JPMorgan U.S. Large Cap Core Plus Fund Schedule of Portfolio Investments as of September 30, 2016 (Unaudited)

Transcription

1 Schedule of Portfolio Investments as of September 30, 2016 (Unaudited) THE UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS LIST ( the List ) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the fund s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. JPMorgan Asset Management is the marketing name for the asset management business of J.P. Morgan Chase & Co. JPMorgan Distribution Services, Inc. J.P. Morgan Chase & Co., 2016.

2 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Long Positions 130.1% Common Stocks 129.3% Consumer Discretionary 19.6% Auto Components 1.5% 411 BorgWarner, Inc. 14,476 1,453 Delphi Automotive plc, (United Kingdom) 103, Johnson Controls International plc 27, ,177 Automobiles 2.1% 6,495 General Motors Co. 206,347 Hotels, Restaurants & Leisure 2.2% 532 Carnival Corp. 25,965 1,375 Royal Caribbean Cruises Ltd. (j) 103,061 1,212 Starbucks Corp. 65, Yum! Brands, Inc. 20, ,096 Household Durables 1.3% 1,672 D.R. Horton, Inc. (j) 50, Harman International Industries, Inc. 47, PulteGroup, Inc. 2,286 1,084 Toll Brothers, Inc. (a) (j) 32, ,345 Internet & Direct Marketing Retail 2.1% 242 Amazon.com, Inc. (a) 202,545 Media 5.9% 39 AMC Networks, Inc., Class A (a) 2, Charter Communications, Inc., Class A (a) (j) 60,216 1,817 Comcast Corp., Class A (j) 120,517 1,505 DISH Network Corp., Class A (a) 82,448 2,344 Time Warner, Inc. (j) 186, Time, Inc. 4,475 2,643 Twenty-First Century Fox, Inc., Class A (j) 64,011 1,308 Twenty-First Century Fox, Inc., Class B 32, Walt Disney Co. (The) 29, ,978 Multiline Retail 0.0% (g) 38 Dollar General Corp. 2,631 Specialty Retail 4.5% 13 Advance Auto Parts, Inc. 2, Best Buy Co., Inc. 11, Home Depot, Inc. (The) 94,791 2,600 Lowe s Cos., Inc. 187, O Reilly Automotive, Inc. (a) (j) 46,215 1,386 TJX Cos., Inc. (The) (j) 103, ,003 Textiles, Apparel & Luxury Goods 0.0% (g) 20 Carter s, Inc. 1,717 Total Consumer Discretionary 1,933,839 Consumer Staples 6.8% Beverages 3.2% 1,105 Molson Coors Brewing Co., Class B (j) 121,329

3 1,804 PepsiCo, Inc. (j) 196, ,581 Food & Staples Retailing 0.8% 174 Costco Wholesale Corp. 26, Kroger Co. (The) 28, Walgreens Boots Alliance, Inc. 25,157 79,935 Food Products 1.6% 3,487 Mondelez International, Inc., Class A 153,065 Household Products 0.9% 542 Kimberly-Clark Corp. 68, Procter & Gamble Co. (The) 24,153 92,494 Tobacco 0.3% 262 Philip Morris International, Inc. (j) 25,509 Total Consumer Staples 668,584 Energy 11.2% Energy Equipment & Services 1.1% 1,387 Schlumberger Ltd. 109,065 Oil, Gas & Consumable Fuels 10.1% 340 Concho Resources, Inc. (a) 46, ConocoPhillips 2, Diamondback Energy, Inc. (a) 52, Energen Corp. 5,693 2,361 EOG Resources, Inc. (j) 228,351 1,411 EQT Corp. (j) 102,473 3,151 Occidental Petroleum Corp. 229, Pioneer Natural Resources Co. (j) 171,118 2,915 TransCanada Corp., (Canada) 138,616

