

NVIDIA Corp.

     65,976   
  210      

NXP Semiconductors NV, (Netherlands) (a)

     20,609   
    

 

 

  
       194,428   
    

 

 

  
  

Software — 7.6%

  
  570      

Atlassian Corp. plc, (Australia), Class A (a)

     13,714   
  926      

Electronic Arts, Inc. (a)

     72,916   
  346      

Guidewire Software, Inc. (a)

     17,079   
  284      

Mobileye NV (a)

     10,827   
  442      

ServiceNow, Inc. (a)

     32,827   
  485      

Splunk, Inc. (a)

     24,830   
  368      

Take-Two Interactive Software, Inc. (a)

     18,134   
  245      

Workday, Inc., Class A (a)

     16,199   
    

 

 

  
       206,526   
    

 

 

  
  

Total Information Technology

     733,533   
    

 

 

  
  

Materials — 2.6%

  
  

Construction Materials — 2.6%

  
  373      

Eagle Materials, Inc.

     36,754   
  276      

Vulcan Materials Co.

     34,562   
    

 

 

  
  

Total Materials

     71,316   
    

 

 

  
  

Real Estate — 1.4%

  
  

Real Estate Management & Development — 1.4%

  

  1,228      

CBRE Group, Inc., Class A (a)

     38,658   
    

 

 

  
  

Total Common Stocks
(Cost $2,214,698)

     2,637,694   
    

 

 

  

 

Master Limited Partnership — 0.8%

  

  

Financials — 0.8%

  
  

Capital Markets — 0.8%

  
  557      

Oaktree Capital Group LLC
(Cost $26,473)

     20,891   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         25   

Table of Contents

JPMorgan Mid Cap Growth Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 2.3%

  

  

Investment Company — 2.3%

  
  63,672      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.410% (b) (l)
(Cost $63,672)

     63,672   
    

 

 

  
  

Total Investments — 100.2%
(Cost $2,304,843)

     2,722,257   
  

Liabilities in Excess of
Other Assets — (0.2)%

     (4,721 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 2,717,536   
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
26       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 95.7%

  

  

Consumer Discretionary — 17.0%

  
  

Auto Components — 0.9%

  
  3,815      

BorgWarner, Inc.

     150,466   
    

 

 

  
  

Distributors — 0.9%

  
  1,591      

Genuine Parts Co.

     151,978   
    

 

 

  
  

Hotels, Restaurants & Leisure — 1.6%

  
  8,003      

Hilton Worldwide Holdings, Inc.

     217,674   
  636      

Marriott International, Inc., Class A

     52,621   
    

 

 

  
       270,295   
    

 

 

  
  

Household Durables — 3.0%

  
  1,489      

Mohawk Industries, Inc. (a)

     297,328   
  4,936      

Newell Brands, Inc.

     220,403   
    

 

 

  
       517,731   
    

 

 

  
  

Internet & Direct Marketing Retail — 1.3%

  
  1,984      

Expedia, Inc.

     224,699   
    

 

 

  
  

Media — 2.3%

  
  2,173      

CBS Corp. (Non-Voting), Class B

     138,252   
  3,152      

DISH Network Corp., Class A (a)

     182,598   
  3,030      

TEGNA, Inc.

     64,818   
    

 

 

  
       385,668   
    

 

 

  
  

Multiline Retail — 1.8%

  
  3,524      

Kohl’s Corp.

     174,014   
  2,817      

Nordstrom, Inc.

     135,006   
    

 

 

  
       309,020   
    

 

 

  
  

Specialty Retail — 4.0%

  
  210      

AutoZone, Inc. (a)

     165,594   
  3,025      

Bed Bath & Beyond, Inc.

     122,949   
  2,674      

Best Buy Co., Inc.

     114,117   
  5,251      

Gap, Inc. (The)

     117,831   
  2,187      

Tiffany & Co.

     169,306   
    

 

 

  
       689,797   
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.2%

  
  1,590      

PVH Corp.

     143,507   
  732      

Ralph Lauren Corp.

     66,125   
    

 

 

  
       209,632   
    

 

 

  
  

Total Consumer Discretionary

     2,909,286   
    

 

 

  
  

Consumer Staples — 6.4%

  
  

Beverages — 2.1%

  
  979      

Constellation Brands, Inc., Class A

     150,142   
  2,271      

Dr Pepper Snapple Group, Inc.

     205,879   
    

 

 

  
       356,021   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Food & Staples Retailing — 1.6%

  
  6,500      

Kroger Co. (The)

     224,299   
  6,308      

Rite Aid Corp. (a)

     51,977   
    

 

 

  
       276,276   
    

 

 

  
  

Food Products — 0.6%

  
  1,520      

TreeHouse Foods, Inc. (a)

     109,732   
    

 

 

  
  

Household Products — 0.4%

  
  1,616      

Energizer Holdings, Inc.

     72,083   
    

 

 

  
  

Personal Products — 1.7%

  
  7,834      

Coty, Inc., Class A

     143,439   
  1,890      

Edgewell Personal Care Co. (a)

     137,925   
    

 

 

  
       281,364   
    

 

 

  
  

Total Consumer Staples

     1,095,476   
    

 

 

  
  

Energy — 5.2%

  
  

Oil, Gas & Consumable Fuels — 5.2%

  
  6,575      

Energen Corp. (a)

     379,165   
  5,317      

EQT Corp.

     347,738   
  5,694      

PBF Energy, Inc., Class A

     158,755   
    

 

 

  
  

Total Energy

     885,658   
    

 

 

  
  

Financials — 22.2%

  
  

Banks — 8.3%

  
  5,305      

Citizens Financial Group, Inc.

     189,034   
  9,466      

Fifth Third Bancorp

     255,303   
  1,855      

First Republic Bank

     170,905   
  9,871      

Huntington Bancshares, Inc.

     130,498   
  4,137      

Investors Bancorp, Inc.

     57,713   
  1,905      

M&T Bank Corp.

     297,967   
  4,501      

SunTrust Banks, Inc.

     246,861   
  1,681      

Zions Bancorp

     72,352   
    

 

 

  
       1,420,633   
    

 

 

  
  

Capital Markets — 4.7%

  
  981      

Ameriprise Financial, Inc.

     108,865   
  5,422      

Invesco Ltd.

     164,494   
  2,088      

Northern Trust Corp.

     185,924   
  2,343      

Raymond James Financial, Inc.

     162,314   
  2,411      

T Rowe Price Group, Inc.

     181,485   
    

 

 

  
       803,082   
    

 

 

  
  

Consumer Finance — 0.7%

  
  6,515      

Ally Financial, Inc.

     123,913   
    

 

 

  
  

Insurance — 8.2%

  
  168      

Alleghany Corp. (a)

     102,239   
  666      

Chubb Ltd.

     88,020   
  4,611      

Hartford Financial Services Group, Inc. (The)

     219,711   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         27   

Table of Contents

JPMorgan Mid Cap Value Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Insurance — continued

  
  6,939      

Loews Corp.

     324,956   
  2,798      

Marsh & McLennan Cos., Inc.

     189,137   
  2,431      

Progressive Corp. (The)

     86,286   
  2,960      

Unum Group

     130,032   
  1,153      

WR Berkley Corp.

     76,696   
  5,234      

XL Group Ltd., (Ireland)

     195,025   
    

 

 

  
       1,412,102   
    

 

 

  
  

Mortgage Real Estate Investment Trusts (REITs) — 0.3%

  

  2,099      

Starwood Property Trust, Inc.

     46,073   
    

 

 

  
  

Total Financials

     3,805,803   
    

 

 

  
  

Health Care — 4.2%

  
  

Health Care Providers & Services — 4.2%

  
  1,821      

AmerisourceBergen Corp.

     142,406   
  1,034      

Cigna Corp.

     137,916   
  976      

Henry Schein, Inc. (a)

     148,137   
  911      

Humana, Inc.

     185,822   
  1,087      

Universal Health Services, Inc., Class B

     115,591   
    

 

 

  
  

Total Health Care

     729,872   
    

 

 

  
  

Industrials — 8.6%

  
  

Building Products — 0.9%

  
  2,729      

Fortune Brands Home & Security, Inc.

     145,876   
    

 

 

  
  

Electrical Equipment — 2.6%

  
  3,795      

AMETEK, Inc.

     184,454   
  1,572      

Hubbell, Inc.

     183,460   
  1,215      

Regal Beloit Corp.

     84,112   
    

 

 

  
       452,026   
    

 

 

  
  

Industrial Conglomerates — 1.2%

  
  1,837      

Carlisle Cos., Inc.

     202,580   
    

 

 

  
  

Machinery — 2.9%

  
  2,058      

IDEX Corp.

     185,353   
  4,992      

Rexnord Corp. (a)

     97,786   
  1,215      

Snap-on, Inc.

     208,072   
    

 

 

  
       491,211   
    

 

 

  
  

Trading Companies & Distributors — 1.0%

  
  1,897      

MSC Industrial Direct Co., Inc., Class A

     175,262   
    

 

 

  
  

Total Industrials

     1,466,955   
    

 

 

  
  

Information Technology — 9.7%

  
  

Communications Equipment — 0.9%

  
  4,049      

CommScope Holding Co., Inc. (a)

     150,626   
    

 

 

  
  

Electronic Equipment, Instruments & Components — 4.5%

  

  3,019      

Amphenol Corp., Class A

     202,844   
  3,378      

Arrow Electronics, Inc. (a)

     240,882   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Electronic Equipment, Instruments & Components — continued

   

  3,148      

CDW Corp.

     163,977   
  4,486      

Keysight Technologies, Inc. (a)

     164,062   
    

 

 

  
       771,765   
    

 

 

  
  

Internet Software & Services — 0.3%

  
  3,445      

Match Group, Inc. (a)

     58,907   
    

 

 

  
  

IT Services — 1.3%

  
  2,418      

Jack Henry & Associates, Inc.

     214,684   
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 1.4%

  

  1,642      

Analog Devices, Inc.

     119,235   
  1,572      

KLA-Tencor Corp.

     123,677   
    

 

 

  
       242,912   
    

 

 

  
  

Software — 1.3%

  
  3,937      

Synopsys, Inc. (a)

     231,750   
    

 

 

  
  

Total Information Technology

     1,670,644   
    

 

 

  
  

Materials — 4.0%

  
  

Chemicals — 0.6%

  
  393      

Sherwin-Williams Co. (The)

     105,649   
    

 

 

  
  

Containers & Packaging — 3.4%

  
  2,729      

Ball Corp.

     204,876   
  2,740      

Silgan Holdings, Inc.

     140,219   
  4,718      

WestRock Co.

     239,548   
    

 

 

  
       584,643   
    

 

 

  
  

Total Materials

     690,292   
    

 

 

  
  

Real Estate — 9.5%

  
  

Equity Real Estate Investment Trusts (REITs) — 9.1%

  

  1,711      

American Campus Communities, Inc.

     85,157   
  3,289      

American Homes 4 Rent, Class A

     69,002   
  896      

AvalonBay Communities, Inc.

     158,734   
  1,172      

Boston Properties, Inc.

     147,378   
  5,682      

Brixmor Property Group, Inc.

     138,749   
  386      

Essex Property Trust, Inc.

     89,848   
  3,005      

General Growth Properties, Inc.

     75,058   
  1,063      

HCP, Inc.

     31,589   
  6,198      

Kimco Realty Corp.

     155,950   
  4,442      

Outfront Media, Inc.

     110,463   
  3,926      

Rayonier, Inc.

     104,425   
  1,538      

Regency Centers Corp.

     106,035   
  1,743      

Vornado Realty Trust

     181,892   
  3,517      

Weyerhaeuser Co.

     105,821   
    

 

 

  
       1,560,101   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
28       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Real Estate Management & Development — 0.4%

  

  2,145      

CBRE Group, Inc., Class A (a)

     67,543   
    

 

 

  
  

Total Real Estate

     1,627,644   
    

 

 

  
  

Utilities — 8.9%

  
  

Electric Utilities — 3.2%

  
  2,935      

Edison International

     211,259   
  1,875      

Westar Energy, Inc.

     105,656   
  5,740      

Xcel Energy, Inc.

     233,624   
    

 

 

  
       550,539   
    

 

 

  
  

Gas Utilities — 1.0%

  
  2,930      

National Fuel Gas Co.

     165,976   
    

 

 

  
  

Multi-Utilities — 4.7%

  
  7,086      

CenterPoint Energy, Inc.

     174,590   
  5,099      

CMS Energy Corp.

     212,215   
  2,043      

Sempra Energy

     205,587   
  3,576      

WEC Energy Group, Inc.

     209,740   
    

 

 

  
       802,132   
    

 

 

  
  

Total Utilities

     1,518,647   
    

 

 

  
  

Total Common Stocks
(Cost $10,956,028)

     16,400,277   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short-Term Investment — 4.5%

  

  

Investment Company — 4.5%

  
  766,568      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.410% (b) (l)
(Cost $766,568)

     766,568   
    

 

 

  
  

Total Investments — 100.2%
(Cost $11,722,596)

     17,166,845   
  

Liabilities in Excess of
Other Assets — (0.2)%

     (27,619 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 17,139,226   
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         29   

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — 102.6%

  

 

Common Stocks — 88.5%

  

  

Consumer Discretionary — 14.8%

  

  

Automobiles — 0.4%

  

  21      

General Motors Co.

     734   
    

 

 

  
  

Hotels, Restaurants & Leisure — 5.0%

  

  12      

Darden Restaurants, Inc.

     876   
  29      

Hyatt Hotels Corp., Class A (a)

     1,612   
  58      

International Game Technology plc

     1,490   
  10      

Las Vegas Sands Corp.

     537   
  34      

Restaurant Brands International, Inc., (Canada)

     1,620   
  9      

Vail Resorts, Inc. (j)

     1,492   
  65      

Wendy’s Co. (The)

     880   
    

 

 

  
       8,507   
    

 

 

  
  

Household Durables — 2.3%

  

  48      

DR Horton, Inc.

     1,317   
  1      

NVR, Inc. (a) (j)

     1,085   
  28      

Tupperware Brands Corp.

     1,467   
    

 

 

  
       3,869   
    

 

 

  
  

Internet & Direct Marketing Retail — 0.1%

  

  39      

Groupon, Inc. (a)

     131   
    

 

 

  
  

Media — 1.5%

  

  5      

CBS Corp. (Non-Voting), Class B

     337   
  20      

Sinclair Broadcast Group, Inc., Class A

     674   
  330      

Sirius XM Holdings, Inc.

     1,467   
    

 

 

  
       2,478   
    

 

 

  
  

Multiline Retail — 1.6%

  

  12      

Dillard’s, Inc., Class A

     758   
  31      

Kohl’s Corp.

     1,522   
  14      

Macy’s, Inc.

     491   
    

 

 

  
       2,771   
    

 

 

  
  

Specialty Retail — 2.7%

  

  12      

Bed Bath & Beyond, Inc.

     506   
  35      

Best Buy Co., Inc. (j)

     1,493   
  7      

Dick’s Sporting Goods, Inc.

     357   
  158      

Staples, Inc. (j)

     1,427   
  27      

Urban Outfitters, Inc. (a)

     756   
    

 

 

  
       4,539   
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.2%

  

  13      

Michael Kors Holdings Ltd. (a)

     554   
  16      

PVH Corp.

     1,455   
    

 

 

  
       2,009   
    

 

 

  
  

Total Consumer Discretionary

     25,038   
    

 

 

  
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
   
 

Consumer Staples — 5.8%

  

 

Food & Staples Retailing — 1.4%

  

  20     

Sysco Corp.

     1,132   
  19     

Wal-Mart Stores, Inc.

     1,296   
   

 

 

  
      2,428   
   

 

 

  
 

Food Products — 3.0%

  

  8     

JM Smucker Co. (The)

     1,047   
  71     

Pilgrim’s Pride Corp. (j)

     1,356   
  6     

Post Holdings, Inc. (a)

     472   
  — (h)   

Seaboard Corp. (a)

     692   
  25     

Tyson Foods, Inc., Class A

     1,559   
   

 

 

  
      5,126   
   

 

 

  
 

Household Products — 0.8%

  

  29     

Energizer Holdings, Inc.

     1,314   
   

 

 

  
 

Personal Products — 0.6%

  

  20     

Nu Skin Enterprises, Inc., Class A

     978   
   

 

 

  
 

Total Consumer Staples

     9,846   
   

 

 

  
 

Energy — 3.8%

  

 

Energy Equipment & Services — 1.1%

  

  7     

Baker Hughes, Inc.

     460   
  47     

Ensco plc, Class A

     453   
  11     

FMC Technologies, Inc. (a)

     400   
  40     

Seadrill Ltd., (United Kingdom) (a) (j)

     135   
  23     

Superior Energy Services, Inc. (a)

     388   
   

 

 

  
      1,836   
   

 

 

  
 

Oil, Gas & Consumable Fuels — 2.7%

  

  76     

Denbury Resources, Inc. (a)

     279   
  28     

Devon Energy Corp.

     1,301   
  25     

Marathon Oil Corp.

     425   
  5     

Tesoro Corp.

     414   
  13     

Valero Energy Corp.

     909   
  12     

World Fuel Services Corp. (j)

     553   
  46     

WPX Energy, Inc. (a) (j)

     676   
   

 

 

  
      4,557   
   

 

 

  
 

Total Energy

     6,393   
   

 

 

  
 

Financials — 2.9%

  

 

Banks — 1.1%

  

  9     

BOK Financial Corp.

     782   
  28     

Synovus Financial Corp.

     1,132   
   

 

 

  
      1,914   
   

 

 

  
 

Capital Markets — 1.3%

  

  4     

Morgan Stanley

     164   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
30       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

  

Capital Markets — continued

  

  20      

MSCI, Inc.

     1,560   
  28      

NorthStar Asset Management Group, Inc.

     411   
    

 

 

  
       2,135   
    

 

 

  
  

Consumer Finance — 0.4%

  

  36      

Navient Corp.

     590   
    

 

 

  
  

Thrifts & Mortgage Finance — 0.1%

  

  18      

MGIC Investment Corp. (a)

     182   
    

 

 

  
  

Total Financials

     4,821   
    

 

 

  
  

Health Care — 11.8%

  

  

Biotechnology — 3.3%

  

  11      

Amgen, Inc. (j)

     1,577   
  2      

Biogen, Inc. (a)

     631   
  21      

Gilead Sciences, Inc. (j)

     1,539   
  11      

United Therapeutics Corp. (a)

     1,622   
  3      

Vertex Pharmaceuticals, Inc. (a) (j)

     231   
    

 

 

  
       5,600   
    

 

 

  
  

Health Care Equipment & Supplies — 1.9%

  

  27      

Hill-Rom Holdings, Inc.

     1,523   
  43      

Hologic, Inc. (a) (j)

     1,722   
    

 

 

  
       3,245   
    

 

 

  
  

Health Care Providers & Services — 5.1%

  

  7      

Aetna, Inc.

     850   
  5      

Anthem, Inc. (j)

     715   
  21      

Express Scripts Holding Co. (a) (j)

     1,470   
  8      

Humana, Inc.

     1,668   
  4      

Laboratory Corp. of America Holdings (a)

     543   
  3      

McKesson Corp.

     393   
  4      

Molina Healthcare, Inc. (a)

     237   
  7      

Quest Diagnostics, Inc.

     632   
  3      

UnitedHealth Group, Inc.

     520   
  12      

WellCare Health Plans, Inc. (a)

     1,601   
    

 

 

  
       8,629   
    

 

 

  
  

Pharmaceuticals — 1.5%

  

  26      

Horizon Pharma plc (a)

     427   
  22      

Mallinckrodt plc (a)

     1,120   
  28      

Pfizer, Inc. (j)

     918   
    

 

 

  
       2,465   
    

 

 

  
  

Total Health Care

     19,939   
    

 

 

  
  

Industrials — 13.6%

  

  

Aerospace & Defense — 1.4%

  

  16      

Curtiss-Wright Corp.

     1,564   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Aerospace & Defense — continued

  

  5      

L-3 Communications Holdings, Inc.

     726   
    

 

 

  
       2,290   
    

 

 

  
  

Airlines — 1.3%

  

  6      

Copa Holdings SA, (Panama), Class A

     502   
  20      

Delta Air Lines, Inc. (j)

     1,001   
  10      

United Continental Holdings, Inc. (a)

     714   
    

 

 

  
       2,217   
    

 

 

  
  

Commercial Services & Supplies — 0.8%

  

  88      

Pitney Bowes, Inc.

     1,340   
    

 

 

  
  

Construction & Engineering — 2.3%

  

  28      

Chicago Bridge & Iron Co. NV

     903   
  27      

Jacobs Engineering Group, Inc. (a)

     1,562   
  43      

Quanta Services, Inc. (a)

     1,489   
    

 

 

  
       3,954   
    

 

 

  
  

Electrical Equipment — 1.9%

  

  21      

EnerSys

     1,607   
  23      

Regal Beloit Corp.

     1,608   
    

 

 

  
       3,215   
    

 

 

  
  

Machinery — 1.9%

  

  49      

Allison Transmission Holdings, Inc. (j)

     1,652   
  11      

Parker-Hannifin Corp.

     1,540   
    

 

 

  
       3,192   
    

 

 

  
  

Professional Services — 0.9%

  

  6      

Dun & Bradstreet Corp. (The)

     749   
  9      

ManpowerGroup, Inc.

     842   
    

 

 

  
       1,591   
    

 

 

  
  

Road & Rail — 1.2%

  

  19      

Landstar System, Inc.

     1,610   
  17      

Swift Transportation Co. (a)

     420   
    

 

 

  
       2,030   
    

 

 

  
  

Trading Companies & Distributors — 1.9%

  

  15      

United Rentals, Inc. (a) (j)

     1,623   
  23      

WESCO International, Inc. (a)

     1,503   
    

 

 

  
       3,126   
    

 

 

  
  

Total Industrials

     22,955   
    

 

 

  
  

Information Technology — 24.6%

  

  

Communications Equipment — 1.2%

  

  33      

Cisco Systems, Inc. (j)

     986   
  7      

F5 Networks, Inc. (a)

     1,067   
    

 

 

  
       2,053   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         31   

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

  

Electronic Equipment, Instruments & Components — 0.7%

  

  50      

Corning, Inc. (j)

     1,221   
    

 

 

  
  

Internet Software & Services — 2.3%

  

  58      

eBay, Inc. (a) (j)

     1,715   
  14      

InterActiveCorp (a)

     915   
  5      

j2 Global, Inc.

     368   
  11      

VeriSign, Inc. (a) (j)

     829   
    

 

 

  
       3,827   
    

 

 

  
  

IT Services — 5.0%

  

  16      

Computer Sciences Corp. (j)

     940   
  4      

DST Systems, Inc.

     466   
  91      

First Data Corp., Class A (a)

     1,298   
  9      

International Business Machines Corp.

     1,531   
  5      

Science Applications International Corp.

     413   
  60      

Teradata Corp. (a)

     1,630   
  9      

Vantiv, Inc., Class A (a)

     543   
  77      

Western Union Co. (The)

     1,680   
    

 

 

  
       8,501   
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 3.9%

  

  18      

Applied Materials, Inc.

     593   
  16      

Lam Research Corp.

     1,737   
  38      

Marvell Technology Group Ltd., (Bermuda)

     530   
  28      

ON Semiconductor Corp. (a)

     356   
  27      

QUALCOMM, Inc.

     1,764   
  61      

Teradyne, Inc.

     1,552   
    

 

 

  
       6,532   
    

 

 

  
  

Software — 8.0%

  

  26      

Activision Blizzard, Inc.

     927   
  52      

CA, Inc.

     1,643   
  60      

Cadence Design Systems, Inc. (a)

     1,516   
  18      

Citrix Systems, Inc. (a) (j)

     1,619   
  27      

Microsoft Corp. (j)

     1,693   
  107      

Nuance Communications, Inc. (a) (j)

     1,589   
  64      

Symantec Corp.

     1,529   
  11      

Synopsys, Inc. (a)

     648   
  16      

Take-Two Interactive Software, Inc. (a)

     775   
  20      

VMware, Inc., Class A (a)

     1,606   
    

 

 

  
       13,545   
    

 

 

  
  

Technology Hardware, Storage & Peripherals — 3.5%

  

  7      

Apple, Inc. (j)

     782   
  101      

HP, Inc.

     1,500   
  51      

NCR Corp. (a)

     2,078   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Technology Hardware, Storage & Peripherals — continued

  

  44      

NetApp, Inc.

     1,547   
    

 

 

  
       5,907   
    

 

 

  
  

Total Information Technology

     41,586   
    

 

 

  
  

Materials — 4.4%

  

  

Chemicals — 1.6%

  

  30      

Cabot Corp. (j)

     1,526   
  42      

Huntsman Corp.

     798   
  4      

LyondellBasell Industries NV, Class A

     371   
    

 

 

  
       2,695   
    

 

 

  
  

Containers & Packaging — 1.2%

  

  7      

Berry Plastics Group, Inc. (a)

     319   
  8      

International Paper Co.

     415   
  5      

Packaging Corp. of America

     386   
  17      

WestRock Co.

     839   
    

 

 

  
       1,959   
    

 

 

  
  

Metals & Mining — 1.6%

  

  12      

Reliance Steel & Aluminum Co.

     974   
  47      

Steel Dynamics, Inc.

     1,655   
  4      

United States Steel Corp.

     146   
    

 

 

  
       2,775   
    

 

 

  
  

Total Materials

     7,429   
    

 

 

  
  

Real Estate — 2.1%

  

  

Equity Real Estate Investment Trusts (REITs) — 2.1%

  

  38      

American Homes 4 Rent, Class A

     790   
  22      

DuPont Fabros Technology, Inc.

