JPMorgan Funds statistics report: Research Market Neutral Fund

NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE JPMorgan Funds statistics report: Research Market Neutral Fund Offered on a limited basis - L Shares jpmorganfunds.com

Table of contents PERFORMANCE ATTRIBUTION Performance at NAV 3 Performance attribution: One month 10 Calendar year returns 3 Performance attribution: Quarter 11 EXPENSES Performance attribution: YTD 12 Annual expenses 4 Performance attribution: One year 13 CHARACTERISTICS Performance attribution: Three year 14 Fund statistics 5 Stock attribution: One month 15 Percentage of portfolio 5 Stock attribution: Quarter 15 Barra factors 5 Stock attribution: YTD 16 Number of stocks 5 Stock attribution: One year 16 Net percent of portfolio by alpha quintile 5 Stock attribution: Three year 17 RISK COUNTRY EXPOSURE Risk measures 6 Asset allocation 18 RATINGS AND RANKINGS Regional allocation 18 Lipper rankings 7 DISCLOSURE Morningstar ratings 7 Disclosures 19 HOLDINGS Top ten holdings (%) 8 SECTORS Sector exposure (excluding cash) 9 2 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Performance Share class - inception date share class # A Shares - 2/28/2002 1118 1 with max 5.25% sales charge C Shares - 11/2/2009 2105 1 with max 1.00% CDSC I Shares - 11/2/2009 2106 1,* L Shares - 12/31/1998 1781 ICE BofAML 3-Month US Treasury Bill Index 1 month (%) 1.52-3.80 1.48 0.48 1.52 1.56 0.15 3 months (%) 3.60-1.87 3.47 2.47 3.71 3.71 0.49 3.57 3.71 1.30 4.59 4.70 1.59 AVERAGE ANNUAL TOTAL RETURNS (as of 9/30/2018) 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 original cost. Current performance may be higher or lower than the performance data shown. For performance current to the most recent month-end, please call 1-800-480-4111. YTD (%) 3.38-2.06 3.01 2.01 1 yr (%) 4.28-1.17 3.74 2.74 3 yrs (%) 1.48-0.33 0.96 0.96 1.73 1.88 0.84 5 yrs (%) 1.13 0.05 0.62 0.62 1.38 1.57 0.52 10 yrs (%) 1.33 0.79 0.84 0.84 1.62 1.81 0.34 Calendar year returns 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 A Shares - 2/28/2002 1118-1.06 9.67-1.44-7.48 4.01 1.72 2.84-4.05-2.39 5.39 C Shares - 11/2/2009 2105-1.57 9.13-1.94-7.90 3.48 1.22 2.41-4.54-2.97 4.87 I Shares - 11/2/2009 2106-0.55 10.08-1.15-7.25 4.26 2.01 3.09-3.79-2.17 5.67 L Shares - 12/31/1998 1781-0.55 10.15-0.90-7.04 4.51 2.26 3.38-3.61-2.07 5.85 ICE BofAML 3-Month US Treasury Bill Index 2.06 0.21 0.13 0.10 0.11 0.07 0.03 0.05 0.33 0.86 3 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Expenses Annual expenses* A Shares Gross expense (%) 3.97 Net expense (%) 3.97 * Net expenses may include short dividend expense. See prospectus for details. C Shares 4.45 4.17 I Shares 3.68 3.41 L Shares 3.53 3.27 4 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Characteristics Fund statistics Barra factors Debt to equity Earnings per share growth - 2 yr Earnings per share growth - 5 yr Long position percent net assets Market cap average ($ billions) Market cap median ($ billions) Market cap weighted average ($ billions) Market cap weighted median ($ billions) Price to book - last quarter Price to cash flow - trailing 12 months Price to earnings - next 12 months * Price to sales - hist 1 yr Return on assets - last 12 months Return on equity - hist 1 yr Short position percent net assets Turnover - 1 yr *J.P. Morgan estimate Percentage of portfolio** Out of Index US Stocks ETFs Derivatives Non US Securities Intl/ADR (by country) Cash **Cash includes money market securities Long 91.29 22.95 12.32 90.8 $61.32 $23.80 $4880.99 $975.46 3.40 20.84 17.20 2.38 7.73 22.40-89.6 227.26 % Short 105.19 2.35 5.45 $53.48 $20.10 $104.29 $45.96 2.64 15.00 16.60 1.34 8.62 16.25 Fund 100.00 1.77 1.65 0.00 0.00-0.53-0.40 98.76 Momentum Size Growth Beta Liquidty Earnings Yield Size Non-Linearity Book To Price Leverage Beta Non-Linearity Residual