Interim Report & Accounts (Unaudited) JPMorgan Fund II ICVC · The opinions and views expressed in this document are those held by J.P. Morgan Asset Management as at ... CEO of Tesco

Interim Report & Accounts (Unaudited)

JPMorgan Fund II ICVC31 May 2017

Contents

Authorised Corporate Director’s (ACD) Report 2-6

Investment Adviser’s Report for the six months ending 31 May 2017 7

JPM America Equity Fund 8-13

JPM Balanced Managed Fund 14-23

JPM Europe Smaller Companies Fund 24-29

JPM Global Allocation Fund 30-34

JPM Global Bond Opportunities Fund 35-44

JPM Income Fund 45-50

JPM UK Equity Income Fund 51-56

JPM UK Equity Plus Fund 57-64

JPM UK Smaller Companies Fund 65-71

JPM US Smaller Companies Fund 72-78

Accounting policies 79

This material should not be relied on as including sufficient information to support an investment decision.

The opinions and views expressed in this document are those held by J.P. Morgan Asset Management as at 14 July 2017, which are subject to change and are not to be taken as or construed as investment advice.

For up-to-date performance information please contact J.P. Morgan Asset Management using the numbers shown on the back of this document.

You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested. The level of tax benefits and liabilities will depend on individual circumstances and may change in the future.

The investment objective of a fund may allow some flexibility in terms of portfolio composition.

Funds that invest predominantly in a single market, asset class or sector may be subject to greater volatility than those funds with a more diversified portfolio.

The information in this booklet is based on our understanding of law, regulation and HM Revenue & Customs practice as at 14 July 2017.

1

Authorised Corporate Director’s (ACD) Report

ChairmanDaniel WatkinsConnected director. A member of the ACD since January 2010.

Dan Watkins, Managing Director, is the Deputy CEO of IM Europe and Global Head of IM Client Services and Business Platform. An employee since 1997, Dan oversees the business infrastructure of Investment Management in Europe and Asia including client services, fund administration, product development, and RFP. Dan also performs the role of Deputy CEO of GIM EMEA, acting as a director of all the regulated legal entities across the region. Previously, he was head of Europe COO and Global IM Operations, head of the European Operations Team, head of the European Transfer Agency, head of Luxembourg Operations, manager of European Transfer Agency and London Investment Operations; and manager of the Flemings Investment Operations Teams.

Dan is currently a director of several JPMorgan managed Luxembourg domiciled Investment Funds.

Dan obtained a BA in Economics and Politics from the University of York and is a qualified Financial Advisor.

DirectorsJasper BerensConnected director. A member of the ACD since January 2013.

Jasper Berens, Managing Director, is Head of UK Retail Business including the Investment Trusts. An employee since 1997, he was previously Head of UK Sales from 2005 to 2012 and, prior to that, Head of Asset Management Sales. Jasper draws on over 20 years’ experience within sales and utilises this experience to oversee the fund strategies and marketing activities of JPMF. Jasper is a Director of several J.P. Morgan managed UK-domiciled investment funds.

Tanaquil McDowallConnected director. A member of the ACD since January 2010.

Tanaquil McDowall, Executive Director, is the European Financial Controller in the Asset Management finance team, based in London. Employed by J.P. Morgan since 2008, she is responsible for statutory and regulatory reporting (both local and US) of the European legal entities. She also currently serves on various J.P. Morgan boards. Prior to this, she spent ten years working at Citigroup in a range of roles, including product control, financial regulation and legal entity control and two years working at Schroders. She is a chartered accountant who trained with Coopers & Lybrand, working in the Reading and Hamburg offices.

Tanaquil is a director of a number of J.P. Morgan’s regulated entities.

Tanaquil holds a joint honours degree in Physics and Music from the University of Reading and an MBA from Cass Business School.

Mike O’BrienConnected director. A member of the ACD since December 2014.

Mike O’Brien, Managing Director, is the Chief Executive of J.P. Morgan Investment Management, EMEA and the Co-Head of the Global Investment Management Solutions (GIM Solutions), based in London.

As CEO, Mike partners with the global investment, business and function heads to develop the business priorities in EMEA. A key area of his responsibility is ensuring the firm remains in line with the regulatory requirements and within a framework of appropriate risk management. Mike is also a director of the firm’s principle legal entities and funds boards in Europe. In his role as Co-Head of GIM Solutions, Mike oversees the Firm’s Multi-Asset, Retirement, Pensions & Insurance Advisory and ETF businesses globally. Prior to this he was responsible for the firm’s Global Institutional Business.

An employee since 2010, he is also a member of the J.P. Morgan Asset Management Operating Committee, as well as the J.P. Morgan Global Investment Management Operating Committee.

Mike is a director of a number of J.P. Morgan’s regulated entities.

Previously he worked at BlackRock/BGI where he was Head of Institutional Business for EMEA. During his decade-long tenure at BGI and then BlackRock, he led a team of institutional client advisors responsible for some of the firm’s largest clients located across 12 regional markets. Prior to that, he worked at Towers Perrin for 14 years where he oversaw their UK and European investment consulting practice, managing all aspects of pension planning financial management, and developing new products and service offerings, such as pension financial risk modeling for UK and US corporations.

Mike holds a bachelor’s degree in Applied Mathematics from Limerick University in Ireland. He is an Actuary (“FIA”) and a CFA charter holder and is an advisor to the Investment Committee of the UK’s Pension Protection Fund.

Board of Directors of JPMorgan Funds Limited (“JPMF”), the Authorised Corporate Director (“ACD”) of JPMorgan Fund II ICVC

2

Authorised Corporate Director’s (ACD) Report – continued

Ruston SmithIndependent Director of the ACD since December 2016.

Ruston has over 30 years’ experience in the pension fund and investment industry – complemented by broader commercial experience.

He has held senior corporate positions with responsibility for strategy, Investment, governance, communication and operations for a wide range of UK and international defined benefit and defined contribution schemes and provident funds – also acting as a Trustee and Chairman.

His experience includes over a decade as the Group Pensions and Insurable Risk Director at Tesco, where the award winning UK scheme has over 200,000 employed members – where he was also the CEO of Tesco Pension Investment their FCA approved in house investment manager with £12bn of assets under management.

Ruston has a breadth of experience which has included responsibility for executive reward and benefits, employee relations, HR systems, payroll, global mobility and health & wellness.

Before joining Tesco, Ruston was a Director and Company Secretary at PZ Cussons, where he was also responsible for their group pensions, property, legal and insurance.

Ruston is a non executive director and the immediate past Chairman of the Pensions and Lifetime Savings Association, Non Executive Chairman of the Tesco Pension Trustee Board and the Tesco DC Governance Committee, Non Executive Chairman of Tesco Pension Investment Limited, non executive director of JPMorgan Asset Management International Limited, a Director of Standard Life’s Master Trust Company, a Trustee Director of The People’s Pension, a Governor of the Pensions Policy Institute, Chairman of National Grocers Benevolent Fund and is on the MBA Advisory Board of the Manchester Metropolitan University’s Business School.

He has an MBA, is a Fellow of the Pensions Management Institute and a Fellow of the Institute of Management.

BackgroundJPMorgan Funds Limited (“JPMF”) is the Authorised Corporate Director (“ACD”) of JPMorgan Fund ICVC (the “Company”) and is the sole Director of JPMorgan Fund II ICVC (the “Board”). The Board is pleased to present the Interim Report and Accounts for the period ended 31 May 2017.

Authorised Status JPMorgan Fund II ICVC is an Open-Ended Investment Company (”Company”) with variable capital, authorised under Regulation 12 of the OEIC Regulations by the Financial Conduct Authority (“FCA”) on 29 August 2001.

The Company was launched as a UCITS Retail Scheme on the same date and is organised as an ‘umbrella’ company comprising of ten Funds each of which has its own investment objective, policies and restrictions. The objective of the Company is to place the money available to it in transferable securities and other permitted assets of any kind, in accordance with the Prospectus of the Company and applicable FCA rules, with the purpose of spreading investment risks and affording shareholders the results of the management of their portfolios. Its registration number is IC127 and its registered address is 60 Victoria Embankment, London, EC4Y 0JP.

Structure & LiabilitiesThe assets of each Fund are treated as separate from those of every other Fund and are invested in accordance with the investment objective and investment policies applicable to that Fund. Details of the investment objective, the policies for achieving these objectives, the performance record and a review of the investment activities for each of the Funds can be found in this report.

The ACD report includes the following in relation to each fund:

• Investment objective and policy

• Risk profile

• Fund review

• Fund outlook

• Portfolio statement

• Portfolio movements

Shareholders are not liable for the debts of the Company. Shareholders are not liable to make any further payment to the Company after the purchase of their shares is paid for.

Role and Responsibility of the BoardJPMF is authorised and regulated by the FCA and its principle activity is investment management. The responsibility of the ACD is governed by the Companies Act 2006 and the FCA. With respect to the annual accounts of the Company, it is also required to comply with the prospectus and any applicable accounting standards and also with the latest Statement of Recommended Practice issued by The Investment Association.

The matters reserved for the Board include determination of each sub-fund’s investment objective and policies, investment restrictions and powers, amendments to the prospectus, reviewing and approving key investment and financial data, including the annual and semi-annual accounts, as well as the appointment of and review of the services provided by the depositary and auditor.

Prior to each meeting the Board receives detailed and timely information allowing them to be prepared for the items under discussion during the meeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the investment managers, risk management, compliance, as well as proposals for changes to existing funds or proposals to launch new ones as appropriate. Senior representatives of each of these functions attend Board meetings by invitation to enable the Board to question the reports presented to them. In addition the Board reviews on an annual basis all service providers.

The Board takes decisions in the interests of the Company and its shareholders as a whole and refrains from taking part in any deliberation or decision which creates a conflict of interest between personal interests and those of the Company and its shareholders. JPMF and its affiliates provide a variety of different services to the Company and receives compensation for these services. JPMF and its affiliates therefore need to balance the desire to be compensated for these services with the requirement to act in the best interests of the Company. JPMF and its affiliates also face conflicts of interest where these services are provided to other funds or clients, and, from time to time, make decisions that differ from and/or negatively impact those made on behalf of the Company.

The Board can take independent professional advice if necessary.

3

Board CompositionJPMF is chaired by Mr Watkins, and consists of four connected directors and one independent director. All Board meetings require a quorum of two directors to be in attendance.

Induction and TrainingAll new directors of JPMF will receive a full induction incorporating relevant information regarding the Company and its duties and responsibilities as the ACD of the Company. In addition, JPMF takes active steps to keep up to date with developments relevant to the Company and have ensured that a formal training programme is in place.

Board EvaluationThe Board carries out a biennial review of its performance.

Board Meetings and CommitteesThe Board meets quarterly but if necessary additional meetings will be arranged.

Given the scope and nature of the business of the Company, the Board does not currently consider it necessary to have a formal Audit Committee or indeed any other standing committees. However, this is kept under review.

All Board related matters are therefore currently approved by the Board or, where there are specific matters that need further consideration, a Sub-Committee of the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to the prospectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are formed of a minimum of two directors of JPMF.

There were twelve Board meetings held during the year. Four of these were quarterly Board meetings where, amongst other matters, the agenda included those items highlighted under the section above called ‘Role and Responsibility of the Board.

Corporate Governance The Board is responsible for ensuring that a high level of corporate governance is met and considers that the Fund has complied with the best practices in the UK funds industry.

Proxy Voting PolicyJPMF delegates responsibility for proxy voting to the Investment Adviser. The Investment Adviser manages the voting rights of the shares entrusted in a prudent and diligent manner, based exclusively on the reasonable judgement of what will best serve the financial interests of clients.

So far as is practicable, the Investment Adviser will vote at all of the meetings called by companies in which they are invested.

A copy of the proxy voting policy is available from the Company’s registered office upon request or on the website: https://am.jpmorgan.com/uk/institutional/corporate-governance

Remuneration DisclosureJPMF is part of the J.P. Morgan Chase & Co. group of companies. In this section, the terms “J.P. Morgan” or “Firm” refer to that group, and each of the entities in that group globally, unless otherwise specified.

Remuneration PolicyA disclosure of the current remuneration policy for JPMF (the “Remuneration Policy”) can be found at https://am.jpmorgan.com/gb/en/asset-management/gim/per/legal/emea-remuneration-policy. This policy includes details of how remuneration and benefits are calculated, including the financial and non-financial criteria used to evaluate performance, the responsibilities and composition of the Firm’s Compensation and Management Development Committee, and the measures adopted to avoid or manage conflicts of interest. A copy of this policy can also be requested free of charge from the UK-based Investor Services team on 0800 20 40 20.

The Remuneration Policy applies to all employees of JPMF, including individuals whose professional activities may have a material impact on the risk profile of JPMF or the funds it manages (“Identified Staff”). The Identified Staff include members of the Board, senior management, the heads of relevant control functions, and holders of other key functions. Individuals are notified of their identification and the implications of this status on at least an annual basis.

The Board reviews and adopts the Remuneration Policy on an annual basis, and oversees its implementation, including the classification of Identified Staff.

The Remuneration Policy, and its implementation, is designed to foster proper governance and regulatory compliance. The remuneration structure as described in the Remuneration Policy is designed to contribute to the achievement of short-term and long-term strategic and operational objectives, while avoiding excessive risk-taking inconsistent with the risk management strategy. This is intended to be accomplished, in part, through a balanced total compensation program comprised of a mix of fixed remuneration (including base salary), and variable remuneration in the form of cash incentives and long-term, equity based or fund-tracking incentives that vest over time. A balanced assessment of employees’ performance is undertaken taking account of business and financial results, risk and control outcomes, client/customer goals, and other priorities including people and leadership objectives as appropriate. The compensation governance practices contain a number of measures to avoid conflicts of interest, including independent oversight and control of the remuneration policy, and the assessment of employees in Control Functions against independent objectives linked to their functions.


4

Quantitative DisclosuresThe table below provides an overview of the aggregate 2016 total remuneration paid to staff of JPMF and the number of beneficiaries. These figures include the remuneration of all staff of JP Morgan Asset Management (UK) Ltd (the relevant employing entity) and the number of beneficiaries, both apportioned to JPMF on an AUM weighted basis.

Due to the Firm’s operational structure, the information needed to provide a further breakdown of remuneration attributable to the Company is not readily available and would not be relevant or reliable. However, for context, the Management Company manages 31 AIFs and 2 UCITS (with 41 Funds), with a combined AUM as at 31 December 2016 of £12,163m and £13,627m respectively.

All staff ($’000s)

Fixed remuneration 16,270

Variable remuneration 10,174

Total remuneration* 26,445

Number of beneficiaries 131

* No carried interest or performance fees were paid to any staff by the Company in the year.

Directors and Officers Indemnity InsuranceThe Company’s Articles of Incorporation indemnify the directors against expenses reasonably incurred in connection with any claim against them arising in the course of their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Board has taken out Directors and Officers Indemnity Insurance which indemnifies the ACD against certain liabilities arising in the course of their duties and responsibilities but does not cover against any fraudulent or dishonest actions on their part.

AuditorPricewaterhouseCoopers LLP, has been the Company’s Auditor since January 2010. The Board reviewed the services of PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be appointed as Auditor for a further 8 years.

Mailing of Report and AccountsWith effect from 22 November 2016 the FCA has dispensed with the requirement to produce and send Short Form accounts to shareholders. This decision was made after feedback received during an industry consultation showed that these accounts did not meet the original aim of providing timely, clear and focused information.

As a result Short Form accounts will no longer be produced and sent to clients. However, the Long Form Accounts, which contain additional disclosures will still be available at https://am.jpmorgan.com/gb/en/asset-management/gim/per/products/oeics and up to date information about each sub-fund can be found at https://am.jpmorgan.com/gb/en/asset-management/gim/per/products/fund-explorer.

