JPMorgan Hedged Equity Fund Schedule of Portfolio Investments as of March 31, 2018 (Unaudited)

Transcription

1 Schedule of Portfolio Investments as of March 31, 2018 (Unaudited) THE UNAUDITED CERTIFIED MUTUAL FUNDS HOLDINGS LIST ( the List ) IS TO BE USED FOR REPORTING PURPOSES ONLY. IT IS NOT TO BE REPRODUCED FOR USE AS ADVERTISING OR SALES LITERATURE WITH THE GENERAL PUBLIC. The list is submitted for the general information of the shareholders of the Fund. It is not authorized for distribution to prospective investors in the Fund unless preceded or accompanied by a prospectus. The list has been created from the books and records of the Fund. Certified holdings are available 60 days after the fund s fiscal quarter, using a trade date accounting convention, by contacting the appropriate service center. The list is subject to change without notice. The list is for informational purposes only and is not intended as an offer or solicitation with respect to the purchase or sale of any security. 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., 2018.

2 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF MARCH 31, 2018 (Unaudited) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks 98.1% Consumer Discretionary 14.0% Auto Components 0.3% 42 Aptiv plc 3, Delphi Technologies plc 2,242 5,787 Automobiles 0.5% 826 Ford Motor Co. (o) 9,152 Diversified Consumer Services 0.0% (g) 36 H&R Block, Inc. 925 Hotels, Restaurants & Leisure 0.9% 92 Hilton Worldwide Holdings, Inc. 7, Royal Caribbean Cruises Ltd. 3, Starbucks Corp. 3, Yum Brands, Inc. 4,599 18,392 Household Durables 0.4% 111 Lennar Corp., Class A 6, Toll Brothers, Inc. (o) 1,343 7,885 Internet & Direct Marketing Retail 3.2% 38 Amazon.com, Inc. (a) (o) 54,790 2 Booking Holdings, Inc. (a) 4, Expedia, Inc. 2, Netflix, Inc. (a) 3,928 65,393 Media 4.1% 52 Charter Communications, Inc., Class A (a) (o) 16, Comcast Corp., Class A (o) 26, DISH Network Corp., Class A (a) 4, Sirius XM Holdings, Inc. 2, Time Warner, Inc. 5, Twenty-First Century Fox, Inc., Class A 13, Walt Disney Co. (The) 15,378 83,471 Multiline Retail 0.7% 43 Dollar General Corp. 4, Dollar Tree, Inc. (a) 10,941 14,973 Specialty Retail 3.0% 13 AutoZone, Inc. (a) 8, Best Buy Co., Inc. 6, Home Depot, Inc. (The) (o) 23, Lowe s Cos., Inc. (o) 11, O Reilly Automotive, Inc. (a) 4, Ross Stores, Inc. 5,627 60,626 Textiles, Apparel & Luxury Goods 0.9% 147 NIKE, Inc., Class B 9, PVH Corp. 8,409

3 18,192 Total Consumer Discretionary 284,796 Consumer Staples 7.2% Beverages 2.4% 112 Coca-Cola Co. (The) 4, Constellation Brands, Inc., Class A 5, Molson Coors Brewing Co., Class B (o) 13, PepsiCo, Inc. 23,973 48,112 Food & Staples Retailing 0.8% 90 CVS Health Corp. 5, Kroger Co. (The) 3, Walgreens Boots Alliance, Inc. 8,350 17,263 Food Products 1.1% 54 Kraft Heinz Co. (The) (o) 3, Mondelez International, Inc., Class A 17,992 21,356 Household Products 0.8% 105 Colgate-Palmolive Co. 7, Procter & Gamble Co. (The) 9,294 16,792 Personal Products 0.7% 92 Estee Lauder Cos., Inc. (The), Class A 13,774 Tobacco 1.4% 16 Altria Group, Inc. 1, Philip Morris International, Inc. (o) 26,832 27,842 Total Consumer Staples 145,139 Energy 5.5% Oil, Gas & Consumable Fuels 5.5% 12 Andeavor 1, Chevron Corp. (o) 20, Concho Resources, Inc. (a) (o) 7, Diamondback Energy, Inc. (a) 9,637

