Schedule of Portfolio Investments as of July 31, 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.
AS OF JULY 31, 2016 (Unaudited) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks 94.8% Austria 0.6% 203 Erste Group Bank AG (a) 5,383 Belgium 0.8% 54 Anheuser-Busch InBev S.A./N.V. 6,994 Denmark 4.4% 334 Novo Nordisk A/S, Class B 18,974 63 Pandora A/S 8,240 151 Vestas Wind Systems A/S 10,568 37,782 Finland 1.0% 420 UPM-Kymmene OYJ 8,659 France 15.2% 85 Arkema S.A. 7,287 383 AXA S.A. 7,793 216 BNP Paribas S.A. 10,706 64 Capgemini S.A. 6,177 611 Orange S.A. 9,383 98 Renault S.A. 8,580 57 Sanofi 4,896 133 Societe Generale S.A. 4,523 71 Sodexo S.A. 8,274 111 Technip S.A. 6,198 163 Thales S.A. 14,881 448 TOTAL S.A. 21,559 201 Valeo S.A. 10,300 122 Vinci S.A. 9,251 129,808 Germany 15.3% 80 Adidas AG 13,088 100 Allianz SE 14,276 120 BASF SE 9,458 45 Continental AG 9,464 333 Deutsche Wohnen AG 12,451 442 E.ON SE 4,745 69 Hannover Rueck SE 7,103 82 HeidelbergCement AG 6,980 53 Hochtief AG 6,953 570 Infineon Technologies AG 9,449 699 RWE AG (a) 12,442 10 SAP SE 850 146 Scout24 AG (a) (e) 6,032 163 Siemens AG 17,680 130,971 SHARES SECURITY DESCRIPTION VALUE($) Italy 3.7% 1,735 Enav S.p.A. (a) (e) 6,900 3,303 Enel S.p.A. 15,201 2,301 Intesa Sanpaolo S.p.A. 5,077 200 Prysmian S.p.A. 4,694 31,872 Luxembourg 1.6% 146 APERAM S.A. 6,123 1,089 ArcelorMittal (a) 7,055 13,178 Netherlands 4.8% 475 ING Groep N.V. 5,309 209 Koninklijke Ahold Delhaize N.V. 5,000 114 Koninklijke DSM N.V. 7,318 192 NN Group N.V. 5,185 408 Royal Dutch Shell plc, Class A 10,535 176 Wolters Kluwer N.V. 7,424 40,771 Norway 2.3% 873 Marine Harvest ASA (a) 14,885 1,113 Norsk Hydro ASA 4,773 19,658 Spain 2.6% 765 Banco Bilbao Vizcaya Argentaria S.A. 4,467 1,462 Banco Santander S.A. 6,208 526 Gamesa Corp., Tecnologica S.A. 11,166 21,841 Sweden 2.8% 234 Atlas Copco AB, Class A 6,572 516 Boliden AB 11,360 218 Electrolux AB, Series B 5,905 23,837 Switzerland 13.4% 542 ABB Ltd. (a) 11,511 60 Actelion Ltd. (a) 10,651 2,822 Glencore plc (a) 6,965 530 Logitech International S.A. 10,587 67 Lonza Group AG (a) 12,572 376 Nestle S.A. 30,114 104 Roche Holding AG 26,421 23 Swiss Life Holding AG (a) 5,145 113,966 United Kingdom 26.3% 817 Auto Trader Group plc (e) 4,012 813 BP plc 4,598
AS OF JULY 31, 2016 (Unaudited) (continued) (Amounts in thousands) SHARES SECURITY DESCRIPTION VALUE($) Common Stocks continued United Kingdom continued 409 British American Tobacco plc 26,117 528 Compass Group plc 10,032 1,048 GlaxoSmithKline plc 23,394 2,063 HSBC Holdings plc 13,521 304 Imperial Brands plc 15,998 1,703 Legal & General Group plc 4,634 8,675 Lloyds Banking Group plc 6,101 178 Persimmon plc 3,965 397 Prudential plc 6,996 239 Reckitt Benckiser Group plc 23,154 415 Rio Tinto plc 13,460 111 SABMiller plc 6,459 1,158 Sage Group plc (The) 10,922 731 Subsea 7 S.A. (a) 7,903 1,953 Taylor Wimpey plc 3,996 389 Unilever N.V., CVA 18,005 151 Unilever plc 7,072 360 Weir Group plc (The) 6,977 325 WPP plc 7,295 224,611 Total Common Stocks (Cost $799,299) 809,331 Short-Term Investment 3.0% Investment Company 3.0% 25,790 JPMorgan Prime Money Market Fund, Institutional Class Shares, 0.360% (b) (l) (Cost $25,790) 25,790 Total Investments 97.8% (Cost $825,089) 835,121 Other Assets in Excess of Liabilities 2.2% 18,643 NET ASSETS 100.0% $ 853,764 Percentages indicated are based on net assets.