Liquidation of JPM Global Allocation FundThe ACD approved the liquidation of JPM Global Allocation Fund on 2 December 2016 and the Fund was terminated on 17 February 2017; the liquidation proceeds were paid to shareholders on 22 February 2017.

Liquidation of JPM Income FundThe ACD approved the liquidation of JPM Income Fund on 6 March 2017. The liquidation commenced on 24 May 2017 and liquidation proceeds were paid to shareholders on 30 May 2017.

Changes to the ProspectusAmendments published on 9 December 2016• In relation to JPM Global Bond Opportunities

Fund to reflect the expected increase in level of aggregate use of derivatives for the fund from 100% to 400% following a difference from the expected level for the past four consecutive quarters.

• To inform investors that the Company and the Funds are deemed to be controlled by JPMorgan Chase & Co. and so have a risk associated with U.S. federal banking laws including the U.S. Bank Holding Company Act of 1956, and section 13 (the “Volcker Rule”). Investors are informed that the Volcker Rule restricts JPMorgan acquiring or retaining or sponsoring a covered fund and prohibits certain transactions with such funds. To avoid funds being treated as covered funds, JPMorgan may be required to reduce its ownership in the relevant Funds at the end of the permitted seeding period which could adversely impact such funds.

• To add a disclosure around China Interbank Bond Market so to cover the risks relating to Chinese onshore renminbi denominated bond markets.

Amendment published on 1 February 2017• To state that share price publications in the

Financial Times will cease with effect from 1 January 2017. Prices will continue to be available in other national newspapers and are available via the J.P. Morgan website: www.jpmorgan.co.uk/investor.

• To allow funds that currently invest in China A-Shares via the Shanghai-Hong Kong Stock Connect programme to invest in the Shenzhen-Hong Kong Stock Connect programme.


5

Amendments published 6 April 2017• To add a disclosure to inform shareholders

of the procedure for the correction of pricing errors and the materiality threshold used to determine whether a pricing error is deemed material. All Funds within JPMorgan Fund II ICVC have a materiality threshold of 0.50% of price per share.

• Conflicts of Interest disclosures updated.

Amendment published on 5 June 2017• To remove reference to net share classes in

JPM Global Bond Opportunities Fund.

Amendments published on 11 July 2017• To add a general risk disclosure on cyber

security which will inform investors that measures have been developed to reduce the risks associated with cyber security but that there remains a risk associated with cyber security regardless of these measures.

• Eligible Securities Markets list updated to include Egypt and Saudi Arabia.

Changes to the Instrument of Incorporation and the Prospectus Amendments published on 9 December 2016 To allow the ACD to effect compulsory conversions of shares in one class of a fund for another class of the same fund, upon reasonable written notice to affected shareholders and to state that compulsory conversions will only be undertaken where the ACD reasonably considers it is in the best interests of affected shareholders. By way of example, the ACD may effect a compulsory conversion where the ACD reasonably believes it is in the best interests of shareholders to reduce the number of available share classes.

Amendment published on 31 May 2017The inclusion of the JPM UK Equity Income Fund.

Statement of Cross HoldingsThere are no holdings of Funds of JPMorgan Fund II ICVC by other Funds of the Company.

Management and AdministrationAuthorised Corporate DirectorJPMorgan Funds Limited3 Lochside View, Edinburgh Park,Edinburgh, EH12 9DH(Authorised and regulated by the Financial Conduct Authority)

Custodian and Bankers:JPMorgan Chase Bank, N.A. London Branch25 Bank Street, Canary Wharf, London, E14 5JP(Authorised and regulated by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority)

DepositaryNational Westminster Bank plc135 Bishopsgate, London, EC2M 4RB(Authorised and regulated by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority)

Independent AuditorsPricewaterhouseCoopers LLPAtria One, 144 Morrison Street, Edinburgh, EH3 8EX

Investment AdviserJPMorgan Asset Management (UK) Limited25 Bank Street, Canary Wharf, London, E14 5JP(Authorised and regulated by the Financial Conduct Authority)

RegistrarInternational Financial Data Services LimitedIFDS House, Saint Nicholas LaneBasildon, Essex, SS15 5FS(Authorised and regulated by the Financial Conduct Authority)

By order of the Authorised Corporate Director,

Dan WatkinsDirectorJPMorgan Funds Limited14 July 2017

Ruston SmithDirectorJPMorgan Funds Limited14 July 2017


6

Investment Adviser’s Report for the six months ending 31 May 2017

Market reviewGlobal equity markets delivered positive returns in the six months to 31 May 2017, boosted by an improving global economy. The MSCI World Index was up 5.0%, the S&P 500 rose 3.2%, the MSCI Europe gained 11.1% and the FTSE All-Share ended 8.1% higher (all performance in sterling terms, total return net, 1 December 2016 – 31 May 2017, source: J.P. Morgan Asset Management).

Equity markets had a strong six months. At the start of the review period, the US election—and the associated hopes for tax cuts, increased public spending and regulatory reform—sparked a rally in the US stock market, which was also supported by a recovery in US business and consumer confidence surveys. Meanwhile, a synchronised global recovery appeared to take hold, with strong soft data and some bright spots in the hard data out of most developed economies: purchasing managers’ indices and sentiment measures hit consistent highs, while GDP figures confirmed the momentum in US and Europe. The eurozone showed signs of improvement in particular, with business surveys rising to their highest levels in over five years, consumer confidence reaching a post-crisis high, and the 19-country bloc’s unemployment rate falling to its lowest level since 2010.

Politics were also a dominant theme. In Europe, elections rejected anti-euro politicians. In April and May, all eyes were on the French presidential elections, which saw a victory for centrist candidate Emmanuel Macron over far-right Marine Le Pen. This, combined with the victory for the incumbent prime minister in the Netherlands in March, led to a wave of relief among investors.

In the UK, Prime Minister Theresa May unexpectedly called a June general election. The result saw the Conservatives lose a majority, relying on support from the DUP in Northern Ireland. Despite an initial sell-off in sterling, markets eventually reacted well to the news as it was perceived to increase the likelihood of a softer Brexit. Meanwhile, in the US, the equity market experienced headwinds towards the end of the period, as the US administration failed to make any significant headway on its reflationary reform agenda.

Market outlookIn the second half of the year, investors are likely to focus on tightening monetary policy, particularly in the US. We have already had two interest rate hikes from the Federal Reserve (Fed) in 2017 and we may see another before the end of the year. However, it’s the reduction in the Fed’s balance sheet that might grab headlines. In its June meeting, Fed officials gave a detailed plan of how they would reduce the balance sheet and indicated that they would likely begin doing so at some point this year. The Fed going from being a net buyer to being a net seller of bonds is likely to put upwards pressure on yields.

The Fed might not be alone in tightening monetary policy over the next 12 months. Stronger global growth overseas may also see other central banks, including the Bank of England and the European Central Bank, gradually tighten monetary policy. How investors adapt to the beginning of tighter global monetary policy may be a key focal point in late 2017 and into 2018.

JPMorgan Asset Management (UK) Limited June 2017

7

JPM America Equity Fund

Investment objective and policyTo provide long term capital growth by investing primarily in a concentrated portfolio of Equity Securities of US companies.

US companies are companies that are incorporated under the laws of, and have their registered office in, the US, or that derive the predominant part of their economic activity from the US, even if listed elsewhere.

The Fund may also invest in Canadian companies.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed interest securities, cash and cash equivalents, may be held on an ancillary basis, as appropriate.

The Fund may also use Financial Derivative Instruments (derivatives) for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.7 of the Prospectus for risking warnings on derivatives). Subject to at least 60 days written notice to shareholders, the Fund may use derivatives for investment purposes which may change the risk profile of the Fund.

The Fund will invest predominantly in assets denominated in US Dollar. However, assets may be denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.

Risk profileThe value of your investment may fall as well as rise and you may get back less than you originally invested.

The value of Equity Securities and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions.

The Fund is aggressively managed meaning volatility may be high as the Fund may take larger position sizes, may have high turnover of holdings and at times may have a significant exposure to certain areas of the market.

The Fund may be concentrated in a limited number of securities and, as a result, may be more volatile than more broadly diversified funds.

The single market in which the Fund primarily invests, in this case the US, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.

Movements in currency exchange rates can adversely affect the return of your investment.

Please refer to Part 11 of the Prospectus for details of the general risk factors affecting this Fund in addition to the specific risk factors above.

Fund reviewThe Fund generated a positive return but underperformed its benchmark for the six-month period under review. The portfolio’s underperformance was driven by sector allocation, rather than stock selection. In particular, our overweight allocation to the financials sector and underweight allocation to the consumer staples sector proved lacklustre. Stock selection in the financials and real estate sectors also detracted from performance. The largest detractor in the financials sector was our position in Capital One Financials, as the company reported a core earnings-per-share miss on higher provisions. In addition, management adjusted guidance for net charge-offs upwards, which has weighed on the stock in the near term. In our view, Capital One Financials has an attractive asset-liability mix in addition to a strong and growing deposit base. The largest detractor in the real estate space was Kimco Realty, a shopping centre real estate investment trust. Amid the growing chorus of negativity in the retail sector, shopping centres have been hit hardest. On the positive side, stock selection in information technology added value, with positions in Electronic Arts and Facebook being some of the largest positive contributors. The healthcare sector also contributed positively, with overweight positions in Vertex Pharmaceuticals and Intuitive Surgical adding value.

Fund outlookOur fundamental outlook for continued US economic expansion and associated growth in corporate earnings remains intact. However, we would be remiss not to address the risks currently facing US equity markets. The pace of nominal growth has moderated and this has been reflected in the market leadership, which we will continue to monitor closely. From the US presidential election up to the end of last year, the financials, telecom and energy sectors were the top performers. Those same three sectors are now this year’s worst performers. It therefore appears to be safe to say that the “Trump rally” has now reversed.

Six month performance to 31 May 2017Net asset value per

share

Net asset value per

share31.05.17 30.11.16 % Return

JPM America Equity Fund A-Class Acc 84.70 79.96 5.93%

JPM America Equity FundB-Class Acc 172.2 162.2 6.17%

JPM America Equity FundC-Class Acc 173.6 163.3 6.31%

Benchmark Index 7.08%

You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.

8

12 month performance^ to 31 May

2017 2016 20152014 from

launch

JPM America Equity Fund A-Class Acc 33.8% 3.8% 18.8% 2.7%

JPM America Equity FundB-Class Acc 34.4% 4.3% 19.5% 2.8%

JPM America Equity FundC-Class Acc 34.8% 4.6% 19.7% 2.9%

Benchmark Index 32.0% 6.3% 22.5% 6.4%

Fund statisticsRisk and Reward Profile 6† (6 at 30 November 2016)

Fund size £19.2m

Benchmark Index S&P 500 Index (Net of 15% withholding tax)

Fund charges and expenses A-Class B-Class C-Class

Initial charge (max.) 3.00% Nil Nil

Exit charge Nil Nil Nil

Ongoing charge (comprises) 1.68% 1.18% 0.93%

Annual management fee 1.50% 1.00% 0.75%

Fixed expenses 0.18% 0.18% 0.18%

Top ten holdings %Alphabet, Inc. ‘C’ 6.56Amazon.com, Inc. 4.73Apple, Inc. 4.31Facebook, Inc. ‘A’ 4.16UnitedHealth Group, Inc. 3.76American International Group, Inc. 3.75DISH Network Corp. ‘A’ 3.18T Rowe Price Group, Inc. 3.09Loews Corp. 3.04Mastercard, Inc. ‘A’ 3.04

Sector breakdown %Information Technology 24.29Financials 21.49Consumer Discretionary 18.00Health Care 9.22Energy 6.29Industrials 5.96Real Estate 3.55Materials 3.54Utilities 2.24Consumer Staples 1.48Net other assets 3.94

Highest/lowest share price and distribution record

Financial year to 30 NovemberHighest

share priceLowest

share price

Distribution per share

(net)A-Class Accumulation SharesA

2014 57.39p 48.34p 0.00p2015 63.96p 54.46p 0.00p2016 80.97p 54.83p 0.00p2017B 86.54p 77.48p 0.00pA-Class Income SharesA

2014 57.39p 48.34p 0.00p2015 63.96p 54.46p 0.00p2016 80.97p 54.83p 0.00p2017B 86.54p 77.48p 0.00pB-Class Accumulation SharesA

2014 115.2p 96.78p 0.00p2015 129.0p 109.4p 0.00p2016 164.2p 110.8p 0.00p2017B 175.8p 157.2p 0.00pC-Class Accumulation SharesA

2014 115.5p 96.82p 0.11p2015 129.6p 109.6p 0.07p2016 165.4p 111.3p 0.13p2017B 177.1p 158.3p 0.00pC-Class Income SharesA

2014 115.4p 96.78p 0.11p2015 129.4p 109.5p 0.07p2016 165.1p 111.1p 0.13p2017B 176.7p 157.8p 0.00p

A A-Class Accumulation Shares, A-Class Income Shares, B-Class Accumulation Shares, C-Class Accumulation Shares and C-Class Income Shares were launched on 31 January 2014.B To 31 May 2017.

Portfolio turnover rate30.11.16 55.19%31.05.17 70.97%

The portfolio turnover rate (PTR) reflects the total of security purchases and sales, less the total of share issues and cancellations, expressed as a percentage of the average daily net asset values over the period.

† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.

9

Net asset values and Ongoing charges

Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per

shareOngoingcharges*

A-Class Accumulation Shares30.11.14 1,082 1,886,042 57.39p 1.68%30.11.15 1,588 2,488,790 63.81p 1.68%30.11.16 2,252 2,817,016 79.96p 1.68%31.05.17 1,686 1,990,593 84.70p 1.68%A-Class Income Shares30.11.14C 730 1,272,014 57.38p 1.68%30.11.15C 879 1,378,171 63.81p 1.68%30.11.16C 1,196 1,495,442 79.96p 1.68%31.05.17 492 581,112 84.70p 1.68%B-Class Accumulation Shares30.11.14 699 606,412 115.2p 1.18%30.11.15 831 644,901 128.8p 1.18%30.11.16 1,042 642,401 162.2p 1.18%31.05.17 331 192,401 172.2p 1.18%C-Class Accumulation Shares30.11.14 1,347 1,165,922 115.5p 0.93%30.11.15 1,946 1,504,053 129.4p 0.93%30.11.16 3,063 1,875,486 163.3p 0.93%31.05.17 2,808 1,616,897 173.6p 0.93%C-Class Income Shares30.11.14C 17,103 14,831,357 115.3p 0.93%30.11.15C 15,239 11,801,007 129.1p 0.93%30.11.16C 13,788 8,465,127 162.9p 0.93%31.05.17 13,905 8,029,741 173.2p 0.93%

C The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.

* The Ongoing charges takes into account the ACD fee, the fixed expenses and any expenses paid to an affiliate in respect of stocklending activities, expressed as a percentage of the average daily net asset values over the period.