4 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Long Positions continued Common Stocks continued Oil, Gas & Consumable Fuels continued 297 Valero Energy Corp. 15, ,334 Total Energy 1,102,399 Financials 20.6% Banks 6.3% 1,065 Bank of America Corp. (j) 16,663 4,607 Citigroup, Inc. (j) 217, First Republic Bank 5,412 6,086 KeyCorp 74,065 1,600 Regions Financial Corp. 15, SVB Financial Group (a) 7, Webster Financial Corp. 2,463 5,797 Wells Fargo & Co. 256, Zions Bancorporation 23, ,258 Capital Markets 5.5% 183 BlackRock, Inc. 66,348 2,080 Charles Schwab Corp. (The) 65, Goldman Sachs Group, Inc. (The) (j) 131, Intercontinental Exchange, Inc. 127,121 4,731 Morgan Stanley (j) 151, ,464 Consumer Finance 1.6% 432 Ally Financial, Inc. 8,418 1,335 Capital One Financial Corp. 95, Discover Financial Services (j) 49, ,542 Insurance 7.2% 601 American International Group, Inc. (j) 35,685 1,250 Arthur J. Gallagher & Co. 63,594 2,262 Chubb Ltd., (Switzerland) 284, Everest Re Group Ltd., (Bermuda) (j) 18,356 2,039 Hartford Financial Services Group, Inc. (The) 87,297 1,194 Marsh & McLennan Cos., Inc. (j) 80,324 2,590 MetLife, Inc. (j) 115, XL Group Ltd., (Bermuda) (j) 27, ,119 Total Financials 2,028,383 Health Care 19.2% Biotechnology 4.1% 584 Alexion Pharmaceuticals, Inc. (a) 71, Biogen, Inc. (a) 112, BioMarin Pharmaceutical, Inc. (a) 29, Celgene Corp. (a) 41,701 1,128 Gilead Sciences, Inc. (j) 89, Vertex Pharmaceuticals, Inc. (a) (j) 59, ,826 Health Care Equipment & Supplies 2.2%

5 1,756 Abbott Laboratories 74, Becton, Dickinson and Co. 25,915 4,349 Boston Scientific Corp. (a) 103, Danaher Corp. 14, ,274 Health Care Providers & Services 4.8% 485 Aetna, Inc. 56, Humana, Inc. 66, McKesson Corp. 30,119 2,262 UnitedHealth Group, Inc. (j) 316, ,075 Life Sciences Tools & Services 0.9% 1,099 Agilent Technologies, Inc. 51, Illumina, Inc. (a) 40,441 92,198 Pharmaceuticals 7.2% 882 Allergan plc (a) 203,042 1,470 Bristol-Myers Squibb Co. (j) 79,288 1,348 Eli Lilly & Co. (j) 108, Merck & Co., Inc. 59,878 7,674 Pfizer, Inc. 259, ,341 Total Health Care 1,893,714 Industrials 13.1% Aerospace & Defense 1.3% 233 General Dynamics Corp. 36, L-3 Communications Holdings, Inc. 16, Northrop Grumman Corp. 78, ,827 Airlines 2.6% 2,985 Delta Air Lines, Inc. (j) 117, Southwest Airlines Co. 24, Spirit Airlines, Inc. (a) (j) 7,101 1,982 United Continental Holdings, Inc. (a) (j) 103, ,953