Volatility Number of stocks Number of long positions long weight Number of short positions short weight Total Net percent of portfolio by alpha quintile Quintile 1 Quintile 2 Quintile 3 Quintile 4 Quintile 5 Other Long 42.95 27.94 11.75 4.37 1.87 1.74 Fund 139 66 bps 170-53 bps 309 Short -2.19-5.74-13.26-20.24-36.92-11.25 Long 0.02 0.00 0.04-0.08 0.13 0.02 0.11-0.03-0.01-0.06-0.02 Short -0.50-0.49-0.31-0.37 0.25 0.14 0.27 0.19 0.21 0.19 0.27 Net 0.52 0.49 0.35 0.29-0.12-0.12-0.16-0.22-0.22-0.25-0.29 5 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Risk Risk measures* Sharpe ratio - 1 Yr Sharpe ratio - 3 Yr Sharpe ratio - 5 Yr Sharpe ratio - 7 Yr Sharpe ratio - Since Inception Standard deviation - 1 Yr Standard deviation - 3 Yr Standard deviation - 5 Yr Standard deviation - 7 Yr Standard deviation - Since Inception * Based on L share class returns Risk statistics based on monthly returns Fund 1.04 0.25 0.30 0.28 0.02 2.72 3.52 3.06 3.42 3.42 6 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Ratings and rankings Lipper rankings Category: Alternative Equity Market Neutral Funds A C I L 1 Year 27(27/100) 30(30/100) 25(25/100) 22(22/100) 3 Years 40(32/81) 47(38/81) 35(28/81) 33(27/81) 5 Years 56(27/48) 72(35/48) 45(22/48) 43(21/48) 10 Years 54(14/25) 50(13/25) The ranking information is provided by Lipper Analytical Services. Past performance is no guarantee of future results. Rankings are calculated based upon the total returns of multiple share classes within their respective Lipper category. Different share classes may have different rankings. Morningstar ratings Category: Market Neutral A C I L Overall /129 /129 /129 /129 3-Year /129 /129 /129 /129 5-Year /92 /92 /92 /92 10-Year /34 Not yet rated Not yet rated /34 The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. Different share classes may have different ratings. 7 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Holdings Top ten holdings (%)* Company Name Union Pacific Norfolk Southern Alphabet UnitedHealth Group Amazon.com NVIDIA O'Reilly Automotive Pioneer Natural Resources Microsoft Nextera Energy * Based on long positions of the portfolio. Portfolio 3.31 3.30 3.13 2.65 2.38 2.06 2.03 1.97 1.86 1.84 8 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Sectors Sector exposure (excluding cash) Industrial Cyclical Pharma & Healthcare Retail Energy Media Utilities Banks & Brokers Semiconductors Consumer Stable Financial Services Software & Hardware Basic Materials Consumer Cyclical REITs Telecommunications Insurance Total Long 14.12 9.75 9.67 8.64 7.96 6.81 6.55 6.28 5.66 5.33 5.17 4.03 3.41 2.70 2.04 1.89 100.00 Short 13.58 8.48 9.35 8.80 7.48 6.91 5.83 5.86 6.76 4.17 5.47 4.27 4.97 3.53 2.49 2.06 100.00 9 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Performance attribution: One month One month Long Short Attribution Ending Ending Allocation Selection Total Return Total Return Effect Effect Total Effect Industrial Cyclical 14.12 5.03 13.58-1.04-0.01 0.83 0.82 Retail 9.67 2.96 9.35-1.21 0.00 0.39 0.39 Software & Hardware 5.17 2.91 5.47-0.38-0.01 0.18 0.17 Consumer Stable 5.66 1.10 6.76-0.62 0.00 0.12 0.12 REITs 2.70-1.14 3.53-3.54 0.03 0.08 0.10 Media 7.96 1.59 7.48 0.31 0.00 0.10 0.10 Consumer Cyclical 3.41 0.04 4.97-1.57 0.03 0.07 0.09 Energy 8.64 3.58 8.80 2.68-0.01 0.08 0.08 Insurance 1.89 2.51 2.06 0.39 0.00 0.04 0.04 Financial Services 5.33 0.20 4.17-0.67-0.01 0.04 0.03 Semiconductors 6.28-1.99 5.86-2.18-0.02 0.01-0.01 Pharma & Healthcare 9.75 3.81 8.48 4.80 0.04-0.08-0.04 Utilities 6.81-0.97 6.91-0.24 0.01-0.05-0.04 Banks & Brokers 6.55-4.72 5.83-4.20-0.03-0.03-0.07 Telecommunications 2.04 1.35 2.49 4.21-0.01-0.06-0.07 Basic Materials 4.03 0.09 4.27 2.14 0.00-0.08-0.09 Total 100.00 1.52 100.00-0.11 0.01 1.63 1.64 For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 10 