10

Portfolio statementAs at 31 May 2017

Investment HoldingMarket value

£’000Total netassets % Investment Holding

Market value£’000

Total netassets %

Equities 96.06% (93.24%)

Consumer Discretionary 18.00% (20.71%)Distributors 0.00% (1.87%)Household Durables 1.62% (0.00%)Mohawk Industries, Inc. 1,687 312 1.62

312 1.62

Internet & Direct Marketing Retail 7.38% (9.43%)Amazon.com, Inc. 1,171 909 4.73Priceline Group, Inc. (The) 353 510 2.65

1,419 7.38

Media 3.18% (2.94%)DISH Network Corp. ‘A’ 12,358 612 3.18

612 3.18

Multiline Retail 2.07% (1.27%)Kohl’s Corp. 13,132 397 2.07

397 2.07

Specialty Retail 3.75% (5.20%)AutoZone, Inc. 694 331 1.72Bed Bath & Beyond, Inc. 8,654 234 1.22Best Buy Co., Inc. 3,349 155 0.81

720 3.75

Consumer Discretionary total 3,460 18.00

Consumer Staples 1.48% (1.79%)Beverages 0.00% (1.79%)Food & Staples Retailing 1.48% (0.00%)Walgreens Boots Alliance, Inc. 4,561 285 1.48

285 1.48

Consumer Staples total 285 1.48

Energy 6.29% (6.22%)Oil, Gas & Consumable Fuels 6.29% (6.22%)Concho Resources, Inc. 3,857 389 2.02Kinder Morgan, Inc. 26,044 374 1.95Marathon Petroleum Corp. 10,912 445 2.32

1,208 6.29

Energy total 1,208 6.29

Financials 21.49% (20.78%)Banks 2.89% (3.14%)Wells Fargo & Co. 13,688 556 2.89

556 2.89

Capital Markets 6.58% (3.06%)Charles Schwab Corp. (The) 14,329 432 2.25S&P Global, Inc. 2,177 239 1.24T Rowe Price Group, Inc. 10,915 593 3.09

1,264 6.58

Consumer Finance 5.23% (6.01%)Ally Financial, Inc. 32,916 480 2.50Capital One Financial Corp. 8,610 525 2.73

1,005 5.23

Insurance 6.79% (8.57%)American International Group, Inc. 14,464 722 3.75Loews Corp. 15,993 584 3.04

1,306 6.79

Financials total 4,131 21.49

Health Care 9.22% (9.88%)Biotechnology 2.15% (5.16%)Vertex Pharmaceuticals, Inc. 4,414 414 2.15

414 2.15

Health Care Equipment & Supplies 1.96% (2.49%)Intuitive Surgical, Inc. 527 376 1.96

376 1.96

Health Care Providers & Services 5.11% (2.23%)Acadia Healthcare Co., Inc. 8,086 260 1.35UnitedHealth Group, Inc. 5,257 723 3.76

983 5.11

Health Care total 1,773 9.22

Industrials 5.96% (6.13%)Airlines 2.52% (2.34%)Delta Air Lines, Inc. 12,665 484 2.52

484 2.52

Commercial Services & Supplies 1.49% (0.00%)Waste Connections, Inc. 3,877 286 1.49

286 1.49

Machinery 1.95% (2.09%)Stanley Black & Decker, Inc. 3,528 376 1.95

376 1.95

Road & Rail 0.00% (1.70%)Industrials total 1,146 5.96

Information Technology 24.29% (19.88%)Electronic Equipment, Instruments & Components 0.00% (1.39%)Internet Software & Services 10.72% (10.55%)Alphabet, Inc. ‘C’ 1,660 1,262 6.56Facebook, Inc. ‘A’ 6,732 799 4.16

2,061 10.72

IT Services 3.04% (6.97%)Mastercard, Inc. ‘A’ 6,152 583 3.04

583 3.04

Semiconductors & Semiconductor Equipment 2.17% (0.00%)NVIDIA Corp. 3,699 417 2.17

417 2.17

Software 4.05% (0.97%)Electronic Arts, Inc. 6,491 571 2.97ServiceNow, Inc. 2,542 208 1.08

779 4.05

Technology Hardware, Storage & Peripherals 4.31% (0.00%)Apple, Inc. 6,921 828 4.31

828 4.31

Information Technology total 4,668 24.29

Materials 3.54% (3.58%)Construction Materials 0.00% (1.52%)Containers & Packaging 3.54% (2.06%)Ball Corp. 10,976 349 1.82WestRock Co. 7,717 331 1.72

680 3.54

Materials total 680 3.54

Real Estate 3.55% (2.17%)Equity Real Estate Investment Trust (REIT) 3.55% (2.17%)Kimco Realty Corp. 21,430 292 1.52Rayonier, Inc. 17,960 391 2.03

683 3.55

Real Estate total 683 3.55

Utilities 2.24% (2.10%)Electric Utilities 2.24% (2.10%)Xcel Energy, Inc. 11,623 431 2.24

431 2.24

Utilities total 431 2.24

Equities total 18,465 96.06

Investment assets 18,465 96.06Net other assets 757 3.94

Net assets 19,222 100.00

The comparative percentage figures in brackets are as at 30 November 2016.

11

Portfolio movementsFor the six months ending 31 May 2017

£’000

Total of all purchases for the period 8,319

Major purchases Cost

Apple, Inc. 803Charles Schwab Corp. (The) 481Electronic Arts, Inc. 459Concho Resources, Inc. 455Kimco Realty Corp. 445AutoZone, Inc. 418Stanley Black & Decker, Inc. 378Kohl’s Corp. 363Ball Corp. 353Bed Bath & Beyond, Inc. 350Walgreens Boots Alliance, Inc. 341ServiceNow, Inc. 315Mohawk Industries, Inc. 315NVIDIA Corp. 308Acadia Healthcare Co., Inc. 297Waste Connections, Inc. 280UnitedHealth Group, Inc. 273Alphabet, Inc. ‘C’ 271S&P Global, Inc. 240Vertex Pharmaceuticals, Inc. 150

£’000

Total of all sales for the period 10,957

Major sales Proceeds

Mastercard, Inc. ‘A’ 717Facebook, Inc. ‘A’ 688Ulta Salon Cosmetics & Fragrance, Inc. 656Gilead Sciences, Inc. 640Amazon.com, Inc. 583Pioneer Natural Resources Co. 525Priceline Group, Inc. (The) 462Caterpillar, Inc. 458Genuine Parts Co. 404PayPal Holdings, Inc. 401Kansas City Southern 371Monster Beverage Corp. 370Martin Marietta Materials, Inc. 345Intuitive Surgical, Inc. 334Arrow Electronics, Inc. 326Capital One Financial Corp. 321American International Group, Inc. 305Vertex Pharmaceuticals, Inc. 295Alphabet, Inc. ‘C’ 292Loews Corp. 271

12

Statement of total return(Unaudited)

For the six months ending 31 May2017 2016

£’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 1,184 (205)

Revenue 108 98

Expenses (101) (86)

Net revenue before taxation 7 12

Taxation (16) (14)

Net expense after taxation (9) (2)

Total return before distributions 1,175 (207)

Distributions 2 (2)

Change in net assets attributable to shareholders from investment activities 1,177 (209)

Statement of change in net assets attributable to shareholders(Unaudited)

For the six months ending 31 May

2017Restated

2016£’000 £’000 £’000 £’000

Opening net assets attributable to shareholders 21,341 20,483

Amounts receivable on issue of shares 1,249 824

Amounts payable on cancellation of shares (4,545) (4,916)

(3,296) (4,092)

Change in net assets attributable to shareholders from investment activities (see above) 1,177 (209)

Closing net assets attributable to shareholders 19,222 16,182

As the comparatives in the above table are for the previous interim period, the net assets at the end of that period will not agree to the net assets at the start of the current period.

Balance sheet(Unaudited)

As at31 May 2017 30 November 2016

£’000 £’000

Assets:

Investments 18,465 19,898

Current assets:

Debtors 304 160

Cash and bank balances 581 1,311

Total assets 19,350 21,369

Liabilities:

Creditors:

Distribution payable – (11)

Other creditors (128) (17)

Total liabilities (128) (28)

Net assets attributableto shareholders 19,222 21,341

Financial statements

13

JPM Balanced Managed Fund

Investment objective and policyThe Fund aims to provide long-term capital growth by investing in a global portfolio of assets.

The Fund will primarily invest in Equity and Equity-Linked Securities (which may include smaller companies and Participation Notes) and Debt Securities (which may include Below-Investment Grade Bonds and Unrated Securities).

Issuers of securities may be located in any country, including Emerging Markets and the Fund may invest in assets denominated in any currency. The Fund may use Financial Derivative Instruments (derivatives) and forward transactions for investment purposes and Efficient Portfolio Management, including hedging, where appropriate.

The Fund may use Financial Derivative Instruments (derivatives) and forward transactions for investment purposes and Efficient Portfolio Management, including hedging, where appropriate.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, cash and cash equivalents may be held on an ancillary basis, as appropriate.

To enhance investment returns, the Investment Adviser may use Long and Short positions (achieved through the use of derivatives) to vary asset, currency and market allocations in response to market conditions and opportunities. As a result the Fund may have net long or net short exposure to certain markets, sectors or currencies from time to time.

Although most of the non-Sterling securities will be hedged back into Sterling, the Investment Adviser will also use opportunities in the foreign exchange market to maximise returns.


The value of Equity and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions. Furthermore, Participation Notes run the risk of counterparty default which may result in the loss of the full market value of the Note.

The value of Bonds and other Debt Securities may change significantly depending on market, economic and interest rate conditions as well as the creditworthiness of the issuer. Issuers of Bonds and other Debt Securities may fail to meet payment obligations (default) or the credit rating of Bonds and other Debt Securities may be downgraded. These risks are typically increased for Below-Investment Grade Bonds and certain Unrated Securities which may also be subject to higher volatility and be more difficult to sell than Investment Grade Bonds.

Bonds and other Debt Securities with a lower credit rating may have a higher risk of defaulting which may in turn have an adverse effect on the performance of Funds which invest in them.

The Fund may use Financial Derivative Instruments (derivatives) and/or forward transactions for investment purposes. The value of derivatives can be volatile. This is because a small movement in the value of the underlying asset can cause a large movement in the value of the derivative and therefore, investment in derivatives may result in losses in excess of the amount invested by the Fund.

Emerging Markets may be subject to increased political, regulatory and economic instability, less developed custody and settlement practices, poor transparency and greater financial risks. Emerging Market currencies may be subject to volatile price movements. Emerging Market securities may also be subject to higher volatility and be more difficult to sell than non-Emerging Market securities.

The Fund invests in securities of smaller companies which may be more difficult to sell, more volatile and tend to carry greater financial risk than securities of larger companies.

To the extent that any underlying assets of the Fund are denominated in a currency other than Sterling and are not hedged back to Sterling, movements in currency exchange rates can adversely affect the return of your investment. The currency hedging that may be used to minimise the effect of currency fluctuations may not always be successful.

The Fund’s asset allocation is actively managed. There is a risk that the performance of the Fund will suffer if the allocation to any particular asset class is low when that asset class is outperforming or high when that asset class is underperforming.


Fund reviewGlobal activity data continued to show broad-based strength over the period, with reflation broadening out beyond the US. The period saw a synchronised upswing in global economic data across developed and emerging markets. While data demonstrated a broadening out of reflation beyond the US, housing and labour market data as well as business and consumer confidence surveys in the world’s largest economy were robust. This backdrop enabled the Federal Reserve (Fed) to raise interest rates at its December and March meetings. However, the path for fiscal stimulus looked less certain. Doubts over the new Trump administration came to the forefront as its healthcare reform bill failed to reach a vote in the House, raising concerns about its ability to deliver tax reform. Following a soft start to April, markets rebounded in the second half of the month, helped by increased market focus on continued strong global data and a favourable outcome in the first round of the French election.

Against this backdrop, the underlying fund delivered a positive return but underperformed its benchmark. Active asset allocation detracted from relative performance. As markets focused on the political agenda the US dollar moved lower, and currency was our biggest detractor, with negative returns coming predominantly from our long US dollar vs. short the Australian dollar and Korean won strategies. Over the period we maintained an overweight to equities, which contributed positively to relative performance. In particular, signs of improvement in emerging market (EM) growth and the pause in the upward trajectory of the US dollar since the start of the year provided a good backdrop for our overweight EM equity positioning. In fixed income, our asset allocation detracted, as we maintained our underweight duration relative to the benchmark, which accommodates the improved growth outlook. Elsewhere, security selection within our equity allocation was positive. However, this was offset by security selection in our fixed income allocation.


14

Fund outlookBroadening global growth and signs that the reflation theme, beginning in the summer of last year, is gaining traction creates a brighter outlook for equities in 2017. While political risk has reduced in Europe, market scepticism about the Trump administration’s ability to deliver substantial reforms has increased and we continue to monitor this closely.


share

Net asset value per

share31.05.17 30.11.16 % Return

JPM Balanced Managed FundC-Class Acc 138.9 129.9 6.93%

JPM Balanced Managed FundI-Class Acc 839.1 784.0 7.03%


12 month performance^ to 31 May2017 2016 2015 2014

JPM Balanced Managed FundC-Class Acc 9.2% -1.2% 13.4% 13.6%

JPM Balanced Managed FundI-Class Acc 9.4% -1.0% 13.5% 13.9%

Benchmark Index 11.4% -1.6% 11.1% 12.7%


Fund size £47.2m

Benchmark Index 70% MSCI World Index (Net) Hedged to GBP/30% J.P. Morgan GBI Global Hedged to GBP

Fund charges and expenses C-Class I-Class

Initial charge (max.) Nil Nil

Exit charge Nil Nil

Ongoing charge (comprises) 0.83% 0.65%

Annual management fee 0.65% 0.65%

Fixed expenses 0.18% –

Top ten holdings (excluding Liquidity Funds) %Australia Government Bond 5.25% 15/03/2019 7.14US Treasury 3.75% 15/08/2041 2.88US Treasury 0.75% 15/02/2019 2.13France Government Bond OAT 8.50% 25/04/2023 2.02UK Treasury 1.50% 22/07/2026 1.78Apple, Inc. 1.62Spain Government Bond 4.40% 31/10/2023 1.43US Treasury 5.38% 15/02/2031 1.38Alphabet, Inc. 1.33UK Treasury 1.75% 22/07/2019 1.31

Asset breakdown %Equities 67.94Government Bonds 22.89Liquidity Funds 1.97Forward Currency Contracts 1.78Futures 0.67Net other assets 4.75

† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.

15



share priceLowest

share price


(net)

C-Class Accumulation Shares

2014 121.3p 105.5p 1.36p

2015 129.3p 117.6p 1.41p

2016 129.9p 114.1p 1.54p

2017A 139.3p 129.0p 0.00p

C-Class Income Shares

2014 121.2p 105.4p 1.27p

2015 127.7p 116.2p 1.40p

2016 127.0p 111.5p 1.49p

2017A 134.5p 124.6p 0.00p

I-Class Accumulation Shares

2014 729.6p 633.5p 9.71p

2015 777.8p 707.4p 9.82p

2016 784.2p 687.5p 10.60p

2017A 841.2p 778.8p 0.00p

A To 31 May 2017.


The portfolio turnover rate (PTR) reflects the total of security purchases and sales (excluding Liquidity Funds), less the total of share issues and cancellations, expressed as a percentage of the average daily net asset values over the period.


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


C-Class Accumulation Shares30.11.14 1,068 880,248 121.3p 0.83%30.11.15 7,858 6,184,486 127.1p 0.83%30.11.16 8,281 6,374,778 129.9p 0.83%31.05.17 6,927 4,986,347 138.9p 0.83%C-Class Income Shares30.11.14B 430 359,032 119.9p 0.83%30.11.15B 3,894 3,135,707 124.2p 0.83%30.11.16B 1,410 1,123,927 125.5p 0.83%31.05.17 1,359 1,013,240 134.1p 0.83%I-Class Accumulation Shares30.11.14 36,358 4,985,165 729.3p 0.65%30.11.15 39,924 5,215,148 765.5p 0.65%30.11.16 38,706 4,937,153 784.0p 0.65%31.05.17 38,951 4,641,799 839.1p 0.65%

B The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.