6 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Long Positions continued Common Stocks continued Building Products 1.4% 825 Allegion plc, (Ireland) (j) 56, Lennox International, Inc. 26,305 1,661 Masco Corp. (j) 56, ,136 Commercial Services & Supplies 0.2% 198 Waste Connections, Inc., (Canada) (j) 14,811 Industrial Conglomerates 4.3% 4,683 General Electric Co. (j) 138,723 2,427 Honeywell International, Inc. 282, ,636 Machinery 2.6% 202 Ingersoll-Rand plc 13, PACCAR, Inc. (j) 53, Parker-Hannifin Corp. 8, Snap-on, Inc. 40,408 1,171 Stanley Black & Decker, Inc. (j) 144, ,119 Road & Rail 0.7% 241 Canadian Pacific Railway Ltd., (Canada) 36, Union Pacific Corp. (j) 33,183 69,909 Total Industrials 1,291,391 Information Technology 28.3% Electronic Equipment, Instruments & Components 0.5% 823 TE Connectivity Ltd., (Switzerland) (j) 52,974 Internet Software & Services 6.6% 255 Alphabet, Inc., Class A (a) (j) 204, Alphabet, Inc., Class C (a) (j) 295,707 1,190 Facebook, Inc., Class A (a) (j) 152, ,134 IT Services 5.4% 1,045 Accenture plc, (Ireland), Class A 127,629 1,822 Fidelity National Information Services, Inc. 140, First Data Corp., Class A (a) (j) 12, MasterCard, Inc. 71, PayPal Holdings, Inc. (a) 11,840 1,663 Visa, Inc., Class A (j) 137, WEX, Inc. (a) (j) 31, ,197 Semiconductors & Semiconductor Equipment 8.3% 1,104 Analog Devices, Inc. 71, Applied Materials, Inc. 8,526 1,803 Broadcom Ltd., (Singapore) 311, Lam Research Corp. 83, Marvell Technology Group Ltd., (Bermuda) 10,540 1,237 NXP Semiconductors N.V., (Netherlands) (a) 126, QUALCOMM, Inc. 40, Skyworks Solutions, Inc. 40,126

7 1,750 Texas Instruments, Inc. 122, ,976 Software 4.4% 736 Adobe Systems, Inc. (a) (j) 79,926 5,525 Microsoft Corp. (j) 318, Workday, Inc., Class A (a) 31, ,429 Technology Hardware, Storage & Peripherals 3.1% 2,075 Apple, Inc. 234, Hewlett Packard Enterprise Co. 10,639 2,663 HP, Inc. 41, Western Digital Corp. 14, ,493 Total Information Technology 2,784,203 Materials 3.9% Chemicals 2.2% 355 CF Industries Holdings, Inc. 8, Dow Chemical Co. (The) 8,499 1,044 E.I. du Pont de Nemours & Co. 69,924 1,336 Eastman Chemical Co. 90, Mosaic Co. (The) (j) 17, PPG Industries, Inc. (j) 12, Scotts Miracle-Gro Co. (The), Class A 4, Westlake Chemical Corp. 5, ,206 Construction Materials 0.5% 43 Martin Marietta Materials, Inc. (j) 7, Vulcan Materials Co. 45,270 52,962 Containers & Packaging 1.0% 659 Crown Holdings, Inc. (a) 37,598

8 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Long Positions continued Common Stocks continued Containers & Packaging continued 292 Sealed Air Corp. 13, WestRock Co. 48,168 99,162 Metals & Mining 0.2% 863 United States Steel Corp. 16,281 Total Materials 386,611 Real Estate 2.2% Equity Real Estate Investment Trusts (REITs) 2.2% 357 AvalonBay Communities, Inc. (j) 63, Boston Properties, Inc. (j) 8, Brixmor Property Group, Inc. 7, HCP, Inc. 24,261 1,788 Kimco Realty Corp. 51, LaSalle Hotel Properties 15, Omega Healthcare Investors, Inc. (j) 19, SL Green Realty Corp. (j) 12, Spirit Realty Capital, Inc. (j) 3, STORE Capital Corp. (j) 6,221 Total Real Estate 212,406 Telecommunication Services 1.0% Diversified Telecommunication Services 0.6% 1,360 AT&T, Inc. 55,242 Wireless Telecommunication Services 0.4% 881 T-Mobile US, Inc. (a) (j) 41,176 Total Telecommunication Services 96,418 Utilities 3.4% Electric Utilities 2.6% 464 Edison International 33,518 1,084 Exelon Corp. 36,081 1,023 NextEra Energy, Inc. (j) 125, PG&E Corp. 47, Xcel Energy, Inc. (j) 21, ,912 Multi-Utilities 0.8% 487 CMS Energy Corp. (j) 20, Public Service Enterprise Group, Inc. 37, Sempra Energy 8, WEC Energy Group, Inc. (j) 10,140 77,070 Total Utilities 339,982 Total Common Stocks (Cost $9,489,951) 12,737,930 Short-Term Investment 0.8% Investment Company 0.8% 74,976 JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.350% (b) (l) (Cost $74,976) 74,976 Total Investments 130.1%