     973   
  18      

Equity Commonwealth (a)

     547   
  141      

VEREIT, Inc.

     1,191   
    

 

 

  
  

Total Real Estate

     3,501   
    

 

 

  
  

Telecommunication Services — 1.0%

  

  

Diversified Telecommunication Services — 0.8%

  

  15      

CenturyLink, Inc.

     363   
  18      

Verizon Communications, Inc.

     963   
    

 

 

  
       1,326   
    

 

 

  
  

Wireless Telecommunication Services — 0.2%

  

  34      

Sprint Corp. (a)

     290   
    

 

 

  
  

Total Telecommunication Services

     1,616   
    

 

 

  
  

Utilities — 3.7%

  

  

Gas Utilities — 0.7%

  

  25      

UGI Corp. (j)

     1,172   
    

 

 

  
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
32       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Long Positions — continued

  

 

Common Stocks — continued

  

  

Independent Power & Renewable Electricity Producers — 1.7%

   

  134      

AES Corp.

     1,553   
  103      

NRG Energy, Inc.

     1,260   
    

 

 

  
       2,813   
    

 

 

  
  

Multi-Utilities — 1.3%

  

  31      

CenterPoint Energy, Inc.

     760   
  51      

MDU Resources Group, Inc.

     1,479   
    

 

 

  
       2,239   
    

 

 

  
  

Total Utilities

     6,224   
    

 

 

  
  

Total Common Stocks
(Cost $131,393)

     149,348   
    

 

 

  

 

Short-Term Investment — 14.1%

  

  

Investment Company — 14.1%

  

  23,704      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.410% (b) (l)
(Cost $23,704)

     23,704   
    

 

 

  
  

Total Investments, Before Short Positions — 102.6%
(Cost $155,097)

     173,052   
  

Liabilities in Excess of
Other Assets — (2.6)%

     (4,371 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 168,681   
    

 

 

  

 

Short Positions — 88.2%

  

 

Common Stocks — 88.2%

  

  

Consumer Discretionary — 16.3%

  

  

Automobiles — 1.1%

  

  9      

Tesla Motors, Inc. (a)

     1,816   
    

 

 

  
  

Diversified Consumer Services — 1.6%

  

  69      

H&R Block, Inc.

     1,586   
  32      

ServiceMaster Global Holdings, Inc. (a)

     1,204   
    

 

 

  
       2,790   
    

 

 

  
  

Hotels, Restaurants & Leisure — 3.9%

  

  4      

Chipotle Mexican Grill, Inc. (a)

     1,500   
  11      

Marriott International, Inc., Class A

     901   
  39      

Norwegian Cruise Line Holdings Ltd. (a)

     1,655   
  13      

Royal Caribbean Cruises Ltd.

     1,095   
  13      

Texas Roadhouse, Inc.

     630   
  9      

Wynn Resorts Ltd.

     746   
    

 

 

  
       6,527   
    

 

 

  
  

Household Durables — 0.7%

  

  27      

Newell Brands, Inc.

     1,207   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Internet & Direct Marketing Retail — 2.1%

  

  54      

Liberty Interactive Corp. QVC Group, Class A (a)

     1,078   
  8      

Netflix, Inc. (a)

     969   
  7      

TripAdvisor, Inc. (a)

     336   
  33      

Wayfair, Inc., Class A (a)

     1,157   
    

 

 

  
       3,540   
    

 

 

  
  

Leisure Products — 0.2%

  

  5      

Polaris Industries, Inc.

     373   
    

 

 

  
  

Media — 2.0%

  

  8      

AMC Entertainment Holdings, Inc., Class A

     282   
  5      

Charter Communications, Inc., Class A (a)

     1,472   
  31      

Lions Gate Entertainment Corp., Class A

     845   
  31      

Lions Gate Entertainment Corp., Class B (a)

     771   
    

 

 

  
       3,370   
    

 

 

  
  

Specialty Retail — 2.6%

  

  16      

CarMax, Inc. (a)

     1,013   
  20      

L Brands, Inc.

     1,292   
  4      

Signet Jewelers Ltd.

     386   
  8      

TJX Cos., Inc. (The)

     603   
  14      

Tractor Supply Co.

     1,051   
    

 

 

  
       4,345   
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 2.1%

  

  32      

NIKE, Inc., Class B

     1,633   
  45      

Under Armour, Inc., Class A (a)

     1,316   
  11      

VF Corp.

     581   
    

 

 

  
       3,530   
    

 

 

  
  

Total Consumer Discretionary

     27,498   
    

 

 

  
  

Consumer Staples — 4.7%

  

  

Beverages — 1.6%

  

  22      

Brown-Forman Corp., Class B

     1,010   
  11      

Constellation Brands, Inc., Class A

     1,690   
    

 

 

  
       2,700   
    

 

 

  
  

Food & Staples Retailing — 0.9%

  

  10      

Costco Wholesale Corp.

     1,577   
    

 

 

  
  

Food Products — 1.3%

  

  6      

Kraft Heinz Co. (The)

     539   
  41      

Snyder’s-Lance, Inc.

     1,565   
    

 

 

  
       2,104   
    

 

 

  
  

Personal Products — 0.9%

  

  66      

Coty, Inc., Class A

     1,209   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         33   

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Personal Products — continued

  

  5      

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

     360   
    

 

 

  
       1,569   
    

 

 

  
  

Total Consumer Staples

     7,950   
    

 

 

  
  

Energy — 2.9%

  

  

Oil, Gas & Consumable Fuels — 2.9%

  

  20      

Chevron Corp.

     2,378   
  22      

EQT Corp.

     1,411   
  52      

Kosmos Energy Ltd. (a)

     366   
  9      

Phillips 66

     747   
    

 

 

  
  

Total Energy

     4,902   
    

 

 

  
  

Financials — 3.1%

  

  

Banks — 1.4%

  

  122      

People’s United Financial, Inc.

     2,354   
    

 

 

  
  

Capital Markets — 0.9%

  

  15      

Artisan Partners Asset Management, Inc., Class A

     451   
  7      

Franklin Resources, Inc.

     279   
  21      

Interactive Brokers Group, Inc., Class A

     748   
    

 

 

  
       1,478   
    

 

 

  
  

Consumer Finance — 0.2%

  

  16      

OneMain Holdings, Inc. (a)

     345   
    

 

 

  
  

Insurance — 0.6%

  

  1      

Markel Corp. (a)

     995   
    

 

 

  
  

Total Financials

     5,172   
    

 

 

  
  

Health Care — 10.0%

  

  

Biotechnology — 1.8%

  

  13      

ACADIA Pharmaceuticals, Inc. (a)

     362   
  5      

Alnylam Pharmaceuticals, Inc. (a)

     199   
  4      

BioMarin Pharmaceutical, Inc. (a)

     307   
  5      

Bluebird Bio, Inc. (a)

     327   
  2      

Intercept Pharmaceuticals, Inc. (a)

     217   
  12      

Juno Therapeutics, Inc. (a)

     229   
  39      

OPKO Health, Inc. (a)

     360   
  5      

Puma Biotechnology, Inc. (a)

     146   
  1      

Regeneron Pharmaceuticals, Inc. (a)

     532   
  6      

Seattle Genetics, Inc. (a)

     336   
    

 

 

  
       3,015   
    

 

 

  
  

Health Care Equipment & Supplies — 1.6%

  

  27      

DENTSPLY SIRONA, Inc.

     1,530   
  20      

DexCom, Inc. (a)

     1,212   
    

 

 

  
       2,742   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Health Care Providers & Services — 3.9%

  

  45      

Acadia Healthcare Co., Inc. (a)

     1,475   
  10      

Centene Corp. (a)

     541   
  26      

Envision Healthcare Corp. (a)

     1,642   
  7      

Henry Schein, Inc. (a)

     1,009   
  6      

LifePoint Health, Inc. (a)

     352   
  34      

Team Health Holdings, Inc. (a)

     1,491   
    

 

 

  
       6,510   
    

 

 

  
  

Health Care Technology — 0.1%

  

  19      

Inovalon Holdings, Inc., Class A (a)

     197   
    

 

 

  
  

Pharmaceuticals — 2.6%

  

  11      

Bristol-Myers Squibb Co.

     643   
  58      

Catalent, Inc. (a)

     1,571   
  4      

Perrigo Co. plc

     364   
  34      

Zoetis, Inc.

     1,808   
    

 

 

  
       4,386   
    

 

 

  
  

Total Health Care

     16,850   
    

 

 

  
  

Industrials — 15.1%

  

  

Aerospace & Defense — 2.7%

  

  13      

Arconic, Inc.

     246   
  33      

Hexcel Corp.

     1,692   
  19      

Orbital ATK, Inc.

     1,674   
  4      

TransDigm Group, Inc.

     965   
    

 

 

  
       4,577   
    

 

 

  
  

Airlines — 1.0%

  

  30      

Spirit Airlines, Inc. (a)

     1,717   
    

 

 

  
  

Building Products — 1.3%

  

  39      

Armstrong World Industries, Inc. (a)

     1,630   
  11      

Fortune Brands Home & Security, Inc.

     612   
    

 

 

  
       2,242   
    

 

 

  
  

Commercial Services & Supplies — 1.9%

  

  108      

Covanta Holding Corp.

     1,679   
  31      

Rollins, Inc.

     1,052   
  6      

Stericycle, Inc. (a)

     458   
    

 

 

  
       3,189   
    

 

 

  
  

Electrical Equipment — 0.9%

  

  6      

Acuity Brands, Inc.

     1,426   
    

 

 

  
  

Industrial Conglomerates — 0.5%

  

  26      

General Electric Co.

     811   
    

 

 

  
  

Machinery — 3.0%

  

  42      

ITT, Inc.

     1,611   
  7      

Middleby Corp. (The) (a)

     921   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
34       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Machinery — continued

  

  10      

Snap-on, Inc.

     1,648   
  33      

Trinity Industries, Inc.

     911   
    

 

 

  
       5,091   
    

 

 

  
  

Marine — 0.2%

  

  5      

Kirby Corp. (a)

     359   
    

 

 

  
  

Road & Rail — 2.1%

  

  5      

AMERCO

     1,802   
  12      

Genesee & Wyoming, Inc., Class A (a)

     819   
  6      

Old Dominion Freight Line, Inc. (a)

     532   
  5      

Ryder System, Inc.

     409   
    

 

 

  
       3,562   
    

 

 

  
  

Trading Companies & Distributors — 1.5%

  

  35      

Fastenal Co.

     1,647   
  4      

WW Grainger, Inc.

     912   
    

 

 

  
       2,559   
    

 

 

  
  

Total Industrials

     25,533   
    

 

 

  
  

Information Technology — 25.5%

  

  

Communications Equipment — 1.1%

  

  6      

EchoStar Corp., Class A (a)

     313   
  23      

ViaSat, Inc. (a)

     1,520   
    

 

 

  
       1,833   
    

 

 

  
  

Electronic Equipment, Instruments & Components — 5.0%

  

  26      

Amphenol Corp., Class A

     1,774   
  37      

CDW Corp.

     1,922   
  60      

Fitbit, Inc., Class A (a)

     437   
  22      

Keysight Technologies, Inc. (a)

     796   
  6      

Littelfuse, Inc.

     915   
  63      

National Instruments Corp.

     1,929   
  36      

VeriFone Systems, Inc. (a)

     641   
    

 

 

  
       8,414   
    

 

 

  
  

Internet Software & Services — 1.7%

  

  2      

CoStar Group, Inc. (a)

     306   
  5      

Facebook, Inc., Class A (a)

     564   
  134      

Pandora Media, Inc. (a)

     1,744   
  8      

Zillow Group, Inc., Class C (a)

     284   
    

 

 

  
       2,898   
    

 

 

  
  

IT Services — 6.3%

  

  18      

Broadridge Financial Solutions, Inc.

     1,172   
  26      

EPAM Systems, Inc. (a)

     1,698   
  21      

Fidelity National Information Services, Inc.

     1,622   
  22      

Genpact Ltd. (a)

     527   
SHARES     SECURITY DESCRIPTION   VALUE($)  
   
   
 

IT Services — continued

  

  11     

Global Payments, Inc.

     772   
  9     

Jack Henry & Associates, Inc.

     806   
  30     

MAXIMUS, Inc.

     1,656   
  13     

Paychex, Inc.

     764   
  65     

Sabre Corp.

     1,611   
   

 

 

  
      10,628   
   

 

 

  
 

Semiconductors & Semiconductor Equipment — 4.8%

  

  76     

Advanced Micro Devices, Inc. (a)

     858   
  28     

Cavium, Inc. (a)

     1,769   
  50     

First Solar, Inc. (a)

     1,620   
  38     

Micron Technology, Inc. (a)

     838   
  35     

Microsemi Corp. (a)

     1,908   
  11     

Monolithic Power Systems, Inc.

     930   
  4     

Versum Materials, Inc. (a)

     98   
   

 

 

  
      8,021   
   

 

 

  
 

Software — 6.6%

  

  5     

Autodesk, Inc. (a)

     346   
  15     

Blackbaud, Inc.

     960   
  15     

Ellie Mae, Inc. (a)

     1,261   
  80     

FireEye, Inc. (a)

     949   
  30     

Guidewire Software, Inc. (a)

     1,474   
  16     

salesforce.com, Inc. (a)

     1,082   
  44     

SS&C Technologies Holdings, Inc.

     1,263   
  10     

Tyler Technologies, Inc. (a)

     1,481   
  8     

Ultimate Software Group,

Inc. (The) (a)

     1,445   
  14     

Workday, Inc., Class A (a)

     907   
   

 

 

  
      11,168   
   

 

 

  
 

Total Information Technology

     42,962   
   

 

 

  
 

Materials — 5.0%

  

 

Chemicals — 2.0%

  

  5     

Air Products & Chemicals, Inc.

     750   
  52     

CF Industries Holdings, Inc.

     1,634   
  8     

Praxair, Inc.

     957   
   

 

 

  
      3,341   
   

 

 

  
 

Containers & Packaging — 0.9%

  

  21     

Ball Corp.

     1,586   
   

 

 

  
 

Metals & Mining — 2.1%

  

  – (h)   

Alcoa Corp.

     — (h) 
  19     

Compass Minerals International, Inc.

     1,492   
  48     

Southern Copper Corp., (Peru)

     1,537   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         35   

Table of Contents

JPMorgan Multi-Cap Market Neutral Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands, except number of Futures contracts)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Short Positions — continued

  

 

Common Stocks — continued

  

  

Metals & Mining — continued

  

  52      

Tahoe Resources, Inc.

     491   
    

 

 

  
       3,520   
    

 

 

  
  

Total Materials

     8,447   
    

 

 

  
  

Real Estate — 1.9%

  

  

Equity Real Estate Investment Trusts (REITs) — 0.9%

  

  17      

Life Storage, Inc.

     1,426   
    

 

 

  
  

Real Estate Management & Development — 1.0%

  

  38      

CBRE Group, Inc., Class A (a)

     1,193   
  5      

Jones Lang LaSalle, Inc.

     553   
    

 

 

  
       1,746   
    

 

 

  
  

Total Real Estate

     3,172   
    

 

 

  
  

Telecommunication Services — 1.3%

  

  

Diversified Telecommunication Services — 0.9%

  

  438      

Frontier Communications Corp.

     1,482   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
    
  

Wireless Telecommunication Services — 0.4%

  

  25      

Telephone & Data Systems, Inc.

     716   
    

 

 

  
  

Total Telecommunication Services

     2,198   
    

 

 

  
  

Utilities — 2.4%

  

  

Gas Utilities — 0.4%

  

  9      

Atmos Energy Corp.

     642   
    

 

 

  
  

Multi-Utilities — 2.0%

  

  24      

Dominion Resources, Inc.

     1,803   
  15      

Sempra Energy

     1,550   
    

 

 

  
       3,353   
    

 

 

  
  

Total Utilities

     3,995   
    

 

 

  
  

Total Securities Sold Short
(Proceeds $146,326)

     $148,679   
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

Futures Contracts  
NUMBER OF
CONTRACTS		        DESCRIPTION      EXPIRATION
DATE		        TRADING
CURRENCY		        NOTIONAL
VALUE AT
DECEMBER 31, 2016		        NET UNREALIZED
APPRECIATION
(DEPRECIATION)		  
    

Short Futures Outstanding

  

  (2 )      

E-mini S&P 500

        03/17/17           USD         $ (223 )       $ — (h) 
  (3 )      

S&P Mid Cap 400

        03/17/17           USD           (498 )         11   
                        

 

 

  
     $ 11   
                        

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
36       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — 98.5%

  

  

Consumer Discretionary — 15.1%

  

  

Distributors — 1.0%

  

  1,144      

Genuine Parts Co.

     109,259   
    

 

 

  
  

Hotels, Restaurants & Leisure — 1.9%

  

  880      

Brinker International, Inc.

     43,576   
  3,486      

Hilton Worldwide Holdings, Inc.

     94,819   
  2,933      

La Quinta Holdings, Inc. (a)

     41,678   
  890      

Red Rock Resorts, Inc., Class A

     20,637   
    

 

 

  
       200,710   
    

 

 

  
  

Household Durables — 0.4%

  

  1,045      

Newell Brands, Inc.

     46,681   
    

 

 

  
  

Internet & Direct Marketing Retail — 0.7%

  

  681      

Expedia, Inc.

     77,166   
    

 

 

  
  

Media — 5.3%

  

  1,293      

CBS Corp. (Non-Voting), Class B

     82,254   
  316      

Charter Communications, Inc., Class A (a)

     91,094   
  3,835      

Clear Channel Outdoor Holdings, Inc., Class A

     19,369   
  2,466      

DISH Network Corp., Class A (a)

     142,862   
  2,648      

Entercom Communications Corp., Class A

     40,511   
  2,982      

Media General, Inc. (a)

     56,147   
  598      

Nexstar Broadcasting Group, Inc., Class A

     37,854   
  1,127      

Sinclair Broadcast Group, Inc., Class A

     37,592   
  605      

Time Warner, Inc.

     58,382   
    

 

 

  
       566,065   
    

 

 

  
  

Multiline Retail — 0.8%

  

  1,722      

Kohl’s Corp.

     85,008   
    

 

 

  
  

Specialty Retail — 4.0%

  

  96      

AutoZone, Inc. (a)

     76,072   
  1,426      

Bed Bath & Beyond, Inc.

     57,965   
  1,632      

Best Buy Co., Inc.

     69,617   
  2,038      

Gap, Inc. (The)

     45,735   
  612      

Home Depot, Inc. (The)

     82,005   
  1,239      

Tiffany & Co.

     95,928   
    

 

 

  
       427,322   
    

 

 

  
  

Textiles, Apparel & Luxury Goods — 1.0%

  

  940      

Columbia Sportswear Co.

     54,796   
  2,230      

Hanesbrands, Inc.

     48,106   
    

 

 

  
       102,902   
    

 

 

  
  

Total Consumer Discretionary

     1,615,113   
    

 

 

  
  

Consumer Staples — 6.0%

  

  

Beverages — 1.0%

  

  798      

Dr Pepper Snapple Group, Inc.

     72,325   
  396      

Molson Coors Brewing Co., Class B

     38,505   
    

 

 

  
       110,830   
    

 

 

  
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Food & Staples Retailing — 1.6%

  

  1,291      

CVS Health Corp.

     101,834   
  2,047      

Kroger Co. (The)

     70,642   
    

 

 

  
       172,476   
    

 

 

  
  

Food Products — 1.5%

  

  639      

Amplify Snack Brands, Inc. (a)

     5,628   
  958      

Post Holdings, Inc. (a)

     77,031   
  1,057      

TreeHouse Foods, Inc. (a)

     76,339   
    

 

 

  
       158,998   
    

 

 

  
  

Household Products — 1.4%

  

  829      

Energizer Holdings, Inc.

     36,997   
  1,285      

Procter & Gamble Co. (The)

     108,044   
    

 

 

  
       145,041   
    

 

 

  
  

Personal Products — 0.5%

  

  2,616      

Coty, Inc., Class A

     47,899   
    

 

 

  
  

Total Consumer Staples

     635,244   
    

 

 

  
  

Energy — 7.2%

  

  

Oil, Gas & Consumable Fuels — 7.2%

  

  1,813      

ConocoPhillips

     90,899   
  1,227      

EQT Corp.

     80,254   
  2,771      

Exxon Mobil Corp.

     250,146   
  4,403      

Kinder Morgan, Inc.

     91,188   
  1,952      

Marathon Petroleum Corp.

     98,283   
  2,118      

PBF Energy, Inc., Class A

     59,052   
  1,114      

Phillips 66

     96,295   
    

 

 

  
  

Total Energy

     766,117   
    

 

 

  
  

Financials — 32.4%

  

  

Banks — 15.7%

  

  12,722      

Bank of America Corp.

     281,154   
  2,188      

Citigroup, Inc.

     130,017   
  3,393      

Citizens Financial Group, Inc.

     120,900   
  2,690      

Fifth Third Bancorp

     72,539   
  773      

First Republic Bank

     71,259   
  1,003      

M&T Bank Corp.

     156,891   
  1,360      

PNC Financial Services Group, Inc. (The)

     159,019   
  2,425      

SunTrust Banks, Inc.

     133,017   
  2,276      

US Bancorp

     116,923   
  7,827      

Wells Fargo & Co.

     431,335   
    

 

 

  
       1,673,054   
    

 

 

  
  

Capital Markets — 3.8%

  

  1,920      

Charles Schwab Corp. (The)

     75,763   
  1,679      

Invesco Ltd.

     50,950   
  1,983      

Morgan Stanley

     83,765   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         37   

Table of Contents

JPMorgan Value Advantage Fund

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands)

 

SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Capital Markets — continued

  
  855      

Northern Trust Corp.

     76,166   
  1,551      

T Rowe Price Group, Inc.

     116,761   
    

 

 

  
       403,405   
    

 

 

  
  

Consumer Finance — 3.0%

  

  3,982      

Ally Financial, Inc.

     75,734   
  2,841      

Capital One Financial Corp.

     247,831   
    

 

 

  
       323,565   
    

 

 

  
  

Insurance — 9.9%

  

  44      

Alleghany Corp. (a)

     26,541   
  1,470      

Allied World Assurance Co. Holdings AG

     78,975   
  2,770      

American International Group, Inc.

     180,895   
  748      

Chubb Ltd.

     98,840   
  2,229      

CNO Financial Group, Inc.

     42,683   
  2,632      

Hartford Financial Services Group, Inc. (The)

     125,434   
  4,847      

Loews Corp.

     226,977   
  448      

Marsh & McLennan Cos., Inc.

     30,267   
  526      

Prudential Financial, Inc.

     54,746   
  921      

Travelers Cos., Inc. (The)

     112,798   
  1,858      

Unum Group

     81,609   
    

 

 

  
       1,059,765   
    

 

 

  
  

Total Financials

     3,459,789   
    

 

 

  
  

Health Care — 9.0%

  

  

Health Care Providers & Services — 3.1%

  

  919      

Aetna, Inc.

     113,907   
  275      

Cigna Corp.

     36,656   
  1,059      

HCA Holdings, Inc. (a)

     78,372   
  676      

UnitedHealth Group, Inc.

     108,139   
    

 

 

  
       337,074   
    

 

 

  
  

Pharmaceuticals — 5.9%

  

  250      

Allergan plc (a)

     52,586   
  1,468      

Johnson & Johnson

     169,117   
  2,577      

Merck & Co., Inc.

     151,726   
  7,793      

Pfizer, Inc.

     253,107   
    

 

 

  
       626,536   
    

 

 

  
  

Total Health Care

     963,610   
    

 

 

  
  

Industrials — 6.3%

  

  

Aerospace & Defense — 1.2%

  

  1,101      

United Technologies Corp.

     120,681   
    

 

 

  
  

Airlines — 1.6%

  

  3,509      

Delta Air Lines, Inc.

     172,613   
    

 

 

  
  

Industrial Conglomerates — 2.0%

  

  964      

Carlisle Cos., Inc.

     106,311   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Industrial Conglomerates — continued

  

  936      

Honeywell International, Inc.

     108,482   
    

 

 

  
       214,793   
    

 

 

  
  

Machinery — 1.5%

  

  1,030      

Dover Corp.

     77,170   
  670      

Illinois Tool Works, Inc.

     82,097   
    

 

 

  
       159,267   
    

 

 

  
  

Total Industrials

     667,354   
    

 

 

  
  

Information Technology — 7.0%

  

  

Communications Equipment — 1.1%

  

  3,800      

Cisco Systems, Inc.

     114,836   
    

 

 

  
  

Electronic Equipment, Instruments & Components — 0.7%

  

  1,025      

Arrow Electronics, Inc. (a)

     73,112   
    

 

 

  
  

IT Services — 0.5%

  

  1,477      

PayPal Holdings, Inc. (a)

     58,313   
    

 

 

  
  

Semiconductors & Semiconductor Equipment — 2.7%

  

  832      

KLA-Tencor Corp.

     65,454   
  1,247      

QUALCOMM, Inc.

     81,301   
  1,941      

Texas Instruments, Inc.

     141,642   
    

 

 

  
       288,397   
    

 

 

  
  

Software — 1.3%

  

  2,180      

Microsoft Corp.

     135,440   
    

 

 

  
  

Technology Hardware, Storage & Peripherals — 0.7%

  

  3,134      

Hewlett Packard Enterprise Co.

     72,514   
    

 

 

  
  

Total Information Technology

     742,612   
    

 

 

  
  

Materials — 3.8%

  

  

Chemicals — 0.2%

  

  1,124      

AdvanSix, Inc. (a)

     24,896   
    

 

 

  
  

Construction Materials — 0.8%

  

  369      

Martin Marietta Materials, Inc.