16


Equities 67.94% (69.70%)Australia 1.76% (1.77%)AMP Ltd. 11,752 35 0.07Australia & New Zealand Banking Group Ltd. 7,381 120 0.25BHP Billiton Ltd. 8,982 125 0.27Commonwealth Bank of Australia 2,891 134 0.28CSL Ltd. 525 39 0.08Dexus, REIT 10,201 61 0.13Goodman Group, REIT 15,050 74 0.16Macquarie Group Ltd. 1,153 60 0.13National Australia Bank Ltd. 806 14 0.03Rio Tinto Ltd. 1,529 56 0.12Wesfarmers Ltd. 3,225 80 0.17Westpac Banking Corp. 1,891 34 0.07

832 1.76

Austria 0.12% (0.00%)Erste Group Bank AG 1,951 56 0.12

56 0.12

Belgium 0.30% (0.30%)Anheuser-Busch InBev SA/NV 1,579 144 0.30

144 0.30

Canada 2.78% (2.76%)Agnico Eagle Mines Ltd. 332 12 0.03Agrium, Inc. 206 15 0.03Alimentation Couche-Tard, Inc. ‘B’ 661 24 0.05ARC Resources Ltd. 548 5 0.01Bank of Montreal 979 52 0.11Bank of Nova Scotia (The) 1,770 78 0.17Barrick Gold Corp. 1,773 23 0.05BCE, Inc. 229 8 0.02Brookfield Asset Management, Inc. ‘A’ 1,380 41 0.09Canadian Imperial Bank of Commerce 619 38 0.08Canadian National Railway Co. 1,183 72 0.15Canadian Natural Resources Ltd. 1,701 39 0.08Canadian Pacific Railway Ltd. 552 68 0.14Canadian Tire Corp. Ltd. ‘A’ 107 9 0.02Cenovus Energy, Inc. 1,367 10 0.02CGI Group, Inc. ‘A’ 346 13 0.03Constellation Software, Inc. 30 12 0.03Crescent Point Energy Corp. 823 6 0.01Dollarama, Inc. 182 13 0.03Enbridge, Inc. 1,228 37 0.08Encana Corp. 1,356 11 0.02Fairfax Financial Holdings Ltd. 35 12 0.03Fortis, Inc. 434 11 0.02Franco-Nevada Corp. 266 15 0.03Gildan Activewear, Inc. 361 8 0.02Goldcorp, Inc. 1,286 14 0.03Great-West Lifeco, Inc. 463 9 0.02Imperial Oil Ltd. 463 10 0.02Intact Financial Corp. 203 11 0.02Inter Pipeline Ltd. 533 8 0.02Kinross Gold Corp. 1,934 6 0.01Loblaw Cos. Ltd. 355 16 0.03Magna International, Inc. 623 22 0.05Manulife Financial Corp. 3,039 41 0.09Metro, Inc. 369 10 0.02National Bank of Canada 533 16 0.03Open Text Corp. 378 10 0.02Pembina Pipeline Corp. 590 15 0.03Potash Corp. of Saskatchewan, Inc. 1,313 17 0.04Power Corp. of Canada 586 10 0.02Power Financial Corp. 397 7 0.02Restaurant Brands International, Inc. 344 17 0.04Rogers Communications, Inc. ‘B’ 555 20 0.04Royal Bank of Canada 2,110 114 0.24Saputo, Inc. 400 10 0.02Shaw Communications, Inc. ‘B’ 632 11 0.02SNC-Lavalin Group, Inc. 232 7 0.01Sun Life Financial, Inc. 949 24 0.05Suncor Energy, Inc. 2,409 60 0.13Teck Resources Ltd. ‘B’ 839 12 0.03Thomson Reuters Corp. 535 18 0.04Toronto-Dominion Bank (The) 2,662 99 0.21TransCanada Corp. 1,097 40 0.08Trisura Group Ltd ^ 8 – –Waste Connections, Inc. 203 15 0.03Wheaton Precious Metals Corp. 657 11 0.02

1,312 2.78

China 0.09% (0.10%)Sands China Ltd. 11,600 42 0.09

42 0.09

Denmark 0.28% (0.19%)Chr Hansen Holding A/S 779 42 0.09Novo Nordisk A/S ‘B’ 2,717 90 0.19

132 0.28

Finland 0.54% (0.54%)Cargotec OYJ ‘B’ 1,168 54 0.11Nokia OYJ 19,760 98 0.21Outokumpu OYJ 6,652 42 0.09Wartsila OYJ Abp 1,299 60 0.13

254 0.54

France 2.40% (2.52%)Air Liquide SA 1,288 122 0.26Airbus SE 1,613 104 0.22AXA SA 5,053 105 0.22BNP Paribas SA 1,742 97 0.21Cap Gemini SA 763 62 0.13Natixis SA 7,632 39 0.08Pernod Ricard SA 643 68 0.14Renault SA 1,038 76 0.16Sanofi 1,646 127 0.27Schneider Electric SE 1,489 90 0.19Sodexo SA 565 60 0.13TOTAL SA 2,877 119 0.25Vivendi SA 3,786 64 0.14

1,133 2.40

Germany 2.68% (2.43%)adidas AG 426 64 0.14Allianz SE 181 27 0.06BASF SE 345 26 0.06Bayer AG 1,687 172 0.36Brenntag AG 1,304 60 0.13Daimler AG ‘D’ 2,193 124 0.26Deutsche Bank AG 1,483 21 0.04Deutsche Boerse AG 847 69 0.15Deutsche Post AG 2,673 75 0.16Deutsche Telekom AG 4,688 73 0.16HeidelbergCement AG 409 30 0.06Henkel AG & Co. KGaA Preference 745 82 0.17Infineon Technologies AG 3,595 62 0.13Linde AG 358 53 0.11SAP SE 1,697 142 0.30Siemens AG 1,376 152 0.32Volkswagen AG Preference 296 35 0.07

1,267 2.68

Hong Kong 0.73% (0.69%)AIA Group Ltd. 8,200 45 0.10Cheung Kong Property Holdings Ltd. 8,488 50 0.11CK Hutchison Holdings Ltd. 8,488 86 0.18Hang Seng Bank Ltd. 2,200 36 0.08Power Assets Holdings Ltd. 9,000 63 0.13Wharf Holdings Ltd. (The) 9,536 63 0.13

343 0.73

Ireland 0.15% (0.12%)Ryanair Holdings plc, ADR 828 70 0.15

70 0.15

Israel 0.12% (0.19%)Teva Pharmaceutical Industries Ltd., ADR 2,633 57 0.12

57 0.12

Italy 0.74% (0.59%)Assicurazioni Generali SpA 3,698 45 0.09Atlantia SpA 2,306 50 0.10Enel SpA 20,095 84 0.18Intesa Sanpaolo SpA 12,835 29 0.06Telecom Italia SpA 75,568 55 0.12UniCredit SpA 6,517 89 0.19

352 0.74

Japan 6.14% (6.47%)Bridgestone Corp. 2,100 69 0.15Central Japan Railway Co. 600 76 0.16Daikin Industries Ltd. 1,100 84 0.18Daiwa House Industry Co. Ltd. 29 1 –Dentsu, Inc. 1,200 47 0.10DMG Mori Co. Ltd. 4,100 50 0.11East Japan Railway Co. 1,300 97 0.21Electric Power Development Co. Ltd. 1,800 37 0.08




Total netassets %

17

Portfolio statement – continuedAs at 31 May 2017

Fujitsu Ltd. 14,000 79 0.17Hitachi Ltd. 18,000 85 0.18Honda Motor Co. Ltd. 3,600 79 0.17J Front Retailing Co. Ltd. 4,600 50 0.11Japan Airlines Co. Ltd. 2,200 50 0.11Japan Tobacco, Inc. 900 26 0.05JFE Holdings, Inc. 3,300 43 0.09JXTG Holdings, Inc. 13,300 45 0.09Kajima Corp. 11,000 66 0.14KDDI Corp. 2,200 47 0.10Keyence Corp. 100 35 0.07Kirin Holdings Co. Ltd. 4,800 78 0.16Kyowa Hakko Kirin Co. Ltd. 4,100 55 0.12Kyushu Electric Power Co., Inc. 4,100 39 0.08Mabuchi Motor Co. Ltd. 1,200 53 0.11Mazda Motor Corp. 4,400 47 0.10Medipal Holdings Corp. 4,000 57 0.12Mitsubishi UFJ Financial Group, Inc. 21,100 102 0.22Mitsui Fudosan Co. Ltd. 3,721 68 0.14MS&AD Insurance Group Holdings, Inc. 2,200 60 0.13NGK Spark Plug Co. Ltd. 4,000 63 0.13Nidec Corp. 1,000 77 0.16Nippon Steel & Sumitomo Metal Corp. 2,600 43 0.09Nippon Telegraph & Telephone Corp. 2,600 97 0.21ORIX Corp. 4,100 50 0.11Otsuka Corp. 1,300 62 0.13Otsuka Holdings Co. Ltd. 1,300 46 0.10Seiko Epson Corp. 2,900 47 0.10Seven & i Holdings Co. Ltd. 2,600 86 0.18Shin-Etsu Chemical Co. Ltd. 900 63 0.13Sony Corp. 3,100 88 0.19Sumitomo Bakelite Co. Ltd. 13,000 70 0.15Sumitomo Mitsui Financial Group, Inc. 3,100 87 0.18Sumitomo Realty & Development Co. Ltd. 2,000 47 0.10Suntory Beverage & Food Ltd. 1,800 68 0.14Takashimaya Co. Ltd. 4,000 29 0.06Tokyo Gas Co. Ltd. 13,000 53 0.11Toyota Motor Corp. 3,400 142 0.30Yamato Holdings Co. Ltd. 3,300 56 0.12

2,899 6.14

Luxembourg 0.13% (0.15%)ArcelorMittal 3,641 62 0.13

62 0.13

Netherlands 1.33% (1.67%)ASML Holding NV 627 65 0.14Heineken NV 958 73 0.15ING Groep NV 6,878 90 0.19Koninklijke Philips NV 2,182 60 0.13NN Group NV 1,650 46 0.10Royal Dutch Shell plc ‘A’ 4,336 92 0.19Royal Dutch Shell plc ‘B’ 6,497 141 0.30Unilever NV, CVA 1,423 63 0.13

630 1.33

New Zealand 0.10% (0.11%)Spark New Zealand Ltd. 22,618 47 0.10

47 0.10

Norway 0.08% (0.00%)Norsk Hydro ASA 9,258 39 0.08

39 0.08

Portugal 0.09% (0.09%)Galp Energia SGPS SA 3,410 41 0.09

41 0.09

Singapore 0.27% (0.21%)DBS Group Holdings Ltd. 9,150 106 0.22Singapore Exchange Ltd. 5,450 22 0.05

128 0.27

Spain 0.57% (0.50%)Banco Santander SA 12,055 61 0.13Bankia SA 63,932 58 0.12Iberdrola SA 10,831 67 0.14Repsol SA 3,138 41 0.09Telefonica SA 4,871 43 0.09

270 0.57

Sweden 0.21% (0.23%)Nordea Bank AB 10,007 100 0.21

100 0.21

Switzerland 2.40% (2.23%)Cie Financiere Richemont SA 1,348 88 0.19Credit Suisse Group AG 2,371 25 0.05Credit Suisse Group AG Rights 07/06/2017 2,371 1 –LafargeHolcim Ltd. 1,915 90 0.19Nestle SA 5,075 338 0.72Novartis AG 1,970 125 0.26Roche Holding AG 1,116 240 0.51UBS Group AG 5,871 73 0.15Wolseley plc 1,534 78 0.17Zurich Insurance Group AG 325 74 0.16

1,132 2.40

United Kingdom 4.14% (3.97%)3i Group plc 7,291 65 0.14Associated British Foods plc 1,398 42 0.09AstraZeneca plc 1,603 84 0.18Aviva plc 10,799 57 0.12Barratt Developments plc 6,483 39 0.08BP plc 19,482 92 0.19British American Tobacco plc 3,690 205 0.43Centrica plc 27,795 56 0.12Debenhams plc 24,783 12 0.03Dixons Carphone plc 12,087 40 0.08GlaxoSmithKline plc 6,988 118 0.25HSBC Holdings plc 27,254 186 0.39InterContinental Hotels Group plc 1,941 85 0.18ITV plc 27,585 54 0.11Liberty Global plc ‘A’ 283 7 0.02Liberty Global plc ‘C’ 642 15 0.03Lloyds Banking Group plc 96,243 68 0.14Prudential plc 5,745 100 0.21Reckitt Benckiser Group plc 805 65 0.14Rio Tinto plc 987 31 0.07Shire plc 2,809 127 0.27Standard Chartered plc 11,969 89 0.19Taylor Wimpey plc 24,577 50 0.11TechnipFMC plc 1,475 33 0.07Vodafone Group plc 58,113 135 0.29Whitbread plc 809 34 0.07WPP plc 3,768 66 0.14

1,955 4.14

United States of America 39.79% (41.87%)3M Co. 102 16 0.03Abbott Laboratories 2,730 96 0.20AbbVie, Inc. 360 18 0.04Accenture plc ‘A’ 1,658 160 0.34Activision Blizzard, Inc. 237 11 0.02Acuity Brands, Inc. 50 6 0.01Adobe Systems, Inc. 1,480 164 0.35Aetna, Inc. 913 104 0.22Agilent Technologies, Inc. 1,262 59 0.13Albemarle Corp. 229 11 0.02Alexion Pharmaceuticals, Inc. 464 35 0.07Allegion plc 1,093 67 0.14Allergan plc 698 121 0.26Alphabet, Inc. ‘A’ 360 279 0.59Alphabet, Inc. ‘C’ 462 351 0.74Altria Group, Inc. 2,139 125 0.26Amazon.com, Inc. 542 421 0.89American Express Co. 235 14 0.03American International Group, Inc. 1,696 85 0.18American Water Works Co., Inc. 202 12 0.03Ameriprise Financial, Inc. 444 42 0.09Amgen, Inc. 198 24 0.05Anadarko Petroleum Corp. 1,370 54 0.11Analog Devices, Inc. 1,768 117 0.25Antero Resources Corp. 181 3 0.01Apple, Inc. 6,372 763 1.62Aramark 203 6 0.01Archer-Daniels-Midland Co. 666 22 0.05Arrow Electronics, Inc. 118 7 0.01Arthur J Gallagher & Co. 1,333 59 0.13AT&T, Inc. 5,955 179 0.38Automatic Data Processing, Inc. 717 57 0.12AutoZone, Inc. 88 42 0.09AvalonBay Communities, Inc., REIT 424 63 0.13Avery Dennison Corp. 153 10 0.02Ball Corp. 398 13 0.03Bank of America Corp. 15,950 285 0.60