9 (Cost $9,564,927) 12,812,906 Liabilities in Excess of Other Assets (30.1)% (2,966,056) NET ASSETS 100.0% $ 9,846,850 Short Positions 29.6% Common Stocks 29.6% Consumer Discretionary 4.8% Auto Components 0.7% 211 Autoliv, Inc., (Sweden) 22, Lear Corp. 44,010 66,586 Automobiles 0.2% 1,574 Ford Motor Co. 19,004 Hotels, Restaurants & Leisure 0.6% 306 Darden Restaurants, Inc. 18, Marriott International, Inc., Class A 17, McDonald s Corp. 25,703 62,283 Household Durables 0.1% 252 Lennar Corp., Class A 10,652 Leisure Products 0.2% 266 Hasbro, Inc. 21,110 Media 1.3% 695 Discovery Communications, Inc., Class A (a) 18,721 1,178 Interpublic Group of Cos., Inc. (The) 26, Omnicom Group, Inc. 56,537

10 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Short Positions continued Common Stocks continued Media continued 384 Scripps Networks Interactive, Inc., Class A 24, ,949 Multiline Retail 0.6% 484 Kohl s Corp. 21, Target Corp. 39,022 60,214 Specialty Retail 0.6% 19 AutoZone, Inc. (a) 14, Bed Bath & Beyond, Inc. 35, Foot Locker, Inc. 9,812 59,298 Textiles, Apparel & Luxury Goods 0.5% 81 Hanesbrands, Inc. 2, lululemon athletica, Inc., (Canada) (a) 4, Ralph Lauren Corp. 5, Under Armour, Inc., Class A (a) 20, Under Armour, Inc., Class C (a) 10, V.F. Corp. 9,960 52,855 Total Consumer Discretionary 477,951 Consumer Staples 2.9% Food & Staples Retailing 1.3% 489 CVS Health Corp. 43, Sysco Corp. 34, Wal-Mart Stores, Inc. 20,328 1,083 Whole Foods Market, Inc. 30, ,870 Food Products 0.2% 60 Campbell Soup Co. 3, General Mills, Inc. 12,124 15,390 Household Products 1.4% 1,081 Church & Dwight Co., Inc. 51, Clorox Co. (The) 80, Colgate-Palmolive Co. 7, ,884 Total Consumer Staples 284,144 Energy 3.5% Energy Equipment & Services 0.4% 402 Helmerich & Payne, Inc. 27, National Oilwell Varco, Inc. 17,452 44,531 Oil, Gas & Consumable Fuels 3.1% 104 Cimarex Energy Co. 13,988 2,024 Enbridge, Inc., (Canada) 89,523 1,117 Exxon Mobil Corp. 97, Hess Corp. 6,616 1,266 Marathon Oil Corp. 20,017

11 533 Murphy Oil Corp. 16, Noble Energy, Inc. 5, ONEOK, Inc. 10, Southwestern Energy Co. (a) 1, Spectra Energy Corp. 40, ,315 Total Energy 345,846 Financials 3.8% Banks 1.3% 386 Associated Banc-Corp. 7,568 1,436 First Horizon National Corp. 21,871 1,119 People s United Financial, Inc. 17, PNC Financial Services Group, Inc. (The) 20, SunTrust Banks, Inc. 13,255 1,149 U.S. Bancorp 49, ,431 Capital Markets 0.6% 121 CME Group, Inc. 12, Franklin Resources, Inc. 22, T. Rowe Price Group, Inc. 24,670 60,199 Consumer Finance 0.1% 116 American Express Co. 7,433 Insurance 1.8% 338 Aflac, Inc. 24, Allstate Corp. (The) 25, Aon plc, (United Kingdom) 19, Lincoln National Corp. 13, Progressive Corp. (The) 10, Prudential Financial, Inc. 3, RenaissanceRe Holdings Ltd., (Bermuda) 7, Torchmark Corp. 14, Travelers Cos., Inc. (The) 31, W.R. Berkley Corp. 14, Willis Towers Watson plc, (United Kingdom) 7,820

