JPMorgan Hedged Equity 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 AS OF SEPTEMBER 30, 2016 (Unaudited) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks 98.5% Consumer Discretionary 13.1% Auto Components 0.3% 10 Delphi Automotive plc, (United Kingdom) Johnson Controls International plc Automobiles 0.5% 13 Ford Motor Co General Motors Co. (o) 1,110 1,261 Hotels, Restaurants & Leisure 1.3% 13 Royal Caribbean Cruises Ltd Starbucks Corp. (o) 1, Yum! Brands, Inc ,439 Household Durables 0.7% 14 D.R. Horton, Inc Harman International Industries, Inc Mohawk Industries, Inc. (a) Newell Brands, Inc PulteGroup, Inc Toll Brothers, Inc. (a) 268 1,907 Internet & Direct Marketing Retail 1.9% 6 Amazon.com, Inc. (a) 4,844 Media 4.2% 7 Charter Communications, Inc., Class A (a) 1, Comcast Corp., Class A 3, DISH Network Corp., Class A (a) Sirius XM Holdings, Inc. (a) Time Warner, Inc. (o) 2, Twenty-First Century Fox, Inc., Class A (o) 2,214 10,958 Multiline Retail 0.3% 12 Dollar General Corp. 868 Specialty Retail 3.6% 1 AutoNation, Inc. (a) Best Buy Co., Inc Home Depot, Inc. (The) 3, Lowe s Cos., Inc. (o) 2,251 4 O Reilly Automotive, Inc. (a) 1,119 6 Ross Stores, Inc Signet Jewelers Ltd. (o) 50 2 Tiffany & Co. (o) TJX Cos., Inc. (The) (o) 1,868 9,381 Textiles, Apparel & Luxury Goods 0.3% 5 NIKE, Inc., Class B PVH Corp Ralph Lauren Corp V.F. Corp. (o) Total Consumer Discretionary 34,283

3 Consumer Staples 9.3% Beverages 3.4% 1 Boston Beer Co., Inc. (The), Class A (a) Coca-Cola Co. (The) (o) 1,627 8 Constellation Brands, Inc., Class A (o) 1,299 3 Dr. Pepper Snapple Group, Inc Molson Coors Brewing Co., Class B (o) 1, PepsiCo, Inc. (o) 3,823 8,983 Food & Staples Retailing 1.6% 10 Costco Wholesale Corp. (o) 1, Kroger Co. (The) 1, Walgreens Boots Alliance, Inc. 1,579 (h) Wal-Mart Stores, Inc. 30 4,181 Food Products 1.2% 5 Archer-Daniels-Midland Co. (o) Hershey Co. (The) JM Smucker Co. (The) Mondelez International, Inc., Class A (o) 2,301 3,092 Household Products 2.0% 17 Kimberly-Clark Corp. (o) 2, Procter & Gamble Co. (The) (o) 3,007 5,160 Tobacco 1.1% 15 Philip Morris International, Inc. 1, Reynolds American, Inc. 1,503 2,929 Total Consumer Staples 24,345

4 AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks continued Energy 7.1% Energy Equipment & Services 0.7% 11 Halliburton Co National Oilwell Varco, Inc Schlumberger Ltd. (o) 1,093 1,697 Oil, Gas & Consumable Fuels 6.4% 19 Cabot Oil & Gas Corp Chevron Corp. (o) 2,285 3 Concho Resources, Inc. (a) ConocoPhillips Diamondback Energy, Inc. (a) EOG Resources, Inc. 1, EQT Corp Exxon Mobil Corp. 4, Kinder Morgan, Inc Marathon Petroleum Corp Occidental Petroleum Corp. (o) 1,567 9 Pioneer Natural Resources Co. 1, Valero Energy Corp ,780 Total Energy 18,477 Financials 13.0% Banks 4.8% 202 Bank of America Corp. (o) 3, Citigroup, Inc. 3,514 5 Citizens Financial Group, Inc KeyCorp Regions Financial Corp SVB Financial Group (a) Wells Fargo & Co. 4,028 5 Zions Bancorporation ,480 Capital Markets 3.3% 16 Bank of New York Mellon Corp. (The) BlackRock, Inc. 1, Charles Schwab Corp. (The) (o) 1,652 4 Goldman Sachs Group, Inc. (The) (o) Intercontinental Exchange, Inc. (o) 1, Morgan Stanley (o) 2, State Street Corp. (o) 1,031 6 TD Ameritrade Holding Corp ,745 Consumer Finance 0.9% 8 American Express Co Capital One Financial Corp. 1, Discover Financial Services 614 2,225 Diversified Financial Services 1.3% 24 Berkshire Hathaway, Inc., Class B (a) 3,478 (h) Voya Financial, Inc. 10 3,488 Insurance 2.7%