     81,780   
    

 

 

  
  

Containers & Packaging — 2.3%

  

  1,400      

Ball Corp.

     105,068   
  3,462      

Graphic Packaging Holding Co.

     43,206   
  2,022      

WestRock Co.

     102,667   
    

 

 

  
       250,941   
    

 

 

  
  

Paper & Forest Products — 0.5%

  

  2,334      

KapStone Paper and Packaging Corp.

     51,467   
    

 

 

  
  

Total Materials

     409,084   
    

 

 

  
  

Real Estate — 4.5%

  

  

Equity Real Estate Investment Trusts (REITs) — 4.1%

  

  3,446      

American Homes 4 Rent, Class A

     72,306   
  2,676      

Brixmor Property Group, Inc.

     65,343   
 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
38       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
SHARES      SECURITY DESCRIPTION   VALUE($)  

 

Common Stocks — continued

  

  

Equity Real Estate Investment Trusts (REITs) — continued

  

  678      

EastGroup Properties, Inc.

     50,086   
  2,340      

Kimco Realty Corp.

     58,872   
  2,325      

Outfront Media, Inc.

     57,823   
  3,257      

Rayonier, Inc.

     86,624   
  1,414      

Weyerhaeuser Co.

     42,532   
    

 

 

  
       433,586   
    

 

 

  
  

Real Estate Management & Development — 0.4%

  

  1,337      

CBRE Group, Inc., Class A (a)

     42,102   
    

 

 

  
  

Total Real Estate

     475,688   
    

 

 

  
  

Telecommunication Services — 1.4%

  

  

Diversified Telecommunication Services — 0.9%

  

  1,778      

Verizon Communications, Inc.

     94,905   
    

 

 

  
  

Wireless Telecommunication Services — 0.5%

  

  918      

T-Mobile US, Inc. (a)

     52,771   
    

 

 

  
  

Total Telecommunication Services

     147,676   
    

 

 

  
  

Utilities — 5.8%

  

  

Electric Utilities — 5.2%

  

  1,684      

American Electric Power Co., Inc.

     105,993   
  1,146      

Duke Energy Corp.

     88,945   
  1,083      

Edison International

     77,997   
  1,262      

Eversource Energy

     69,678   
SHARES      SECURITY DESCRIPTION   VALUE($)  
    
  

Electric Utilities — continued

  
  937      

NextEra Energy, Inc.

     111,910   
  2,658      

Xcel Energy, Inc.

     108,184   
    

 

 

  
       562,707   
    

 

 

  
  

Multi-Utilities — 0.6%

  

  611      

Sempra Energy

     61,451   
    

 

 

  
  

Total Utilities

     624,158   
    

 

 

  
  

Total Common Stocks
(Cost $7,965,649)

     10,506,445   
    

 

 

  

 

Short-Term Investment — 1.7%

  

  

Investment Company — 1.7%

  

  184,644      

JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.410% (b) (l)
(Cost $184,644)

     184,644   
    

 

 

  
  

Total Investments — 100.2%
(Cost $8,150,293)

     10,691,089   
  

Liabilities in Excess of
Other Assets — (0.2)%

     (23,371 ) 
    

 

 

  
  

NET ASSETS — 100.0%

   $ 10,667,718   
    

 

 

  

 

Percentages indicated are based on net assets.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         39   

Table of Contents

J.P. Morgan Mid Cap/Multi-Cap Funds

NOTES TO SCHEDULES OF PORTFOLIO INVESTMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

 

USD  

—  United States Dollar

(a)  

—  Non-income producing security.

(b)  

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

(h)  

—  Amount rounds to less than 500.

(j)  

—  All or a portion of the security is segregated for short sales. The total value of securities and cash segregated as collateral is approximately $26,810,000 and $150,134,000, respectively.

(l)  

—  The rate shown is the current yield as of December 31, 2016.

 

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
40       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         41   

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands, except per share amounts)

 

            
Growth
Advantage
Fund		        Mid Cap
Equity Fund		      Mid Cap
Growth
Fund		  

ASSETS:

             

Investments in non-affiliates, at value

      $ 5,982,852         $ 2,516,512       $ 2,658,585   

Investments in affiliates, at value

        108,763           89,081         63,672   
    

 

 

       

 

 

     

 

 

  

Total investment securities, at value

        6,091,615           2,605,593         2,722,257   

Cash

        —           —         — (a) 

Receivables:

             

Investment securities sold

        —           932         1,984   

Fund shares sold

        26,991           3,738         5,887   

Dividends from non-affiliates

        1,062           2,372         720   

Dividends from affiliates

        40           27         17   
    

 

 

       

 

 

     

 

 

  

Total Assets

        6,119,708           2,612,662         2,730,865   
    

 

 

       

 

 

     

 

 

  

LIABILITIES:

             

Payables:

             

Due to custodian

        48           —         —   

Fund shares redeemed

        12,242           1,850         10,471   

Accrued liabilities:

             

Investment advisory fees

        3,381           1,435         1,481   

Administration fees

        423           182         177   

Distribution fees

        698           94         259   

Shareholder servicing fees

        395           73         138   

Custodian and accounting fees

        39           22         17   

Trustees’ and Chief Compliance Officer’s fees

        23           — (a)       1   

Printing and mailing cost

        164           302         132   

Sub-transfer agency fees

        460           368         555   

Other

        175           19         98   
    

 

 

       

 

 

     

 

 

  

Total Liabilities

        18,048           4,345         13,329   
    

 

 

       

 

 

     

 

 

  

Net Assets

      $ 6,101,660         $ 2,608,317       $ 2,717,536   
    

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
42       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
            
Growth
Advantage
Fund		        Mid Cap
Equity Fund		        Mid Cap
Growth
Fund		  

NET ASSETS:

  

Paid-in-Capital

      $ 4,766,757         $ 2,002,213         $ 2,352,244   

Accumulated undistributed (distributions in excess of) net investment income

        (20,692 )         (582 )         (10,014 ) 

Accumulated net realized gains (losses)

        (100,034 )         (28,323 )         (42,108 ) 

Net unrealized appreciation (depreciation)

        1,455,629           635,009           417,414   
    

 

 

       

 

 

       

 

 

  

Total Net Assets

      $ 6,101,660         $ 2,608,317         $ 2,717,536   
    

 

 

       

 

 

       

 

 

  

Net Assets:

               

Class A

      $ 1,549,154         $ 342,456         $ 871,922   

Class C

        556,435           30,577           87,166   

Class R2

        —           612           31,668   

Class R3

        —           —           20   

Class R4

        —           —           20   

Class R5

        79,977           2,788           220,600   

Class R6

        2,839,301           1,550,055           627,006   

Select Class

        1,076,793           681,829           879,134   
    

 

 

       

 

 

       

 

 

  

Total

      $ 6,101,660         $ 2,608,317         $ 2,717,536   
    

 

 

       

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

               

($0.0001 par value; unlimited number of shares authorized):

               

Class A

        102,096           7,808           35,957   

Class C

        41,070           717           4,434   

Class R2

        —           14           1,205   

Class R3

        —           —           1   

Class R4

        —           —           1   

Class R5

        5,073           63           7,953   

Class R6

        179,468           34,933           22,534   

Select Class

        69,309           15,376           31,975   

Net Asset Value (a):

               

Class A — Redemption price per share

      $ 15.17         $ 43.86         $ 24.25   

Class C — Offering price per share (b)

        13.55           42.63           19.66   

Class R2 — Offering and redemption price per share

        —           43.62           26.28   

Class R3 — Offering and redemption price per share

        —           —           27.47   

Class R4 — Offering and redemption price per share

        —           —           27.49   

Class R5 — Offering and redemption price per share

        15.77           44.37           27.74   

Class R6 — Offering and redemption price per share

        15.82           44.37           27.82   

Select Class — Offering and redemption price per share

        15.54           44.34           27.49   

Class A maximum sales charge

        5.25 %         5.25 %         5.25 % 

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

      $ 16.01         $ 46.29         $ 25.59   
    

 

 

       

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 4,527,223         $ 1,881,503         $ 2,241,171   

Cost of investments in affiliates

        108,763           89,081           63,672   

 

(a) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(b) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         43   

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF ASSETS AND LIABILITIES

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

(Amounts in thousands, except per share amounts)

 

 

        Mid Cap
Value Fund		            
Multi-Cap
Market
Neutral Fund		        Value
Advantage
Fund		  

ASSETS:

  

Investments in non-affiliates, at value

      $ 16,400,277         $ 149,348         $ 10,506,445   

Investments in affiliates, at value

        766,568           23,704           184,644   
    

 

 

       

 

 

       

 

 

  

Total investment securities, at value

        17,166,845           173,052           10,691,089   

Restricted cash

        —           20           —   

Cash

        —           116           205   

Deposits at broker for futures contracts

        —           170           —   

Deposits at broker for securities sold short

        —           150,134           —   

Receivables:

               

Investment securities sold

        —           4,707           —   

Fund shares sold

        49,870           111           21,275   

Dividends from non-affiliates

        26,677           157           9,845   

Dividends from affiliates

        221           7           60   

Variation margin on futures contracts

        —           3           —   
    

 

 

       

 

 

       

 

 

  

Total Assets

        17,243,613           328,477           10,722,474   
    

 

 

       

 

 

       

 

 

  

LIABILITIES:

               

Payables:

               

Due to custodian

        3           —           —   

Securities sold short, at value

        —           148,679           —   

Dividend expense to non-affiliates on securities sold short

        —           97           —   

Investment securities purchased

        —           5,572           8,040   

Interest expense to non-affiliates on securities sold short

        —           7           —   

Fund shares redeemed

        88,922           5,258           37,115   

Accrued liabilities:

               

Investment advisory fees

        8,550           95           5,772   

Administration fees

        1,195           —           738   

Distribution fees

        862           5           888   

Shareholder servicing fees

        582           37           488   

Custodian and accounting fees

        27           7           43   

Trustees’ and Chief Compliance Officer’s fees

        92           —           52   

Printing and mailing cost

        369           6           205   

Sub-transfer agency fees

        3,402           7           1,283   

Other

        383           26           132   
    

 

 

       

 

 

       

 

 

  

Total Liabilities

        104,387           159,796           54,756   
    

 

 

       

 

 

       

 

 

  

Net Assets

      $ 17,139,226         $ 168,681         $ 10,667,718   
    

 

 

       

 

 

       

 

 

  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
44       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
        Mid Cap
Value Fund		          
Multi-Cap
Market
Neutral Fund		        Value
Advantage
Fund		  

NET ASSETS:

             

Paid-in-Capital

      $ 11,684,022      $ 162,075        $ 8,286,153  

Accumulated undistributed (distributions in excess of) net investment income

        (3,386 )       (1,306 )         92  

Accumulated net realized gains (losses)

        14,341        (7,701 )         (159,323 ) 

Net unrealized appreciation (depreciation)

        5,444,249        15,613          2,540,796  
    

 

 

     

 

 

       

 

 

  

Total Net Assets

      $ 17,139,226      $ 168,681        $ 10,667,718  
    

 

 

     

 

 

       

 

 

  

Net Assets:

             

Class A

      $ 2,251,296      $ 5,411        $ 1,854,162  

Class C

        531,177        5,220          771,589  

Class L (formerly Institutional Class)

        11,574,107        —          3,666,117  

Class R2

        66,949        —          —  

Class R3

        21        —          22  

Class R4

        21        —          22  

Class R5

        21        —          22  

Class R6

        51,221        —          2,937,216  

Select Class

        2,664,413        158,050          1,438,568  
    

 

 

     

 

 

       

 

 

  

Total

      $ 17,139,226      $ 168,681        $ 10,667,718  
    

 

 

     

 

 

       

 

 

  

Outstanding units of beneficial interest (shares)

             

($0.0001 par value; unlimited number of shares authorized):

             

Class A

        63,169        538          57,784  

Class C

        15,463        555          24,131  

Class L (formerly Institutional Class)

        317,972        —          113,733  

Class R2

        1,952        —          —  

Class R3

        1        —          1  

Class R4

        1        —          1  

Class R5

        — (a)       —          1  

Class R6

        1,408        —          91,192  

Select Class

        74,010        15,351          44,593  

Net Asset Value (b):

             

Class A — Redemption price per share

      $ 35.64      $ 10.05        $ 32.09  

Class C — Offering price per share (c)

        34.35        9.41          31.97  

Class L (formerly Institutional Class) — Offering and redemption price per share

        36.40        —          32.23  

Class R2 — Offering and redemption price per share

        34.30        —          —  

Class R3 — Offering and redemption price per share

        35.50        —          31.94  

Class R4 — Offering and redemption price per share

        35.93        —          32.20  

Class R5 — Offering and redemption price per share

        36.38        —          32.21  

Class R6 — Offering and redemption price per share

        36.38        —          32.21  

Select Class — Offering and redemption price per share

        36.00        10.30          32.26  

Class A maximum sales charge

        5.25 %       5.25 %         5.25 % 

Class A maximum public offering price per share
[net asset value per share/(100% — maximum sales charge)]

      $ 37.61      $ 10.61        $ 33.87  
    

 

 

     

 

 

       

 

 

  

Cost of investments in non-affiliates

      $ 10,956,028      $ 131,393        $ 7,965,649  

Cost of investments in affiliates

        766,568        23,704          184,644  

Proceeds from securities sold short

        —        146,326          —  

 

(a) Amount rounds to less than 500.
(b) Per share amounts may not recalculate due to rounding of net assets and/or shares outstanding.
(c) Redemption price for Class C Shares varies based upon length of time the shares are held.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         45  

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF OPERATIONS

FOR THE SIX MONTHS ENDED DECEMBER 31, 2016 (Unaudited)

(Amounts in thousands)

 

            
Growth
Advantage
Fund		      Mid Cap
Equity Fund		        Mid Cap
Growth
Fund		  

INVESTMENT INCOME:

  

Dividend income from non-affiliates

      $ 19,013       $ 14,188         $ 8,513   

Dividend income from affiliates

        224         149           75   

Interest income from affiliates

        4         2           1   
    

 

 

     

 

 

       

 

 

  

Total investment income

        19,241         14,339           8,589   
    

 

 

     

 

 

       

 

 

  

EXPENSES:

             

Investment advisory fees

        20,035         8,184           9,286   

Administration fees

        2,524         1,031           1,170   

Distribution fees:

             

Class A

        2,051         435           1,177   

Class C

        2,243         121           356   

Class R2

        —         2           67   

Class R3 (a)

        —         —           — (b) 

Shareholder servicing fees:

             

Class A

        2,051         435           1,177   

Class C

        748         40           119   

Class R2

        —         1           33   

Class R3 (a)

        —         —           — (b) 

Class R4 (a)

        —         —           — (b) 

Class R5

        21         1           56   

Select Class

        1,254         817           1,159   

Custodian and accounting fees

        93         42           46   

Interest expense to affiliates

        — (b)       —           —   

Professional fees

        57         32           36   

Trustees’ and Chief Compliance Officer’s fees

        34         16           16   

Printing and mailing costs

        142         181           111   

Registration and filing fees

        118         25           57   

Transfer agency fees (See Note 2.E.)

        103         24           229   

Sub-transfer agency fees (See Note 2.E.)

        1,244         695           1,129   

Other

        93         25           33   
    

 

 

     

 

 

       

 

 

  

Total expenses

        32,811         12,107           16,257   
    

 

 

     

 

 

       

 

 

  

Less fees waived

        (1,290 )       (1,193 )         (1,811 ) 

Less expense reimbursements

        (2 )       (16 )         (63 ) 
    

 

 

     

 

 

       

 

 

  

Net expenses

        31,519         10,898           14,383   
    

 

 

     

 

 

       

 

 

  

Net investment income (loss)

        (12,278 )       3,441           (5,794 ) 
    

 

 

     

 

 

       

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

             

Net realized gain (loss) on transactions from Investments in non-affiliates

        121,384         28,273           2,613   

Change in net unrealized appreciation/depreciation on Investments in non-affiliates

        206,479         103,262           107,428   
    

 

 

     

 

 

       

 

 

  

Net realized/unrealized gains (losses)

        327,863         131,535           110,041   
    

 

 

     

 

 

       

 

 

  

Change in net assets resulting from operations

      $ 315,585       $ 134,976         $ 104,247   
    

 

 

     

 

 

       

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
46       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
        Mid Cap
Value Fund		          
Multi-Cap
Market
Neutral Fund		      Value
Advantage
Fund		  

INVESTMENT INCOME:

 

Dividend income from non-affiliates

      $ 136,448      $ 1,208      $ 109,051  

Dividend income from affiliates

        1,159        28        314  

Interest income from affiliates

        11        — (a)       7  
    

 

 

     

 

 

     

 

 

  

Total investment income

        137,618        1,236        109,372  
    

 

 

     

 

 

     

 

 

  

EXPENSES:

           

Investment advisory fees

        53,416        728        33,576  

Administration fees

        6,728        74        4,229  

Distribution fees:

           

Class A

        2,856        8        2,423  

Class C

        2,054        21        2,795  

Class R2

        165        —        —  

Class R3 (b)

        — (a)       —        — (a) 

Shareholder servicing fees:

           

Class A

        2,856        8        2,423  

Class C

        685        7        931  

Class L (formerly Institutional Class)

        5,486        —        2,620  

Class R2

        82        —        —  

Class R3 (b)

        — (a)       —        — (a) 

Class R4 (b)

        — (a)       —        — (a) 

Class R5 (b)

        — (a)       —        — (a) 

Select Class

        3,176        213        1,705  

Custodian and accounting fees

        179        17        129  

Interest expense to affiliates

        — (a)       —        —  

Professional fees

        250        28        173  

Trustees’ and Chief Compliance Officer’s fees

        91        13        57  

Printing and mailing costs

        476        5        336  

Registration and filing fees

        70        20        146  

Transfer agency fees (See Note 2.E.)

        510        3        128  

Sub-transfer agency fees (See Note 2.E.)

        7,066        13        2,608  

Other

        265        5        104  

Dividend expense to non-affiliates on securities sold short

        —        1,032        —  

Interest expense to non-affiliates on securities sold short

        —        10        —  
    

 

 

     

 

 

     

 

 

  

Total expenses

        86,411        2,205        54,383  
    

 

 

     

 

 

     

 

 

  

Less fees waived

        (10,894 )       (246 )       (5,313 ) 

Less expense reimbursements

        (2,674 )       —        (183 ) 
    

 

 

     

 

 

     

 

 

  

Net expenses

        72,843        1,959        48,887  
    

 

 

     

 

 

     

 

 

  

Net investment income (loss)

        64,775        (723 )       60,485  
    

 

 

     

 

 

     

 

 

  

REALIZED/UNREALIZED GAINS (LOSSES):

           

Net realized gain (loss) on transactions from:

           

Investments in non-affiliates

        231,604        12,295        69,076  

Futures

        —        (180 )       —  

Securities sold short

        —        (8,721 )       —  
    

 

 

     

 

 

     

 

 

  

Net realized gain (loss)

        231,604        3,394        69,076  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation on:

           

Investments in non-affiliates

        892,882        4,021        1,138,209  

Futures

        —        41        —  

Securities sold short

        —        (3,811 )       —  
    

 

 

     

 

 

     

 

 

  

Change in net unrealized appreciation/depreciation

        892,882        251        1,138,209  
    

 

 

     

 

 

     

 

 

  

Net realized/unrealized gains (losses)

        1,124,486        3,645        1,207,285  
    

 

 

     

 

 

     

 

 

  

Change in net assets resulting from operations

      $ 1,189,261      $ 2,922      $ 1,267,770  
    

 

 

     

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund and Value Advantage Fund.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         47  

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED

(Amounts in thousands)

 

       Growth Advantage Fund        Mid Cap Equity Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		        Year Ended
June 30, 2016		        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ (12,278 )       $ (20,440 )       $ 3,441       $ 8,836   

Net realized gain (loss)

        121,384           (145,387 )         28,273         58,144   

Change in net unrealized appreciation/depreciation

        206,479           (181,585 )         103,262         (300,510 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        315,585           (347,412 )         134,976         (233,530 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        —           —           (356 )       (182 ) 

From net realized gains

        —           (57,173 )         (10,459 )       (12,309 ) 

Class C

                  

From net realized gains

        —           (20,218 )         (964 )       (1,246 ) 

Class R2

                  

From net investment income

        —           —           — (a)       —   

From net realized gains

        —           —           (19 )       (39 ) 

Class R5

                  

From net investment income

        —           —           (9 )       (7 ) 

From net realized gains

        —           (2,457 )         (84 )       (147 ) 

Class R6

                  

From net investment income

        —           —           (5,206 )       (3,761 ) 

From net realized gains

        —           (86,200 )         (46,392 )       (61,528 ) 

Select Class

                  

From net investment income

        —           —           (1,827 )       (2,603 ) 

From net realized gains

        —           (48,267 )         (20,374 )       (75,744 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        —           (214,315 )         (85,690 )       (157,566 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        (177,525 )         1,337,047           194,682         (547,848 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

NET ASSETS:

                  

Change in net assets

        138,060           775,320           243,968         (938,944 ) 

Beginning of period

        5,963,600           5,188,280           2,364,349         3,303,293   
    

 

 

       

 

 

       

 

 

     

 

 

  

End of period

      $ 6,101,660         $ 5,963,600         $ 2,608,317       $ 2,364,349   
    

 

 

       

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (20,692 )       $ (8,414 )       $ (582 )     $ 3,375   
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
48       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
       Mid Cap Growth Fund        Mid Cap Value Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                

Net investment income (loss)

      $ (5,794 )     $ (11,080 )       $ 64,775       $ 133,064   

Net realized gain (loss)

        2,613         181,344           231,604         921,071   

Change in net unrealized appreciation/depreciation

        107,428         (478,421 )         892,882         (753,064 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        104,247         (308,157 )         1,189,261         301,071   
    

 

 

     

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                

Class A

                

From net investment income

        —         —           (9,018 )       (9,590 ) 

From net realized gains

        (449 )       (56,339 )         (135,546 )       (130,210 ) 

Class C

                

From net realized gains

        (55 )       (6,714 )         (33,147 )       (31,402 ) 

Class L (formerly Institutional Class)

                

From net investment income

        —         —           (100,129 )       (89,774 ) 

From net realized gains

        —         —           (669,173 )       (526,794 ) 

Class R2

                

From net investment income

        —         —           (133 )       (113 ) 

From net realized gains

        (11 )       (1,533 )         (4,114 )       (3,769 ) 

Class R3 (a)

                

From net investment income

        —         —           — (b)       —   

From net realized gains

        — (b)       —           (1 )       —   

Class R4 (a)

                

From net investment income

        —         —           — (b)       —   

From net realized gains

        — (b)       —           (1 )       —   

Class R5 (c)

                

From net investment income

        —         —           — (b)       —   

From net realized gains

        (96 )       (8,974 )         (1 )       —   

Class R6 (c)

                

From net investment income

        —         —           (437 )       —   

From net realized gains

        (275 )       (23,518 )         (2,480 )       —   

Select Class

                

From net investment income

        —         —           (17,549 )       (14,584 ) 

From net realized gains

        (390 )       (50,435 )         (155,821 )       (117,229 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        (1,276 )       (147,513 )         (1,127,550 )       (923,465 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                

Change in net assets resulting from capital transactions

        (236,918 )       244,627           1,513,373         227,463   
    

 

 

     

 

 

       

 

 

     

 

 

  

NET ASSETS:

                

Change in net assets

        (133,947 )       (211,043 )         1,575,084         (394,931 ) 

Beginning of period

        2,851,483         3,062,526           15,564,142         15,959,073   
    

 

 

     

 

 

       

 

 

     

 

 

  

End of period

      $ 2,717,536       $ 2,851,483         $ 17,139,226       $ 15,564,142   
    

 

 

     

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (10,014 )     $ (4,220 )       $ (3,386 )     $ 59,105   
    

 

 

     

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         49   

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Multi-Cap Market Neutral Fund        Value Advantage Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		        Year Ended
June 30, 2016		        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		  

CHANGE IN NET ASSETS RESULTING FROM OPERATIONS:

                  

Net investment income (loss)

      $ (723 )       $ (1,875 )       $ 60,485       $ 137,198   

Net realized gain (loss)

        3,394           30,953           69,076         (206,123 ) 

Change in net unrealized appreciation/depreciation

        251           (24,115 )         1,138,209         (248,822 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in net assets resulting from operations

        2,922           4,963           1,267,770         (317,747 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

DISTRIBUTIONS TO SHAREHOLDERS:

                  

Class A

                  

From net investment income

        —           —           (17,004 )       (13,377 ) 

From net realized gains

        —           —           —         (22,474 ) 

Class C

                  

From net investment income

        —           —           (4,071 )       (1,450 ) 

From net realized gains

        —           —           —         (7,412 ) 

Class L (formerly Institutional Class)

                  

From net investment income

        —           —           (51,645 )       (77,515 ) 

From net realized gains

        —           —           —         (69,917 ) 

Class R3 (a)

                  

From net investment income

        —           —           — (b)       —   

Class R4 (a)

                  

From net investment income

        —           —           — (b)       —   

Class R5 (a)

                  

From net investment income

        —           —           — (b)       —   

Class R6 (a)

                  

From net investment income

        —           —           (44,017 )       —   

Select Class

                  

From net investment income

        —           —           (17,338 )       (9,572 ) 

From net realized gains

        —           —           —         (14,779 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Total distributions to shareholders

        —           —           (134,075 )       (216,496 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

CAPITAL TRANSACTIONS:

                  

Change in net assets resulting from capital transactions

        (22,344 )         (107,540 )         (556,928 )       (669,313 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

NET ASSETS:

                  

Change in net assets

        (19,422 )         (102,577 )         576,767         (1,203,556 ) 

Beginning of period

        188,103           290,680           10,090,951         11,294,507   
    

 

 

       

 

 

       

 

 

     

 

 

  

End of period

      $ 168,681         $ 188,103         $ 10,667,718       $ 10,090,951   
    

 

 

       

 

 

       

 

 

     

 

 

  

Accumulated undistributed (distributions in excess of) net investment income

      $ (1,306 )       $ (583 )       $ 92       $ 73,682   
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
50       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
       Growth Advantage Fund        Mid Cap Equity Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		        Year Ended
June 30,
2016		        Six Months Ended
December 31, 2016
(Unaudited)		        Year Ended
June 30, 2016		  

CAPITAL TRANSACTIONS:

                    

Class A

                    

Proceeds from shares issued

      $ 188,879         $ 1,090,924         $ 61,012         $ 174,026   

Distributions reinvested

        —           56,255           10,790           12,454   

Cost of shares redeemed

        (368,058 )         (535,940 )         (71,804 )         (64,301 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class A capital transactions

      $ (179,179 )       $ 611,239         $ (2 )       $ 122,179   
    

 

 

       

 

 

       

 

 

       

 

 

  

Class C

                    

Proceeds from shares issued

      $ 46,807         $ 406,222         $ 3,978         $ 12,272   

Distributions reinvested

        —           18,351           964           1,246   

Cost of shares redeemed

        (113,829 )         (105,053 )         (7,018 )         (4,843 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class C capital transactions

      $ (67,022 )       $ 319,520         $ (2,076 )       $ 8,675   
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R2

                    

Proceeds from shares issued

      $ —         $ —         $ 58         $ 235   

Distributions reinvested

        —           —           13           27   

Cost of shares redeemed

        —           —           (163 )         (320 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R2 capital transactions

      $ —         $ —         $ (92 )       $ (58 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R5

                    

Proceeds from shares issued

      $ 6,213         $ 41,933         $ 200         $ 2,174   

Distributions reinvested

        —           2,457           93           154   

Cost of shares redeemed

        (12,969 )         (15,257 )         (400 )         (861 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R5 capital transactions

      $ (6,756 )       $ 29,133         $ (107 )       $ 1,467   
    

 

 

       

 

 

       

 

 

       

 

 

  

Class R6

                    

Proceeds from shares issued

      $ 86,020         $ 708,587         $ 115,360         $ 260,148   

Distributions reinvested

        —           83,297           51,255           65,041   

Cost of shares redeemed

        (116,347 )         (290,712 )         (16,215 )         (112,907 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Class R6 capital transactions

      $ (30,327 )       $ 501,172         $ 150,400         $ 212,282   
    

 

 

       

 

 

       

 

 

       

 

 

  

Select Class

                    

Proceeds from shares issued

      $ 345,180         $ 709,570         $ 146,597         $ 250,507   

Distributions reinvested

        —           31,907           19,260           64,677   

Cost of shares redeemed

        (239,421 )         (865,494 )         (119,298 )         (1,207,577 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Change in net assets resulting from Select Class capital transactions

      $ 105,759         $ (124,017 )       $ 46,559         $ (892,393 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Total change in net assets resulting from capital transactions

      $ (177,525 )       $ 1,337,047         $ 194,682         $ (547,848 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         51   

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Growth Advantage Fund        Mid Cap Equity Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		        Year Ended
June 30, 2016		        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        12,479           73,064           1,376         4,101   

Reinvested

        —           3,824           244         299   

Redeemed

        (24,307 )         (37,546 )         (1,621 )       (1,522 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (11,828 )         39,342           (1 )       2,878   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Issued

        3,456           30,118           92         297   

Reinvested

        —           1,389           22         30   

Redeemed

        (8,409 )         (8,092 )         (163 )       (116 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (4,953 )         23,415           (49 )       211   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R2

                  

Issued

        —           —           2         6   

Reinvested

        —           —           — (a)       1   

Redeemed

        —           —           (4 )       (8 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        —           —           (2 )       (1 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5

                  

Issued

        396           2,743           5         47   

Reinvested

        —           161           2         4   

Redeemed

        (829 )         (1,010 )         (9 )       (20 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        (433 )         1,894           (2 )       31   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6

                  

Issued

        5,472           47,326           2,591         6,062   

Reinvested

        —           5,459           1,142         1,544   

Redeemed

        (7,391 )         (19,751 )         (361 )       (2,766 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        (1,919 )         33,034           3,372         4,840   
    

 

 

       

 

 

       

 

 

     

 

 

  

Select Class

                  

Issued

        22,236           46,757           3,272         5,728   

Reinvested

        —           2,122           430         1,536   

Redeemed

        (15,495 )         (62,228 )         (2,664 )       (30,292 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Select Class Shares

        6,741           (13,349 )         1,038         (23,028 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
52       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
     Mid Cap Growth Fund     Mid Cap Value Fund  
      Six Months Ended
December 31, 2016
(Unaudited)		     Year Ended
June 30, 2016		     Six Months Ended
December 31, 2016
(Unaudited)		     Year Ended
June 30, 2016		  

CAPITAL TRANSACTIONS:

         

Class A

         

Proceeds from shares issued

    $ 51,650      $ 297,295      $ 221,785      $ 358,763   

Distributions reinvested

      434        54,215        131,660        127,887   

Cost of shares redeemed

      (162,932 )      (221,243 )      (421,765 )      (694,701 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ (110,848 )    $ 130,267      $ (68,320 )    $ (208,051 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class C

         

Proceeds from shares issued

    $ 5,972      $ 56,492      $ 15,892      $ 28,896   

Distributions reinvested

      49        5,744        26,948        25,199   

Cost of shares redeemed

      (18,693 )      (23,954 )      (65,004 )      (73,557 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ (12,672 )    $ 38,282      $ (22,164 )    $ (19,462 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class L (formerly Institutional Class)

         

Proceeds from shares issued

    $ —      $ —      $ 1,871,498      $ 2,148,891   

Distributions reinvested

      —        —        668,444        515,077   

Cost of shares redeemed

      —        —        (1,312,613 )      (2,275,447 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class L capital transactions

    $ —      $ —      $ 1,227,329      $ 388,521   
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R2

         

Proceeds from shares issued

    $ 11,937      $ 31,035      $ 7,937      $ 14,006   

Distributions reinvested

      10        1,494        3,909        3,715   

Cost of shares redeemed

      (13,431 )      (6,825 )      (11,362 )      (20,042 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R2 capital transactions

    $ (1,484 )    $ 25,704      $ 484      $ (2,321 ) 
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R3 (a)

         

Proceeds from shares issued

    $ 20      $ —      $ 20      $ —   

Distributions reinvested

      — (b)      —        1        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ 20      $ —      $ 21      $ —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R4 (a)

         

Proceeds from shares issued

    $ 20      $ —      $ 20      $ —   

Distributions reinvested

      — (b)      —        1        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ 20      $ —      $ 21      $ —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R5 (c)

         

Proceeds from shares issued

    $ 15,729      $ 120,489      $ 20      $ —   

Distributions reinvested

      91        8,974        1        —   

Cost of shares redeemed

      (28,098 )      (42,206 )      —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ (12,278 )    $ 87,257      $ 21      $ —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Class R6 (c)

         

Proceeds from shares issued

    $ 85,459      $ 509,276      $ 49,833      $ —   

Distributions reinvested

      274        23,176        2,917        —   

Cost of shares redeemed

      (101,162 )      (120,874 )      (864 )      —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ (15,429 )    $ 411,578      $ 51,886      $ —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Select Class

         

Proceeds from shares issued

    $ 140,441      $ 596,426      $ 471,695      $ 575,208   

Distributions reinvested

      339        41,535        157,140        119,621   

Cost of shares redeemed

      (225,027 )      (484,304 )      (304,740 )      (626,053 ) 

Redemptions in-kind (See Note 7)

      —        (602,118 )      —        —   
  

 

 

    

 

 

    

 

 

    

 

 

  

Change in net assets resulting from Select Class capital transactions

    $ (84,247 )    $ (448,461 )    $ 324,095      $ 68,776   
  

 

 

    

 

 

    

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ (236,918 )    $ 244,627      $ 1,513,373      $ 227,463   
  

 

 

    

 

 

    

 

 

    

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund.
(b) Amount rounds to less than 500.
(c) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         53   

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Mid Cap Growth Fund        Mid Cap Value Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		  

SHARE TRANSACTIONS:

                

Class A

                

Issued

        2,134         11,900           6,105         10,465   

Reinvested

        18         2,266           3,648         3,881   

Redeemed

        (6,702 )       (9,178 )         (11,605 )       (20,274 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (4,550 )       4,988           (1,852 )       (5,928 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class C

                

Issued

        302         2,722           455         877   

Reinvested

        3         295           778         794   

Redeemed

        (950 )       (1,230 )         (1,855 )       (2,221 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (645 )       1,787           (622 )       (550 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class L (formerly Institutional Class)

                

Issued

        —         —           50,236         61,500   

Reinvested

        —         —           18,060         15,274   

Redeemed

        —         —           (35,291 )       (65,137 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class L Shares

        —         —           33,005         11,637   
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R2

                

Issued

        450         1,143           226         421   

Reinvested

        — (a)       57           113         117   

Redeemed

        (508 )       (266 )         (325 )       (606 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R2 Shares

        (58 )       934           14         (68 ) 
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R3 (b)

                

Issued

        1         —           1         —   

Reinvested

        — (a)       —           — (a)       —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        1         —           1         —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R4 (b)

                

Issued

        1         —           1         —   

Reinvested

        — (a)       —           — (a)       —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        1         —           1         —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R5 (c)

                

Issued

        565         4,352           — (a)       —   

Reinvested

        3         329           — (a)       —   

Redeemed

        (1,011 )       (1,554 )         —         —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        (443 )       3,127           — (a)       —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Class R6 (c)

                

Issued

        3,074         18,275           1,351         —   

Reinvested

        10         849           79         —   

Redeemed

        (3,652 )       (4,509 )         (22 )       —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        (568 )       14,615           1,408         —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Select Class

                

Issued

        5,108         21,225           12,833         16,809   

Reinvested

        12         1,536           4,300         3,589   

Redeemed

        (8,188 )       (17,722 )         (8,277 )       (18,078 ) 

Redemptions in-kind (See Note 7)

        —         (20,287 )         —         —   
    

 

 

     

 

 

       

 

 

     

 

 

  

Change in Select Class Shares

        (3,068 )       (15,248 )         8,856         2,320   
    

 

 

     

 

 

       

 

 

     

 

 

  

 

(a) Amount rounds to less than 500.
(b) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Growth and Mid Cap Value Fund.
(c) Commencement of offering of class of shares effective September 9, 2016 for Mid Cap Value Fund.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
54       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
     Multi-Cap Market Neutral Fund      Value Advantage Fund  
      Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		      Six Months Ended
December 31, 2016
(Unaudited)		     Year Ended
June 30, 2016		  

CAPITAL TRANSACTIONS:

           

Class A

           

Proceeds from shares issued

    $ 358       $ 3,218       $ 249,524      $ 696,311   

Distributions reinvested

      —         —         16,190        34,339   

Cost of shares redeemed

      (1,641 )       (2,889 )       (667,420 )      (1,032,013 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class A capital transactions

    $ (1,283 )     $ 329       $ (401,706 )    $ (301,363 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Class C

           

Proceeds from shares issued

    $ 43       $ 1,852       $ 55,004      $ 188,939   

Distributions reinvested

      —         —         3,544        7,489   

Cost of shares redeemed

      (1,039 )       (2,446 )       (100,080 )      (140,118 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class C capital transactions

    $ (996 )     $ (594 )     $ (41,532 )    $ 56,310   
  

 

 

     

 

 

     

 

 

    

 

 

  

Class L (formerly Institutional Class)

           

Proceeds from shares issued

    $ —       $ —       $ 751,803      $ 3,435,571   

Distributions reinvested

      —         —         45,687        138,955   

Cost of shares redeemed

      —         —         (3,455,528 )      (2,438,224 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class L capital transactions

    $ —       $ —       $ (2,658,038 )    $ 1,136,302   
  

 

 

     

 

 

     

 

 

    

 

 

  

Class R3 (a)

           

Proceeds from shares issued

    $ —       $ —       $ 20      $ —   

Distributions reinvested

      —         —         —        —   

Cost of shares redeemed

      —         —         — (b)      —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R3 capital transactions

    $ —       $ —       $ 20      $ —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Class R4 (a)

           

Proceeds from shares issued

    $ —       $ —       $ 20      $ —   

Distributions reinvested

      —         —         — (b)      —   

Cost of shares redeemed

      —         —         — (b)      —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R4 capital transactions

    $ —       $ —       $ 20      $ —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Class R5 (a)

           

Proceeds from shares issued

    $ —       $ —       $ 20      $ —   

Distributions reinvested

      —         —         — (b)      —   

Cost of shares redeemed

      —         —         — (b)      —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R5 capital transactions

    $ —       $ —       $ 20      $ —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Class R6 (a)

           

Proceeds from shares issued

    $ —       $ —       $ 2,868,862      $ —   

Distributions reinvested

      —         —         44,017        —   

Cost of shares redeemed

      —         —         (239,419 )      —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Class R6 capital transactions

    $ —       $ —       $ 2,673,460      $ —   
  

 

 

     

 

 

     

 

 

    

 

 

  

Select Class

           

Proceeds from shares issued

    $ 1,146       $ 4,346       $ 271,022      $ 675,086   

Distributions reinvested

      —         —         12,528        17,378   

Cost of shares redeemed

      (21,211 )       (111,621 )       (412,722 )      (2,253,026 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Change in net assets resulting from Select Class capital transactions

    $ (20,065 )     $ (107,275 )     $ (129,172 )    $ (1,560,562 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

Total change in net assets resulting from capital transactions

    $ (22,344 )     $ (107,540 )     $ (556,928 )    $ (669,313 ) 
  

 

 

     

 

 

     

 

 

    

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund.
(b) Amount rounds to less than 500.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         55   

SEE NOTES TO FINANCIAL STATEMENTS.

Table of Contents

STATEMENTS OF CHANGES IN NET ASSETS

FOR THE PERIODS INDICATED (continued)

(Amounts in thousands)

 

 

       Multi-Cap Market Neutral Fund        Value Advantage Fund  
        Six Months Ended
December 31, 2016
(Unaudited)		        Year Ended
June 30, 2016		        Six Months Ended
December 31, 2016
(Unaudited)		      Year Ended
June 30, 2016		  

SHARE TRANSACTIONS:

                  

Class A

                  

Issued

        35           316           8,253         24,694   

Reinvested

        —           —           497         1,244   

Redeemed

        (165 )         (284 )         (22,341 )       (36,328 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class A Shares

        (130 )         32           (13,591 )       (10,390 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Class C

                  

Issued

        5           194           1,798         6,724   

Reinvested

        —           —           109         273   

Redeemed

        (112 )         (258 )         (3,328 )       (5,029 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class C Shares

        (107 )         (64 )         (1,421 )       1,968   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class L (formerly Institutional Class)

                  

Issued

        —           —           24,782         120,136   

Reinvested

        —           —           1,397         5,004   

Redeemed

        —           —           (116,928 )       (88,948 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class L Shares

        —           —           (90,749 )       36,192   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R3 (a)

                  

Issued

        —           —           1         —   

Reinvested

        —           —           — (b)       —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R3 Shares

        —           —           1         —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R4 (a)

                  

Issued

        —           —           1         —   

Reinvested

        —           —           — (b)       —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R4 Shares

        —           —           1         —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R5 (a)

                  

Issued

        —           —           1         —   

Reinvested

        —           —           — (b)       —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R5 Shares

        —           —           1         —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Class R6 (a)

                  

Issued

        —           —           97,357         —   

Reinvested

        —           —           1,347         —   

Redeemed

        —           —           (7,512 )       —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Class R6 Shares

        —           —           91,192         —   
    

 

 

       

 

 

       

 

 

     

 

 

  

Select Class

                  

Issued

        112           416           8,876         24,052   

Reinvested

        —           —           383         626   

Redeemed

        (2,073 )         (10,669 )         (13,678 )       (78,871 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

Change in Select Class Shares

        (1,961 )         (10,253 )         (4,419 )       (54,193 ) 
    

 

 

       

 

 

       

 

 

     

 

 

  

 

(a) Commencement of offering of class of shares effective September 9, 2016 for Value Advantage Fund.
(b) Amount rounds to less than 500.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
56       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

THIS PAGE IS INTENTIONALLY LEFT BLANK

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         57   

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		     Net realized
and unrealized
gains
(losses) on
investments		      Total from
investment
operations		      Net
investment
income		      Net
realized
gain		      Total
distributions		  

Growth Advantage Fund

                    

Class A

                    

Six Months Ended December 31, 2016 (Unaudited)

    $ 14.42       $ (0.05 )    $ 0.80       $ 0.75       $ —       $ —       $ —   

Year Ended June 30, 2016

      15.74         (0.08 )      (0.71 )       (0.79 )       —         (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.24         (0.10 )      2.17         2.07         —         (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      11.43         (0.07 )      3.52         3.45         —         (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      9.49         0.01 (g)      1.97         1.98         (0.01 )       (0.03 )       (0.04 ) 

Year Ended June 30, 2012

      9.28         (0.03 )(h)      0.24         0.21         —         —         —   

Class C

                    

Six Months Ended December 31, 2016 (Unaudited)

      12.91         (0.08 )      0.72         0.64         —         —         —   

Year Ended June 30, 2016

      14.22         (0.14 )      (0.64 )       (0.78 )       —         (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      12.98         (0.15 )      1.96         1.81         —         (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      10.51         (0.12 )      3.23         3.11         —         (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      8.77         (0.04 )(g)      1.81         1.77         —         (0.03 )       (0.03 ) 

Year Ended June 30, 2012

      8.61         (0.07 )(h)      0.23         0.16         —         —         —   

Class R5

                    

Six Months Ended December 31, 2016 (Unaudited)

      14.96         (0.02 )      0.83         0.81         —         —         —   

Year Ended June 30, 2016

      16.25         (0.03 )      (0.73 )       (0.76 )       —         (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.63         (0.04 )      2.23         2.19         —         (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      11.68         (0.02 )      3.61         3.59         —         (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      9.69         0.06 (g)      2.01         2.07         (0.05 )       (0.03 )       (0.08 ) 

Year Ended June 30, 2012

      9.44         0.01 (h)      0.24         0.25         —         —         —   

Class R6

                    

Six Months Ended December 31, 2016 (Unaudited)

      15.00         (0.01 )      0.83         0.82         —         —         —   

Year Ended June 30, 2016

      16.27         (0.01 )      (0.73 )       (0.74 )       —         (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.64         (0.03 )      2.23         2.20         —         (0.57 )       (0.57 ) 

December 23, 2013 (i) through June 30, 2014

      13.86         (0.01 )      0.79         0.78         —         —         —   

Select Class

                    

Six Months Ended December 31, 2016 (Unaudited)

      14.75         (0.03 )      0.82         0.79         —         —         —   

Year Ended June 30, 2016

      16.06         (0.06 )      (0.72 )       (0.78 )       —         (0.53 )       (0.53 ) 

Year Ended June 30, 2015

      14.50         (0.07 )      2.20         2.13         —         (0.57 )       (0.57 ) 

Year Ended June 30, 2014

      11.60         (0.04 )      3.58         3.54         —         (0.64 )       (0.64 ) 

Year Ended June 30, 2013

      9.63         0.04 (g)      1.98         2.02         (0.02 )       (0.03 )       (0.05 ) 

Year Ended June 30, 2012

      9.39         (0.02 )(h)      0.26         0.24         —         —         —   

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.02), $(0.06), $0.03 and $0.01 for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.17)%, (0.66)%, 0.27% and 0.09% for Class A, Class C, Class R5 and Select Class Shares, respectively.
(h) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $(0.05), $(0.09), $(0.01) and $(0.03) for Class A, Class C, Class R5 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.56)%, (1.03)%, (0.12)% and (0.37)% for Class A, Class C, Class R5 and Select Class Shares, respectively.
(i) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
58       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)(f)		  
           
           
$ 15.17        5.20 %    $ 1,549,154        1.24 %      (0.62 )%      1.34 %      17 % 
  14.42        (5.07 )      1,643,136        1.25        (0.55 )      1.35        46   
  15.74        14.99        1,174,260        1.24        (0.65 )      1.35        46   
  14.24        30.69        717,564        1.24        (0.51 )      1.31        62   
  11.43        20.95        276,670        1.24        0.11 (g)      1.28        76   
  9.49        2.26        194,911        1.25        (0.37 )(h)      1.30        86   
           
  13.55        4.96        556,435        1.74        (1.12 )      1.84        17   
  12.91        (5.55 )      594,190        1.75        (1.04 )      1.85        46   
  14.22        14.43        321,500        1.74        (1.14 )      1.84        46   
  12.98        30.12        144,229        1.74        (1.01 )      1.81        62   
  10.51        20.27        42,655        1.74        (0.38 )(g)      1.78        76   
  8.77        1.86        27,469        1.75        (0.84 )(h)      1.80        86   
           
  15.77        5.41        79,977        0.87        (0.25 )      0.89        17   
  14.96        (4.72 )      82,358        0.89        (0.20 )      0.90        46   
  16.25        15.42        58,686        0.86        (0.25 )      0.87        46   
  14.63        31.25        1,453,864        0.85        (0.11 )      0.86        62   
  11.68        21.49        835,233        0.83        0.55 (g)      0.84        76   
  9.69        2.65        468,064        0.85        0.07 (h)      0.85        86   
           
  15.82        5.47        2,839,301        0.74        (0.12 )      0.75        17   
  15.00        (4.59 )      2,720,935        0.76        (0.07 )      0.76        46   
  16.27        15.48        2,414,333        0.76        (0.17 )      0.77        46   
  14.64        5.63        271,958        0.80        (0.15 )      0.82        62   
           
  15.54        5.36        1,076,793        1.02        (0.40 )      1.05        17   
  14.75        (4.91 )      922,981        1.08        (0.41 )      1.09        46   
  16.06        15.14        1,219,501        1.09        (0.48 )      1.09        46   
  14.50        31.03        975,175        1.05        (0.30 )      1.06        62   
  11.60        21.14        842,783        1.03        0.37 (g)      1.03        76   
  9.63        2.56        662,786        1.05        (0.18 )(h)      1.05        86   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         59   

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance     

 

  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		     Net realized
and unrealized
gains
(losses) on
investments		      Total from
investment
operations		      Net
investment
income		     Net
realized
gain		      Total
distributions		  

Mid Cap Equity Fund

                   

Class A

                   

Six Months Ended December 31, 2016 (Unaudited)

    $ 42.95       $ (0.02 )    $ 2.35       $ 2.33       $ (0.05 )    $ (1.37 )     $ (1.42 ) 

Year Ended June 30, 2016

      47.12         (0.01 )      (2.02 )       (2.03 )       (0.03 )      (2.11 )       (2.14 ) 

Year Ended June 30, 2015

      44.91         (0.03 )      4.32         4.29         (0.02 )      (2.06 )       (2.08 ) 

Year Ended June 30, 2014

      38.10         (0.04 )      10.25         10.21         (0.02 )      (3.38 )       (3.40 ) 

Year Ended June 30, 2013

      30.97         0.10 (h)      7.36         7.46         (0.07 )      (0.26 )       (0.33 ) 

Year Ended June 30, 2012

      31.29         0.10 (i)      (0.34 )       (0.24 )       (0.08 )      —         (0.08 ) 

Class C

                   

Six Months Ended December 31, 2016 (Unaudited)

      41.85         (0.13 )      2.28         2.15         —        (1.37 )       (1.37 ) 

Year Ended June 30, 2016

      46.16         (0.23 )      (1.97 )       (2.20 )       —        (2.11 )       (2.11 ) 

Year Ended June 30, 2015

      44.21         (0.25 )      4.23         3.98         —        (2.03 )       (2.03 ) 

Year Ended June 30, 2014

      37.71         (0.24 )      10.12         9.88         —        (3.38 )       (3.38 ) 

Year Ended June 30, 2013

      30.75         (0.07 )(h)      7.29         7.22         — (g)      (0.26 )       (0.26 ) 

Year Ended June 30, 2012

      31.16         (0.05 )(i)      (0.35 )       (0.40 )       (0.01 )      —         (0.01 ) 

Class R2

                   

Six Months Ended December 31, 2016 (Unaudited)

      42.75         (0.08 )      2.33         2.25         (0.01 )      (1.37 )       (1.38 ) 

Year Ended June 30, 2016

      46.98         (0.13 )      (1.99 )       (2.12 )       —        (2.11 )       (2.11 ) 

Year Ended June 30, 2015

      44.87         (0.14 )      4.30         4.16         —        (2.05 )       (2.05 ) 

March 14, 2014 (j) through June 30, 2014

      42.92         (0.05 )      2.01         1.96         (0.01 )      —         (0.01 ) 

Class R5

                   

Six Months Ended December 31, 2016 (Unaudited)

      43.43         0.08        2.37         2.45         (0.14 )      (1.37 )       (1.51 ) 

Year Ended June 30, 2016

      47.49         0.18        (2.03 )       (1.85 )       (0.10 )      (2.11 )       (2.21 ) 

Year Ended June 30, 2015

      45.15         0.20        4.33         4.53         (0.13 )      (2.06 )       (2.19 ) 