Total netassets %

18

Bank of New York Mellon Corp. (The) 1,928 71 0.15Becton Dickinson and Co. 352 52 0.11Berkshire Hathaway, Inc. ‘B’ 1,369 176 0.37Best Buy Co., Inc. 322 15 0.03Biogen, Inc. 475 91 0.19BioMarin Pharmaceutical, Inc. 314 21 0.04BlackRock, Inc. 249 79 0.17Boston Properties, Inc., REIT 220 21 0.04Boston Scientific Corp. 4,687 100 0.21Bristol-Myers Squibb Co. 2,909 122 0.26Brixmor Property Group, Inc., REIT 340 5 0.01Broadcom Ltd. 892 167 0.35Broadridge Financial Solutions, Inc. 156 9 0.02Brown-Forman Corp. ‘B’ 505 20 0.04CA, Inc. 367 9 0.02Cadence Design Systems, Inc. 316 9 0.02Camden Property Trust, REIT 100 6 0.01Capital One Financial Corp. 1,311 80 0.17Carnival Corp. 474 24 0.05CBRE Group, Inc. ‘A’ 359 10 0.02CDK Global, Inc. 164 8 0.02CDW Corp. 182 8 0.02Celanese Corp. 558 38 0.08Celgene Corp. 1,525 137 0.29Centene Corp. 202 12 0.03Charles Schwab Corp. (The) 3,537 106 0.22Charter Communications, Inc. ‘A’ 517 136 0.29Chevron Corp. 1,783 145 0.31Chubb Ltd. 975 108 0.23Cigna Corp. 192 24 0.05Cintas Corp. 103 10 0.02Cisco Systems, Inc. 3,718 92 0.19Citigroup, Inc. 4,952 238 0.50CMS Energy Corp. 1,954 72 0.15Coca-Cola Co. (The) 2,431 86 0.18Cognizant Technology Solutions Corp. ‘A’ 662 34 0.07Colgate-Palmolive Co. 319 19 0.04Comcast Corp. ‘A’ 7,116 228 0.48Concho Resources, Inc. 727 73 0.15Constellation Brands, Inc. ‘A’ 739 104 0.22Continental Resources, Inc. 117 3 0.01Cooper Cos., Inc. (The) 55 9 0.02Core Laboratories NV 45 4 0.01Corning, Inc. 1,078 25 0.05Costco Wholesale Corp. 803 112 0.24Crown Holdings, Inc. 1,037 47 0.10Cummins, Inc. 241 30 0.06CVS Health Corp. 488 29 0.06Danaher Corp. 689 45 0.10Deere & Co. 282 27 0.06Delphi Automotive plc 731 49 0.10Delta Air Lines, Inc. 1,399 53 0.11Diamondback Energy, Inc. 793 58 0.12Dick’s Sporting Goods, Inc. 125 4 0.01Digital Realty Trust, Inc., REIT 192 18 0.04Discover Financial Services 1,456 67 0.14DISH Network Corp. ‘A’ 1,243 62 0.13Dollar Tree, Inc. 441 27 0.06Dow Chemical Co. (The) 1,726 82 0.17DR Horton, Inc. 2,156 55 0.12Dr Pepper Snapple Group, Inc. 340 24 0.05Duke Energy Corp. 371 25 0.05DXC Technology Co. 326 20 0.04E*TRADE Financial Corp. 317 9 0.02Eastman Chemical Co. 1,361 85 0.18Eaton Corp. plc 1,604 97 0.21Edgewell Personal Care Co. 65 4 0.01Edison International 1,266 80 0.17EI du Pont de Nemours & Co. 2,044 124 0.26Eli Lilly & Co. 2,072 126 0.27EOG Resources, Inc. 1,822 127 0.27EQT Corp. 755 33 0.07Equinix, Inc., REIT 142 49 0.10Equity Residential, REIT 420 21 0.04Essex Property Trust, Inc., REIT 43 9 0.02Everest Re Group Ltd. 47 9 0.02Extra Space Storage, Inc., REIT 200 12 0.03Exxon Mobil Corp. 3,915 247 0.52F5 Networks, Inc. 72 7 0.01Facebook, Inc. ‘A’ 3,236 384 0.81FedEx Corp. 286 43 0.09Fidelity National Information Services, Inc. 1,161 77 0.16First Data Corp. ‘A’ 318 4 0.01FLIR Systems, Inc. 142 4 0.01Foot Locker, Inc. 172 8 0.02

Ford Motor Co. 4,207 36 0.08Fortive Corp. 347 17 0.04General Electric Co. 10,982 234 0.50General Motors Co. 592 15 0.03Gilead Sciences, Inc. 1,807 91 0.19Goldman Sachs Group, Inc. (The) 629 107 0.23H&R Block, Inc. 223 5 0.01Halliburton Co. 958 34 0.07Hartford Financial Services Group, Inc. (The) 1,740 66 0.14HCP, Inc., REIT 2,030 49 0.10HD Supply Holdings, Inc. 611 19 0.04Hewlett Packard Enterprise Co. 1,198 18 0.04Hilton Worldwide Holdings, Inc. 212 11 0.02Hologic, Inc. 202 7 0.01Home Depot, Inc. (The) 1,935 232 0.49Honeywell International, Inc. 1,733 179 0.38HP, Inc. 5,832 86 0.18Humana, Inc. 505 91 0.19Huntington Ingalls Industries, Inc. 50 8 0.02IDEXX Laboratories, Inc. 96 13 0.03Illumina, Inc. 341 46 0.10Incyte Corp. 186 19 0.04Ingersoll-Rand plc 1,308 91 0.19Ingredion, Inc. 84 7 0.02Intel Corp. 2,142 60 0.13Intercontinental Exchange, Inc. 1,680 79 0.17International Business Machines Corp. 744 88 0.19Johnson & Johnson 2,385 236 0.50Johnson Controls International plc 1,005 33 0.07Jones Lang LaSalle, Inc. 50 4 0.01KeyCorp 3,737 52 0.11Kimberly-Clark Corp. 584 59 0.13Kimco Realty Corp., REIT 2,190 30 0.06Kinder Morgan, Inc. 1,373 20 0.04Kraft Heinz Co. (The) 1,321 95 0.20L3 Technologies Inc 301 39 0.08Laboratory Corp. of America Holdings 123 13 0.03Lam Research Corp. 181 22 0.05Lear Corp. 85 10 0.02Liberty Broadband Corp. ‘C’ 128 9 0.02Liberty Media Corp-Liberty SiriusXM 146 5 0.01Liberty Property Trust, REIT 160 5 0.01Lincoln National Corp. 243 12 0.03Lowe’s Cos., Inc. 2,301 142 0.30Macy’s, Inc. 1,084 20 0.04ManpowerGroup, Inc. 83 6 0.01Marvell Technology Group Ltd. 487 7 0.01Masco Corp. 2,037 59 0.13Mastercard, Inc. ‘A’ 383 36 0.08McDonald’s Corp. 202 24 0.05McKesson Corp. 185 23 0.05Medtronic plc 540 36 0.08Merck & Co., Inc. 2,877 145 0.31MetLife, Inc. 2,360 93 0.20Microchip Technology, Inc. 887 57 0.12Microsoft Corp. 10,103 554 1.17Molson Coors Brewing Co. ‘B’ 1,231 91 0.19Mondelez International, Inc. ‘A’ 3,783 137 0.29Morgan Stanley 3,846 127 0.27Mosaic Co. (The) 1,971 35 0.07Mylan NV 83 3 0.01National Retail Properties, Inc., REIT 170 5 0.01Newell Brands, Inc. 742 31 0.07Newfield Exploration Co. 229 6 0.01Newmont Mining Corp. 587 16 0.03NextEra Energy, Inc. 1,212 133 0.28NIKE, Inc. ‘B’ 2,124 87 0.18NiSource, Inc. 1,863 37 0.08Norfolk Southern Corp. 399 39 0.08Northrop Grumman Corp. 660 132 0.28Nuance Communications, Inc. 278 4 0.01NVIDIA Corp. 376 42 0.09Occidental Petroleum Corp. 1,872 88 0.19Oracle Corp. 1,766 62 0.13O’Reilly Automotive, Inc. 419 81 0.17PACCAR, Inc. 1,177 57 0.12Parsley Energy, Inc. ‘A’ 271 6 0.01Paychex, Inc. 360 17 0.04PepsiCo, Inc. 2,558 235 0.50Pfizer, Inc. 9,132 229 0.48PG&E Corp. 1,850 98 0.21Philip Morris International, Inc. 2,398 224 0.47Phillips 66 935 56 0.12Pinnacle West Capital Corp. 1,032 70 0.15Pioneer Natural Resources Co. 808 104 0.22




Total netassets %


19

Plains GP Holdings LP ‘A’ 150 3 0.01PNC Financial Services Group, Inc. (The) 771 71 0.15Priceline Group, Inc. (The) 8 12 0.03Procter & Gamble Co. (The) 1,683 115 0.24Prologis, Inc., REIT 1,262 55 0.12Prudential Financial, Inc. 475 39 0.08Public Storage, REIT 327 55 0.12PulteGroup, Inc. 2,606 46 0.10PVH Corp. 96 8 0.02QUALCOMM, Inc. 430 19 0.04Quest Diagnostics, Inc. 153 13 0.03Raymond James Financial, Inc. 163 9 0.02Raytheon Co. 264 33 0.07Realty Income Corp., REIT 270 12 0.03Regeneron Pharmaceuticals, Inc. 13 5 0.01Regions Financial Corp. 2,989 32 0.07Reinsurance Group of America, Inc. 82 8 0.02Robert Half International, Inc. 162 6 0.01Rockwell Collins, Inc. 35 3 0.01Ross Stores, Inc. 773 38 0.08Royal Caribbean Cruises Ltd. 782 67 0.14Sabre Corp. 190 3 0.01SBA Communications Corp., REIT 139 15 0.03Schlumberger Ltd. 613 33 0.07Sensata Technologies Holding NV 187 6 0.01ServiceNow, Inc. 198 16 0.03Sherwin-Williams Co. (The) 28 7 0.01Simon Property Group, Inc., REIT 59 7 0.01Sirius XM Holdings, Inc. 4,312 18 0.04SL Green Realty Corp., REIT 162 13 0.03Snap, Inc. ‘A’ 390 6 0.01Snap-on, Inc. 397 49 0.10Spectrum Brands Holdings, Inc. 43 4 0.01Stanley Black & Decker, Inc. 1,044 111 0.24Starbucks Corp. 2,810 138 0.29State Street Corp. 896 57 0.12SunTrust Banks, Inc. 994 42 0.09SVB Financial Group 136 18 0.04Symantec Corp. 325 8 0.02Synopsys, Inc. 179 10 0.02TD Ameritrade Holding Corp. 262 8 0.02TE Connectivity Ltd. 1,619 100 0.21TEGNA, Inc. 203 4 0.01Teleflex, Inc. 49 8 0.02Texas Instruments, Inc. 2,654 169 0.36Thermo Fisher Scientific, Inc. 665 90 0.19Time Warner, Inc. 852 66 0.14TJX Cos., Inc. (The) 1,821 106 0.22T-Mobile US, Inc. 894 47 0.10Toll Brothers, Inc. 339 10 0.02Twenty-First Century Fox, Inc. ‘A’ 4,609 97 0.21Twenty-First Century Fox, Inc. ‘B’ 491 10 0.02Union Pacific Corp. 1,943 168 0.36United Continental Holdings, Inc. 938 58 0.12United Parcel Service, Inc. ‘B’ 195 16 0.03United Technologies Corp. 805 76 0.16United Therapeutics Corp. 58 5 0.01UnitedHealth Group, Inc. 1,771 243 0.51Unum Group 255 9 0.02US Bancorp 270 11 0.02Valero Energy Corp. 502 24 0.05Vantiv, Inc. ‘A’ 1,100 53 0.11VEREIT, Inc., REIT 1,320 8 0.02VeriSign, Inc. 127 9 0.02Verizon Communications, Inc. 2,937 106 0.22Vertex Pharmaceuticals, Inc. 535 50 0.11Visa, Inc. ‘A’ 3,179 234 0.50Vornado Realty Trust, REIT 434 31 0.07Voya Financial, Inc. 230 6 0.01Vulcan Materials Co. 149 14 0.03Walgreens Boots Alliance, Inc. 1,832 114 0.24Wal-Mart Stores, Inc. 421 26 0.06Walt Disney Co. (The) 2,332 197 0.42Wells Fargo & Co. 6,703 272 0.58WestRock Co. 1,041 45 0.10WEX, Inc. 368 30 0.06Workday, Inc. ‘A’ 486 38 0.08Xcel Energy, Inc. 2,199 81 0.17Xerox Corp. 977 5 0.01XL Group Ltd. 211 7 0.01Zimmer Biomet Holdings, Inc. 311 29 0.06

18,796 39.79


Government Bonds 22.89% (25.92%)Australia 7.14% (7.25%)Australia Government Bond 5.25%

15/03/2019 AUD 5,450,000 3,373 7.14

3,373 7.14

France 2.64% (4.91%)France Government Bond OAT 8.50% 25/04/2023 €725,000 954 2.02France Government Bond OAT 3.25% 25/05/2045 €250,000 293 0.62

1,247 2.64

Italy 1.11% (1.10%)Italy Buoni Poliennali Del Tesoro 3.50%

01/03/2030 €385,000 375 0.79Italy Buoni Poliennali Del Tesoro 4.75%

01/09/2044 €135,000 149 0.32

524 1.11

Japan 0.00% (0.80%)Spain 1.43% (1.35%)Spain Government Bond 4.40% 31/10/2023 €625,000 673 1.43

673 1.43

United Kingdom 3.09% (5.18%)UK Treasury 1.75% 22/07/2019 £600,000 621 1.31UK Treasury 1.50% 22/07/2026 £800,000 840 1.78

1,461 3.09

United States of America 7.48% (5.33%)US Treasury 0.75% 15/02/2019 $1,300,000 1,004 2.13US Treasury 2.13% 15/05/2025 $450,000 351 0.74US Treasury 6.13% 15/08/2029 $150,000 164 0.35US Treasury 5.38% 15/02/2031 $620,000 654 1.38US Treasury 3.75% 15/08/2041 $1,500,000 1,360 2.88

3,533 7.48

Government Bonds total 10,811 22.89

Forward Currency Contracts 1.78% ((3.26)%)Buy AUD 143,063 sell GBP 88,681 dated 08/06/2017 (6) (0.01)Buy AUD 808,653 sell GBP 468,824 dated 12/09/2017 (1) –Buy AUD 808,653 sell USD 607,412 dated 08/06/2017 (3) (0.01)Buy CAD 1,251,105 sell GBP 723,762 dated 12/09/2017 – –Buy CAD 2,035,389 sell USD 1,497,356 dated 08/06/2017 13 0.03Buy CAD 514,712 sell USD 383,067 dated 08/06/2017 – –Buy EUR 1,704,610 sell GBP 1,480,921 dated 08/06/2017 8 0.02Buy GBP 4,924,724 sell AUD 8,045,256 dated 08/06/2017 250 0.53Buy GBP 2,108,398 sell CAD 3,459,603 dated 08/06/2017 104 0.22Buy GBP 724,671 sell CAD 1,251,105 dated 08/06/2017 – –Buy GBP 1,050,381 sell CHF 1,307,686 dated 08/06/2017 1 –Buy GBP 148,699 sell DKK 1,292,273 dated 08/06/2017 (3) (0.01)Buy GBP 8,104,942 sell EUR 9,483,950 dated 08/06/2017 (180) (0.38)Buy GBP 398,305 sell HKD 3,844,763 dated 08/06/2017 14 0.03Buy GBP 4,515,050 sell JPY 628,022,293 dated 08/06/2017 100 0.21Buy GBP 9,166 sell JPY 1,303,900 dated 08/06/2017 – –Buy GBP 992,310 sell MXN 25,047,040 dated 08/06/2017 (51) (0.11)Buy GBP 28,350,848 sell USD 35,346,167 dated 08/06/2017 820 1.74Buy GBP 1,603,949 sell USD 2,069,569 dated 08/06/2017 (8) (0.02)Buy GBP 673,015 sell ZAR 11,085,627 dated 08/06/2017 14 0.03Buy JPY 199,415,873 sell GBP 1,398,755 dated 08/06/2017 3 0.01Buy JPY 29,353,609 sell GBP 213,276 dated 08/06/2017 (7) (0.02)Buy KRW 5,648,751,985 sell USD 5,009,187 dated 08/06/2017 30 0.06Buy MXN 25,047,040 sell USD 1,248,823 dated 08/06/2017 71 0.15Buy USD 168,732 sell EUR 159,133 dated 08/06/2017 (8) (0.02)Buy USD 1,001,109 sell GBP 768,710 dated 08/06/2017 11 0.02Buy USD 10,526,677 sell GBP 8,456,044 dated 08/06/2017 (257) (0.54)Buy USD 1,529,110 sell JPY 171,657,560 dated 08/06/2017 (16) (0.03)Buy USD 4,977,360 sell KRW 5,648,751,985 dated 08/06/2017 (55) (0.12)Buy USD 300,919 sell KRW 338,199,940 dated 12/09/2017 (1) –Buy ZAR 11,085,627 sell USD 848,179 dated 08/06/2017 (1) –

Forward Currency Contracts total 842 1.78




Total netassets %


20


Futures 0.67% ((0.11)%)EURO STOXX 50 Index 16/06/2017 114 208 0.44Euro-Buxl 08/06/2017 (12) (11) (0.02)Euro-Schatz 08/06/2017 15 1 –FTSE 100 Index 16/06/2017 (31) (81) (0.17)Hang Seng Equity Index Futures 29/06/2017 4 6 0.01H-Shares Equity Index Futures 29/06/2017 23 31 0.07Japan 10 Year Bond Mini 12/06/2017 12 5 0.01MSCI Emerging Markets Mini Index 16/06/2017 61 153 0.32Russell 2000 Mini Index 16/06/2017 (9) (1) –S&P 500 Emini Index 16/06/2017 (3) 1 –TOPIX Index 08/06/2017 31 14 0.03US 10 Year Note 20/09/2017 (36) (7) (0.02)US long Bond 20/09/2017 (3) (2) –

Futures total 317 0.67

Liquidity Funds 1.97% (5.48%)JPM Sterling Liquidity Fund X (dist.)† 930,409 930 1.97

Liquidity Funds total 930 1.97

Investment assets (including investment liabilities) 44,993 95.25Net other assets 2,244 4.75

Net assets 47,237 100.00

The comparative percentage figures in brackets are as at 30 November 2016.^ Unlisted, suspended or delisted security.† A related party to the Fund.