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Performance attribution: Quarter Quarter Long Short Attribution Ending Ending Allocation Selection Total Return Total Return Effect Effect Total Effect Media 7.96 8.89 7.48-6.72-0.04 1.27 1.24 Industrial Cyclical 14.12 14.18 13.58 6.60-0.02 1.01 0.99 Retail 9.67 11.77 9.35 2.56 0.01 0.83 0.84 Consumer Cyclical 3.41 2.51 4.97-4.61 0.13 0.29 0.42 Pharma & Healthcare 9.75 13.69 8.48 10.79 0.08 0.24 0.32 Software & Hardware 5.17 14.98 5.47 8.14-0.05 0.34 0.30 Banks & Brokers 6.55 2.88 5.83-0.13-0.04 0.21 0.17 REITs 2.70 3.74 3.53-0.24 0.02 0.14 0.16 Financial Services 5.33 6.98 4.17 4.74 0.02 0.11 0.13 Energy 8.64 0.78 8.80-0.70-0.02 0.15 0.13 Telecommunications 2.04 8.14 2.49 9.73-0.01-0.04-0.05 Insurance 1.89 6.77 2.06 9.42-0.01-0.06-0.07 Semiconductors 6.28 2.64 5.86 3.41-0.01-0.10-0.11 Utilities 6.81 0.37 6.91 1.88 0.01-0.13-0.12 Basic Materials 4.03 2.03 4.27 5.56 0.00-0.14-0.14 Consumer Stable 5.66 3.94 6.76 6.23 0.00-0.15-0.16 Total 100.00 7.31 100.00 3.27 0.08 3.96 4.04 For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 11 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Performance attribution: YTD YTD Long Short Attribution Allocation Selection Total Return Total Return Effect Effect Total Effect Media 8.04 26.32 7.56 2.02 0.00 1.75 1.75 Industrial Cyclical 13.64 12.79 13.43 2.74-0.02 1.36 1.34 Financial Services 4.74 22.89 3.53 1.59 0.05 0.78 0.83 Pharma & Healthcare 7.85 21.98 7.16 11.98 0.10 0.72 0.82 Energy 7.88 9.33 7.92 2.84-0.03 0.49 0.46 Utilities 7.26 1.97 7.49-1.70 0.04 0.30 0.34 Consumer Stable 6.02-5.16 6.77-9.12 0.04 0.27 0.32 Semiconductors 6.45 9.07 5.79 7.31-0.05 0.19 0.13 Software & Hardware 5.01 31.86 5.31 29.88-0.04 0.10 0.07 REITs 2.23 0.24 3.22 1.66 0.02 0.01 0.03 Insurance 2.77-2.05 2.87 1.63 0.00-0.06-0.06 Consumer Cyclical 3.38-10.60 4.52-3.03 0.19-0.35-0.15 Basic Materials 5.22-3.51 5.39 5.28-0.01-0.39-0.40 Telecommunications 2.86-11.35 3.27-0.06 0.07-0.49-0.42 Banks & Brokers 7.27-1.82 6.95 3.55-0.01-0.42-0.43 Retail 9.38 11.78 8.85 23.59 0.05-0.97-0.93 Total 100.00 8.67 100.00 4.97 0.40 3.30 3.70 For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 12 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Performance attribution: One year 1 Year Long Short Attribution Allocation Selection Total Return Total Return Effect Effect Total Effect Industrial Cyclical 13.70 23.34 13.49 7.90-0.03 2.11 2.08 Media 7.72 38.49 7.43 11.81 0.00 1.89 1.89 Energy 7.63 28.20 7.59 6.62-0.02 1.49 1.47 Financial Services 4.77 34.19 3.73 11.97 0.07 0.79 0.86 Utilities 7.58 4.40 7.92-2.12 0.09 0.60 0.69 Pharma & Healthcare 7.75 19.31 7.14 13.95 0.08 0.41 0.49 Banks & Brokers 7.63 9.26 7.16 8.24-0.01 0.14 0.14 Consumer Cyclical 3.56-1.83 4.41 0.81 0.23-0.13 0.09 Consumer Stable 5.69-2.41 6.42-1.89 0.06 0.02 0.08 REITs 2.17 1.51 3.10 5.01 0.06-0.06 0.00 Semiconductors 6.25 19.05 5.72 17.41-0.12 0.08-0.05 Insurance 3.09-0.66 3.25 9.00 0.01-0.34-0.32 Software & Hardware 5.12 41.70 5.29 49.16-0.02-0.31-0.33 Retail 9.03 29.92 8.59 35.34 0.11-0.59-0.48 Basic Materials 5.57 5.13 5.65 16.65 0.00-0.54-0.54 Telecommunications 2.75-16.18 3.11 1.84 0.04-0.76-0.72 Total 100.00 17.25 100.00 11.90 0.55 4.81 5.35 For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 13 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Performance attribution: Three year 3 year Long Short Attribution Allocation Selection Total Return Total Return Effect Effect Total Effect Media 7.96 104.93 7.74 38.07-0.03 4.92 4.88 Energy 5.47 51.79 5.49 28.07 0.14 2.43 2.57 Utilities 6.78 43.10 7.17 22.47 0.20 1.67 1.87 Financial Services 3.62 87.37 3.08 54.42 0.06 1.27 1.33 Consumer Stable 6.46 23.37 6.96 13.71 0.21 0.85 1.06 Software & Hardware 5.80 124.52 5.92 91.88-0.14 1.19 1.05 Banks & Brokers 6.14 76.15 5.65 58.76 0.15 0.84 0.99 Retail 8.17 47.27 8.27 40.16 0.24 0.63 0.86 