March 14, 2014 (j) through June 30, 2014

      43.14         0.04        2.02         2.06         (0.05 )      —         (0.05 ) 

Class R6

                   

Six Months Ended December 31, 2016 (Unaudited)

      43.44         0.09        2.37         2.46         (0.16 )      (1.37 )       (1.53 ) 

Year Ended June 30, 2016

      47.49         0.20        (2.02 )       (1.82 )       (0.12 )      (2.11 )       (2.23 ) 

Year Ended June 30, 2015

      45.15         0.20        4.34         4.54         (0.14 )      (2.06 )       (2.20 ) 

March 14, 2014 (j) through June 30, 2014

      43.14         0.04        2.02         2.06         (0.05 )      —         (0.05 ) 

Select Class

                   

Six Months Ended December 31, 2016 (Unaudited)

      43.41         0.05        2.37         2.42         (0.12 )      (1.37 )       (1.49 ) 

Year Ended June 30, 2016

      47.47         0.11        (1.99 )       (1.88 )       (0.07 )      (2.11 )       (2.18 ) 

Year Ended June 30, 2015

      45.15         0.13        4.34         4.47         (0.09 )      (2.06 )       (2.15 ) 

Year Ended June 30, 2014

      38.22         0.11        10.30         10.41         (0.10 )      (3.38 )       (3.48 ) 

Year Ended June 30, 2013

      31.05         0.20 (h)      7.40         7.60         (0.17 )      (0.26 )       (0.43 ) 

Year Ended June 30, 2012

      31.36         0.19 (i)      (0.33 )       (0.14 )       (0.17 )      —         (0.17 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Amount rounds to less than $0.005.
(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $0.03, $(0.14) and $0.14 for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been 0.09%, (0.39)% and 0.39% for Class A, Class C and Select Class Shares, respectively.
(i) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend the net investment income (loss) per share would have been $0.05, $(0.10) and $0.14 for Class A, Class C and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.18%, (0.33)% and 0.48% for Class A, Class C and Select Class Shares, respectively.
(j) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
60       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		         
Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)(f)		  
           
           
$ 43.86        5.39 %    $ 342,456        1.24 %      (0.11 )%      1.40 %      18 % 
  42.95        (4.17 )      335,424        1.25        (0.03 )      1.43        39   
  47.12        9.99        232,320        1.24        (0.06 )      1.44        41   
  44.91        27.96        156,016        1.24        (0.08 )      1.41        47   
  38.10        24.23        21,171        1.24        0.27 (h)      1.49        67   
  30.97        (0.76 )      6,965        1.24        0.34 (i)      1.54        55   
           
  42.63        5.11        30,577        1.74        (0.61 )      1.96        18   
  41.85        (4.64 )      32,045        1.75        (0.54 )      1.96        39   
  46.16        9.44        25,597        1.74        (0.56 )      1.91        41   
  44.21        27.34        20,018        1.74        (0.57 )      1.93        47   
  37.71        23.60        6,136        1.74        (0.21 )(h)      2.00        67   
  30.75        (1.29 )      1,244        1.75        (0.18 )(i)      2.03        55   
           
  43.62        5.23        612        1.49        (0.37 )      1.79        18   
  42.75        (4.38 )      688        1.50        (0.30 )      1.81        39   
  46.98        9.71        823        1.49        (0.31 )      1.69        41   
  44.87        4.56        688        1.47        (0.41 )      1.60        47   
           
  44.37        5.63        2,788        0.79        0.34        0.89        18   
  43.43        (3.73 )      2,840        0.80        0.42        0.91        39   
  47.49        10.49        1,636        0.79        0.43        0.88        41   
  45.15        4.77        91        0.78        0.27        0.91        47   
           
  44.37        5.63        1,550,055        0.74        0.40        0.76        18   
  43.44        (3.66 )      1,370,912        0.74        0.46        0.77        39   
  47.49        10.53        1,268,988        0.74        0.45        0.80        41   
  45.15        4.78        823,036        0.73        0.34        0.86        47   
           
  44.34        5.56        681,829        0.89        0.24        1.13        18   
  43.41        (3.81 )      622,440        0.90        0.25        1.20        39   
  47.47        10.35        1,773,929        0.89        0.29        1.16        41   
  45.15        28.45        1,773,321        0.89        0.27        1.18        47   
  38.22        24.64        932,920        0.89        0.57 (h)      1.23        67   
  31.05        (0.42 )      813,125        0.89        0.64 (i)      1.30        55   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         61   

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

      

 

        Per share operating performance  
                Investment operations        Distributions  
        Net asset
value,
beginning
of period		        Net
investment
income
(loss) (b)		    

Net realized

and unrealized

gains
(losses) on
investments

        Total from
investment
operations		        Net
realized
gain		  

Mid Cap Growth Fund

                      

Class A

                      

Six Months Ended December 31, 2016 (Unaudited)

      $ 23.43         $ (0.08 )    $ 0.91         $ 0.83         $ (0.01 ) 

Year Ended June 30, 2016

        27.71           (0.15 )      (2.67 )         (2.82 )         (1.46 ) 

Year Ended June 30, 2015

        27.49           (0.18 )      3.19           3.01           (2.79 ) 

Year Ended June 30, 2014

        22.99           (0.13 )(g)      7.42           7.29           (2.79 ) 

Year Ended June 30, 2013

        19.52           (0.04 )(h)      4.50           4.46           (0.99 ) 

Year Ended June 30, 2012

        23.30           (0.05 )(i)      (1.72 )         (1.77 )         (2.01 ) 

Class C

                      

Six Months Ended December 31, 2016 (Unaudited)

        19.05           (0.11 )      0.73           0.62           (0.01 ) 

Year Ended June 30, 2016

        22.93           (0.22 )      (2.20 )         (2.42 )         (1.46 ) 

Year Ended June 30, 2015

        23.35           (0.26 )      2.63           2.37           (2.79 ) 

Year Ended June 30, 2014

        19.97           (0.22 )(g)      6.39           6.17           (2.79 ) 

Year Ended June 30, 2013

        17.17           (0.12 )(h)      3.91           3.79           (0.99 ) 

Year Ended June 30, 2012

        20.88           (0.13 )(i)      (1.57 )         (1.70 )         (2.01 ) 

Class R2

                      

Six Months Ended December 31, 2016 (Unaudited)

        25.41           (0.11 )      0.99           0.88           (0.01 ) 

Year Ended June 30, 2016

        29.96           (0.18 )      (2.91 )         (3.09 )         (1.46 ) 

Year Ended June 30, 2015

        29.54           (0.24 )      3.45           3.21           (2.79 ) 

Year Ended June 30, 2014

        24.56           (0.20 )(g)      7.97           7.77           (2.79 ) 

Year Ended June 30, 2013

        20.83           (0.07 )(h)      4.79           4.72           (0.99 ) 

Year Ended June 30, 2012

        24.73           (0.07 )(i)      (1.82 )         (1.89 )         (2.01 ) 

Class R3

                      

September 9, 2016(j) through December 31, 2016 (Unaudited)

        27.06           (0.05 )      0.47           0.42           (0.01 ) 

Class R4

                      

September 9, 2016(j) through December 31, 2016 (Unaudited)

        27.06           (0.03 )      0.47           0.44           (0.01 ) 

Class R5

                      

Six Months Ended December 31, 2016 (Unaudited)

        26.74           (0.03 )      1.04           1.01           (0.01 ) 

Year Ended June 30, 2016

        31.26           (0.03 )      (3.03 )         (3.06 )         (1.46 ) 

Year Ended June 30, 2015

        30.52           (0.07 )      3.60           3.53           (2.79 ) 

Year Ended June 30, 2014

        25.15           (0.02 )(g)      8.18           8.16           (2.79 ) 

Year Ended June 30, 2013

        21.18           0.06 (h)      4.90           4.96           (0.99 ) 

November 1, 2011(j) through June 30, 2012

        21.75           0.04 (i)      1.40           1.44           (2.01 ) 

Class R6

                      

Six Months Ended December 31, 2016 (Unaudited)

        26.82           (0.02 )      1.03           1.01           (0.01 ) 

Year Ended June 30, 2016

        31.33           (0.02 )      (3.03 )         (3.05 )         (1.46 ) 

Year Ended June 30, 2015

        30.57           (0.06 )      3.61           3.55           (2.79 ) 

Year Ended June 30, 2014

        25.17           — (g)(k)      8.19           8.19           (2.79 ) 

Year Ended June 30, 2013

        21.19           0.08 (h)      4.89           4.97           (0.99 ) 

November 1, 2011(j) through June 30, 2012

        21.75           0.08 (i)      1.37           1.45           (2.01 ) 

Select Class

                      

Six Months Ended December 31, 2016 (Unaudited)

        26.52           (0.05 )      1.03           0.98           (0.01 ) 

Year Ended June 30, 2016

        31.06           (0.09 )      (2.99 )         (3.08 )         (1.46 ) 

Year Ended June 30, 2015

        30.39           (0.11 )      3.57           3.46           (2.79 ) 

Year Ended June 30, 2014

        25.08           (0.06 )(g)      8.16           8.10           (2.79 ) 

Year Ended June 30, 2013

        21.15           0.03 (h)      4.89           4.92           (0.99 ) 

Year Ended June 30, 2012

        24.97           0.02 (i)      (1.83 )         (1.81 )         (2.01 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $(0.14), $(0.23), $(0.20), $(0.02), $(0.01) and $(0.06) for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.53)%, (1.03)%, (0.73)%, (0.08)%, (0.03)% and (0.22)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
62       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		    

Total return
(excludes

sales charge) (c)(d)

    

    
Net assets,
end of

period
(000’s)

    

Net

expenses (e)

     Net
investment
income
(loss)		    

Expenses

without waivers,
reimbursements and
earnings credits

     Portfolio
turnover
rate (c)(f)		  
           
           
$ 24.25        3.55 %    $ 871,922        1.23 %      (0.63 )%      1.39 %      16 % 
  23.43        (10.29 )      949,148        1.24        (0.59 )      1.40        56   
  27.71        12.37        984,262        1.23        (0.68 )      1.35        57   
  27.49        33.44        765,310        1.24        (0.51 )(g)      1.37        69   
  22.99        23.70        586,787        1.23        (0.17 )(h)      1.45        70   
  19.52        (6.61 )      538,323        1.24        (0.23 )(i)      1.38        70   
           
  19.66        3.27        87,166        1.73        (1.13 )      1.88        16   
  19.05        (10.70 )      96,729        1.74        (1.08 )      1.90        56   
  22.93        11.78        75,494        1.73        (1.19 )      1.86        57   
  23.35        32.85        41,047        1.73        (1.01 )(g)      1.86        69   
  19.97        23.03        23,745        1.73        (0.67 )(h)      1.95        70   
  17.17        (7.06 )      22,190        1.75        (0.75 )(i)      1.88        70   
           
  26.28        3.47        31,668        1.39        (0.82 )      1.74        16   
  25.41        (10.42 )      32,092        1.40        (0.71 )      1.71        56   
  29.96        12.18        9,868        1.39        (0.85 )      1.64        57   
  29.54        33.25        1,852        1.40        (0.71 )(g)      1.59        69   
  24.56        23.46        320        1.39        (0.32 )(h)      1.71        70   
  20.83        (6.72 )      230        1.40        (0.35 )(i)      1.63        70   
           
  27.47        1.56        20        1.23        (0.63 )      1.25        16   
           
  27.49        1.63        20        0.98        (0.38 )      1.00        16   
           
  27.74        3.78        220,600        0.78        (0.19 )      0.89        16   
  26.74        (9.87 )      224,498        0.79        (0.13 )      0.91        56   
  31.26        12.87        164,713        0.78        (0.25 )      0.87        57   
  30.52        34.06        27,454        0.79        (0.06 )(g)      0.92        69   
  25.15        24.22        17,848        0.79        0.28 (h)      1.00        70   
  21.18        7.71        14,837        0.78        0.31 (i)      0.92        70   
           
  27.82        3.77        627,006        0.73        (0.13 )      0.75        16   
  26.82        (9.82 )      619,527        0.73        (0.06 )      0.77        56   
  31.33        12.92        265,905        0.73        (0.19 )      0.78        57   
  30.57        34.16        86,150        0.74        (0.01 )(g)      0.86        69   
  25.17        24.26        47,434        0.74        0.34 (h)      0.98        70   
  21.19        7.76        13,982        0.73        0.58 (i)      0.87        70   
           
  27.49        3.70        879,134        0.92        (0.32 )      1.11        16   
  26.52        (10.01 )      929,489        0.93        (0.31 )      1.13        56   
  31.06        12.68        1,562,284        0.92        (0.37 )      1.12        57   
  30.39        33.91        1,254,748        0.93        (0.20 )(g)      1.12        69   
  25.08        24.06        894,740        0.93        0.14 (h)      1.20        70   
  21.15        (6.31 )      827,306        0.93        0.09 (i)      1.13        70   

 

(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.09), $(0.17), $(0.13), $0.01, $0.02 and $(0.02) for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.42)%, (0.92)%, (0.57)%, 0.04%, 0.09% and (0.10)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.
(i) Reflects a special dividend paid out during the period by one of the Fund’s holdings. Had the Fund not received the special dividend, the net investment income (loss) per share would have been $(0.09), $(0.17), $(0.12), less than $0.01, $0.03 and $(0.03) for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (0.46)%, (0.97)%, (0.57)%, (0.03)%, 0.24% and (0.14)% for Class A, Class C, Class R2, Class R5, Class R6 and Select Class Shares, respectively.
(j) Commencement of offering of class of shares.
(k) Amount rounds to less than $0.005.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         63   

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

     Per share operating performance  
            Investment operations      Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		     Net realized
and unrealized
gains
(losses) on
investments		      Total from
investment
operations		      Net
investment
income		     Net
realized
gain		     Total
distributions		  

Mid Cap Value Fund

                  

Class A

                  

Six Months Ended December 31, 2016 (Unaudited)

    $ 35.41       $ 0.08      $ 2.53       $ 2.61       $ (0.14 )    $ (2.24 )    $ (2.38 ) 

Year Ended June 30, 2016

      36.98         0.19        0.33         0.52         (0.14 )      (1.95 )      (2.09 ) 

Year Ended June 30, 2015

      37.25         0.20        2.52         2.72         (0.20 )      (2.79 )      (2.99 ) 

Year Ended June 30, 2014

      31.68         0.15 (g)      7.02         7.17         (0.15 )      (1.45 )      (1.60 ) 

Year Ended June 30, 2013

      25.80         0.19 (h)      6.20         6.39         (0.29 )      (0.22 )      (0.51 ) 

Year Ended June 30, 2012

      24.76         0.20        1.00         1.20         (0.16 )      —        (0.16 ) 

Class C

                  

Six Months Ended December 31, 2016 (Unaudited)

      34.17         (0.01 )      2.43         2.42         —        (2.24 )      (2.24 ) 

Year Ended June 30, 2016

      35.79         0.01        0.32         0.33         —        (1.95 )      (1.95 ) 

Year Ended June 30, 2015

      36.19         0.01        2.44         2.45         (0.06 )      (2.79 )      (2.85 ) 

Year Ended June 30, 2014

      30.84         (0.03 )(g)      6.83         6.80         — (i)      (1.45 )      (1.45 ) 

Year Ended June 30, 2013

      25.14         0.05 (h)      6.03         6.08         (0.16 )      (0.22 )      (0.38 ) 

Year Ended June 30, 2012

      24.13         0.07        0.98         1.05         (0.04 )      —        (0.04 ) 

Class L (formerly Institutional Class)

                  

Six Months Ended December 31, 2016 (Unaudited)

      36.19         0.17        2.60         2.77         (0.32 )      (2.24 )      (2.56 ) 

Year Ended June 30, 2016

      37.76         0.37        0.33         0.70         (0.32 )      (1.95 )      (2.27 ) 

Year Ended June 30, 2015

      37.99         0.40        2.56         2.96         (0.40 )      (2.79 )      (3.19 ) 

Year Ended June 30, 2014

      32.26         0.32 (g)      7.17         7.49         (0.31 )      (1.45 )      (1.76 ) 

Year Ended June 30, 2013

      26.24         0.34 (h)      6.31         6.65         (0.41 )      (0.22 )      (0.63 ) 

Year Ended June 30, 2012

      25.19         0.32        1.01         1.33         (0.28 )      —        (0.28 ) 

Class R2

                  

Six Months Ended December 31, 2016 (Unaudited)

      34.14         0.03        2.44         2.47         (0.07 )      (2.24 )      (2.31 ) 

Year Ended June 30, 2016

      35.73         0.10        0.32         0.42         (0.06 )      (1.95 )      (2.01 ) 

Year Ended June 30, 2015

      36.14         0.10        2.43         2.53         (0.15 )      (2.79 )      (2.94 ) 

Year Ended June 30, 2014

      30.81         0.06 (g)      6.82         6.88         (0.10 )      (1.45 )      (1.55 ) 

Year Ended June 30, 2013

      25.18         0.12 (h)      6.03         6.15         (0.30 )      (0.22 )      (0.52 ) 

Year Ended June 30, 2012

      24.27         0.14        0.97         1.11         (0.20 )      —        (0.20 ) 

Class R3

                  

September 9, 2016(j) through December 31, 2016 (Unaudited)

      35.78         0.06        2.18         2.24         (0.28 )      (2.24 )      (2.52 ) 

Class R4

                  

September 9, 2016(j) through December 31, 2016 (Unaudited)

      36.18         0.09        2.21         2.30         (0.31 )      (2.24 )      (2.55 ) 

Class R5

                  

September 9, 2016(j) through December 31, 2016 (Unaudited)

      36.60         0.11        2.24         2.35         (0.33 )      (2.24 )      (2.57 ) 

Class R6

                  

September 9, 2016(j) through December 31, 2016 (Unaudited)

      36.60         0.12        2.23         2.35         (0.33 )      (2.24 )      (2.57 ) 

Select Class

                  

Six Months Ended December 31, 2016 (Unaudited)

      35.79         0.13        2.56         2.69         (0.24 )      (2.24 )      (2.48 ) 

Year Ended June 30, 2016

      37.36         0.28        0.33         0.61         (0.23 )      (1.95 )      (2.18 ) 

Year Ended June 30, 2015

      37.61         0.28        2.55         2.83         (0.29 )      (2.79 )      (3.08 ) 

Year Ended June 30, 2014

      31.95         0.23 (g)      7.10         7.33         (0.22 )      (1.45 )      (1.67 ) 

Year Ended June 30, 2013

      26.01         0.27 (h)      6.24         6.51         (0.35 )      (0.22 )      (0.57 ) 

Year Ended June 30, 2012

      24.97         0.26        1.01         1.27         (0.23 )      —        (0.23 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
64       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

 

     Ratios/Supplemental data  
                  Ratios to average net assets (a)        
Net asset
value,
end of
period		         
    
Total return
(excludes sales
charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)(f)		  
           
           
$ 35.64        7.33 %    $ 2,251,296        1.23 %      0.43 %      1.40 %      14 % 
  35.41        1.85        2,302,567        1.24        0.54        1.41        20   
  36.98        7.68        2,623,772        1.23        0.53        1.38        18   
  37.25        23.25        3,404,974        1.23        0.42 (g)      1.37        25   
  31.68        25.06        3,157,503        1.23        0.67 (h)      1.38        23   
  25.80        4.92        1,986,930        1.24        0.83        1.41        30   
           
  34.35        7.04        531,177        1.74        (0.08 )      1.82        14   
  34.17        1.35        549,619        1.75        0.03        1.83        20   
  35.79        7.12        595,385        1.74        0.03        1.84        18   
  36.19        22.63        608,283        1.74        (0.09 )(g)      1.87        25   
  30.84        24.43        534,813        1.74        0.16 (h)      1.88        23   
  25.14        4.38        370,781        1.75        0.32        1.91        30   
           
  36.40        7.59        11,574,107        0.74        0.93        0.93        14   
  36.19        2.35        10,313,629        0.75        1.04        0.94        20   
  37.76        8.19        10,320,516        0.74        1.05        0.94        18   
  37.99        23.88        8,581,992        0.74        0.92 (g)      0.97        25   
  32.26        25.68        6,627,529        0.74        1.16 (h)      0.98        23   
  26.24        5.43        3,543,900        0.74        1.33        1.01        30   
           
  34.30        7.18        66,949        1.49        0.17        1.72        14   
  34.14        1.61        66,167        1.50        0.29        1.75        20   
  35.73        7.38        71,697        1.49        0.28        1.71        18   
  36.14        22.94        71,958        1.49        0.17 (g)      1.62        25   
  30.81        24.71        57,003        1.49        0.43 (h)      1.63        23   
  25.18        4.65        14,824        1.49        0.59        1.66        30   
           
  35.50        6.21        21        1.24        0.54        1.25        14   
           
  35.93        6.29        21        0.99        0.79        1.00        14   
           
  36.38        6.36        21        0.79        0.99        0.80        14   
           
  36.38        6.38        51,221        0.74        1.03        0.75        14   
           
  36.00        7.47        2,664,413        0.98        0.69        1.08        14   
  35.79        2.11        2,332,160        0.99        0.80        1.11        20   
  37.36        7.92        2,347,703        0.98        0.75        1.10        18   
  37.61        23.59        2,967,759        0.98        0.67 (g)      1.12        25   
  31.95        25.35        2,870,752        0.98        0.92 (h)      1.13        23   
  26.01        5.20        1,836,012        0.98        1.09        1.16        30   

 

(g) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.14, $(0.03), $0.32, $0.05 and $0.23 for Class A, Class C, Class L, Class R2 and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.41%, (0.10)%, 0.90%, 0.16% and 0.66% for Class A, Class C, Class L, Class R2 and Select Class Shares, respectively.
(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends the net investment income (loss) per share would have been $0.16, $0.01, $0.31, $0.09 and $0.23 for Class A, Class C, Class L, Class R2 and Select Class Shares, respectively and the net investment income (loss) ratio would have been 0.55%, 0.04%, 1.04%, 0.31% and 0.80% for Class A, Class C, Class L, Class R2 and Select Class Shares, respectively.
(i) Amount rounds to less than $0.005.
(j) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         65   

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

      

 

        Per share operating performance  
                Investment operations  
        Net asset
value,
beginning
of period		        Net
investment
income
(loss) (b)		        Net realized
and unrealized
gains
(losses) on
investments		        Total from
investment
operations		  

Multi-Cap Market Neutral Fund

                    

Class A

                    

Six Months Ended December 31, 2016 (Unaudited)

      $ 9.90         $ (0.05 )       $ 0.20         $ 0.15   

Year Ended June 30, 2016

        9.87           (0.10 )         0.13           0.03   

Year Ended June 30, 2015

        9.91           (0.11 )         0.07           (0.04 ) 

Year Ended June 30, 2014

        9.79           (0.13 )         0.25           0.12   

Year Ended June 30, 2013

        9.69           (0.11 )(h)         0.21           0.10   

Year Ended June 30, 2012

        9.81           (0.14 )         0.02           (0.12 ) 

Class C

                    

Six Months Ended December 31, 2016 (Unaudited)

        9.29           (0.07 )         0.19           0.12   

Year Ended June 30, 2016

        9.31           (0.14 )         0.12           (0.02 ) 

Year Ended June 30, 2015

        9.40           (0.15 )         0.06           (0.09 ) 

Year Ended June 30, 2014

        9.33           (0.17 )         0.24           0.07   

Year Ended June 30, 2013

        9.30           (0.17 )(h)         0.20           0.03   

Year Ended June 30, 2012

        9.48           (0.20 )         0.02           (0.18 ) 

Select Class

                    

Six Months Ended December 31, 2016 (Unaudited)

        10.13           (0.04 )         0.21           0.17   

Year Ended June 30, 2016

        10.07           (0.08 )         0.14           0.06   

Year Ended June 30, 2015

        10.09           (0.09 )         0.07           (0.02 ) 

Year Ended June 30, 2014

        9.94           (0.11 )         0.26           0.15   

Year Ended June 30, 2013

        9.82           (0.09 )(h)         0.21           0.12   

Year Ended June 30, 2012

        9.91           (0.12 )         0.03           (0.09 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% or unless otherwise noted.
(f) The net expenses and expenses without waivers, reimbursements and earnings credits (excluding dividend expense and interest expense for securities sold short) for Class A are 1.23% and 1.63% for the six months ended December 31, 2016, 1.27% and 1.69% for the year ended June 30, 2016, 1.48% and 1.95% for 2015, 1.49% and 1.91% for 2014, 1.48% and 1.88% for 2013, 1.48% and 1.94% for 2012; for Class C are 1.73% and 2.13% for the six months ended December 31, 2016, 1.77% and 2.20% for the year ended June 30, 2016, 1.98% and 2.45% for 2015, 1.99% and 2.40% for 2014, 2.15% and 2.38% for 2013, 2.23% and 2.44% for 2012; for Select Class are 0.98% and 1.23% for the six months ended December 31, 2016, 1.03% and 1.30% for the year ended June 30, 2016, 1.23% and 1.64% for 2015, 1.23% and 1.65% for 2014, 1.23% and 1.63% for 2013, 1.23% and 1.69% for 2012, respectively.
(g) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(h) Reflects special dividends paid out during the period by several of the Fund’s holdings. Had the Fund not received the special dividends, the net investment income (loss) per share would have been $(0.13), $(0.19) and $(0.11) for Class A, Class C and Select Class Shares, respectively, and the net investment income (loss) ratio would have been (1.38)%, (2.06)% and (1.16)% for Class A, Class C and Select Class Shares, respectively.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
66       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