4 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF MARCH 31, 2018 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks continued Oil, Gas & Consumable Fuels continued 164 EOG Resources, Inc. 17, EQT Corp. 4, Exxon Mobil Corp. (o) 18, Marathon Petroleum Corp. 7, Occidental Petroleum Corp. 7, ONEOK, Inc. 4, Pioneer Natural Resources Co. (o) 14,542 Total Energy 112,370 Financials 14.4% Banks 5.8% 1,356 Bank of America Corp. (o) 40, BB&T Corp. 6, Citigroup, Inc. 28, Fifth Third Bancorp 1, Huntington Bancshares, Inc. 1, KeyCorp 6, SunTrust Banks, Inc. 3, SVB Financial Group (a) 2, Wells Fargo & Co. (o) 25, ,815 Capital Markets 3.5% 165 Bank of New York Mellon Corp. (The) 8, BlackRock, Inc. 5, Charles Schwab Corp. (The) (o) 10,804 6 CME Group, Inc. 1, Intercontinental Exchange, Inc. 7, Morgan Stanley (o) 20, State Street Corp. (o) 15,949 70,237 Consumer Finance 1.0% 98 American Express Co. 9, Capital One Financial Corp. 10,644 19,741 Diversified Financial Services 1.7% 158 Berkshire Hathaway, Inc., Class B (a) (o) 31, Voya Financial, Inc. 4,168 35,722 Insurance 2.4% 282 American International Group, Inc. 15, Arthur J Gallagher & Co. 2,593 9 Chubb Ltd. 1,193 9 Everest Re Group Ltd. 2, Hartford Financial Services Group, Inc. (The) 9, Lincoln National Corp. 6, MetLife, Inc. (o) 11,549 48,059 Total Financials 291,574 Health Care 13.2% Biotechnology 2.4%

5 90 AbbVie, Inc. 8, Alexion Pharmaceuticals, Inc. (a) 2, Amgen, Inc. 4, Biogen, Inc. (a) 9,339 9 BioMarin Pharmaceutical, Inc. (a) Celgene Corp. (a) 6, Gilead Sciences, Inc. 9, Vertex Pharmaceuticals, Inc. (a) 7,763 49,598 Health Care Equipment & Supplies 2.9% 220 Abbott Laboratories 13, Becton Dickinson and Co. 7, Boston Scientific Corp. (a) (o) 10,738 5 Cooper Cos., Inc. (The) 1, Danaher Corp. 5,293 7 Intuitive Surgical, Inc. (a) 2, Medtronic plc 8, Zimmer Biomet Holdings, Inc. 9,307 58,565 Health Care Providers & Services 2.5% 47 AmerisourceBergen Corp. 4, Cigna Corp. 12, UnitedHealth Group, Inc. (o) 33,556 50,139 Life Sciences Tools & Services 0.7% 28 Agilent Technologies, Inc. 1, Illumina, Inc. (a) 3,051 2 Mettler-Toledo International, Inc. (a) 1, Thermo Fisher Scientific, Inc. 7,200 13,472 Pharmaceuticals 4.7% 54 Allergan plc 9, Bristol-Myers Squibb Co. 10, Eli Lilly & Co. (o) 13, Johnson & Johnson 23, Merck & Co., Inc. (o) 11,981