5 22 American International Group, Inc. (o) 1, Arthur J. Gallagher & Co Chubb Ltd., (Switzerland) 1,823 2 Everest Re Group Ltd., (Bermuda) Hartford Financial Services Group, Inc. (The) MetLife, Inc. (o) 2, XL Group Ltd., (Bermuda) 495 7,056 Total Financials 33,994 Health Care 14.5% Biotechnology 3.2% 7 Alexion Pharmaceuticals, Inc. (a) Amgen, Inc Biogen, Inc. (a) (o) 2,042 1 BioMarin Pharmaceutical, Inc. (a) Celgene Corp. (a) (o) 1, Gilead Sciences, Inc. 2,389 8 Vertex Pharmaceuticals, Inc. (a) 678 8,296 Health Care Equipment & Supplies 1.8% 46 Abbott Laboratories (o) 1,959 1 Becton, Dickinson and Co Boston Scientific Corp. (a) (o) 1,682 6 Danaher Corp Stryker Corp. (o) 285 4,635 Health Care Providers & Services 2.8% 13 Aetna, Inc. (o) 1,507 2 Anthem, Inc Cigna Corp HCA Holdings, Inc. (a) Humana, Inc Laboratory Corp. of America Holdings (a) 181

6 AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION Common Stocks continued VALUE($) Health Care Providers & Services continued 3 McKesson Corp. (o) Quest Diagnostics, Inc UnitedHealth Group, Inc. (o) 3,078 7,285 Life Sciences Tools & Services 0.7% 4 Agilent Technologies, Inc Illumina, Inc. (a) Thermo Fisher Scientific, Inc ,952 Pharmaceuticals 6.0% 9 Allergan plc (a) (o) 2, Bristol-Myers Squibb Co. 2, Eli Lilly & Co. (o) 2, Johnson & Johnson (o) 2, Merck & Co., Inc. (o) 1,178 5 Mylan N.V. (a) Pfizer, Inc. 4,438 15,690 Total Health Care 37,858 Industrials 9.6% Aerospace & Defense 1.6% 8 General Dynamics Corp. 1,250 3 L-3 Communications Holdings, Inc Northrop Grumman Corp Textron, Inc United Technologies Corp. (o) 1,632 4,285 Air Freight & Logistics 0.1% 2 United Parcel Service, Inc., Class B 256 Airlines 0.7% 24 Delta Air Lines, Inc United Continental Holdings, Inc. (a) 868 1,793 Building Products 0.4% 9 Allegion plc, (Ireland) Masco Corp ,104 Construction & Engineering 0.2% 9 Fluor Corp. (o) 469 Electrical Equipment 0.7% 24 Eaton Corp. plc (o) 1,579 3 Emerson Electric Co ,735 Industrial Conglomerates 2.3% 1 3M Co General Electric Co. (o) 3, Honeywell International, Inc. (o) 2,706 6,027 Machinery 2.1% 6 Cummins, Inc. (o) Deere & Co. 205