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     Ratios/Supplemental data  
                  Ratios to average net assets (a)              
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net expenses
(including
dividend and
interest
expense for
securities sold
short) (e)(f)		     Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits
(including dividend
and interest expense
for securities sold
short) (f)		     Portfolio
turnover
rate (g)		     Portfolio
turnover rate
(including short
sales) (g)		  
             
             
  $10.05        1.52 %    $ 5,411        2.37 %      (1.04 )%      2.76 %      42 %      117 % 
  9.90        0.30        6,608        2.52        (0.97 )      2.94        111        258   
  9.87        (0.40 )      6,273        2.68        (1.14 )      3.15        74        204   
  9.91        1.23        10,301        2.78        (1.36 )      3.20        106        227   
  9.79        1.03        14,101        3.04        (1.13 )(h)      3.44        94        251   
  9.69        (1.22 )      19,759        2.86        (1.42 )      3.32        151        316   
             
  9.41        1.29        5,220        2.87        (1.53 )      3.26        42        117   
  9.29        (0.21 )      6,147        3.02        (1.47 )      3.45        111        258   
  9.31        (0.96 )      6,760        3.18        (1.62 )      3.65        74        204   
  9.40        0.75        8,602        3.28        (1.85 )      3.70        106        227   
  9.33        0.32        11,181        3.69        (1.81 )(h)      3.92        94        251   
  9.30        (1.90 )      15,677        3.61        (2.17 )      3.82        151        316   
             
  10.30        1.68        158,050        2.12        (0.75 )      2.38        42        117   
  10.13        0.60        175,348        2.28        (0.74 )      2.55        111        258   
  10.07        (0.20 )      277,647        2.43        (0.89 )      2.84        74        204   
  10.09        1.51        431,890        2.52        (1.07 )      2.94        106        227   
  9.94        1.22        317,974        2.78        (0.90 )(h)      3.18        94        251   
  9.82        (0.91 )      476,803        2.61        (1.17 )      3.07        151        316   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         67   

Table of Contents

FINANCIAL HIGHLIGHTS

FOR THE PERIODS INDICATED (continued)

 

    

 

      Per share operating performance  
            Investment operations     Distributions  
      Net asset
value,
beginning
of period		      Net
investment
income
(loss) (b)		      Net realized
and unrealized
gains
(losses) on
investments		     Total from
investment
operations		     Net
investment
income		     Net
realized
gain		     Total
distributions		  

Value Advantage Fund

  

        

Class A

                 

Six Months Ended December 31, 2016 (Unaudited)

    $ 28.66       $ 0.13       $ 3.60      $ 3.73      $ (0.30 )    $ —      $ (0.30 ) 

Year Ended June 30, 2016

      29.84         0.27         (0.99 )      (0.72 )      (0.17 )      (0.29 )      (0.46 ) 

Year Ended June 30, 2015

      29.15         0.19         1.47        1.66        (0.26 )      (0.71 )      (0.97 ) 

Year Ended June 30, 2014

      24.64         0.34         5.03        5.37        (0.16 )      (0.70 )      (0.86 ) 

Year Ended June 30, 2013

      19.96         0.22         4.75        4.97        (0.20 )      (0.09 )      (0.29 ) 

Year Ended June 30, 2012

      19.07         0.25         0.84        1.09        (0.20 )      —        (0.20 ) 

Class C

                 

Six Months Ended December 31, 2016 (Unaudited)

      28.52         0.06         3.56        3.62        (0.17 )      —        (0.17 ) 

Year Ended June 30, 2016

      29.72         0.14         (0.99 )      (0.85 )      (0.06 )      (0.29 )      (0.35 ) 

Year Ended June 30, 2015

      29.08         0.04         1.47        1.51        (0.16 )      (0.71 )      (0.87 ) 

Year Ended June 30, 2014

      24.61         0.20         5.02        5.22        (0.05 )      (0.70 )      (0.75 ) 

Year Ended June 30, 2013

      19.91         0.11         4.74        4.85        (0.06 )      (0.09 )      (0.15 ) 

Year Ended June 30, 2012

      19.01         0.16         0.84        1.00        (0.10 )      —        (0.10 ) 

Class L (formerly Institutional Class)

                 

Six Months Ended December 31, 2016 (Unaudited)

      28.86         0.20         3.63        3.83        (0.46 )      —        (0.46 ) 

Year Ended June 30, 2016

      30.06         0.43         (1.02 )      (0.59 )      (0.32 )      (0.29 )      (0.61 ) 

Year Ended June 30, 2015

      29.31         0.34         1.50        1.84        (0.38 )      (0.71 )      (1.09 ) 

Year Ended June 30, 2014

      24.74         0.48         5.04        5.52        (0.25 )      (0.70 )      (0.95 ) 

Year Ended June 30, 2013

      19.99         0.34         4.75        5.09        (0.25 )      (0.09 )      (0.34 ) 

Year Ended June 30, 2012

      19.11         0.35         0.83        1.18        (0.30 )      —        (0.30 ) 

Class R3

                 

September 9, 2016 (g) through December 31, 2016 (Unaudited)

      29.33         0.08         2.97        3.05        (0.44 )      —        (0.44 ) 

Class R4

                 

September 9, 2016 (g) through December 31, 2016 (Unaudited)

      29.56         0.10         3.00        3.10        (0.46 )      —        (0.46 ) 

Class R5

                 

September 9, 2016 (g) through December 31, 2016 (Unaudited)

      29.57         0.12         3.00        3.12        (0.48 )      —        (0.48 ) 

Class R6

                 

September 9, 2016 (g) through December 31, 2016 (Unaudited)

      29.57         0.15         2.98        3.13        (0.49 )      —        (0.49 ) 

Select Class

                 

Six Months Ended December 31, 2016 (Unaudited)

      28.86         0.17         3.62        3.79        (0.39 )      —        (0.39 ) 

Year Ended June 30, 2016

      29.99         0.33         (0.98 )      (0.65 )      (0.19 )      (0.29 )      (0.48 ) 

Year Ended June 30, 2015

      29.27         0.27         1.48        1.75        (0.32 )      (0.71 )      (1.03 ) 

Year Ended June 30, 2014

      24.72         0.42         5.03        5.45        (0.20 )      (0.70 )      (0.90 ) 

Year Ended June 30, 2013

      20.00         0.28         4.75        5.03        (0.22 )      (0.09 )      (0.31 ) 

Year Ended June 30, 2012

      19.12         0.30         0.83        1.13        (0.25 )      —        (0.25 ) 

 

(a) Annualized for periods less than one year, unless otherwise noted.
(b) Calculated based upon average shares outstanding.
(c) Not annualized for periods less than one year.
(d) Includes adjustments in accordance with accounting principles generally accepted in the United States of America and as such, the net asset values for financial reporting purposes and the returns based upon those net asset values may differ from the net asset values and returns for shareholder transactions.
(e) Includes earnings credits and interest expense, if applicable, each of which is less than 0.005% unless otherwise noted.
(f) Portfolio turnover is calculated by dividing the lesser of total purchases or sales of portfolio securities for the reporting period by the monthly average value of portfolio securities owned during the reporting period. Excluded from both the numerator and denominator are amounts relating to derivatives and securities whose maturities or expiration dates at the time of acquisition were one year or less.
(g) Commencement of offering of class of shares.

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
68       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

 

 

     Ratios/Supplemental data  
            Ratios to average net assets (a)  
Net asset
value,
end of
period		     Total return
(excludes
sales charge) (c)(d)		     Net assets,
end of
period
(000’s)		     Net
expenses (e)		     Net
investment
income
(loss)		     Expenses
without waivers,
reimbursements and
earnings credits		     Portfolio
turnover
rate (c)(f)		  
           
           
$ 32.09        12.98 %    $ 1,854,162        1.24 %      0.87 %      1.39 %      9 % 
  28.66        (2.34 )      2,045,698        1.24        0.98        1.43        26   
  29.84        5.78        2,440,061        1.24        0.64        1.41        17   
  29.15        22.19        1,701,250        1.24        1.26        1.33        36   
  24.64        25.09        784,359        1.24        0.98        1.33        22   
  19.96        5.83        206,816        1.25        1.34        1.41        49   
           
  31.97        12.68        771,589        1.74        0.37        1.83        9   
  28.52        (2.82 )      728,800        1.74        0.49        1.85        26   
  29.72        5.26        701,023        1.73        0.14        1.83        17   
  29.08        21.58        402,880        1.74        0.74        1.83        36   
  24.61        24.45        212,198        1.74        0.49        1.83        22   
  19.91        5.32        117,937        1.75        0.84        1.91        49   
           
  32.23        13.25        3,666,117        0.75        1.32        0.87        9   
  28.86        (1.87 )      5,901,818        0.74        1.50        0.88        26   
  30.06        6.36        5,058,172        0.74        1.15        0.90        17   
  29.31        22.77        3,042,506        0.74        1.77        0.93        36   
  24.74        25.73        1,455,125        0.74        1.50        0.93        22   
  19.99        6.36        384,525        0.75        1.86        1.01        49   
           
  31.94        10.37        22        1.24        0.81        1.25        9   
           
  32.20        10.44        22        0.99        1.06        1.00        9   
           
  32.21        10.53        22        0.79        1.26        0.80        9   
           
  32.21        10.55        2,937,216        0.74        1.61        0.75        9   
           
  32.26        13.12        1,438,568        0.99        1.11        1.06        9   
  28.86        (2.10 )      1,414,635        0.99        1.16        1.05        26   
  29.99        6.05        3,095,251        0.99        0.89        1.05        17   
  29.27        22.49        2,546,808        0.99        1.53        1.08        36   
  24.72        25.38        1,245,241        0.99        1.23        1.08        22   
  20.00        6.09        422,861        1.00        1.62        1.16        49   

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         69   

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2016 (Unaudited)

 

1. Organization

JPMorgan Trust I (“JPM I”) and JPMorgan Trust II (“JPM II”) were formed on November 12, 2004, as Delaware statutory trusts, pursuant to Declarations of Trust dated November 5, 2004 and are registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as open-end management investment companies.

J.P. Morgan Mutual Fund Investment Trust (“JPMMFIT”), an open-end management investment company, was organized as a Massachusetts business trust on September 23, 1997.

J.P. Morgan Fleming Mutual Fund Group, Inc. (“JPMFMFG”, with JPM I, JPM II and JPMMFIT (collectively, the “Trusts”)), an open-end management investment company, was organized as a Maryland corporation on August 19, 1997.

The following are 6 separate funds of the Trusts (collectively, the “Funds”) covered by this report:

 

      Classes Offered    Trust    Diversified/Non-Diversified
Growth Advantage Fund    Class A, Class C, Class R5, Class R6 and Select Class    JPMMFIT    Diversified
Mid Cap Equity Fund    Class A, Class C, Class R2, Class R5, Class R6 and Select Class    JPM I    Diversified
Mid Cap Growth Fund    Class A, Class C, Class R2, Class R3*, Class R4*, Class R5, Class R6 and Select Class    JPM II    Diversified
Mid Cap Value Fund    Class A, Class C, Class L**, Class R2, Class R3*, Class R4*, Class R5***, Class R6*** and Select Class    JPMFMFG    Diversified
Multi-Cap Market Neutral Fund    Class A, Class C, and Select Class    JPM II    Diversified
Value Advantage Fund    Class A, Class C, Class L**, Class R3*, Class R4*, Class R5***, Class R6*** and Select Class    JPM I    Diversified

 

    * Class R3 and Class R4 Shares commenced operations on September 9, 2016 for Mid Cap Growth Fund, Mid Cap Value Fund and Value Advantage Fund.
  ** Effective December 1, 2016, Institutional Class was renamed Class L and is publicly offered on a limited basis.
*** Class R5 and Class R6 Shares commenced operations on September 9, 2016 for Mid Cap Value Fund and Value Advantage Fund.

The investment objective of Growth Advantage Fund and Mid Cap Equity Fund is to seek to provide long-term capital growth.

The investment objective of Mid Cap Growth Fund is to seek growth of capital.

The investment objective of Mid Cap Value Fund is to seek growth from capital appreciation.

The investment objective of Multi-Cap Market Neutral Fund is to seek long-term capital preservation and growth by using strategies designed to produce returns which have no correlation with general domestic market performance.

The investment objective of Value Advantage Fund is to seek to provide long-term total return from a combination of income and capital gains.

Class A Shares generally provide for a front-end sales charge while Class C Shares provide for a contingent deferred sales charge (“CDSC”). No sales charges are assessed with respect to Class L, Class R2, Class R3, Class R4, Class R5, Class R6 and Select Class Shares. All classes of shares have equal rights as to earnings, assets and voting privileges, except that each class may bear different transfer agency, sub-transfer agency, distribution and shareholder servicing fees and each class has exclusive voting rights with respect to its distribution plan and shareholder servicing agreements. Certain Class A Shares, for which front-end sales charges have been waived, may be subject to a CDSC as described in the Funds’ prospectus.

J.P. Morgan Investment Management Inc. (“JPMIM”) an indirect, wholly-owned subsidiary of JPMorgan Chase & Co. (“JPMorgan”) acts as Adviser (the “Adviser”) and Administrator (the “Administrator”) to the Funds.

2. Significant Accounting Policies

The following is a summary of significant accounting policies followed by the Funds in the preparation of their financial statements. The Funds are investment companies and, accordingly, follow the investment company accounting and reporting guidance of the Financial Accounting Standards Board Accounting Standards Codification Topic 946 — Investment Companies, which is part of U.S. generally accepted accounting principles (“GAAP”). The preparation of financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

A. Valuation of Investments — The valuation of investments is in accordance with GAAP and the Funds’ valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the “Board”), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board.

The Administrator has established the J.P. Morgan Asset Management Americas Valuation Committee (“AVC”) to assist the Board with the oversight and monitoring of the valuation of the Funds’ investments. The Administrator implements the valuation policies of the Funds’ investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Funds. This includes monitoring the

 

 
70       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board.

Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values (“NAV”) of the Funds are calculated on a valuation date. Investments in open-end investment companies (the “Underlying Funds”), are valued at each Underlying Fund’s NAV per share as of the report date.

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

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

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

 

•  

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

•  

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

•  

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

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

The following tables represent each valuation input as presented on the Schedules of Portfolio Investments (“SOIs”) (amounts in thousands):

Growth Advantage Fund

 

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

Total Investments in Securities (a)

      $ 6,091,615         $ —         $ —         $ 6,091,615   
    

 

 

       

 

 

       

 

 

       

 

 

  
Mid Cap Equity Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 2,605,593         $ —         $ —         $ 2,605,593   
    

 

 

       

 

 

       

 

 

       

 

 

  
Mid Cap Growth Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 2,722,257         $ —         $ —         $ 2,722,257   
    

 

 

       

 

 

       

 

 

       

 

 

  
Mid Cap Value Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 17,166,845         $ —         $ —         $ 17,166,845   
    

 

 

       

 

 

       

 

 

       

 

 

  

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         71   

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

 

Multi-Cap Market Neutral Fund                    
        Level 1
Quoted prices		        Level 2
Other significant
observable inputs		        Level 3
Significant
unobservable inputs		        Total  

Total Investments in Securities (a)

      $ 173,052         $ —         $ —         $ 173,052   
    

 

 

       

 

 

       

 

 

       

 

 

  

Total Liabilities for Securities Sold Short (a)

      $ (148,679 )       $ —         $ —         $ (148,679 ) 
    

 

 

       

 

 

       

 

 

       

 

 

  

Appreciation in Other Financial Instruments

                    

Futures Contracts

      $ 11         $ —         $ —         $ 11   
    

 

 

       

 

 

       

 

 

       

 

 

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

Total Investments in Securities (a)

      $ 10,691,089         $ —         $ —         $ 10,691,089   
    

 

 

       

 

 

       

 

 

       

 

 

  

 

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

There were no transfers among any levels during the six months ended December 31, 2016.

B. Short Sales — Multi-Cap Market Neutral Fund engages in short sales as part of its normal investment activities. In a short sale, the Fund sells securities it does not own in anticipation of a decline in the market value of those securities. In order to deliver securities to the purchaser, the Fund borrows securities from a broker. To close out a short position, the Fund delivers the same securities to the broker.

The Fund is required to pledge cash or securities to the broker as collateral for the securities sold short. Collateral requirements are calculated daily based on the current market value of the short positions. Cash collateral deposited with the broker is recorded as Deposits at broker for securities sold short, while cash collateral deposited at the Fund’s custodian for the benefit of the broker is recorded as Restricted Cash on the Statements of Assets and Liabilities. Securities segregated as collateral are denoted on the SOIs. The Fund may receive or pay the net of the following amounts: (i) a portion of the income from the investment of cash collateral; (ii) the broker’s fee on the borrowed securities (calculated daily based upon the market value of each borrowed security and a variable rate that is dependent on availability of the security); and (iii) a financing charge for the difference between the market value of the short position and cash collateral deposited with the broker. The net amounts of income or fees are included as Interest income or Interest expense on securities sold short on the Statements of Operations.

The Fund is obligated to pay the broker dividends declared on short positions when a position is open on the record date. Dividends on short positions are reported on ex-dividend date on the Statements of Operations as Dividend expense on securities sold short.

Liabilities for securities sold short are reported at market value on the Statements of Assets and Liabilities and the change in market value is recorded as change in net unrealized appreciation (depreciation) on the Statements of Operations. Short sale transactions may result in unlimited losses as the security’s price increases and the short position loses value. There is no upward limit on the price a borrowed security could attain. The Fund is also subject to risk of loss if the broker were to fail to perform its obligations under the contractual terms.

The Fund will record a realized loss if the price of the borrowed security increases between the date of the short sale and the date on which the Fund replaces the borrowed security. The Fund will record a realized gain if the price of the borrowed security declines between those dates.

As of December 31, 2016, the Fund had outstanding short sales as listed on the SOI.

C. Futures Contracts — Multi-Cap Market Neutral Fund used index futures contracts to gain or reduce exposure to the stock market, maintain liquidity or minimize transaction costs. The Fund also bought futures contracts to invest incoming cash in the market or sold futures in response to cash outflows, thereby simulating an invested position in the underlying index while maintaining a cash balance for liquidity.

Futures contracts provide for the delayed delivery of the underlying instrument at a fixed price or are settled for a cash amount based on the change in the value of the underlying instrument at a specific date in the future. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to a certain percentage of the contract amount, which is referred to as the initial margin deposit. Subsequent payments, referred to as variation margin, are made or received by the Fund periodically and are based on changes in the market value of open futures contracts. Changes in the market value of open futures contracts are recorded as Change in net unrealized appreciation/depreciation on the Statements of Operations. Realized gains or losses, representing the difference between the value of the contract at the time it was opened and the value at the time it was closed, are reported on the Statements of Operations at the closing or expiration of the futures contract. Securities deposited as initial margin are designated on the SOIs and cash deposited is recorded on the Statements of Assets and Liabilities. A receivable from and/or a payable to brokers for the daily variation margin is also recorded on the Statements of Assets and Liabilities.

The use of futures contracts exposes the Fund to equity price risk. The Fund may be subject to the risk that the change in the value of the futures contract may not correlate perfectly with the underlying instrument. Use of long futures contracts subjects the Fund to risk of loss in excess of the

 

 
72       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

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amounts shown on the Statements of Assets and Liabilities, up to the notional amount of the futures contracts. Use of short futures contracts subjects the Fund to unlimited risk of loss. The Fund may enter into futures contracts only on exchanges or boards of trade.

The exchange or board of trade acts as the counterparty to each futures transaction; therefore, the Fund’s credit risk is limited to failure of the exchange or board of trade. Under some circumstances, futures exchanges may establish daily limits on the amount that the price of a futures contract can vary from the previous day’s settlement price, which could effectively prevent liquidation of positions.

The table below discloses the volume of the Fund’s futures contracts activity during the six months ended December 31, 2016 (amounts in thousands):

 

      Multi-Cap Market
Neutral Fund		  

Futures Contracts:

   

Average Notional Balance Short

    $ 1,448   

Ending Notional Balance Short

      721   

The Fund’s futures contracts are not subject to master netting arrangements (the right to close out all transactions traded with a counterparty and net amounts owed or due across transactions).

D. Security Transactions and Investment Income — Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). Securities gains and losses are calculated on a specifically identified cost basis. Interest income is determined on the basis of coupon interest accrued using the effective interest method which adjusts for amortization of premiums and accretion of discounts. Dividend income, net of foreign taxes withheld, if any, and dividend expense on securities sold short, are recorded on the ex-dividend date or when a Fund first learns of the dividend.

To the extent such information is publicly available, the Funds record distributions received in excess of income earned from underlying investments as a reduction of cost of investments and/or realized gain. Such amounts are based on estimates if actual amounts are not available and actual amounts of income, realized gain and return of capital may differ from the estimated amounts. The Funds adjust the estimated amounts of the components of distributions (and consequently their net investment income) as necessary once the issuers provide information about the actual composition of the distributions.

E. Allocation of Income and Expenses — Expenses directly attributable to a fund are charged directly to that fund, while the expenses attributable to more than one fund of the Trusts are allocated among the respective funds. In calculating the NAV of each class, investment income, realized and unrealized gains and losses and expenses, other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.

Transfer agency fees and sub-transfer agency fees are class-specific expenses. The amount of the transfer agency fees and sub-transfer agency fees charged to each class of the Funds for the six months ended December 31, 2016 are as follows (amounts in thousands):

 

      Class A      Class C      Class L
(formerly
Institutional Class)		     Class R2     Class R3     Class R4     Class R5     Class R6     Select Class     Total  

Growth Advantage Fund

                       

Transfer agency fees

    $ 51       $ 21         n/a        n/a        n/a        n/a      $ 3      $ 10      $ 18      $ 103   

Sub-transfer agency fees

      716         257         n/a        n/a        n/a        n/a        37        —        234        1,244   

Mid Cap Equity Fund

                       

Transfer agency fees

      7         1         n/a      $ 1        n/a        n/a        — (a)      5        10        24   

Sub-transfer agency fees

      251         33         n/a        1        n/a        n/a        1        —        409        695   

Mid Cap Growth Fund

                       

Transfer agency fees

      187         7         n/a        3      $ — (a)    $ — (a)      2        13        17        229   

Sub-transfer agency fees

      455         54         n/a        29        —        —        104        —        487        1,129   

Mid Cap Value Fund

                       

Transfer agency fees

      79         13       $ 394        4        — (a)      — (a)      — (a)      — (a)      20        510   

Sub-transfer agency fees

      1,727         190         4,000        69        —        —        —        —        1,080        7,066   

Multi-Cap Market Neutral Fund

                       

Transfer agency fees

      1         1         n/a        n/a        n/a        n/a        n/a        n/a        1        3   

Sub-transfer agency fees

      3         4         n/a        n/a        n/a        n/a        n/a        n/a        6        13   

Value Advantage Fund

                       

Transfer agency fees

      49         26         31        n/a        — (a)      — (a)      — (a)      5        17        128   

Sub-transfer agency fees

      1,381         303         533        n/a        —        —        —        —        391        2,608   

 

(a) Amount rounds to less than 500.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         73   

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

 

F. Federal Income Taxes — Each Fund is treated as a separate taxable entity for Federal income tax purposes. Each Fund’s policy is to comply with the provisions of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute to shareholders all of its distributable net investment income and net realized capital gains on investments. Accordingly, no provision for Federal income tax is necessary. Management has reviewed the Funds’ tax positions for all open tax years and has determined that as of December 31, 2016, no liability for income tax is required in the Funds’ financial statements for net unrecognized tax benefits. However, management’s conclusions may be subject to future review based on changes in, or the interpretation of, the accounting standards or tax laws and regulations. Each of the Funds’ Federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service.

G. Distributions to Shareholders — Distributions from net investment income are generally declared and paid at least annually, except for the Mid Cap Equity Fund, Mid Cap Growth Fund and Multi-Cap Market Neutral Fund, for which distributions are generally declared and paid at least quarterly. Distributions are declared separately for each class of each Fund. No class has preferential dividend rights; differences in per share rates are due to differences in separate class expenses. Net realized capital gains, if any, are distributed by each Fund at least annually. The amount of distributions from net investment income and net realized capital gains is determined in accordance with Federal income tax regulations, which may differ from GAAP. To the extent these “book/tax” differences are permanent in nature (i.e., that they result from other than timing of recognition — “temporary differences”), such amounts are reclassified within the capital accounts based on their Federal tax-basis treatment.

3. Fees and Other Transactions with Affiliates

A. Investment Advisory Fee — Pursuant to Investment Advisory Agreements, J.P. Morgan Investment Management Inc. the Adviser supervises the investments of each Fund and for such services is paid a fee. The fee is accrued daily and paid monthly based on each Fund’s respective average daily net assets. The annual rate for each Fund is as follows:

 

Growth Advantage Fund

      0.65 % 

Mid Cap Equity Fund

      0.65   

Mid Cap Growth Fund

      0.65   

Mid Cap Value Fund

      0.65   

Multi-Cap Market Neutral Fund

      0.80   

Value Advantage Fund

      0.65   

The Adviser waived Investment Advisory fees and/or reimbursed expenses as outlined in Note 3.F.

B. Administration Fee — Pursuant to Administration Agreements, the Administrator provides certain administration services to the Funds. In consideration of these services, the Administrator receives a fee accrued daily and paid monthly at an annual rate of 0.15% of the first $25 billion of the average daily net assets of all funds in the J.P. Morgan Funds Complex covered by the Administration Agreement (excluding certain funds of funds and money market funds) and 0.075% of the average daily net assets in excess of $25 billion of all such funds. For the six months ended December 31, 2016, the effective annualized rate was 0.08% of each Fund’s average daily net assets, notwithstanding any fee waivers and/or expense reimbursements.

The Administrator waived Administration fees as outlined in Note 3.F.