6 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF MARCH 31, 2018 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks continued Pharmaceuticals continued 73 Mylan NV (a) 2, Pfizer, Inc. (o) 25,646 96,295 Total Health Care 268,069 Industrials 10.5% Aerospace & Defense 2.3% 15 Boeing Co. (The) 4, General Dynamics Corp. (o) 13, Harris Corp. 1, Northrop Grumman Corp. 12, United Technologies Corp. 12,319 45,664 Airlines 0.6% 186 Delta Air Lines, Inc. 10, United Continental Holdings, Inc. (a) 1,420 11,638 Building Products 0.8% 79 Allegion plc 6, Masco Corp. 8,370 15,127 Electrical Equipment 0.6% 163 Eaton Corp. plc (o) 13,020 Industrial Conglomerates 1.1% 157 Honeywell International, Inc. (o) 22,633 Machinery 2.9% 15 Caterpillar, Inc. 2, Cummins, Inc. 5, Deere & Co. 6, Ingersoll-Rand plc 15, PACCAR, Inc. (o) 6, Parker-Hannifin Corp. (o) 2, Snap-on, Inc. 7, Stanley Black & Decker, Inc. 14,968 59,311 Road & Rail 1.9% 103 Norfolk Southern Corp. (o) 14, Union Pacific Corp. (o) 25,397 39,416 Trading Companies & Distributors 0.3% 83 Fastenal Co. 4,553 6 United Rentals, Inc. (a) 984 5,537 Total Industrials 212,346 Information Technology 24.5% Communications Equipment 0.3% 128 Cisco Systems, Inc. 5,489 Electronic Equipment, Instruments & Components 0.1% 16 TE Connectivity Ltd. 1,559

7 Internet Software & Services 5.0% 35 Alphabet, Inc., Class A (a) (o) 36, Alphabet, Inc., Class C (a) (o) 35, Facebook, Inc., Class A (a) (o) 30, ,306 IT Services 4.0% 113 Accenture plc, Class A (o) 17,363 9 Alliance Data Systems Corp. 1, Fidelity National Information Services, Inc. 13, International Business Machines Corp. 10, Visa, Inc., Class A (o) 33, Worldpay, Inc. (a) 4,445 81,536 Semiconductors & Semiconductor Equipment 4.4% 220 Analog Devices, Inc. (o) 20, Broadcom Ltd. 13, Intel Corp. 4, Microchip Technology, Inc. 7, Micron Technology, Inc. (a) 2, NVIDIA Corp. (o) 19, Texas Instruments, Inc. (o) 21,373 88,554 Software 6.2% 15 Activision Blizzard, Inc. 1, Adobe Systems, Inc. (a) (o) 19, Intuit, Inc. 6, Microsoft Corp. (o) 80, Oracle Corp. (o) 12, Workday, Inc., Class A (a) 5, ,356 Technology Hardware, Storage & Peripherals 4.5% 437 Apple, Inc. (o) 73, Hewlett Packard Enterprise Co. 9, HP, Inc. (o) 8,164 90,930 Total Information Technology 495,730

8 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF MARCH 31, 2018 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks continued Materials 2.9% Chemicals 2.1% 48 Celanese Corp., Series A 4, DowDuPont, Inc. (o) 24, Eastman Chemical Co. 12,791 (h) Mosaic Co. (The) (o) 11 42,170 Construction Materials 0.0% (g) 10 Vulcan Materials Co. 1,142 Containers & Packaging 0.4% 44 Crown Holdings, Inc. (a) 2, WestRock Co. 5,092 7,324 Metals & Mining 0.4% 61 Alcoa Corp. (a) 2, Freeport-McMoRan, Inc. (a) 3, Newmont Mining Corp. 1,700 7,499 Total Materials 58,135 Real Estate 2.3% Equity Real Estate Investment Trusts (REITs) 2.3% 22 American Tower Corp. 3, AvalonBay Communities, Inc. 8, Brixmor Property Group, Inc Digital Realty Trust, Inc. 1,433 8 Equinix, Inc. 3, Equity Residential 7, Federal Realty Investment Trust 3, HCP, Inc. (o) 2, Prologis, Inc. 2, Public Storage 8, Vornado Realty Trust 5,666 Total Real Estate 45,868 Telecommunication Services 0.8% Diversified Telecommunication Services 0.6% 131 AT&T, Inc. 4, Verizon Communications, Inc. (o) 7,110 11,773 Wireless Telecommunication Services 0.2% 63 T-Mobile US, Inc. (a) 3,866 Total Telecommunication Services 15,639 Utilities 2.8% Electric Utilities 2.4% 130 American Electric Power Co., Inc. 8, Exelon Corp. 5, NextEra Energy, Inc. (o) 19, PG&E Corp. 1, Xcel Energy, Inc. 11,956 47,817 Multi-Utilities 0.4%