Semiconductors 6.85 126.42 6.54 109.07-0.06 0.51 0.45 Industrial Cyclical 13.05 74.99 13.03 76.74-0.16 0.40 0.24 Insurance 4.75 44.48 4.76 48.81 0.03 0.00 0.03 Telecommunications 3.15 23.73 3.19 29.32-0.01-0.23-0.23 Basic Materials 5.37 54.65 5.30 73.78 0.17-0.53-0.36 Consumer Cyclical 4.69 27.21 4.80 34.04 0.32-0.85-0.53 REITs 2.32 6.91 2.93 32.51 0.22-0.92-0.70 Pharma & Healthcare 9.42 25.37 9.18 47.27 0.02-3.78-3.76 Total 100.00 59.80 100.00 50.06 1.36 8.38 9.74 For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 14 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Contributors - One month End Impact Union Pacific 3.31 0.10 General Electric * -0.98 0.08 United Parcel Service * -1.58 0.06 Discovery Communications 0.97 0.06 General Mills * -1.48 0.06 Snap Inc * -0.37 0.05 Bed Bath & Beyond * -0.54 0.05 Schlumberger * -1.83 0.05 Broadcom Ltd. 0.71 0.05 Chipotle Mexican Grill * -1.59 0.04 *Indicates stock underweight or not held during part or all of the analysis period. Detractors - One month UnitedHealth Group Edwards Lifesciences * Alphabet Marathon Petroleum Exxon Mobil * Pioneer Natural Resources Donaldson * Sirius XM Holdings Qualcomm * Viacom * End 2.65-0.78 3.13 1.29-2.63 1.97-0.52 0.34-0.31-0.39 Impact -0.06-0.05-0.05-0.04-0.03-0.03-0.03-0.03-0.03-0.03 Contributors - Quarter End Impact Detractors - Quarter End Impact Amazon.com 2.38 0.17 Broadcom Ltd. 0.71-0.10 General Electric * -0.98 0.16 Taiwan Semiconductor Norfolk Southern 3.30 0.15 Manufacturing * -0.45-0.09 O'Reilly Automotive 2.03 0.15 Pioneer Natural Resources 1.97-0.09 NVIDIA 2.06 0.15 Xilinx * -0.95-0.08 Bed Bath & Beyond * -0.54 0.12 Qualcomm * -0.31-0.07 Snap Inc * -0.37 0.11 Eastman Chemical 1.12-0.06 Seagate Technology * -0.64 0.10 Northrop Grumman 0.89-0.06 News Corp * -0.99 0.09 DSW * -0.57-0.06 Alphabet 3.13 0.09 Dollar Tree 0.74-0.05 UnitedHealth Group 2.65-0.05 *Indicates stock underweight or not held during part or all of the analysis period. For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 15 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Contributors - YTD End Impact Amazon.com 1.80 0.36 Norfolk Southern 3.23 0.28 General Electric * -1.13 0.26 Union Pacific 3.33 0.25 Invesco * -0.78 0.23 Heartland Express * -1.59 0.22 NVIDIA 1.52 0.20 News Corp * -1.18 0.20 ebay * -1.39 0.20 Bed Bath & Beyond * -0.70 0.19 *Indicates stock underweight or not held during part or all of the analysis period. Detractors - YTD Dollar Tree Netflix * Chipotle Mexican Grill * Qorvo Inc * Boeing * W.W. Grainger * Stanley Black & Decker Broadcom Ltd. Verizon Communications * DSW * 1.17-0.68-1.42-0.51-0.64-0.51 0.86 1.05-0.68-0.41 End Impact -0.25-0.20-0.19-0.15-0.12-0.12-0.11-0.09-0.09-0.08 Contributors - One Year End Impact Detractors - One Year End Impact Union Pacific 3.30 0.43 Dollar Tree 1.20-0.23 Amazon.com 1.49 0.42 Boeing * -0.93-0.21 Heartland Express * -1.69 0.40 Netflix * -0.67-0.20 General Electric * -0.98 0.39 W.W. Grainger * -0.53-0.20 Norfolk Southern 2.96 0.35 Qorvo Inc * -0.38-0.15 Schlumberger * -1.94 0.28 Seagate Technology * -0.95-0.15 Invesco * -0.71 0.26 Twitter * -0.31-0.15 Bed Bath & Beyond * -0.66 0.24 Verizon Communications * -0.72-0.15 ebay * -1.28 0.24 Qualcomm * -0.41-0.14 NVIDIA 1.24 0.22 Clorox * -1.33-0.12 *Indicates stock underweight or not held during part or all of the analysis period. For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 16 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Attribution Contributors - Three Year End Impact Detractors - Three Year End Impact Amazon.com 1.39 0.88 Boeing * -1.53-0.93 Bed Bath & Beyond * -0.85 0.86 Bausch Health Cos Inc 0.10-0.64 General Electric * -1.13 0.70 Netflix * -0.88-0.55 Heartland Express * -1.45 0.65 Baxter International * -0.52-0.39 Norfolk Southern 1.18 0.50 AbbVie * -0.99-0.38 Intel * -1.90 0.44 Allergan Plc 0.43-0.36 