JPMorgan Chase Bank, N.A. (“JPMCB”), a wholly-owned subsidiary of JPMorgan, serves as the Funds’ sub-administrator (the “Sub-administrator”). For its services as Sub-administrator, JPMCB receives a portion of the fees payable to the Administrator.

C. Distribution Fees — Pursuant to a Distribution Agreement, JPMorgan Distribution Services, Inc. (the “Distributor”), a wholly-owned subsidiary of JPMorgan, serves as the Trusts’ principal underwriter and promotes and arranges for the sale of each Fund’s shares.

The Board has adopted a Distribution Plan (the “Distribution Plan”) for Class A, Class C and Class R2 and Class R3 Shares of the Funds, as applicable, in accordance with Rule 12b-1 under the 1940 Act. Class L, Class R4, Class R5, Class R6 and Select Class Shares do not charge a distribution fee. The Distribution Plan provides that each Fund shall pay distribution fees, including payments to the Distributor, at annual rates of the average daily net assets as shown in the table below:

 

        Class A        Class C        Class R2        Class R3  

Growth Advantage Fund

        0.25 %         0.75 %         n/a           n/a   

Mid Cap Equity Fund

        0.25           0.75           0.50 %         n/a   

Mid Cap Growth Fund

        0.25           0.75           0.50           0.25 % 

Mid Cap Value Fund

        0.25           0.75           0.50           0.25   

Multi-Cap Market Neutral Fund

        0.25           0.75           n/a           n/a   

Value Advantage Fund

        0.25           0.75           n/a           0.25   

 

 
74       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

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In addition, the Distributor is entitled to receive the front-end sales charges from purchases of Class A Shares and the CDSC from redemptions of Class C Shares and certain Class A Shares for which front-end sales charges have been waived. For the six months ended December 31, 2016, the Distributor retained the following (amounts in thousands):

 

        Front-End Sales Charge        CDSC  

Growth Advantage Fund

      $ 234        $ 3  

Mid Cap Equity Fund

        122          1  

Mid Cap Growth Fund

        44          — (a) 

Mid Cap Value Fund

        21          1  

Multi-Cap Market Neutral Fund

        — (a)         —  

Value Advantage Fund

        147          2  

 

(a) Amount rounds to less than 500.

D. Shareholder Servicing Fees — The Trusts, on behalf of the Funds, have entered into a Shareholder Servicing Agreement with the Distributor under which the Distributor provides certain support services to the shareholders. The Class R6 Shares do not charge a shareholder servicing fee. For performing these services, the Distributor receives a fee that is accrued daily and paid monthly equal to a percentage of the average daily net assets as shown in the table below:

 

        Class A      Class C      Class L      Class R2      Class R3      Class R4      Class R5      Select Class  

Growth Advantage Fund

        0.25 %       0.25 %       n/a        n/a        n/a        n/a        0.05 %       0.25 % 

Mid Cap Equity Fund

        0.25        0.25        n/a        0.25 %       n/a        n/a        0.05        0.25  

Mid Cap Growth Fund

        0.25        0.25        n/a        0.25        0.25 %       0.25 %       0.05        0.25  

Mid Cap Value Fund

        0.25        0.25        0.10 %       0.25        0.25        0.25        0.05        0.25  

Multi-Cap Market Neutral Fund

        0.25        0.25        n/a        n/a        n/a        n/a        n/a        0.25  

Value Advantage Fund

        0.25        0.25        0.10        n/a        0.25        0.25        0.05        0.25  

The Distributor has entered into shareholder services contracts with affiliated and unaffiliated financial intermediaries who provide shareholder services and other related services to their clients or customers who invest in the Funds under which the Distributor will pay all or a portion of such fees earned to financial intermediaries for performing such services.

The Distributor waived shareholder servicing fees as outlined in Note 3.F.

E. Custodian and Accounting Fees — JPMCB provides portfolio custody and accounting services to the Funds. For performing these services, the Funds pay JPMCB transaction and asset-based fees that vary according to the number of transactions and positions, plus out-of-pocket expenses. The amounts paid directly to JPMCB by the Funds for custody and accounting services are included in Custodian and accounting fees on the Statements of Operations. Payments to the custodian may be reduced by credits earned by each Fund, based on uninvested cash balances held by the custodian. Such earnings credits, if any, are presented separately on the Statements of Operations.

Interest expense paid to the custodian related to cash overdrafts, if any, is included in Interest expense to affiliates on the Statements of Operations.

F. Waivers and Reimbursements — The Adviser, Administrator and/or Distributor have contractually agreed to waive fees and/or reimburse the Funds to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed the percentages of the Funds’ respective average daily net assets as shown in the table below:

 

      Class A     Class C     Class L     Class R2     Class R3     Class R4     Class R5     Class R6     Select Class  

Growth Advantage Fund*

      1.24 %      1.74 %      n/a       n/a       n/a       n/a       0.85 %      0.75 %      0.99 % 

Mid Cap Equity Fund

      1.25       1.75       n/a       1.50 %      n/a       n/a       0.80       0.75       0.90  

Mid Cap Growth Fund

      1.24       1.74       n/a       1.49 **      1.24 %      0.99 %      0.79       0.74       0.93  

Mid Cap Value Fund

      1.24       1.75       0.75 %      1.50       1.25       1.00       0.85       0.75       0.99  

Multi-Cap Market Neutral Fund

      1.25       1.75       n/a       n/a       n/a       n/a       n/a       n/a       0.99  

Value Advantage Fund

      1.24 ***      1.74 ***      0.75       n/a       1.25       1.00       0.85       0.75       0.99 *** 

 

    * The contractual expense percentages in the table above are in place until at least October 31, 2018. Prior to November 1, 2016, the contractual expense limitation for Growth Advantage Fund was 1.25%, 1.75%, 0.90%, 0.85% and 1.10%, for Class A, Class C, Class R5, Class R6 and Select Class Shares, respectively.
  **

The contractual expense percentage in the table above is in place until at least October 31, 2018. For Mid Cap Growth Fund Class R2 Shares, the Adviser, Administrator and/or Distributor contractually waived fees and/or reimbursed the Fund to the extent that total annual operating expenses (excluding acquired fund fees and expenses other than certain money market fund fees as described below, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceeded 1.40% of the Fund’s average daily net assets during the period July 1, 2016 through October 31, 2016. During the period November 1, 2016

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         75  

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NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

 

  through December 31, 2016 the Adviser, Administrator and/or Distributor voluntarily waived fees and/or reimbursed the Fund to the extent that total annual operating expenses for Class R2 Shares exceeded 1.40%. The Fund’s service providers are under no obligation to continue the voluntary waivers and may discontinue them at any time.
*** The contractual expense percentages in the table above are in place until at least October 31, 2018. Prior to November 1, 2016, the contractual expense limitation for Value Advantage Fund was 1.25%, 1.75%, and 1.00%, for Class A, Class C and Select Class Shares, respectively.

Except as noted above, the expense limitation agreements were in effect for the six months ended December 31, 2016 and the contractual expense limitation percentages in the table above are in place until at least October 31, 2017.

For the six months ended December 31, 2016, the Funds’ service providers waived fees and/or reimbursed expenses for each of the Funds as follows (amounts in thousands). None of these parties expect the Funds to repay any such waived fees and reimbursed expenses in future years.

 

       Contractual Waivers           
        Investment
Advisory		        Administration        Shareholder
Servicing		        Total        Contractual
Reimbursements		  

Growth Advantage Fund

      $ 6        $ 4        $ 1,187        $ 1,197        $ 2  

Mid Cap Equity Fund

        68          45          1,016          1,129          16  

Mid Cap Growth Fund

        133          87          1,544          1,764          63  

Mid Cap Value Fund

        1,400          920          8,043          10,363          2,674  

Multi-Cap Market Neutral Fund

        150          74          8          232          —  

Value Advantage Fund

        699          466          4,015          5,180          183  

 

       Voluntary Waivers  
        Shareholder
Servicing		  

Mid Cap Growth Fund

      $ 4  

Additionally, the Funds may invest in one or more money market funds advised by the Adviser or its affiliates (affiliated money market funds). The Adviser, Administrator and/or Distributor, as shareholder servicing agent, have contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the respective net fees each collects from the affiliated money market fund on the applicable Funds’ investment in such affiliated money market fund.

The amount of waivers resulting from investments in these money market funds for the six months ended December 31, 2016 was as follows (amounts in thousands):

 

Growth Advantage Fund

    $ 93  

Mid Cap Equity Fund

      64  

Mid Cap Growth Fund

      43  

Mid Cap Value Fund

      531  

Multi-Cap Market Neutral Fund

      14  

Value Advantage Fund

      133  

G. Other — Certain officers of the Trusts are affiliated with the Adviser, the Administrator and the Distributor. Such officers, with the exception of the Chief Compliance Officer, receive no compensation from the Funds for serving in their respective roles.

The Board appointed a Chief Compliance Officer to the Funds in accordance with Federal securities regulations. Each Fund, along with other affiliated funds, makes reimbursement payments, on a pro-rata basis, to the Administrator for a portion of the fees associated with the Office of the Chief Compliance Officer. Such fees are included in Trustees’ and Chief Compliance Officer’s fees on the Statements of Operations.

The Trusts adopted a Trustee Deferred Compensation Plan (the “Plan”) which allows the Independent Trustees to defer the receipt of all or a portion of compensation related to performance of their duties as Trustees. The deferred fees are invested in various J.P. Morgan Funds until distribution in accordance with the Plan.

During the six months ended December 31, 2016, Mid Cap Equity Fund and Mid Cap Growth Fund purchased securities from an underwriting syndicate in which the principal underwriter or members of the syndicate were affiliated with the Adviser.

 

 
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The Funds may use related party broker-dealers. For the six months ended December 31, 2016, the Funds incurred brokerage commissions with broker-dealers affiliated with the Adviser as follows (amounts in thousands):

 

Growth Advantage Fund

    $ — (a) 

Mid Cap Equity Fund

      — (a) 

Mid Cap Growth Fund

      — (a) 

Mid Cap Value Fund

      —  

Multi-Cap Market Neutral Fund

      —  

Value Advantage Fund

      2  

 

(a) Amount rounds to less than 500.

The Securities and Exchange Commission (“SEC”) has granted an exemptive order permitting the Funds to engage in principal transactions with J.P. Morgan Securities, Inc., an affiliated broker, involving taxable money market instruments, subject to certain conditions.

4. Investment Transactions

During the six months ended December 31, 2016, purchases and sales of investments (excluding short-term investments and transfers in-kind) were as follows (amounts in thousands):

 

        Purchases
(excluding
U.S. Government)		        Sales
(excluding
U.S. Government)		        Securities
Sold Short		        Covers on
Securities
Sold Short		  

Growth Advantage Fund

      $ 1,007,381        $ 1,165,228        $ —        $ —  

Mid Cap Equity Fund

        519,724          437,535          —          —  

Mid Cap Growth Fund

        438,335          663,504          —          —  

Mid Cap Value Fund

        2,563,299          2,249,214          —          —  

Multi-Cap Market Neutral Fund

        68,408          111,382          81,812          120,709  

Value Advantage Fund

        949,240          1,706,245          —          —  

During the six months ended December 31, 2016, there were no purchases or sales of U.S. Government securities.

5. Federal Income Tax Matters

For Federal income tax purposes, the estimated cost and unrealized appreciation (depreciation) in value of investment securities held at December 31, 2016 were as follows (amounts in thousands):

 

        Aggregate
Cost		        Gross
Unrealized
Appreciation		        Gross
Unrealized
Depreciation		        Net Unrealized
Appreciation
(Depreciation)		  

Growth Advantage Fund

      $ 4,635,986        $ 1,615,703        $ 160,074          1,455,629  

Mid Cap Equity Fund

        1,971,028          699,682          65,117          634,565  

Mid Cap Growth Fund

        2,304,843          542,753          125,339          417,414  

Mid Cap Value Fund

        11,728,335          5,621,106          182,596          5,438,510  

Multi-Cap Market Neutral

        155,101          21,304          3,353          17,951  

Value Advantage Fund

        8,149,420          2,643,635          101,966          2,541,669  

Under the Regulated Investment Company Modernization Act of 2010 (“the “Act”), net capital losses recognized by the Funds after June 30, 2011 are carried forward indefinitely, and retain their character as short-term and/or long-term losses. Prior to the Act, net capital losses incurred by the Funds were carried forward for eight years and treated as short-term losses. The Act requires that post-enactment net capital losses be used before pre-enactment net capital losses.

At June 30, 2016, the following Funds had pre-enactment net capital loss carryforwards, expiring during the years indicated, which are available to offset future realized gains (amounts in thousands):

 

      2018  

Mid Cap Value Fund

    $ 14,734 * 

 

* Amount includes capital loss carryforwards from business combinations, which are limited in future years under Internal Revenue Code Sections 381-384.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         77  

Table of Contents

NOTES TO FINANCIAL STATEMENTS

AS OF DECEMBER 31, 2016 (Unaudited) (continued)

 

At June 30, 2016, the following Funds had the following post-enactment net capital loss carryforwards (amounts in thousands):

 

       Capital Loss Carryforward Character  
        Short-Term        Long-Term  

Multi-Cap Market Neutral Fund

      $ 2,351        $ —  

Value Advantage Fund

        36,131          13,093  

6. Borrowings

The Funds rely upon an exemptive order granted by the SEC (the “Order”) permitting the establishment and operation of an Interfund Lending Facility (the “Facility”). The Facility allows the Funds to directly lend and borrow money to or from any other fund relying upon the Order at rates beneficial to both the borrowing and lending funds. Advances under the Facility are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. The Interfund loan rate is determined, as specified in the Order, by averaging the current repurchase agreement rate and the current bank loan rate. The Order was granted to JPM II and may be relied upon by the Funds because the Funds and the series of JPM II are all investment companies in the same “group of investment companies” (as defined in Section 12(d)(1)(G) of the 1940 Act).

The Trusts and JPMCB have entered into a financing arrangement. Under this arrangement, JPMCB provides an unsecured, uncommitted credit facility in the aggregate amount of $100 million to certain of the J.P. Morgan Funds, including the Funds. Advances under the arrangement are taken primarily for temporary or emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities, and are subject to each Fund’s borrowing restrictions. Interest on borrowings is payable at a rate determined by JPMCB at the time of borrowing. This agreement has been extended until November 6, 2017.

The Funds had no borrowings outstanding from another fund or from the unsecured, uncommitted credit facility during the six months ended December 31, 2016.

In addition, effective August 16, 2016, the Trust along with certain other trusts (“Borrowers”) entered into a joint syndicated senior unsecured revolving credit facility totaling $1.5 billion (“Credit Facility”) with various lenders and The Bank of New York Mellon, as administrative agent for the lenders. This Credit Facility provides a source of funds to the Borrowers for temporary and emergency purposes, including the meeting of redemption requests that otherwise might require the untimely disposition of securities. Under the terms of the Credit Facility, a borrowing fund must have a minimum of $25,000,000 in adjusted net asset value and not exceed certain adjusted net asset coverage ratios prior to and during the time in which any borrowings are outstanding. If a fund does not comply with the aforementioned requirements, the Fund must remediate within three business days with respect to the $25,000,000 minimum adjusted net asset value or within one business day with respect to certain asset coverage ratios or the administrative agent at the request of, or with the consent of, the lenders may terminate the Credit Facility and declare any outstanding borrowings to be due and payable immediately.

Interest associated with any borrowing under the Credit Facility is charged to the borrowing fund at a rate of interest equal to 1.00% plus the greater of the federal funds effective rate or one month LIBOR. The annual commitment fee to maintain the Credit Facility is 0.15% and is incurred on the unused portion of the Credit Facility and is allocated to all participating funds pro rata based on their respective net assets. The initial term of the Credit Facility is 364 days, unless extended.

The Funds did not utilize the Credit Facility during the six months ended December 31, 2016.

7. Risks, Concentrations and Indemnifications

In the normal course of business, the Funds enter into contracts that contain a variety of representations which provide general indemnifications. Each Fund’s maximum exposure under these arrangements is unknown. The amount of exposure would depend on future claims that may be made against each Fund that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

As of December 31, 2016, the J.P. Morgan Investor Funds and JPMorgan SmartRetirement Funds, which are affiliated funds of funds, owned in the aggregate, shares representing more than 10% of the net assets of the following Funds:

 

        J.P. Morgan
Investor Funds		      JPMorgan
SmartRetirement
Funds		  

Growth Advantage Fund

        n/a        39.9 % 

Mid Cap Equity Fund

        n/a        52.0  

Multi-Cap Market Neutral Fund

        89.3 %       n/a  

Value Advantage Fund

        n/a        23.3  

 

 
78       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

As of December 31, 2016, the Funds had omnibus accounts which represented the percentage of each Fund’s net assets as follows:

 

        Number of
Non-affiliated
Omnibus
Accounts		        % of the Fund  

Mid Cap Equity Fund

        1          16.9 % 

Mid Cap Value Fund

        1          18.6  

Value Advantage Fund

        1          12.6  

Significant shareholder transactions by these shareholders may impact the Funds’ performance.

As of December 31, 2016, the Multi-Cap Market Neutral Fund pledged a significant portion of its assets for securities sold short to Citigroup Global Markets, Inc., who also held 100% of the Multi-Cap Market Neutral Fund’s cash proceeds for securities sold short.

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         79  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited)

Hypothetical $1,000 Investment

 

As a shareholder of the Funds, you incur two types of costs: (1) transaction costs, including sales charges (loads) on purchase payments and (2) ongoing costs, including investment advisory fees, administration fees, distribution fees and other Fund expenses. The examples below are intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these ongoing costs with the ongoing costs of investing in other mutual funds. The examples assume that you had a $1,000 investment in each Class at the beginning of the reporting period, July 1, 2016, and continued to hold your shares at the end of the reporting period, December 31, 2016.

Actual Expenses

For each Class of each Fund in the table below, the first line provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line of each Class under the heading entitled “Expenses Paid During the Period” to estimate the expenses you paid on your account during this period.

 

Hypothetical Example for Comparison Purposes

The second line of each Class in the table below provides information about hypothetical account values and hypothetical expenses based on the Class’ actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Class’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Class of the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads) or redemption fees. Therefore, the second line for each Class in the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher. The examples also assume all dividends and distributions have been reinvested.

 

 

        Beginning
Account Value
July 1, 2016		        Ending
Account Value
December 31, 2016		        Expenses
Paid During
the Period		        Annualized
Expense
Ratio		  

Growth Advantage Fund

                    

Class A

                    

Actual*

      $ 1,000.00        $ 1,052.00        $ 6.41          1.24 % 

Hypothetical*

        1,000.00          1,018.95          6.31          1.24  

Class C

                    

Actual*

        1,000.00          1,049.60          8.99          1.74  

Hypothetical*

        1,000.00          1,016.43          8.84          1.74  

Class R5

                    

Actual*

        1,000.00          1,054.10          4.50          0.87  

Hypothetical*

        1,000.00          1,020.82          4.43          0.87  

Class R6

                    

Actual*

        1,000.00          1,054.70          3.83          0.74  

Hypothetical*

        1,000.00          1,021.48          3.77          0.74  

Select Class

                    

Actual*

        1,000.00          1,053.60          5.28          1.02  

Hypothetical*

        1,000.00          1,020.06          5.19          1.02  

Mid Cap Equity Fund

                    

Class A

                    

Actual*

        1,000.00          1,053.90          6.42          1.24  

Hypothetical*

        1,000.00          1,018.95          6.31          1.24  

Class C

                    

Actual*

        1,000.00          1,051.10          9.00          1.74  

Hypothetical*

        1,000.00          1,016.43          8.84          1.74  

Class R2

                    

Actual*

        1,000.00          1,052.30          7.71          1.49  

Hypothetical*

        1,000.00          1,017.69          7.58          1.49  

 

 
80       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents
        Beginning
Account Value
July 1, 2016		        Ending
Account Value
December 31, 2016		        Expenses
Paid During
the Period		        Annualized
Expense
Ratio		  

Mid Cap Equity Fund (continued)

                    

Class R5

                    

Actual*

      $ 1,000.00        $ 1,056.30        $ 4.09          0.79 % 

Hypothetical*

        1,000.00          1,021.22          4.02          0.79  

Class R6

                    

Actual*

        1,000.00          1,056.30          3.84          0.74  

Hypothetical*

        1,000.00          1,021.48          3.77          0.74  

Select Class

                    

Actual*

        1,000.00          1,055.60          4.61          0.89  

Hypothetical*

        1,000.00          1,020.72          4.53          0.89  

Mid Cap Growth Fund

                    

Class A

                    

Actual*

        1,000.00          1,035.50          6.31          1.23  

Hypothetical*

        1,000.00          1,019.00          6.26          1.23  

Class C

                    

Actual*

        1,000.00          1,032.70          8.86          1.73  

Hypothetical*

        1,000.00          1,016.48          8.79          1.73  

Class R2

                    

Actual*

        1,000.00          1,034.70          7.13          1.39  

Hypothetical*

        1,000.00          1,018.20          7.07          1.39  

Class R3

                    

Actual**

        1,000.00          1,015.60          3.77          1.23  

Hypothetical*

        1,000.00          1,019.00          6.26          1.23  

Class R4

                    

Actual**

        1,000.00          1,016.30          3.00          0.98  

Hypothetical*

        1,000.00          1,020.27          4.99          0.98  

Class R5

                    

Actual*

        1,000.00          1,037.80          4.01          0.78  

Hypothetical*

        1,000.00          1,021.27          3.97          0.78  

Class R6

                    

Actual*

        1,000.00          1,037.70          3.75          0.73  

Hypothetical*

        1,000.00          1,021.53          3.72          0.73  

Select Class

                    

Actual*

        1,000.00          1,037.00          4.72          0.92  

Hypothetical*

        1,000.00          1,020.57          4.69          0.92  

Mid Cap Value Fund

                    

Class A

                    

Actual*

        1,000.00          1,073.30          6.43          1.23  

Hypothetical*

        1,000.00          1,019.00          6.26          1.23  

Class C

                    

Actual*

        1,000.00          1,070.40          9.08          1.74  

Hypothetical*

        1,000.00          1,016.43          8.84          1.74  

Class L (formerly Institutional Class)

                    

Actual*

        1,000.00          1,075.90          3.87          0.74  

Hypothetical*

        1,000.00          1,021.48          3.77          0.74  

Class R2

                    

Actual*

        1,000.00          1,071.80          7.78          1.49  

Hypothetical*

        1,000.00          1,017.69          7.58          1.49  

Class R3

                    

Actual**

        1,000.00          1,062.10          3.89          1.24  

Hypothetical*

        1,000.00          1,018.95          6.31          1.24  

Class R4

                    

Actual**

        1,000.00          1,062.90          3.11          0.99  

Hypothetical*

        1,000.00          1,020.21          5.04          0.99  

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         81  

Table of Contents

SCHEDULE OF SHAREHOLDER EXPENSES

(Unaudited) (continued)

Hypothetical $1,000 Investment

 

        Beginning
Account Value
July 1, 2016		        Ending
Account Value
December 31, 2016		        Expenses
Paid During
the Period		        Annualized
Expense
Ratio		  

Mid Cap Value Fund (continued)

                    

Class R5

                    

Actual**

      $ 1,000.00        $ 1,063.60        $ 2.48          0.79 % 

Hypothetical*

        1,000.00          1,021.22          4.02          0.79  

Class R6

                    

Actual**

        1,000.00          1,063.80          2.32          0.74  

Hypothetical*

        1,000.00          1,021.48          3.77          0.74  

Select Class

                    

Actual*

        1,000.00          1,074.70          5.12          0.98  

Hypothetical*

        1,000.00          1,020.27          4.99          0.98  

Multi-Cap Market Neutral Fund

                    

Class A

                    

Actual*

        1,000.00          1,015.20          12.04          2.37  

Hypothetical*

        1,000.00          1,013.26          12.03          2.37  

Class C

                    

Actual*

        1,000.00          1,012.90          14.56          2.87  

Hypothetical*

        1,000.00          1,010.74          14.55          2.87  

Select Class

                    

Actual*

        1,000.00          1,016.80          10.78          2.12  

Hypothetical*

        1,000.00          1,014.52          10.76          2.12  

Value Advantage Fund

                    

Class A

                    

Actual*

        1,000.00          1,129.80          6.66          1.24  

Hypothetical*

        1,000.00          1,018.95          6.31          1.24  

Class C

                    

Actual*

        1,000.00          1,126.80          9.33          1.74  

Hypothetical*

        1,000.00          1,016.43          8.84          1.74  

Class L (formerly Institutional Class)

                    

Actual*

        1,000.00          1,132.50          4.03          0.75  

Hypothetical*

        1,000.00          1,021.42          3.82          0.75  

Class R3

                    

Actual**

        1,000.00          1,103.70          3.97          1.24  

Hypothetical*

        1,000.00          1,018.95          6.31          1.24  

Class R4

                    

Actual**

        1,000.00          1,104.40          3.17          0.99  

Hypothetical*

        1,000.00          1,020.21          5.04          0.99  

Class R5

                    

Actual**

        1,000.00          1,105.30          2.53          0.79  

Hypothetical*

        1,000.00          1,021.22          4.02          0.79  

Class R6

                    

Actual**

        1,000.00          1,105.50          2.37          0.74  

Hypothetical*

        1,000.00          1,021.48          3.77          0.74  

Select Class

                    

Actual*

        1,000.00          1,131.20          5.32          0.99  

Hypothetical*

        1,000.00          1,020.21          5.04          0.99  

 

  * Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 184/365 (to reflect the one-half year period).
** Expenses are equal to each Class’ respective annualized expense ratio, multiplied by the average account value over the period, multiplied by 111/365 (to reflect the actual period.) Commencement of operations was September 9, 2016.