12 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Short Positions continued Common Stocks continued Insurance continued 171,805 Total Financials 369,868 Health Care 3.5% Biotechnology 0.6% 577 AbbVie, Inc. 36, Amgen, Inc. 26,258 62,621 Health Care Equipment & Supplies 1.4% 1,048 Baxter International, Inc. 49, C.R. Bard, Inc. 40, Medtronic plc, (Ireland) 21, Varian Medical Systems, Inc. (a) 25, ,328 Health Care Providers & Services 0.6% 112 AmerisourceBergen Corp. 9, Cardinal Health, Inc. 29, Express Scripts Holding Co. (a) 19,988 58,576 Health Care Technology 0.4% 570 Cerner Corp. (a) 35,170 Life Sciences Tools & Services 0.2% 86 Waters Corp. (a) 13,703 Pharmaceuticals 0.3% 281 Johnson & Johnson 33,228 Total Health Care 341,626 Industrials 3.7% Aerospace & Defense 1.8% 549 Boeing Co. (The) 72, Lockheed Martin Corp. 79, United Technologies Corp. 27, ,442 Air Freight & Logistics 0.3% 295 C.H. Robinson Worldwide, Inc. 20, FedEx Corp. 8,085 28,905 Airlines 0.3% 732 American Airlines Group, Inc. 26,812 Electrical Equipment 0.4% 65 Acuity Brands, Inc. 17, Emerson Electric Co. 24,274 41,443 Industrial Conglomerates 0.3% 174 3M Co. 30,719 Machinery 0.2% 124 AGCO Corp. 6, Donaldson Co., Inc. 10,468

13 16,576 Trading Companies & Distributors 0.4% 96 Air Lease Corp. 2, Fastenal Co. 12, W.W. Grainger, Inc. 27,172 42,747 Total Industrials 366,644 Information Technology 2.6% Communications Equipment 0.6% 1,405 Cisco Systems, Inc. 44, Juniper Networks, Inc. 11,376 55,954 Electronic Equipment, Instruments & Components 0.1% 182 Amphenol Corp., Class A 11,819 IT Services 0.2% 148 Fiserv, Inc. (a) 14, International Business Machines Corp. 3,272 18,020 Semiconductors & Semiconductor Equipment 1.1% 572 Microchip Technology, Inc. 35, NVIDIA Corp. 6, Qorvo, Inc. (a) 2,433 1,262 Taiwan Semiconductor Manufacturing Co., Ltd., (Taiwan), ADR 38, Xilinx, Inc. 23, ,955 Software 0.3% 64 Citrix Systems, Inc. (a) 5, salesforce.com, Inc. (a) 28,427 33,866 Technology Hardware, Storage & Peripherals 0.3% 760 Seagate Technology plc 29,297 Total Information Technology 254,911