UnitedHealth Group 1.32 0.44 Dollar Tree 0.40-0.34 Discovery Communications * -0.53 0.44 Dish Network 0.51-0.31 Omnicom Group * -1.11 0.43 Johnson & Johnson * -1.24-0.27 Under Armour * -0.56 0.42 Chipotle Mexican Grill * -0.57-0.25 *Indicates stock underweight or not held during part or all of the analysis period. For the Research Market Neutral Fund, we perform attributions relative to a 50/50 Long/Short Blended Benchmark. Because the Research Market Neutral Fund is a market (cash) neutral portfolio, we need a comparable benchmark that is also market (cash) neutral. To address this, we have built a blended benchmark which is a 50/50 long/short split of each stock within our portfolio. For instance, if our portfolio was long Stock A (+1% weight) and short Stock B (-1% weight), we would compare a 1% long in Stock A with a 0.5% short in Stock A and a 0.5% long in Stock A in our blended benchmark and the same for the short position in Stock B. For sector-level attribution, we compare the longs/shorts in a given sector with the blended benchmark to arrive at the stock selection and sector allocation effects. We utilize a 50/50 benchmark as it has the same gross exposure as either the long or short sleeve in isolation. 17 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

Country exposure Asset allocation Regional allocation Other Domestic Equity Domestic Fixed Income International Equity Total Fund (%) 98.76 1.65 0.12-0.53 100.00 United States Ireland Netherlands Canada Taiwan Sweden Switzerland Bermuda Fund 100.53 1.15 0.29-1.12-0.40-0.25-0.13-0.05 18 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

RISKS ASSOCIATED WITH INVESTING IN THE FUND: The following risks could cause the fund to lose money or perform more poorly than other investments. For more complete risk information, see the prospectus. There is no guarantee that the use of long and short positions will succeed in limiting an investment s exposure to domestic stock market movements, capitalization, sector-swings or other risk factors. Investments in a portfolio involved in long and short selling may have higher portfolio turnover rates. This will likely result in additional tax consequences. Short selling involves certain risks, including additional costs associated with covering short positions and a possibility of unlimited loss on certain short sale positions. RETURNS: 1 The quoted performance of the Fund includes performance of a predecessor fund/share class prior to the Fund's commencement of operations. Please refer to the current prospectus for further information. ANNUAL OPERATING EXPENSES: The Fund s adviser and/or its affiliates have contractually agreed to waive fees and/or reimburse expenses to the extent Total Annual Fund Operating Expenses (excluding acquired fund fees and expenses, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed 1.25% for A Shares, 1.75% for C Shares, 0.99% for I Shares and 0.85% for L Shares of the average daily net assets. The Fund may invest in one or more money market funds advised by the adviser or its affiliates (affiliated money market funds). The Fund s adviser has contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the fees and expenses of the affiliated money market funds incurred by the Fund because of the Fund s investment in such money market funds. This waiver is in effect through 2/28/2019 for A Shares, 2/28/2019 for C Shares, 2/28/2019 for I Shares and 2/28/2019 for L Shares, at which time the adviser and/or its affiliates will determine whether to renew or revise it. The difference between net and gross fees includes all applicable fee waivers and expense reimbursements. PORTFOLIO STATISTICS: Debt to Equity: A debt ratio used to measure a company's financial leverage, calculated by dividing a company s total liabilities by its stockholders' equity. The Debt