7 2 Fortive Corp. (o) Ingersoll-Rand plc PACCAR, Inc. (o) 1,459 2 Parker-Hannifin Corp. (o) Pentair plc, (United Kingdom) Snap-on, Inc Stanley Black & Decker, Inc. 1,292 5,449 Road & Rail 1.5% 7 Canadian Pacific Railway Ltd., (Canada) 1, Union Pacific Corp. 2,837 3,936 Total Industrials 25,054 Information Technology 21.6% Communications Equipment 0.5% 41 Cisco Systems, Inc. (o) 1,311 Electronic Equipment, Instruments & Components 0.6% 24 TE Connectivity Ltd., (Switzerland) (o) 1,546 Internet Software & Services 5.1% 5 Alphabet, Inc., Class A (a) 4,075 5 Alphabet, Inc., Class C (a) 3, Facebook, Inc., Class A (a) 5,153 13,201 IT Services 3.7% 30 Accenture plc, (Ireland), Class A 3,610 2 Automatic Data Processing, Inc Cognizant Technology Solutions Corp., Class A (a) (o) Fidelity National Information Services, Inc. (o) 1,306 3 MasterCard, Inc PayPal Holdings, Inc. (a) Vantiv, Inc., Class A (a) Visa, Inc., Class A (o) 2,563 4 WEX, Inc. (a) 428 9,546

8 AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks continued Semiconductors & Semiconductor Equipment 3.6% 19 Analog Devices, Inc. 1, Broadcom Ltd., (Singapore) (o) 3,119 3 KLA-Tencor Corp Lam Research Corp. (o) 1, NXP Semiconductors N.V., (Netherlands) (a) Texas Instruments, Inc. (o) 1,882 9,368 Software 4.3% 25 Adobe Systems, Inc. (a) (o) 2, Microsoft Corp. 8,106 9 Oracle Corp. (o) Workday, Inc., Class A (a) ,352 Technology Hardware, Storage & Peripherals 3.8% 78 Apple, Inc. (o) 8,781 6 Hewlett Packard Enterprise Co HP, Inc. 1,118 10,040 Total Information Technology 56,364 Materials 2.8% Chemicals 2.0% 21 Dow Chemical Co. (The) 1, E.I. du Pont de Nemours & Co. 1, Eastman Chemical Co. 1,283 4 Monsanto Co Mosaic Co. (The) (o) 893 5,185 Construction Materials 0.1% 2 Martin Marietta Materials, Inc. (o) 296 Containers & Packaging 0.6% 15 Crown Holdings, Inc. (a) Sealed Air Corp WestRock Co ,476 Metals & Mining 0.1% 7 Newmont Mining Corp United States Steel Corp Total Materials 7,262 Real Estate 2.6% Equity Real Estate Investment Trusts (REITs) 2.6% 2 American Tower Corp Apartment Investment & Management Co., Class A AvalonBay Communities, Inc. 1,010 2 Equinix, Inc Essex Property Trust, Inc Extra Space Storage, Inc HCP, Inc Kimco Realty Corp LaSalle Hotel Properties Liberty Property Trust Macerich Co. (The) 62

9 9 Prologis, Inc Public Storage Regency Centers Corp Simon Property Group, Inc. (o) SL Green Realty Corp STORE Capital Corp. 198 Total Real Estate 6,784 Telecommunication Services 1.8% Diversified Telecommunication Services 1.7% 79 AT&T, Inc. (o) 3, Verizon Communications, Inc. (o) 1,142 4,364 Wireless Telecommunication Services 0.1% 9 T-Mobile US, Inc. (a) 423 Total Telecommunication Services 4,787 Utilities 3.1% Electric Utilities 1.9% 16 Edison International (o) 1,187 6 Exelon Corp NextEra Energy, Inc. (o) 2, PG&E Corp Xcel Energy, Inc. (o) 1,076 5,127 Multi-Utilities 1.2% 20 CMS Energy Corp Public Service Enterprise Group, Inc. 1,006 9 Sempra Energy WEC Energy Group, Inc ,100 Total Utilities 8,227 Total Common Stocks (Cost $226,320) 257,435