Debt security credit analysisMarket value

£’000Total netassets %

Investment Grade 10,811 22.89

10,811 22.89

Credit rating designations BBB or above are considered investment grade whereas credit rating designations BB or lower are considered below investment grade.

Counterparty exposureFinancial derivative exposure

Counterparty

Forward currencycontracts

£’000

Futures contracts

£’000Total

£’000

ANZ Banking Group (2) – (2)Barclays 709 – 709BNP Paribas 64 – 64Citibank 4 – 4Credit Suisse (163) – (163)Goldman Sachs (15) 419 404HSBC (54) – (54)Merrill Lynch (7) – (7)National Australia Bank 455 – 455Royal Bank of Canada (4) – (4)Societe Generale 76 – 76Standard Chartered (12) – (12)State Street (212) – (212)UBS 3 – 3

842 419 1,261

At the balance sheet date no collateral was held or pledged by the Fund or on behalf of the counterparties in respect of the above.

The counterparty exposure on forward currency contracts is reported at their mark to market values but for futures contracts it is only the positive mark to market values that are reported.



21


£’000



JPM Sterling Liquidity Fund X (dist.)† 2,633UK Treasury 1.75% 22/07/2019 1,866Japan Government Ten Year Bond 0.10% 20/12/2026 1,215US Treasury 0.75% 15/02/2019 1,005UK Treasury 1.50% 22/07/2026 827Philip Morris International, Inc. 91PNC Financial Services Group, Inc. (The) 79NIKE, Inc. ‘B’ 79Occidental Petroleum Corp. 75Walt Disney Co. (The) 71Deutsche Boerse AG 66Phillips 66 58Erste Group Bank AG 56Nestle SA 56NiSource, Inc. 54Otsuka Corp. 53Kraft Heinz Co. (The) 52Microchip Technology, Inc. 51Norsk Hydro ASA 50Public Storage, REIT 49

† A related party to the Fund.

£’000



JPM Sterling Liquidity Fund X (dist.)† 4,355UK Treasury 1.75% 22/01/2017 2,500UK Treasury 1.75% 22/07/2019 1,244Japan Government Ten Year Bond 0.10% 20/12/2026 1,215France Government Bond OAT 4.75% 25/04/2035 1,056Japan Government Twenty Year Bond 0.20% 20/12/2036 368Reynolds American, Inc. 131Schlumberger Ltd. 100Apple, Inc. 91Simon Property Group, Inc., REIT 86Barclays plc 82Procter & Gamble Co. (The) 78Ameren Corp. 78Microsoft Corp. 76Kroger Co. (The) 72Actelion Ltd. 70Time Warner, Inc. 68Facebook, Inc. ‘A’ 68Lam Research Corp. 64Kimberly-Clark Corp. 63

22



£’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 2,956 (446)

Revenue 534 607

Expenses (164) (171)


Taxation (67) (44)

Net revenue after taxation 303 392


Distributions (9) 3



For the six months ending 31 May

2017Restated

2016£’000 £’000 £’000 £’000


Amounts receivable on issue of shares 873 4,782


(4,410) (371)






£’000 £’000

Assets:


Current assets:

Debtors 221 533

Cash and bank balances 2,109 828


Liabilities:

Investment liabilities (699) (3,039)

Creditors:



Total liabilities (785) (3,300)



23

JPM Europe Smaller Companies Fund

Investment objective and policyTo provide long-term capital growth by investing primarily in European smaller companies.

European smaller companies are companies that are incorporated under the laws of, and have their registered office in, Europe (excluding the UK), or that derive the predominant part of their economic activity from Europe (excluding the UK), even if listed elsewhere.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed interest securities, cash and cash equivalents may be held on an ancillary basis, as appropriate.

The Fund may invest in assets denominated in any currency and non-Sterling currency exposure may be hedged back to Sterling.


The value of Equity and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions.


This Fund is aggressively managed, which may result in higher volatility of the Fund’s performance and bigger differences between the performance of the Fund and its Benchmark.



Fund reviewContinental European small cap stocks delivered positive returns and outperformed large caps in the six months under review, helped by continuing improvement in the European economy.

The Fund, which invests in attractively-valued, high-quality European small cap stocks with positive momentum, underperformed its benchmark over the period. Positive contributors to relative returns included overweight positions and stock selection in industrial engineering and leisure goods, as well as an underweight in real estate. Stock selection and an overweight in banks, stock selection in oil equipment, services & distribution, and an underweight in industrial transportation detracted the most. At the stock level, the Fund benefited in relative terms from an overweight position in Interpump, the Italian manufacturer of high pressure pumps and hydraulics. The company released a strong set of results for FY16, demonstrating solid organic growth. An overweight in Datalogic also positively contributed to returns as the Italian logistics solutions provider published a FY17 growth outlook ahead of expectations. Stock-level detractors from relative returns included overweight positions in Aker Solutions and TGS Nopec, two Norwegian oil services companies, due to uncertainty around the outlook for the oil price. However, relative returns were boosted by an overweight position in Oriflame. The Swedish beauty product retailer delivered strong sales growth, driven by momentum in emerging markets such as China.

Fund outlookWith the French presidential election out of the way, a major source of political risk in Europe is now behind us, and investors will refocus on fundamentals. The first-quarter earnings season shaped up to be very satisfactory, with beats in both revenues and profits, and this will bolster confidence that European earnings can grow by the mid-double-digit amount that analysts forecast. Global economic leading indicators remain strong and valuations do not appear demanding given the earnings growth outlook for European smaller companies.


share

Net asset value per

share31.05.17 30.11.16 % Return

JPM Europe Smaller Companies Fund A-Class Acc 721.7 585.0 23.37%

JPM Europe Smaller Companies Fund B-Class Acc 735.6 594.8 23.67%

JPM Europe Smaller Companies Fund C-Class Acc 746.9 603.2 23.82%

JPM Europe Smaller Companies Fund I-Class Acc 1,510 1,220 23.77%



JPM Europe Smaller Companies Fund A-Class Acc 35.5% 13.0% 6.4% 23.2%

JPM Europe Smaller Companies FundB-Class Acc 36.1% 13.4% 6.9% 23.6%

JPM Europe Smaller Companies FundC-Class Acc 36.6% 13.8% 7.2% 24.1%

JPM Europe Smaller Companies Fund I-Class Acc 36.5% 13.7% 7.1% 24.0%

Benchmark Index 39.1% 5.6% 2.2% 24.2%

You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.

24


Fund size £202.9m

Benchmark Index Euromoney Smaller European Companies ex UK Index (Net)

Fund charges and expenses A-Class B-Class C-Class I-Class

Initial charge (max.) 3.00% Nil Nil Nil

Exit charge Nil Nil Nil Nil

Ongoing charge (comprises) 1.68% 1.18% 0.93% 1.00%

Annual management fee 1.50% 1.00% 0.75% 1.00%

Fixed expenses 0.18% 0.18% 0.18% –

Top ten holdings (excluding Liquidity Funds) %IPSOS 2.30Ubisoft Entertainment SA 2.23Stabilus SA 2.21Salmar ASA 2.20Tarkett SA 2.20Metso OYJ 2.20ams AG 2.17Interpump Group SpA 2.14SimCorp A/S 2.11Amplifon SpA 2.09

Geographical breakdown %France 18.09Italy 16.42Germany 12.81Switzerland 10.85Sweden 8.15Netherlands 6.94Norway 6.25Denmark 6.03Finland 5.97Liquidity Funds 3.54Austria 2.17Luxembourg 1.73Net other assets 1.05



share priceLowest

share price


(net)

A-Class Accumulation Shares

2014 464.9p 348.9p 0.00p

2015 498.6p 394.8p 0.13p

2016 650.4p 462.7p 0.34p

2017A 722.2p 566.0p 0.00p

A-Class Income Shares

2014 60.47p 45.37p 0.00p

2015 64.85p 51.35p 0.01p

2016 84.57p 60.16p 0.03p

2017A 93.87p 73.57p 0.00p

B-Class Accumulation Shares

2014 467.0p 351.5p 1.66p

2015 505.2p 398.1p 2.30p

2016 660.8p 469.1p 2.49p

2017A 736.1p 575.5p 0.00p

C-Class Accumulation Shares

2014 469.6p 354.0p 2.89p

2015 510.3p 401.1p 3.65p

2016 669.9p 474.2p 4.86p

2017A 747.4p 583.6p 0.00p

C-Class Income Shares

2014 60.63p 45.70p 0.37p

2015 65.40p 51.42p 0.47p

2016 85.24p 60.34p 0.59p

2017A 94.34p 73.67p 0.00p

I-Class Accumulation Shares

2014 951.6p 717.0p 5.18p

2015 1,033p 812.3p 6.70p

2016 1,355p 959.4p 8.75p

2017A 1,511p 1,180p 0.00p

A To 31 May 2017.

† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices

25




Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares30.11.14 92,427 22,807,261 405.3p 1.68%30.11.15 94,147 18,898,366 498.2p 1.68%30.11.16 100,409 17,164,394 585.0p 1.68%31.05.17 119,479 16,555,679 721.7p 1.68%A-Class Income Shares30.11.14B 818 1,551,356 52.71p 1.68%30.11.15B 618 954,187 64.78p 1.68%30.11.16B 606 797,661 76.04p 1.68%31.05.17 840 895,758 93.81p 1.68%B-Class Accumulation Shares30.11.14 118 28,923 408.6p 1.18%30.11.15 11 2,124 504.7p 1.18%30.11.16 33 5,494 594.8p 1.18%31.05.17 88 11,903 735.6p 1.18%C-Class Accumulation Shares30.11.14 6,937 1,685,599 411.6p 0.93%30.11.15 31,531 6,185,116 509.8p 0.93%30.11.16 63,836 10,583,564 603.2p 0.93%31.05.17 77,535 10,381,153 746.9p 0.93%C-Class Income Shares30.11.14B 258 488,657 52.76p 0.93%30.11.15B 792 1,220,777 64.87p 0.93%30.11.16B 2,154 2,829,017 76.15p 0.93%31.05.17 4,185 4,439,353 94.27p 0.93%I-Class Accumulation Shares30.11.14 561 67,302 833.5p 1.00%30.11.15 775 75,118 1,032p 1.00%30.11.16 529 43,348 1,220p 1.00%31.05.17 770 51,001 1,510p 1.00%

B The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.


26


Equities 95.41% (97.53%)Austria 2.17% (0.00%)ams AG 84,227 4,409 2.17

4,409 2.17

Belgium 0.00% (1.02%)Denmark 6.03% (5.61%)FLSmidth & Co. A/S 81,814 3,893 1.92Royal Unibrew A/S 113,723 4,053 2.00SimCorp A/S 175,955 4,282 2.11

12,228 6.03

Finland 5.97% (10.28%)Huhtamaki OYJ 130,982 3,979 1.96Metso OYJ 167,751 4,459 2.20Nokian Renkaat OYJ 114,632 3,671 1.81

12,109 5.97

France 18.09% (22.45%)Alten SA 60,630 4,184 2.06ID Logistics Group 22,608 2,651 1.31IPSOS 152,686 4,674 2.30Maisons du Monde SA 145,169 4,233 2.09Remy Cointreau SA 46,488 3,995 1.97Sopra Steria Group 32,363 4,013 1.98Tarkett SA 114,618 4,463 2.20Trigano SA 47,089 3,960 1.95Ubisoft Entertainment SA 105,722 4,532 2.23

36,705 18.09

Germany 12.81% (5.17%)Aumann AG 62,492 3,428 1.69Hella KGaA Hueck & Co. 99,781 3,927 1.93HUGO BOSS AG 63,470 3,746 1.85Jungheinrich AG Preference 140,111 4,111 2.03SAF-Holland SA 282,126 3,853 1.90Stabilus SA 71,350 4,485 2.21Wacker Neuson SE 281,322 2,436 1.20

25,986 12.81

Italy 16.42% (13.75%)Amplifon SpA 383,039 4,249 2.09Brembo SpA 312,880 3,897 1.92Cerved Information Solutions SpA 458,125 3,864 1.90Datalogic SpA 134,212 3,020 1.49De’ Longhi SpA 158,938 4,062 2.00FinecoBank Banca Fineco SpA 706,527 4,088 2.02Industria Macchine Automatiche SpA 55,510 3,845 1.90Interpump Group SpA 188,647 4,337 2.14Salvatore Ferragamo SpA^ 2,382 – –Tod’s SpA 82,492 1,946 0.96

33,308 16.42

Luxembourg 1.73% (0.00%)Subsea 7 SA 629,717 3,502 1.73

3,502 1.73

Netherlands 6.94% (7.64%)Aalberts Industries NV 131,121 4,118 2.03ForFarmers NV 255,481 2,093 1.03IMCD Group NV 89,478 3,856 1.90TKH Group NV, CVA 102,425 4,019 1.98

14,086 6.94

Norway 6.25% (6.80%)Aker Solutions ASA 882,848 3,417 1.68Bakkafrost P/F 880 25 0.01Norway Royal Salmon ASA 48,478 652 0.32Salmar ASA 215,360 4,466 2.20Skandiabanken ASA 553,782 4,131 2.04

12,691 6.25

Spain 0.00% (2.75%)Sweden 8.15% (12.20%)Dometic Group AB 663,096 4,202 2.07Husqvarna AB ‘B’ 504,112 4,075 2.01Nordax Group AB 110,288 150 0.07Thule Group AB 284,739 4,181 2.06Trelleborg AB ‘B’ 213,882 3,926 1.94

16,534 8.15

Switzerland 10.85% (9.86%)Bucher Industries AG 16,176 4,094 2.02dormakaba Holding AG 5,874 4,123 2.03Forbo Holding AG 3,043 3,923 1.93Oriflame Holding AG 177,192 2,849 1.40Sulzer AG 42,144 3,837 1.89Temenos Group AG 44,196 3,200 1.58

22,026 10.85


Liquidity Funds 3.54% (3.63%)JPM Euro Liquidity Fund X (flex dist.)† 8,229,268 7,188 3.54

Liquidity Funds total 7,188 3.54

Investment assets 200,772 98.95Net other assets 2,125 1.05

Net assets 202,897 100.00

The comparative percentage figures in brackets are as at 30 November 2016.† A related party to the Fund.^ Unlisted, suspended or delisted security.