to Equity ratio indicates how much debt a company is using to finance its assets relative to the amount of value represented in shareholders equity. EPS: Total earnings divided by the number of shares outstanding. Growth: This risk index uses historical growth and profitability measures to predict future earnings growth. Leverage: This risk index measures the financial leverage of a company. Momentum: This risk index captures common variation in returns related to recent stock price behaviour. Stocks that had positive excess returns in the recent past are grouped separately from those that displayed negative excess returns. P/B ratio: the relationship between a stock's price and the book value of that stock. Price to Cash Flow: The ratio of a stock s price to its cash flow per share. The price-to-cash-flow ratio is an indicator of a stock s valuation. Although there is no single figure to indicate an optimal price-to-cash-flow ratio, a ratio in the low single digits may indicate the stock is undervalued, while a higher ratio may suggest potential overvaluation. The ratio takes into consideration a stock s operating cash flow, which adds non-cash earnings such as depreciation and amortization to net income. It is especially useful for valuing stocks that have positive cash flow but are not profitable because of large non-cash charges. P/E ratio: the number by which earnings per share is multiplied to estimate a stock's value. Price to Sales: A valuation ratio that compares a company s stock price to its revenues. The price-to-sales ratio is an indicator of the value placed on each dollar of a company s sales or revenues. It can be calculated either by dividing the company s market capitalization by its total sales over a 12-month period, or on a per-share basis by dividing the stock price by sales per share for a 12-month period. Like all ratios, the price-to-sales ratio is most relevant when used to compare companies in the same sector. A low ratio may indicate possible undervaluation, while a ratio that is significantly above the average may suggest overvaluation. This ratio is also known as a sales multiple or revenue multiple. High portfolio turnover will likely result in additional tax consequences. Return on Assets: An indicator of how profitable a company is relative to its total assets. ROA gives an idea as to how efficient management is at using its assets to generate earnings. Calculated by dividing a company's annual earnings by its total assets, ROA is displayed as a percentage. Return on Equity (ROE): Return on Equity is the amount of net income returned as a percentage of shareholders equity. ROE measures a corporation's profitability by revealing how much profit a company generates with the money shareholders have invested. Size: This risk index captures differences in stock returns due to differences in the market capitalization of companies. Size Nonlinearity: This risk index captures deviations from linearity in the relationship between returns and log of market capitalization. HOLDINGS: The top 10 holdings listed reflect only the Fund's long-term investments. Short-term investments are excluded. Holdings are subject to change. The holdings listed should not be considered recommendations to purchase or sell a particular security. Each individual security is calculated as a percentage of the aggregate market value of the securities held in the Fund and does not include the use of derivative positions, where applicable. 19 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