AS OF JULY 31, 2016 (Unaudited) (continued) (Amounts in thousands, except number of Futures contracts) Summary of Investments by Industry, July 31, 2016 The following table represents the portfolio investments of the Fund by industry classifications as a percentage of total investments: INDUSTRY PERCENTAGE Pharmaceuticals 8.8% Banks 7.3 Insurance 6.1 Metals & Mining 6.0 Food Products 5.4 Tobacco 5.0 Electrical Equipment 4.5 Oil, Gas & Consumable Fuels 4.4 Personal Products 3.0 Chemicals 2.9 Household Products 2.8 Textiles, Apparel & Luxury Goods 2.6 Auto Components 2.4 Hotels, Restaurants & Leisure 2.2 Industrial Conglomerates 2.1 Multi-Utilities 2.1 Construction & Engineering 1.9 Electric Utilities 1.8 Aerospace & Defense 1.8 Energy Equipment & Services 1.7 Household Durables 1.7 Machinery 1.6 Beverages 1.6 Life Sciences Tools & Services 1.5 Real Estate Management & Development 1.5 Software 1.4 Biotechnology 1.3 Technology Hardware, Storage & Peripherals 1.3 Internet Software & Services 1.2 Semiconductors & Semiconductor Equipment 1.1 Diversified Telecommunication Services 1.1 Paper & Forest Products 1.0 Automobiles 1.0 Others (each less than 1.0%) 4.8 Short-Term Investment 3.1 Futures Contracts NUMBER OF CONTRACTS EXPIRATION DATE TRADING CURRENCY NOTIONAL VALUE AT JULY 31, 2016 NET UNREALIZED APPRECIATION (DEPRECIATION) DESCRIPTION Long Futures Outstanding 515 Euro STOXX 50 Index 09/16/16 EUR $ 17,186 $ 53 94 FTSE 100 Index 09/16/16 GBP 8,309 1 $ 54
AS OF JULY 31, 2016 (Unaudited) (continued) (Amounts in thousands) NOTES TO SCHEDULE OF PORTFOLIO INVESTMENTS: CVA Dutch Certification (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. (e) Security is exempt from registration under Rule 144A of the Securities Act of 1933, as amended. Unless otherwise indicated, this security has been determined to be liquid under procedures established by the Board of Trustees and may be resold in transactions exempt from registration, normally to qualified institutional buyers. (l) The rate shown is the current yield as of July 31, 2016. As of July 31, 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 $ 50,806 Aggregate gross unrealized depreciation (40,774) Net unrealized appreciation/depreciation $ 10,032 Federal income tax cost of investments $825,089 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 Portfolio are calculated on a valuation date. Certain foreign equity instruments, as well as certain derivatives with equity reference obligations, shall be valued by applying an international fair value factor provided by an approved Pricing Service. The factors seek to adjust the local closing price for movements of local markets post closing, but prior to the time the NAVs are calculated. 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 Portfolio 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 Portfolio s assumptions in determining the fair value of investments).
AS OF JULY 31, 2016 (Unaudited) (continued) (Amounts in thousands) 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 1 consists of a money market mutual fund that is held for daily investments of cash. Level 3 Significant unobservable inputs Total Total Investments in Securities (a) $ 25,790 $ 809,331 $ $835,121 Appreciation in Other Financial Instruments Futures Contracts $ $ 54 $ $ 54 Transfers from level 1 to level 2 in the amount of approximately $27,157,000 are due to applying the fair value factors to certain securities during the period ended July 31, 2016.