9 184 Public Service Enterprise Group, Inc. 9,229 Total Utilities 57,046 Total Common Stocks (Cost $1,840,498) 1,986,712 NUMBER OF CONTRACTS Options Purchased 1.9% 7,637 S&P 500 Index, expiring 06/29/2018 at USD 2,510.00, European Style (a) Notional Amount: USD 2,016,832 Exchange Traded (Cost $39,736) 39,216 SHARES Short-Term Investment 1.4% Investment Company 1.4% 28,683 JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 1.54% (b) (l) (Cost $28,683) 28,683 Total Investments 101.4% (Cost $1,908,917) 2,054,611 Liabilities in Excess of Other Assets (1.4)% (28,287) NET ASSETS 100.0% $2,026,324 Percentages indicated are based on net assets.

10 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF MARCH 31, 2018 (Unaudited) (continued) (Amounts in thousands, except number of Futures and Options contracts) Futures contracts outstanding as of March 31, 2018: Description Number of Contracts Expiration Date Trading Currency Notional Amount ($) Value and Unrealized Appreciation (Depreciation) ($) Long Contracts S&P 500 E-Mini Index /2018 USD 31, Written Call Options Contracts as of March 31, 2018: Description Counterparty Number of Contracts Notional Amount Exercise Price Expiration Date Value ($) S&P 500 Index Exchange Traded 7,637 USD 2,016,832 USD 2, /29/2018 (29,746) Written Put Options Contracts as of March 31, 2018: Description Counterparty Number of Contracts Notional Amount Exercise Price Expiration Date Value ($) S&P 500 Index Exchange Traded 7,637 USD 2,016,832 USD 2, /29/2018 (7,675) Total Written Options Contracts (Premiums Received $38,139) (37,421) NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS: 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. (g) Amount rounds to less than 0.05%. (h) Amount rounds to less than 500. (o) All or a portion of the security is segregated for options written. (l) The rate shown is the current yield as of March 31, 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. Futures and options are generally valued on the basis of available market quotations.

11 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.

12 SCHEDULE OF PORTFOLIO INVESTMENTS AS OF MARCH 31, 2018 (Unaudited) (continued) (Amounts in thousands) Level 1 Unadjusted inputs using quoted prices in active markets for identical investments. Level 2 Other significant observable inputs including, but not limited to, quoted prices for similar investments, inputs other than quoted prices that are observable for investments (such as interest rates, prepayment speeds, credit risk, etc.) or other market corroborated inputs. Level 3 Significant inputs based on the best information available in the circumstances, to the extent observable inputs are not available (including the Fund s assumptions in determining the fair value of investments). A financial instrument s level within the fair value hierarchy is based on the lowest level of any input, both individually and in the aggregate, that is significant to the fair value measurement. The inputs or methodology used for valuing instruments are not necessarily an indication of the risk associated with investing in those instruments. The following table represents each valuation input as presented on the Schedule of Portfolio Investments ( SOI ): Level 1 Quoted prices Level 2 Other significant observable inputs Level 3 Significant unobservable inputs Total Investments in Securities (a) $2,054,611 $ $ $2,054,611 Appreciation in Other Financial Instruments Futures Contracts (a) $ 267 $ $ $ 267 Depreciation in Other Financial Instruments Options Written (a) Call Option Written $ (29,746) $ $ $ (29,746) Put Option Written (7,675) (7,675) Total Depreciation in Other Financial Instruments $ (37,421) $ $ $ (37,421) Total (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 March 31, 2018.