 

 
82       J.P. MORGAN MID CAP/MULTI-CAP FUNDS   DECEMBER 31, 2016

Table of Contents

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited)

 

The Board of Trustees has established various standing committees composed of Trustees with diverse backgrounds, to which the Board of Trustees has assigned specific subject matter responsibilities to further enhance the effectiveness of the Board’s oversight and decision making. The Board of Trustees and its investment committees (money market and alternative products, equity, and fixed income) meet regularly throughout the year and consider factors that are relevant to their annual consideration of investment advisory agreements at each meeting. They also meet for the specific purpose of considering investment advisory agreement annual renewals. The Board of Trustees held meetings in person in June and August 2016, at which the Trustees considered the continuation of the investment advisory agreements for each of the Funds whose semi-annual report is contained herein (each an “Advisory Agreement” and collectively, the “Advisory Agreements”). At the June meeting, the Board’s investment committees met to review and consider performance, expense and related information for the J.P. Morgan Funds. Each investment committee reported to the full Board, which then considered the investment committee’s preliminary findings. At the August meeting, the Trustees continued their review and consideration. The Trustees, including a majority of the Trustees who are not “interested persons” (as defined in the 1940 Act) of any party to the Advisory Agreements or any of their affiliates, approved the continuation of each Advisory Agreement on August 17, 2016.

As part of their review of the Advisory Agreements, the Trustees considered and reviewed performance and other information about the Funds received from the Adviser. This information includes the Funds’ performance as compared to the performance of their peers and benchmarks and analyses by the Adviser of the Funds’ performance. In addition, the Trustees have engaged an independent management consulting firm (“independent consultant”) to report on the performance of certain J.P. Morgan Funds at each of the Trustees’ regular meetings. The Adviser also periodically provides comparative information regarding the Funds’ expense ratios and those of their peer groups. In addition, in preparation for the June and August meetings, the Trustees requested, received and evaluated extensive materials from the Adviser, including performance and expense information compiled by Broadridge, using data from Lipper Inc., independent providers of investment company data (together, “Broadridge/Lipper”). The Trustees’ independent consultant also provided additional analyses of the performance of the Funds in connection with the Trustees’ review of the Advisory Agreements. Before voting on the proposed Advisory Agreements, the Trustees reviewed the proposed Advisory Agreements with representatives of the Adviser, counsel to the Trusts and independent legal counsel and received a memorandum from independent legal counsel to the Trustees discussing the legal standards for their consideration of the proposed Advisory Agreements. The Trustees

also discussed the proposed Advisory Agreements in executive sessions with independent legal counsel at which no representatives of the Adviser were present. Set forth below is a summary of the material factors evaluated by the Trustees in determining whether to approve each Advisory Agreement.

The Trustees considered information provided with respect to the Funds over the course of the year. Each Trustee attributed different weights to the various factors, and no factor alone was considered determinative. From year to year, the Trustees consider and place emphasis on relevant information in light of changing circumstances in market and economic conditions. The Trustees determined that the compensation to be received by the Adviser from each Fund under the applicable Advisory Agreement was fair and reasonable and that the continuance of each Advisory Agreement was in the best interests of each Fund and its shareholders.

The factors summarized below were considered and discussed by the Trustees in reaching their conclusions:

Nature, Extent and Quality of Services Provided by the Adviser

The Trustees received and considered information regarding the nature, extent and quality of the services provided to each Fund under the Advisory Agreement. The Trustees took into account information furnished throughout the year at Trustee meetings, as well as the materials furnished specifically in connection with this annual review process. The Trustees considered the background and experience of the Adviser’s senior management and the expertise of, and the amount of attention given to each Fund by, investment personnel of the Adviser. In addition, the Trustees reviewed the qualifications, backgrounds and responsibilities of the portfolio management team primarily responsible for the day-to-day management of each Fund and the infrastructure supporting the team. The Trustees also considered information provided by the Adviser and JPMorgan Distribution Services, Inc. (“JPMDS”) about the structure and distribution strategy of each Fund. The Trustees reviewed information relating to the Adviser’s risk governance model and reports showing the Adviser’s compliance structure and ongoing compliance processes. The Trustees also considered the quality of the administrative services provided by J.P. Morgan Investment Management Inc. in its role as administrator (“JPMIM”).

The Trustees also considered their knowledge of the nature and quality of the services provided by the Adviser and its affiliates to the Funds gained from their experience as Trustees of the J.P. Morgan Funds. In addition, they considered the overall reputation and capabilities of the Adviser and its affiliates, the commitment of the Adviser to provide high quality service to the Funds, their overall confidence in the Adviser’s integrity and the Adviser’s responsiveness to questions or concerns raised by them, including the Adviser’s willingness to consider and implement organizational and operational changes

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         83  

Table of Contents

BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (Continued)

 

designed to improve investment results and the services provided to each Fund.

Based upon these considerations and other factors, the Trustees concluded that they were satisfied with the nature, extent and quality of the investment advisory services provided to the Funds by the Adviser.

Costs of Services Provided and Profitability to the Adviser and its Affiliates

The Trustees received and considered information regarding the profitability to the Adviser and its affiliates in providing services to each of the Funds. The Trustees reviewed and discussed this data. The Trustees recognized that this data is not audited and represents the Adviser’s determination of its and its affiliates’ revenues from the contractual services provided to the Funds, less expenses of providing such services. Expenses include direct and indirect costs and are calculated using an allocation methodology developed by the Adviser. The Trustees also recognized that it is difficult to make comparisons of profitability from fund investment advisory contracts because comparative information is not generally publicly available and is affected by numerous factors, including the structure of the particular adviser, the types of funds it manages, its business mix, numerous assumptions regarding allocations and the fact that publicly-traded fund managers’ operating profits and net income are net of distribution and marketing expenses. Based upon their review, the Trustees concluded that the profitability to the Adviser under each of the Advisory Agreements was not unreasonable in light of the services and benefits provided to each Fund.

Fall-Out Benefits

The Trustees reviewed information regarding potential “fallout” or ancillary benefits received by the Adviser and its affiliates as a result of their relationship with the Funds. The Trustees also reviewed the Adviser’s allocation of fund brokerage for the J.P. Morgan Funds complex, including allocations to brokers who provide research to the Adviser.

The Trustees also considered that JPMDS, an affiliate of the Adviser, and JPMIM earn fees from the Funds for providing shareholder and administrative services, respectively. These fees were shown separately in the profitability analysis presented to the Trustees. The Trustees also considered the payments of Rule 12b-1 fees to JPMDS, which also acts as the Funds’ distributor and that these fees are in turn generally paid to financial intermediaries that sell the Funds, including financial intermediaries that are affiliates of the Adviser. The Trustees also considered the fees paid to JPMorgan Chase Bank, N.A. (“JPMCB”) for custody and fund accounting, and other related services.

Economies of Scale

The Trustees considered the extent to which the Funds may benefit from economies of scale. The Trustees considered that

there may not be a direct relationship between economies of scale realized by the Funds and those realized by the Adviser as assets increase. The Trustees noted that the proposed investment advisory fee schedule for each Fund does not contain breakpoints, but that the fees remain competitive with peer funds. The Trustees also considered that the Adviser has implemented fee waivers and expense limitations (“Fee Caps”) which allow each Fund’s shareholders to share potential economies of scale from a Fund’s inception. The Trustees also considered that the Adviser has shared economies of scale by adding or enhancing services to the Funds over time, noting the Adviser’s substantial investments in its business in support of the Funds, including investments in trading systems and technology (including cybersecurity improvements), retention of key talent, additions to analyst and portfolio management teams, and regulatory support enhancements. The Trustees also considered whether it would be appropriate to add advisory fee breakpoints and the Trustees concluded that the current fee structure was reasonable in light of the Fee Caps that the Adviser has in place that serve to limit the overall net expense ratios of each Fund at competitive levels. The Trustees concluded that the Funds’ shareholders received the benefits of potential economies of scale through the Fee Caps and the Adviser’s reinvestment in its operations to serve the Funds and their shareholders.

Independent Written Evaluation of the Funds’ Senior/Chief Compliance Officer

The Trustees noted that, upon their direction, the Senior Officer for the Mid Cap Growth Fund, Mid Cap Value Fund and Multi-Cap Market Neutral Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. In determining whether to continue the Advisory Agreements, the Trustees considered the Senior Officer’s report.

The Trustees noted that, upon their direction, the Chief Compliance Officer for the Growth Advantage Fund, Mid Cap Equity Fund, and Value Advantage Fund had prepared an independent written evaluation in order to assist the Trustees in determining the reasonableness of the proposed management fees. The Trustees considered the written evaluation in determining whether to continue the Advisory Agreements.

Fees Relative to Adviser’s Other Clients

The Trustees received and considered information about the nature and extent of investment advisory services and fee rates offered to other clients of the Adviser, including institutional separate accounts and/or funds sub-advised by the Adviser, for investment management styles substantially similar to that of each Fund. The Trustees considered the complexity of investment management for registered mutual funds relative to the Adviser’s other clients and noted differences in the regulatory, legal and other risks and responsibilities of providing services

 

 

 
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to the different clients. The Trustees considered that serving as an adviser to a registered mutual fund involves greater responsibilities and risks than acting as a sub-adviser and observed that sub-advisory fees may be lower than those charged by the Adviser to each Fund. The Trustees also noted that the adviser, not the mutual fund, pays the sub-advisory fee and that many responsibilities related to the advisory function are retained by the primary adviser. The Trustees concluded that the fee rates charged to each Fund in comparison to those charged to the Adviser’s other clients were reasonable.

Investment Performance

The Trustees received and considered absolute and/or relative performance for the Funds in a report prepared by Broadridge/Lipper. The Trustees considered the total return performance information, which included the ranking of the Funds within a performance universe made up of funds with the same Broadridge/Lipper investment classification and objective (the “Universe”), as well as a sub-set of funds within the Universe (the “Peer Group”), by total return for applicable one-, three- and five-year periods. The Trustees reviewed a description of Broadridge/Lipper’s methodology for selecting mutual funds in each Fund’s Peer Group and Universe. The Broadridge/Lipper materials provided to the Trustees highlighted information with respect to certain representative classes to assist the Trustees in their review. As part of this review, the Trustees also reviewed each Fund’s performance against its benchmark and considered the performance information provided for the Funds at regular Board meetings by the Adviser and the Trustees’ independent consultant and also considered the special analysis prepared by the Trustees’ independent consultant. The Broadridge/Lipper performance data noted by the Trustees as part of their review and the determinations made by the Trustees with respect to each Fund’s performance for certain representative classes are summarized below:

The Trustees noted that the Growth Advantage Fund’s performance for Class A shares was in first quintile for each of the one-, three- and five year periods ended December 31, 2015, based upon both the Peer Group and Universe. The Trustees noted that the performance for Select Class shares was in the first, first and second quintiles based upon the Peer Group for the one-, three- and five-year periods ended December 31, 2015, respectively, and in the first quintile for each of the one-, three- and five year periods ended December 31, 2015 based upon the Universe. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Mid Cap Equity Fund’s performance for Class A shares was in the fourth, third and second quintiles

for the one-, three-, and five-year periods ended December 31, 2015, respectively, based upon both the Peer Group and Universe. The Trustees noted that the performance for Select Class shares was in the fourth, third and third quintiles based upon the Peer Group, and in the fourth, second and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Mid Cap Growth Fund’s performance for Class A shares was in the fourth, second and third quintiles based upon the Peer Group, and in the third, first and third quintiles based upon the Universe, for the one-, three- and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for Select Class shares was in the third, first and third quintiles based upon the Peer Group, and in the third, first and second quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Mid Cap Value Fund’s performance for Class A shares was in the third, third and second quintiles based upon the Peer Group, and in the fourth, third and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for Select Class shares was in the second, second and first quintiles based upon the Peer Group, and in the fourth, third and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

The Trustees noted that the Multi-Cap Market Neutral Fund’s performance for both Class A and Select Class Shares was in the second, second and third quintiles based upon the Universe for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

 

 

 
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BOARD APPROVAL OF INVESTMENT ADVISORY AGREEMENT

(Unaudited) (Continued)

 

The Trustees noted that the Value Advantage Fund’s performance for Class A shares was in the third quintile based upon the Peer Group for each of the one-, three-, and five-year periods ended December 31, 2015, and in the third, third and second quintiles based upon the Universe, for one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees noted that the performance for Select Class shares was in the second quintile based upon the Peer Group for both the one- and three-year periods ended December 31, 2015, and in the third, second and first quintiles based upon the Universe, for the one-, three-, and five-year periods ended December 31, 2015, respectively. The Trustees discussed the performance and investment strategy of the Fund with the Adviser and reviewed the performance analysis and evaluation prepared by the independent consultant. Based upon these discussions and various other factors, the Trustees concluded that the Fund’s performance was reasonable.

Advisory Fees and Expense Ratios

The Trustees considered the contractual advisory fee rate paid by each Fund to the Adviser and compared that rate to the information prepared by Broadridge/Lipper concerning management fee rates paid by other funds in the same Broadridge/Lipper category as each Fund. The Trustees recognized that Broadridge/Lipper reported each Fund’s management fee rate as the combined contractual advisory fee and administration fee rates. The Trustees also reviewed information about other expenses and the expense ratios for each Fund. The Trustees considered the fee waiver and/or expense reimbursement arrangements currently in place for each Fund and considered the net advisory fee rate after taking into account any waivers and/or reimbursements. The Trustees recognized that it is difficult to make comparisons of advisory fees because there are variations in the services that are included in the fees paid by other funds. The Trustees’ determinations as a result of the review of each Fund’s advisory fees and expense ratios for certain representative classes are summarized below:

The Trustees noted that the Growth Advantage Fund’s net advisory fee and actual total expenses for Class A shares were in the fourth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Select Class shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted that the expense caps for certain share classes were reduced effective November 1, 2016. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Mid Cap Equity Fund’s net advisory fee for Class A shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the fourth and third

quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Select Class shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Select Class shares were in the third quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Mid Cap Growth Fund’s net advisory fee for Class A shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the fourth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Select Class Shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Select Class shares were in the second and third quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fee was reasonable.

The Trustees noted that the Mid Cap Value Fund’s net advisory fee for Class A shares was in the fourth and third quintiles based upon the Peer Group and Universe, respectively, and that the actual total expenses for Class A shares was in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee and actual total expenses for Select Class shares were in the fourth and third quintiles based upon the Peer Group and Universe, respectively. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Multi-Cap Market Neutral Fund’s net advisory fee and actual total expenses for Class A shares were in the first quintile based upon both the Peer Group and Universe. The Trustees noted that the net advisory fee for Select Class shares was in the second quintile based upon both the Peer Group and Universe, and that the actual total expenses for Select Class shares were in the first quintile based upon both the Peer Group and Universe. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

The Trustees noted that the Value Advantage Fund’s net advisory fee Class A shares was in the third quintile based upon both the Peer Group and Universe, and that the actual total expenses for Class A shares were in the fifth and third quintiles based upon the Peer Group and Universe, respectively. The Trustees noted that the net advisory fee for Select Class shares was in the fourth quintile based upon both the Peer Group and Universe, and that the actual total expenses for Select Class shares were in the third and fourth quintiles based upon the Peer Group and Universe, respectively. The Trustees also noted

 

 

 
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that the expense caps for certain share classes were reduced effective November 1, 2016. After considering the factors identified above, in light of this information, the Trustees concluded that the advisory fees were reasonable.

 

 

 
DECEMBER 31, 2016   J.P. MORGAN MID CAP/MULTI-CAP FUNDS         87  

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J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds.

Contact JPMorgan Distribution Services, Inc. at 1-800-480-4111 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risk as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing.

Investors may obtain information about the Securities Investor Protection Corporation (SIPC), including the SIPC brochure by visiting www.sipc.org or by calling SIPC at 202-371-8300.

Each Fund files a complete schedule of its fund holdings for the first and third quarters of its fiscal year with the SEC on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330. Shareholders may request the Form N-Q without charge by calling 1-800-480-4111 or by visiting the J.P. Morgan Funds’ website at www.jpmorganfunds.com.

A description of each Fund’s policies and procedures with respect to the disclosure of each Fund’s holdings is available in the prospectus and Statement of Additional Information.

A copy of proxy policies and procedures is available without charge upon request by calling 1-800-480-4111 and on the Funds’ website at www.jpmorganfunds.com. A description of such policies and procedures is on the SEC’s website at www.sec.gov. The Trustees have delegated the authority to vote proxies for securities owned by the Funds to the Adviser. A copy of the Funds’ voting record for the most recent 12-month period ended June 30 is available on the SEC’s website at www.sec.gov or at the Funds’ website at www.jpmorganfunds.com no later than August 31 of each year. The Funds’ proxy voting record will include, among other things, a brief description of the matter voted on for each fund security, and will state how each vote was cast, for example, for or against the proposal.

 

LOGO

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LOGO

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

 

  © JPMorgan Chase & Co., 2017. All rights reserved. December 2016.  

SAN-MC-1216

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ITEM 2. CODE OF ETHICS.

Disclose whether, as of the end of the period covered by the report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party. If the registrant has not adopted such a code of ethics, explain why it has not done so.

The registrant must briefly describe the nature of any amendment, during the period covered by the report, to a provision of its code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party, and that relates to any element of the code of ethics definition enumerated in paragraph (b) of this Item. The registrant must file a copy of any such amendment as an exhibit pursuant to Item 12(a)(1), unless the registrant has elected to satisfy paragraph (f) of this Item by positing its code of ethics on its website pursuant to paragraph (f)(2) of this Item, or by undertaking to provide its code of ethics to any person without charge, upon request, pursuant to paragraph (f)(3) of this Item.

If the registrant has, during the period covered by the report, granted a waiver, including an implicit waiver, from a provision of the code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or third party, that relates to one or more items set forth in paragraph (b) of this Item, the registrant must briefly describe the nature of the waiver, the name of the person to whom the waiver was granted, and the date of the waiver.

Not applicable to a semiannual report.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

 

(a) (1) Disclose that the registrant’s board of directors has determined that the registrant either:

(i) Has at least one audit committee financial expert serving on its audit committee; or

(ii) Does not have an audit committee financial expert serving on its audit committee.

(2) If the registrant provides the disclosure required by paragraph (a)(1)(i) of this Item, it must disclose the name of the audit committee financial expert and whether that person is “independent.” In order to be considered “independent” for purposes of this Item, a member of an audit committee may not, other than in his or her capacity as a member of the audit committee, the board of directors, or any other board committee:

(i) Accept directly or indirectly any consulting, advisory, or other compensatory fee from the issuer; or

(ii) Be an “interested person” of the investment company as defined in Section 2(a)(19) of the Act (15 U.S.C. 80a-2(a)(19)).

(3) If the registrant provides the disclosure required by paragraph (a)(1)(ii) of this Item, it must explain why it does not have an audit committee financial expert.

Not applicable to a semiannual report.

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ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

(a) Disclose, under the caption Audit Fees, the aggregate fees billed for each of the last two fiscal years for professional services rendered by the principal accountant for the audit of the registrant’s annual financial statements or services that are normally provided by the accountant in connection with statutory and regulatory filings or engagements for those fiscal years.

(b) Disclose, under the caption Audit-Related Fees, the aggregate fees billed in each of the last two fiscal years for assurance and related services by the principal accountant that are reasonably related to the performance of the audit of the registrant’s financial statements and are not reported under paragraph (a) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(c) Disclose, under the caption Tax Fees, the aggregate fees billed in each of the last two fiscal years for professional services rendered by the principal accountant for tax compliance, tax advice, and tax planning. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(d) Disclose, under the caption All Other Fees, the aggregate fees billed in each of the last two fiscal years for products and services provided by the principal accountant, other than the services reported in paragraphs (a) through (c) of this Item. Registrants shall describe the nature of the services comprising the fees disclosed under this category.

(e) (1) Disclose the audit committee’s pre-approval policies and procedures described in paragraph (c)(7) of Rule 2-01 of Regulation S-X.

(2) Disclose the percentage of services described in each of paragraphs (b) through (d) of this Item that were approved by the audit committee pursuant to paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f) If greater than 50 percent, disclose the percentage of hours expended on the principal accountant’s engagement to audit the registrant’s financial statements for the most recent fiscal year that were attributed to work performed by persons other than the principal accountant’s full-time, permanent employees.

Not applicable to a semi-annual report.

(g) Disclose the aggregate non-audit fees billed by the registrant’s accountant for services rendered to the registrant, and rendered to the registrant’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the adviser that provides ongoing services to the registrant for each of the last two fiscal years of the registrant.

(h) Disclose whether the registrant’s audit committee of the board of directors has considered whether the provision of non-audit services that were rendered to the registrant’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the registrant that were not pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the principal accountant’s independence.

Not applicable to a semiannual report.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

(a) If the registrant is a listed issuer as defined in Rule 10A-3 under the Exchange Act (17CFR 240.10A-3), state whether or not the registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act (15 U.S.C. 78c(a)(58)(A)). If the registrant has such a committee, however designated, identify each committee member. If the entire board of directors is acting as the registrant’s audit committee as specified in Section 3(a)(58)(B) of the Exchange Act (15 U.S.C. 78c(a)(58)(B)), so state.

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(b) If applicable, provide the disclosure required by Rule 10A-3(d) under the Exchange Act (17CFR 240.10A-3(d)) regarding an exemption from the listing standards for all audit committees.

Not applicable to a semiannual report.

ITEM 6. SCHEDULE OF INVESTMENTS.

File Schedule I – Investments in securities of unaffiliated issuers as of the close of the reporting period as set forth in Section 210.12-12 of Regulation S-X, unless the schedule is included as part of the report to shareholders filed under Item 1 of this Form.

Included in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

A closed-end management investment company that is filing an annual report on this Form N-CSR must, unless it invests exclusively in non-voting securities, describe the policies and procedures that it uses to determine how to vote proxies relating to portfolio securities, including the procedures that the company uses when a vote presents a conflict between the interests of its shareholders, on the one hand, and those of the company’s investment adviser; principal underwriter; or any affiliated person (as defined in Section 2(a)(3) of the Investment Company Act of 1940 (15 U.S.C. 80a-2(a)(3)) and the rules thereunder) of the company, its investment adviser, or its principal underwriter, on the other. Include any policies and procedures of the company’s investment adviser, or any other third party, that the company uses, or that are used on the company’s behalf, to determine how to vote proxies relating to portfolio securities.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASE OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

(a) If the registrant is a closed-end management investment company, provide the information specified in paragraph (b) of this Item with respect to any purchase made by or on behalf of the registrant or any “affiliated purchaser,” as defined in Rule 10b-18(a)(3) under the Exchange Act (17 CFR 240.10b-18(a)(3)), of shares or other units of any class of the registrant’s equity securities that is registered by the registrant pursuant to Section 12 of the Exchange Act (15 U.S.C. 781).

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

Describe any material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of directors, where those changes were implemented after the registrant last provided disclosure in response to the requirements of Item 7(d)(2)(ii)(G) of Schedule 14A (17 CFR 240.14a-101), or this Item.

No material changes to report.

ITEM 11. CONTROLS AND PROCEDURES.

(a) Disclose the conclusions of the registrant’s principal executive and principal financial officers, or persons performing similar functions, regarding the effectiveness of the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Act (17 CFR 270.30a-3(c))) as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the Act (17 CFR 270.30a-3(b)) and Rules 13a-15(b) or 15d-15(b) under the Exchange Act (17 CFR 240.13a-15(b) or 240.15d-15(b)).

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The Registrant’s principal executive and principal financial officers have concluded, based on their evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report, that the Registrant’s disclosure controls and procedures are reasonably designed to ensure that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported within the required time periods and that information required to be disclosed by the Registrant in the reports that it files or submits on Form N-CSR is accumulated and communicated to the Registrant’s management, including its principal executive and principal financial officers, as appropriate to allow timely decisions regarding required disclosure.

(b) Disclose any change in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

There were no changes in the Registrant’s internal control over financial reporting that occurred during the last fiscal quarter covered by this report that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

ITEM 12. EXHIBITS.

(a) File the exhibits listed below as part of this Form. Letter or number the exhibits in the sequence indicated.

(a)(1) Any code of ethics, or amendment thereto, that is the subject of the disclosure required by Item 2, to the extent that the registrant intends to satisfy the Item 2 requirements through filing of an exhibit.

Not applicable.

(a)(2) A separate certification for each principal executive officer and principal financial officer of the registrant as required by Rule 30a-2(a) under the Act (17 CFR 270.30a-2).

Certifications pursuant to Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto.

(a)(3) Any written solicitation to purchase securities under Rule 23c-1 under the Act (17 CFR 270.23c-1) sent or given during the period covered by the report by or on behalf of the registrant to 10 or more persons.

Not applicable.

(b) A separate or combined certification for each principal executive officer and principal officer of the registrant as required by Rule 30a-2(b) under the Act of 1940.

Certifications pursuant to Rule 30a-2(b) under the Investment Company Act of 1940 are attached hereto.

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SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

J.P. Morgan Mutual Fund Investment Trust

 

By:  

/s/ Brian S. Shlissel

  Brian S. Shlissel
  President and Principal Executive Officer
  March 3, 2017

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By:  

/s/ Brian S. Shlissel

  Brian S. Shlissel
  President and Principal Executive Officer
  March 3, 2017
By:  

 

/s/ Laura M. Del Prato

  Laura M. Del Prato
  Treasurer and Principal Financial Officer
  March 3, 2017