14 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Short Positions continued Common Stocks continued Materials 1.0% Chemicals 0.5% 12 Agrium, Inc., (Canada) 1, Air Products & Chemicals, Inc. 7, LyondellBasell Industries N.V., Class A 39,924 48,519 Containers & Packaging 0.3% 90 AptarGroup, Inc. 6, Avery Dennison Corp. 5, Ball Corp. 8, Sonoco Products Co. 8,142 29,403 Metals & Mining 0.2% 1,546 Alcoa, Inc. 15,676 Paper & Forest Products 0.0% (g) 55 Domtar Corp. 2,053 Total Materials 95,651 Real Estate 2.2% Equity Real Estate Investment Trusts (REITs) 2.2% 130 Digital Realty Trust, Inc. 12, Equity Residential 12, Essex Property Trust, Inc. 2, Federal Realty Investment Trust 22, General Growth Properties, Inc. 5, Healthcare Realty Trust, Inc. 10, Healthcare Trust of America, Inc., Class A 10, Host Hotels & Resorts, Inc. 13, Mid-America Apartment Communities, Inc. 2, Realty Income Corp. 3, UDR, Inc. 12,620 1,049 Ventas, Inc. 74, Welltower, Inc. 32,877 Total Real Estate 214,188 Telecommunication Services 0.2% Diversified Telecommunication Services 0.2% 385 Verizon Communications, Inc. 20,007 Utilities 1.4% Electric Utilities 0.9% 620 Duke Energy Corp. 49, FirstEnergy Corp. 13, Southern Co. (The) 23,105 86,277 Multi-Utilities 0.5% 186 Ameren Corp. 9, Consolidated Edison, Inc. 14, Dominion Resources, Inc. 27,219 50,874 Water Utilities 0.0% (g) 193 Aqua America, Inc. 5,877 Total Utilities 143,028 Total Securities Sold Short (Proceeds $2,831,431) $2,913,864 Percentages indicated are based on net assets.

15 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS: ADR American Depositary Receipt (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. (g) Amount rounds to less than 0.05% (j) All or a portion of the security is segregated for short sales. (l) The rate shown is the current yield as of September 30, As of September 30, 2016, the gross unrealized appreciation (depreciation) of investments based on the aggregate cost of investments for federal income tax purposes was as follows: Aggregate gross unrealized appreciation $3,346,220 Aggregate gross unrealized depreciation (98,241) Net unrealized appreciation/depreciation $3,247,979 Federal income tax cost of investments $9,564,927 A. Valuation of Investments The valuation of investments is in accordance with U.S. generally accepted accounting principles ( GAAP ) and the Fund s valuation policies set forth by and under the supervision and responsibility of the Board of Trustees (the Board ), which established the following approach to valuation, as described more fully below: (i) investments for which market quotations are readily available shall be valued at such unadjusted quoted prices and (ii) all other investments for which market quotations are not readily available shall be valued at their fair value as determined in good faith by the Board. JPMorgan Investment Management, Inc. (the Administrator ) has established the J.P. Morgan Asset Management Americas Valuation Committee ( AVC ) to assist the Board with the oversight and monitoring of the valuation of the Fund s investments. The Administrator implements the valuation policies of the Fund s investments, as directed by the Board. The AVC oversees and carries out the policies for the valuation of investments held in the Fund. This includes monitoring the appropriateness of fair values based on results of ongoing valuation oversight, including but not limited to consideration of macro or security specific events, market events and pricing vendor and broker due diligence. The Administrator is responsible for discussing and assessing the potential impacts to the fair values on an ongoing basis, and at least on a quarterly basis with the AVC and the Board. Equities and other exchange-traded instruments are valued at the last sale price or official market closing price on the primary exchange on which the instrument is traded before the net asset values ( NAV ) of the Fund are calculated on a valuation date. Investments in open-end investment companies (the Underlying Funds ), are valued at each Underlying Fund s NAV per share as of the report date. Valuations reflected in this report are as of the report date. As a result, changes in valuation due to market events and/or issuer related events after the report date and prior to issuance of the report are not reflected herein. The various inputs that are used in determining the valuation of the Fund s investments are summarized into the three broad levels listed below. Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. Level 2 Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund s assumptions in determining the fair value of investments). A financial instrument s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments. The following table represents each valuation input as presented on the Schedule of Portfolio Investments ( SOI ) (amounts in thousands):

16 Level 1 Quoted prices Level 2 Other significant observable inputs Level 3 Significant unobservable inputs Total Total Investments in Securities (a) $12,812,906 $ $ $12,812,906 Total Liabilities for Securities Sold Short (a) $ (2,913,864) $ $ $ (2,913,864) (a) All portfolio holdings designated as level 1 are disclosed individually on the SOI. Please refer to the SOI for industry specifics of portfolio holdings. There were no transfers among any levels during the period ended September 30, 2016.