MORNINGSTAR AND LIPPER: The Morningstar RatingTM for funds, or "star rating", is calculated for managed products (including mutual funds, variable annuity and variable life subaccounts, exchange-traded funds, closed-end funds, and separate accounts) with at least a three-year history. Exchange traded funds and open-ended mutual funds are considered a single population for comparative purposes. It is calculated based on a Morningstar Risk-Adjusted Return measure that accounts for variation in a managed product's monthly excess performance, placing more emphasis on downward variations and rewarding consistent performance. The top 10% of products in each product category receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars, and the bottom 10% receive 1 star. The Overall Morningstar Rating for a managed product is derived from a weighted average of the performance figures associated with its three-, five-, and 10-year (if applicable) Morningstar Rating metrics. The weights are: 100% three-year rating for 36-59 months of total returns, 60% five-year rating/40% three-year rating for 60-119 months of total returns, and 50% 10- year rating/30% five-year rating/20% three-year rating for 120 or more months of total returns. While the 10-year overall star rating formula seems to give the most weight to the 10-year period, the most recent three-year period actually has the greatest impact because it is included in all three rating periods. Rankings do not take sales loads into account. The ranking information is provided by Lipper Analytical Services. Past performance is no guarantee of future results. Rankings are calculated based upon the total returns of multiple share classes within their respective Lipper category. Different share classes may have different rankings. INDEXES DEFINED: Mutual funds have fees that reduce their performance: indexes do not. You cannot invest directly in an index. ICE BofAML 3-Month US Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. The index is rebalanced monthly and the issue selected is the outstanding Treasury Bill that matures closest to, but not beyond 3 months from the rebalancing date. SHARECLASS OPTIMIZATION: * Effective April 3rd,Selectshare class becameishare class. RISK MEASURES: Alpha: The relationship between the performance of the Fund and its beta over a three-year period of time. Sharpe Ratio: Sharpe Ratio measures the fund s excess return compared to a risk-free investment. The higher the Sharpe Ratio, the better the returns relative to the risk taken. Standard Deviation/Volatility: A statistical measure of the degree to which the Fund s returns have varied from its historical average. The higher the standard deviation, the wider the range of returns from its average and the greater the historical volatility. The standard deviation is calculated over a 36-month period based on Fund s monthly returns. The standard deviation shown is based on the Fund's Class A Shares or the oldest share class, where Class A Shares are not available. ATTRIBUTION: The attribution summary approximates the gross excess returns of the portfolio and is calculated based on daily holdings which does not represent actual trading, liquidity constraints, fee schedules and transaction costs. It is shown for illustrative purposes only and is not meant to be representative of actual results. 20 STATISTICS REPORT: RESEARCH MARKET NEUTRAL FUND

NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE 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 risks 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. Total return figures (for the fund and any index quoted) assume payment of fees and reinvestment of dividends (after the highest applicable foreign withholding tax) and distributions. Without fee waivers, fund returns would have been lower. Due to rounding, some values may not total 100%. 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. JPMorgan Distribution Services, Inc. is a member of FINRA. J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co and its affiliates worldwide. JPMorgan Chase & Co., October 2018 MFDP-RMN-1-0918 jpmorganfunds.com