Total netassets %

27


£’000



JPM Euro Liquidity Fund X (flex dist.)† 24,715Metso OYJ 4,289Dometic Group AB 4,137Aker Solutions ASA 4,035TGS NOPEC Geophysical Co. 3,986Huhtamaki OYJ 3,981Hella KGaA Hueck & Co. 3,952Royal Unibrew A/S 3,901HUGO BOSS AG 3,880FinecoBank Banca Fineco SpA 3,845Cerved Information Solutions SpA 3,810De’ Longhi SpA 3,793Tod’s SpA 3,787Husqvarna AB ‘B’ 3,765Salmar ASA 3,759ams AG 3,587SAF-Holland SA 3,571Bucher Industries AG 3,522Banca Mediolanum SpA 3,456Subsea 7 SA 3,442


£’000



JPM Euro Liquidity Fund X (flex dist.)† 23,752Ipsen SA 4,406Salvatore Ferragamo SpA 4,216Buzzi Unicem SpA 3,580Banca Generali SpA 3,552Spar Nord Bank A/S 3,474TGS NOPEC Geophysical Co. 3,450Rexel SpA 3,361Valmet OYJ 3,252Bakkafrost P/F 3,140Granges AB 3,116Salmar ASA 3,049Banca Mediolanum SpA 3,012NCC AB ‘B’ 2,992YIT OYJ 2,955Cramo OYJ 2,917Tieto OYJ 2,841TDC A/S 2,595Jyske Bank A/S 2,559Datalogic SpA 2,553

28




£’000 £’000 £’000 £’000

Income

Net capital gains 36,737 8,956

Revenue 3,093 1,933

Expenses (1,244) (1,027)

Net revenue before taxation 1,849 906

Taxation (222) (97)

Net revenue after taxation 1,627 809

Total return before distributions 38,364 9,765

Distributions 41 (10)

Change in net assets attributable to shareholders from investment activities 38,405 9,755



£’000 £’000 £’000 £’000


Amounts receivable on issue of shares 7,986 23,337


(3,075) 12,114

Dilution adjustment – 24

Change in net assets attributable to shareholders from investment activities (see above) 38,405 9,755





£’000 £’000

Assets:


Current assets:

Debtors 2,753 739

Cash and bank balances 1,129 340

Total assets 204,654 170,586

Liabilities:

Creditors:


Other creditors (1,757) (3,002)

Total liabilities (1,757) (3,019)


29

JPM Global Allocation Fund

Important InformationThe ACD approved the liquidation of JPM Global Allocation Fund on 2 December 2016 and the Fund was terminated on 17 February 2017; the liquidation proceeds were paid to shareholders on 22 February 2017.

Investment objective and policyTo provide long-term capital growth by investing primarily in a flexibly managed global portfolio of assets.

The Fund will primarily invest, either directly or through the use of Financial Derivative Instruments (derivatives), in Equity and Equity-Linked Securities, Debt Securities (including Convertible Bonds, Asset Backed Securities, Mortgage Backed Securities, and Covered Bonds), deposits with credit institutions and money market instruments, Commodity Index Instruments and Real Estate Investment Trusts (“REITS”). Debt Securities may include Below Investment Grade and Unrated Securities and the Fund may invest up to 80% in government and public securities (see section 3.11 (e) of the Prospectus). Issuers of these assets may be located in any country, including Emerging Markets and the Fund may invest in assets denominated in any currency. The Fund may invest in smaller companies and Participation Notes may be held on an ancillary basis.

The Fund has a flexible approach to asset allocation and may use both Long and Short Positions (achieved through the use of derivatives) to vary exposure to different asset classes and markets in response to market conditions and opportunities. Allocations may vary significantly and exposure to certain markets, sectors or currencies may be concentrated from time to time.

The Investment Adviser has discretion to hedge non-Sterling securities back into Sterling but may also use opportunities in the foreign exchange market to maximise returns.

The Fund may also use derivatives and forward transactions for Efficient Portfolio Management, including hedging.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, cash and cash equivalents may be held on an ancillary basis, as appropriate.


The value of Equity and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions. Furthermore, Participation Notes run the risk of counterparty default which may result in the loss of the full market value of the Note.

The value of Bonds and other Debt Securities may change significantly depending on market, economic and interest rate conditions as well as the creditworthiness of the issuer. Issuers of Bonds and other Debt Securities may fail to meet payment obligations (default) or the credit rating of Bonds and other Debt Securities may be downgraded. These risks are typically increased for Below Investment Grade Bonds and certain Unrated Securities which may also be subject to higher volatility and be more difficult to sell than Investment Grade Securities.

Convertible Bonds are subject to the credit, interest rate and market risks associated with both Bonds and Equity securities, and to risks specific to Convertible Securities. Convertible Bonds may also be more difficult to sell than the underlying Equity securities.


The Fund may be concentrated in, and have net long or net short exposure to, industry sectors, markets and/or currencies. As a result, the Fund may be more volatile than more broadly diversified funds.

The possible loss from taking a Short Position on a security (using Financial Derivative Instruments) may be unlimited as there is no restriction on the price to which a security may rise. The Short Selling of investments may be subject to changes in regulations, which could adversely impact returns to investors.



The Fund invests opportunistically and exposure to the markets may vary substantially over a short period of time depending on market conditions. Therefore the Fund may not be fully invested in rising markets; conversely the Fund could be more than fully invested in a falling market. In both circumstances the performance of the Fund would suffer.

The Fund’s asset allocation is actively managed. There is a risk that the performance of the Fund will suffer if the allocation to any particular asset class is low when that asset class is outperforming or high when that asset class is underperforming.


The Fund may have exposure to Asset and Mortgage Backed Securities (ABS and MBS). ABS/MBS may be difficult to sell, subject to adverse changes to interest rates and to the risk that the payment obligations relating to the underlying asset are not met.

Investments in companies engaged in the business of real estate may be more difficult to sell and may experience increased price volatility due to changes in economic conditions and interest rates.


The value of securities in which the Fund invests may be influenced by movements in commodity prices which can be very volatile.


30

You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.

Fund reviewThe Fund outperformed its composite benchmark over the period. Active asset allocation contributed positively to relative performance, driven largely by our overweight allocation to high yield. Allocations to North America and EAFE equities were a tailwind for performance as equities broadly rose amid continued strengthening in global activity data. High yield credit continued its momentum from a strong 2016 into January, as continued optimism over a Trump economy and the energy sector were catalysts for returns over the period. The Fund closed on 17 February 2017.

Fund outlookBroadening global growth and signs that the reflation theme, beginning in the summer of last year, is gaining traction creates a brighter outlook for equities in 2017. While political risk has reduced in Europe, market scepticism about the Trump administration’s ability to deliver substantial reforms has increased and we continue to monitor this closely.


2017 2016 20152014 from

launch

JPM Global Allocation Fund A-Class Acc – -4.4% 8.5% 2.9%

JPM Global Allocation FundB-Class Acc – -4.0% 8.9% 3.0%

JPM Global Allocation FundC-Class Acc – -3.9% 9.1% 3.0%

Benchmark Index – 0.4% 9.6% 3.2%


Fund size £0.0m

Benchmark Index 50% J.P. Morgan GBI Hedged to GBP/50% MSCI World Index (Net) Hedged to GBP









share priceLowest

share price




2014 53.85p 49.81p 0.35p2015 56.07p 51.25p 0.48p2016 54.46p 48.38p 0.60p2017B 54.46p 52.59p 0.02pB-Class Accumulation SharesA



2014 108.1p 99.68p 1.12p2015 112.4p 103.0p 1.52p2016 109.4p 96.86p 1.75p2017B 109.1p 105.2p 0.10p

A A-Class Accumulation Shares, A-Class Income Shares, B-Class Accumulation Shares, C-Class Accumulation Shares and C-Class Income Shares were launched on 19 February 2014.B To 16 February 2017.

Portfolio turnover rate30.11.16 138.6%31.05.17 (5.72)%

The portfolio turnover rate (PTR) reflects the total of security purchases and sales less the total of share issues and cancellations, expressed as a percentage of the average daily net asset values over the period.

31


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares30.11.14 2,610 4,852,505 53.77p 1.43%30.11.15 2,651 4,909,216 54.00p 1.44%30.11.16 2,674 4,927,477 54.27p 1.43%31.05.17 – – – –A-Class Income Shares30.11.14C 2,579 4,826,986 53.42p 1.43%30.11.15C 2,569 4,833,338 53.17p 1.44%30.11.16C 2,551 4,828,408 52.83p 1.43%31.05.17 – – – –B-Class Accumulation Shares30.11.14 2,602 2,412,500 107.87p 0.98%30.11.15 2,623 2,412,500 108.74p 0.99%30.11.16 2,644 2,410,000 109.70p 0.98%31.05.17 – – – –C-Class Accumulation Shares30.11.14 2,608 2,415,249 107.97p 0.83%30.11.15 2,705 2,481,448 108.99p 0.84%30.11.16 2,776 2,521,861 110.10p 0.83%31.05.17 – – – –C-Class Income Shares30.11.14C 2,576 2,411,000 106.85p 0.83%30.11.15C 2,564 2,411,000 106.34p 0.84%30.11.16C 2,547 2,410,000 105.67p 0.83%31.05.17 – – – –



32

Portfolio movementsFor the six months end 31 May 2017

£’000



T-Mobile USA, Inc. 6.50% 15/01/2024 42JBS USA LUX SA 7.25% 01/06/2021 30Williams Cos., Inc. (The) 4.55% 24/06/2024 29Energy Transfer Equity LP 5.88% 15/01/2024 29Aramark Services, Inc. 5.13% 15/01/2024 26Icahn Enterprises LP 6.00% 01/08/2020 23DISH DBS Corp. 6.75% 01/06/2021 23Aircastle Ltd. 5.13% 15/03/2021 19Choice Hotels International, Inc. 5.75% 01/07/2022 16Continental Resources, Inc. 5.00% 15/09/2022 16TransDigm, Inc. 6.00% 15/07/2022 15DCP Midstream Operating LP 3.88% 15/03/2023 15Apple, Inc. 15Precision Drilling Corp. 5.25% 15/11/2024 15CalAtlantic Group, Inc. 5.88% 15/11/2024 15PulteGroup, Inc. 15Sabine Pass Liquefaction LLC 5.63% 01/03/2025 14Deutsche Boerse AG 14Murphy Oil Corp. 4.70% 01/12/2022 13Otsuka Holdings Co. Ltd. 12


£’000



JPM Europe High Yield Bond Fund X (acc) - EUR† 682Japan Government Ten Year Bond 0.10% 20/06/2026 494Australia Government Bond 5.25% 15/03/2019 444Canada Government Bond 1.75% 01/03/2019 330Italy Buoni Poliennali Del Tesoro 0.45% 01/06/2021 182US Treasury 3.75% 15/08/2041 160Spain Government Bond 4.00% 30/04/2020 156France Government Bond 4.75% 25/04/2035 130US Treasury 3.63% 15/08/2043 128CIT Group, Inc. 5.38% 15/05/2020 83France Government Bond 3.25% 25/05/2045 77US Treasury 2.13% 15/05/2025 77Alphabet, Inc. ‘C’ 76AES Corp. 7.38% 01/07/2021 70Impac CMB Trust, FRN, Series 2004-5 ‘1M3’ 1.48% 25/10/2034 68Frontier Communications Corp. 8.50% 15/04/2020 67Nestle SA 67AmeriGas Finance LLC 7.00% 20/05/2022 66Credit-Based Asset Servicing & Securitization LLC, FRN, Series 2005-CB1 ‘M2’ 1.63% 25/01/2035 66Royal Bank of Scotland Group plc 6.13% 15/12/2022 66

33




£’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 397 (255)

Revenue 55 187

Expenses (32) (70)


Taxation (5) (15)


Total return before distributions 415 (153)

Distributions (8) –

Change in net assets attributable to shareholders from investment activities 407 (153)



£’000 £’000 £’000 £’000


Amounts receivable on issue of shares 5 68

Amounts payable on cancellation of shares (13,604) (10)

(13,599) 58

Change in net assets attributable to shareholders from investment activities (see above) 407 (153)

Retained distributions on accumulation shares 6 –

Gain accumulated following fund closure (6) –

Closing net assets attributable to shareholders – 13,017




£’000 £’000

Assets:

Investments – 11,456

Current assets:

Debtors – 80

Cash and bank balances 30 1,865

Total assets 30 13,401

Liabilities:

Investment liabilities – (100)

Creditors:


Payable to ACD (6) –



Net assets attributableto shareholders – 13,192

34

JPM Global Bond Opportunities Fund

Investment objective and policyTo provide income and long-term capital growth by investing opportunistically in an unconstrained global portfolio consisting primarily of fixed and floating rate Debt Securities.

The Fund may invest in developed and Emerging Market countries and hold Investment Grade, Below-Investment Grade and Unrated Bonds, Covered Bonds, Asset and Mortgage Backed Securities (ABS and MBS), Credit Linked Notes and Structured Products. The Fund may have a concentrated portfolio and may have a significant exposure to any one country, sector or issuer at any time. Allocations between countries, sectors and ratings of Bonds may vary significantly at any time. The Fund may use Financial Derivative Instruments (derivatives) for investment purposes or Efficient Portfolio Management including hedging, where appropriate.

Long Positions will be achieved directly or through the use of Financial Derivative Instruments, and Short Positions will be achieved via the use of Financial Derivative Instruments only.

The Fund may invest up to 10% in Convertible Bonds. The Fund may also hold up to 10% in Equity Securities typically as a result of events relating to the Fund’s investment in Debt Securities including, but not limited to, Debt Securities converting or being restructured. The Fund may also use equity derivatives for the purposes of reducing equity exposure as well as the Fund’s correlation to equity markets.

The Fund is also permitted to invest up to 100% in government and public securities (see section 3.11(e)) of the Prospectus.

The Fund is opportunistic and it may invest up to 100% of its assets in short-term money market instruments and deposits with credit institutions until suitable investment opportunities can be identified.

The Fund may invest in assets denominated in any currency and currency exposure will be primarily hedged back to Sterling. The Investment Adviser may also use opportunities in the foreign exchange markets to maximise returns.


Positive returns are not guaranteed and the Fund should not be used as a substitute for traditional liquidity funds or cash accounts.

The Fund is unconstrained and opportunistic which may result in periods of high volatility.

Bond funds may not behave like direct investments in the underlying Bonds themselves. By investing in Bond funds, the certainty of receiving a regular fixed amount of income for a defined period of time with the prospect of a future known return of capital is lost.

The value of Bonds and other Debt Securities may change significantly depending on market, economic and interest rate conditions as well as the creditworthiness of the issuer. Issuers of Bonds and other Debt Securities may fail to meet payment obligations (default) or the credit rating of Bonds and other Debt Securities may be downgraded. These risks are typically increased for Below Investment Grade and certain Unrated securities which may also be subject to higher volatility and be more difficult to sell than Investment Grade securities.

Investing in Contingent Convertible Securities may adversely impact the Fund should specific trigger events occur (as specified in the terms of the security) and the Fund may be at increased risk of capital loss. This may be as a result of the Contingent Convertible Security converting to Equities at a discounted share price, the value of the Contingent Convertible Security being written down, temporarily or permanently, and/or coupon payments ceasing or being deferred.

Convertible Bonds are subject to the credit, interest rate and market risks associated with both Bonds and Equity securities, and to risks specific to Convertible Securities. Convertible Bonds may also be more difficult to sell than the underlying Equity securities.


The Fund’s use of equity derivatives to manage the portfolio’s correlation to equity markets may not always achieve its objective and could adversely affect the return of your investment.





The Fund may have a significant exposure to Asset and Mortgage Backed Securities (ABS and MBS). ABS / MBS may be difficult to sell, subject to adverse changes to interest rates and to the risk that the payment obligations relating to the underlying asset are not met.

The Fund may be concentrated in a limited number of securities, industry sectors or countries and as a result, may be more volatile than more broadly diversified funds.

Bond funds will normally distribute a combination of Coupon and the expected discount/premium on the securities. Therefore, a Fund’s distribution will comprise income received and an element of projected capital gains or losses. This could result in an element of capital gain being taxed as income in the hands of an investor.


The Fund may invest in Structured Products which will involve additional risks including the movements in the value of the underlying asset and the risk of the issuer of the Structured Product becoming insolvent.