10 AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands, except number of Futures and Options contracts) NUMBER OF CONTRACTS SECURITY DESCRIPTION VALUE($) Option Purchased 1.4% Put Option Purchased: 1.4% 1,200 S&P 500 Index, expiring 12/30/16 at $ , European Style (Cost $3,483) 3,666 PRINCIPAL AMOUNT($) Short-Term Investments 3.4% U.S. Treasury Obligation 0.0% (g) 60 U.S. Treasury Bill, 0.470%, 03/30/17 (k) (n) 60 SHARES Investment Company 3.4% 8,904 JPMorgan U.S. Government Money Market Fund, Institutional Class Shares, 0.350% (b) (l) 8,904 Total Short-Term Investments (Cost $8,964) 8,964 Total Investments 103.3% (Cost $238,767) 270,065 Liabilities in Excess of Other Assets (3.3)% (8,603) NET ASSETS 100.0% $261,462 Percentages indicated are based on net assets. Futures Contracts NUMBER OF CONTRACTS DESCRIPTION OPTIONS WRITTEN (Amounts in thousands, except number of Options contracts) Call Option Written DESCRIPTION EXPIRATION DATE TRADING CURRENCY NOTIONAL VALUE AT SEPTEMBER 30, 2016 NET UNREALIZED APPRECIATION (DEPRECIATION) Long Futures Outstanding 29 E-mini S&P /16/16 USD 3,133 $ 53 EXERCISE PRICE EXPIRATION DATE NUMBER OF CONTRACTS S&P 500 Index, European Style (Premiums received of $2,300) $2, /30/16 1,200 $(2,160) VALUE Put Option Written DESCRIPTION EXERCISE PRICE EXPIRATION DATE NUMBER OF CONTRACTS S&P 500 Index, European Style (Premiums received of $560) $2, /30/16 1,200 $ (606) VALUE

11 AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) (Amounts in thousands) NOTES TO : 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. (k) All or a portion of this security is deposited with the broker as initial margin for future contracts. (l) The rate shown is the current yield as of September 30, (n) The rate shown is the effective yield at the date of purchase. (o) All or a portion of the security is segregated for options written. 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 $ 35,483 Aggregate gross unrealized depreciation (4,185) Net unrealized appreciation/depreciation $ 31,298 Federal income tax cost of investments $238,767 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. Fixed income instruments are valued based on prices received from Pricing Services. The Pricing Services use multiple valuation techniques to determine the valuation of fixed income instruments. In instances where sufficient market activity exists, the Pricing Services may utilize a market-based approach through which trades or quotes from market makers are used to determine the valuation of these instruments. In instances where sufficient market activity may not exist, the Pricing Services also utilize proprietary valuation models which may consider market transactions in comparable securities and the various relationships between securities in determining fair value and/or market characteristics in order to estimate the relevant cash flows, which are then discounted to calculate the fair values. 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. 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.

12 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.

13 AS OF SEPTEMBER 30, 2016 (Unaudited) (continued) The following table represents each valuation input as presented on the Schedule of Portfolio Investments ( SOI ) (amounts in thousands): Level 1 Quoted prices Level 2 Other significant observable inputs Level 3 Significant unobservable inputs Total Total Investments in Securities (a) $ 270,005 $ 60 $ $270,065 Appreciation in Other Financial Instruments Futures Contracts $ 53 $ $ $ 53 Depreciation in Other Financial Instruments Options Written Call Option Written $ (2,160) $ $ $ (2,160) Put Option Written (606) (606) Total Depreciation in Other Financial Instruments $ (2,766) $ $ $ (2,766) (a) All portfolio holdings designated as level 1 and level 2 are disclosed individually on the SOI. Level 2 consists of a U.S. Treasury Bill that is held as initial margin for futures contracts. 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.