The Fund may invest in Credit Linked Notes which involve the risk of the underlying credit instrument decreasing in value or defaulting and the risk of the issuer of the Credit Linked Note becoming insolvent.

Please refer to Part 11 of this Prospectus for details of the general risk factors affecting this Fund in addition to the specific risk factors above.

35

Market reviewThe six months to 31 May 2017 was dominated by political headlines. The start of the period saw the inauguration of President Trump, followed by a flurry of executive orders and memoranda. In the second half of the review period, the French election saw the victory of pro-European candidate Emmanuel Macron and the announcement of a snap election by UK Prime Minister Theresa May, with attention turning to the start of Brexit negotiations with the European Union. The rate hike by the Federal Reserve was a key market event in March. Elsewhere, developed market central banks in general acted in line with market expectations but came out slightly dovish, especially the European Central Bank (ECB), which stated that an extraordinary amount of monetary policy support is still needed to support the recovery of the euro area. Corporates in the developed world continued to benefit from a good growth environment, with equity markets continuing to reach new highs, and spreads continuing to tighten.

Market outlookWith the probability of a June rate hike now standing north of 80%, we maintain our negative view on US duration, especially as we expect more than the 1.5 rate hikes currently priced by the market until the end of 2017. We also expect the balance sheet normalisation path to support our view of higher US Treasury yields. Despite the dovish tone adopted by the ECB given the ongoing disappointing inflation trend in the eurozone, we expect policymakers to provide more details in the second half of this year about the tapering of government bond purchases, which we foresee to start in 2018. We are still constructive on spread sectors, through corporates in both the investment grade and high yield space, as positive macroeconomic fundamentals and credit metrics warrant the relatively tight spread levels. We are selective on emerging markets and prefer high yielding, fundamentally solid emerging market opportunities in the local debt space.

Fund reviewThe Fund’s performance was positive over the six-month period from 30 November 2016 to 31 May 2017.

The main contributor to excess returns was the Fund’s exposure to high yield credit. The sector benefited from the good growth environment and the stabilisation in energy prices at the beginning of 2017. While the rally in commodity prices faded in the second quarter of 2017, the solid fundamentals displayed in the first-quarter 2017 earnings season were positive for the sector’s performance. The Fund’s exposure to investment grade credit also benefited performance as strong corporate fundamentals combined with continued demand from foreign investors has provided support for spreads to continue tightening since the beginning of 2017. The Fund’s exposure to emerging market bonds, both in the local currency and US dollar-denominated assets space, contributed positively to performance. Emerging assets as a whole posted positive performance—after selling off in the immediate aftermath of the US presidential election, in the beginning of the year the sector was supported by positive inflows

into the asset class from yield-starved investors. Despite idiosyncratic risks in countries like Brazil, with the emergence of the “Car Wash” scandal, emerging market assets continued demonstrating solid fundamentals and provided an attractive carry. The Fund’s exposure to government rates detracted over the period. Our core view of higher US rates was particularly challenged despite the Federal Reserve hiking twice over the period. Our short position in France—implemented as a hedge against political risk and to reflect our cautious view on European duration—detracted from performance as political risk faded in the eurozone with the election of pro-European candidate Emmanuel Macron.


share

Net asset value per

share31.05.17 30.11.16 % Return

JPM Global Bond Opportunities Fund A-Class Acc 53.41 51.20 4.32%

JPM Global Bond Opportunities Fund B-Class Acc 107.6 102.9 4.57%

JPM Global Bond Opportunities Fund C-Class Acc 107.9 103.2 4.55%



2017 20162015 from

launch

JPM Global Bond Opportunities Fund A-Class Acc 6.78 -0.8% 1.1%

JPM Global Bond Opportunities FundB-Class Acc 7.05 -0.5% 1.2%

JPM Global Bond Opportunities FundC-Class Acc 7.34 -0.4% 1.2%

Benchmark Index 1.70 4.1% -0.6%


Fund size £17.9m

Benchmark Index Bloomberg Barclays Multiverse Index Hedged to GBP







You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.

36

Top ten holdings %Nota do tesouro Nacional, FRN 0.00% 01/01/2025 2.69Mexican Bonos 6.50% 09/06/2022 2.52Indonesia Treasury 8.75% 15/05/2031 2.51Russian Federal Bond - OFZ 8.15% 03/02/2027 1.77JPM Global Absolute Return Bond Fund X (inc) – USD† 1.63New Zealand Government Bond 2.75% 15/04/2037 1.21LV Tower 52 Issuer, Series 2013-1 ‘M’ 7.75% 15/02/2023 1.21Race Point VIII CLO Ltd., FRN, Series 2013-8A ‘AR’ 2.39% 20/02/2030 1.09CIFC Funding 2017-I Ltd., FRN, Series 2017-1A ‘A’ 2.39% 23/04/2029 1.09AIMCO CLO, FRN, Series 2017-AA ‘A’ 2.59% 20/07/2029 1.09


Asset breakdown %Corporate Bonds 73.85Government Bonds 17.24Convertible Bonds 4.02Collective Investment Schemes 1.63Equities 0.18To Be Announced Contracts 0.09Swaps 0.00Futures (0.22)Forward Currency Contracts (1.57)Net other assets 4.78



share priceLowest

share price



2015 51.16p 48.47p 1.17p2016 52.51p 47.01p 1.80p2017B 53.64p 51.27p 0.88pA-Class Income SharesA

2015 51.10p 47.75p 1.16p2016 50.31p 45.91p 1.73p2017B 50.09p 48.32p 0.83pB-Class Accumulation SharesA

2015 102.4p 97.12p 2.58p2016 105.5p 94.30p 3.89p2017B 108.0p 103.1p 1.96pC-Class Accumulation SharesA

2015 102.4p 97.20p 2.68p2016 105.7p 94.41p 4.02p2017B 108.3p 103.3p 2.05pC-Class Gross Accumulation SharesA

2015 102.6p 97.71p 3.35p2016 107.3p 95.25p 5.08p2017B 110.1p 105.0p 2.08pC-Class Income SharesA

2015 102.2p 95.53p 2.65p2016 100.7p 91.89p 3.86p2017B 100.3p 96.62p 1.90pC-Class Gross Income SharesA

2015 102.4p 95.63p 3.31p2016 101.0p 92.09p 4.82p2017B 100.3p 96.63p 1.90p

A A-Class Accumulation Shares, A-Class Income Shares, B-Class Accumulation Shares, C-Class Accumulation Shares, C-Class Gross Accumulation Shares, C-Class Income Shares and C-Class Gross Income Shares were launched on 30 January 2015.B To 31 May 2017.




Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares30.11.15 2,469 5,050,668 48.89p 1.18%30.11.16 2,583 5,044,914 51.20p 1.18%31.05.17 2,739 5,128,369 53.41p 1.18%A-Class Income Shares30.11.15 2,405 5,036,792 47.74p 1.18%30.11.16 2,440 5,056,798 48.25p 1.18%31.05.17 2,507 5,065,483 49.49p 1.18%B-Class Accumulation Shares30.11.15 1,639 1,672,500 98.00p 0.83%30.11.16 1,719 1,670,000 102.9p 0.83%31.05.17 1,796 1,670,000 107.6p 0.83%C-Class Accumulation Shares30.11.15 2,458 2,506,000 98.10p 0.68%30.11.16 2,584 2,505,000 103.2p 0.68%31.05.17 2,702 2,505,000 107.9p 0.68%C-Class Gross Accumulation Shares30.11.15 2,475 2,506,000 98.77p 0.68%30.11.16 2,658 2,534,660 104.9p 0.68%31.05.17 3,164 2,884,506 109.7p 0.68%C-Class Income Shares30.11.15 2,393 2,506,000 95.48p 0.68%30.11.16 2,417 2,505,000 96.48p 0.68%31.05.17 2,479 2,505,000 98.98p 0.68%C-Class Gross Income Shares30.11.15 2,393 2,506,000 95.49p 0.68%30.11.16 2,417 2,505,000 96.49p 0.68%31.05.17 2,480 2,505,000 99.00p 0.68%

The net asset value and the net asset value per income share are shown ex-dividend.

* The Ongoing charges takes into account the ACD fee, the fixed expenses and any expenses paid to an affiliate in respect of stocklending activities, expressed as a percentage of the average daily net asset values over the period since launch.

37


Equities 0.18% (0.28%)Colombia 0.18% (0.28%)Pacific Exploration and Production Corp. 1,551 33 0.18

33 0.18

Equities total 33 0.18

Corporate Bonds 73.85% (80.04%)Argentina 0.07% (0.00%)YPF SA 8.50% 23/03/2021 $15,000 13 0.07

13 0.07

Belgium 0.88% (0.21%)Anheuser-Busch InBev Finance, Inc. ‘B’ 3.65%

01/02/2026 $20,000 16 0.09Anheuser-Busch InBev Finance, Inc. 4.90%

01/02/2046 $40,000 34 0.19Nyrstar Netherlands Holdings BV 6.88%

15/03/2024 €120,000 108 0.60

158 0.88

Brazil 1.42% (2.71%)Banco Votorantim SA 7.38% 21/01/2020 $15,000 12 0.07JBS USA LUX SA 7.25% 01/06/2021 $25,000 19 0.11Petrobras Global Finance BV 8.38% 23/05/2021 $48,000 42 0.23Petrobras Global Finance BV 7.38% 17/01/2027 $20,000 17 0.09Petrobras Global Finance BV 7.25% 17/03/2044 $13,000 10 0.06Votorantim Cimentos SA 7.25% 05/04/2041 $200,000 153 0.86

253 1.42

Canada 0.87% (0.50%)Bombardier, Inc. 6.00% 15/10/2022 $6,000 5 0.03Bombardier, Inc. 6.13% 15/01/2023 $6,000 4 0.02Bombardier, Inc. 7.50% 15/03/2025 $6,000 5 0.03Cenovus Energy, Inc. 4.25% 15/04/2027 $30,000 23 0.13Cenovus Energy, Inc. 6.75% 15/11/2039 $15,000 13 0.07Cott Holdings, Inc. 5.50% 01/04/2025 $3,000 2 0.01Encana Corp. 6.50% 15/08/2034 $20,000 18 0.10Kronos Acquisition Holdings, Inc. 9.00%

15/08/2023 $5,000 4 0.02MEG Energy Corp. 6.50% 15/01/2025 $10,000 8 0.05Quebecor Media, Inc. 5.75% 15/01/2023 $57,000 47 0.26Teck Resources Ltd. 8.50% 01/06/2024 $2,000 2 0.01Toronto-Dominion Bank (The), FRN

3.62% 15/09/2031 $25,000 19 0.11Transcanada Trust, FRN 5.63% 20/05/2075 $6,000 5 0.03

155 0.87

Colombia 0.20% (0.21%)Pacific Exploration and Production Corp. 10.00%

02/11/2021 $40,000 35 0.20

35 0.20

France 1.02% (1.58%)Europcar Groupe SA 5.75% 15/06/2022 €100,000 92 0.51SFR Group SA 5.38% 15/05/2022 €100,000 91 0.51

183 1.02

Germany 2.86% (2.96%)CeramTec Group GmbH 8.25% 15/08/2021 €100,000 92 0.51Commerzbank AG 4.00% 23/03/2026 €29,000 28 0.16Deutsche Telekom International Finance BV

1.50% 03/04/2028 €14,000 12 0.07IHO Verwaltungs GmbH 3.25% 15/09/2023 €100,000 92 0.51ProGroup AG 5.13% 01/05/2022 €150,000 139 0.78Unitymedia Hessen GmbH & Co. KG 5.13%

21/01/2023 €162,000 148 0.83

511 2.86

Ireland 1.59% (1.06%)Ardagh Packaging Finance plc 6.75% 15/05/2024 €100,000 97 0.54eircom Finance DAC 4.50% 31/05/2022 €100,000 92 0.52Smurfit Kappa Acquisitions Unltd Co. 3.25%

01/06/2021 €100,000 95 0.53

284 1.59

Israel 0.10% (0.11%)Teva Pharmaceutical Finance Netherlands III BV

3.15% 01/10/2026 $25,000 18 0.10

18 0.10

Italy 1.18% (0.52%)Telecom Italia SpA 3.63% 25/05/2026 €125,000 119 0.67Wind Acquisition Finance SA 7.00% 23/04/2021 €100,000 91 0.51

210 1.18

Luxembourg 2.69% (3.68%)Altice Luxembourg SA 7.25% 15/05/2022 €200,000 185 1.04ArcelorMittal 7.00% 25/02/2022 $15,000 13 0.07Auris Luxembourg II SA 8.00% 15/01/2023 €100,000 94 0.53Intelsat Jackson Holdings SA 7.25% 01/04/2019 $2,000 2 0.01Intelsat Jackson Holdings SA 7.25% 15/10/2020 $4,000 3 0.02Intelsat Jackson Holdings SA 7.50% 01/04/2021 $50,000 35 0.20Intelsat Jackson Holdings SA 5.50% 01/08/2023 $3,000 2 0.01Intelsat Jackson Holdings SA 8.00% 15/02/2024 $7,000 6 0.03SIG Combibloc Holdings SCA 7.75% 15/02/2023 €150,000 140 0.78

480 2.69

Mexico 0.45% (0.00%)Petroleos Mexicanos 6.88% 04/08/2026 $50,000 44 0.25Petroleos Mexicanos, FRN 4.77% 11/03/2022 $42,000 36 0.20

80 0.45

Netherlands 0.18% (0.28%)Shell International Finance BV 4.13%

11/05/2035 $40,000 32 0.18

32 0.18

New Zealand 0.40% (0.44%)Reynolds Group Issuer, Inc. 5.75% 15/10/2020 $25,000 20 0.11Reynolds Group Issuer, Inc. 6.87% 15/02/2021 $64,814 52 0.29

72 0.40

Norway 0.52% (0.54%)Lock A/S 7.00% 15/08/2021 €100,000 92 0.52

92 0.52

Peru 0.00% (0.59%)Portugal 0.51% (0.52%)EDP Finance BV 2.38% 23/03/2023 €100,000 92 0.51

92 0.51

Spain 0.50% (0.46%)Repsol International Finance BV, FRN 4.50%

25/03/2075 €100,000 90 0.50

90 0.50

Sweden 0.48% (1.10%)Verisure Holding AB 6.00% 01/11/2022 €90,000 86 0.48

86 0.48

Switzerland 2.33% (2.18%)Dufry Finance SCA 4.50% 01/08/2023 €135,000 126 0.71UBS AG, FRN 4.75% 12/02/2026 €100,000 97 0.54UBS Group AG, FRN 5.75% Perpetual €200,000 193 1.08

416 2.33

United Kingdom 5.22% (6.25%)Anglo American Capital plc 3.25% 03/04/2023 €175,000 165 0.92Fiat Chrysler Finance Europe 4.75% 15/07/2022 €100,000 96 0.54HBOS Capital Funding LP, FRN 6.46% Perpetual £15,000 16 0.09Ineos Finance plc 4.00% 01/05/2023 €100,000 90 0.50Jaguar Land Rover Automotive plc 5.00%

15/02/2022 £100,000 110 0.62Lloyds Banking Group plc, FRN 6.37% Perpetual €200,000 187 1.05Royal Bank of Scotland Group plc 6.13%

15/12/2022 $50,000 43 0.24Sky plc 3.13% 26/11/2022 $40,000 32 0.18Synlab Unsecured Bondco plc 8.25%

01/07/2023 €100,000 98 0.55Worldpay Finance plc 3.75% 15/11/2022 €100,000 95 0.53

932 5.22

United States of America 50.38% (54.14%)Actavis Funding SCS 3.00% 12/03/2020 $60,000 48 0.27Actavis Funding SCS 4.85% 15/06/2044 $15,000 12 0.07ADT Corp. (The) 3.50% 15/07/2022 $20,000 15 0.08AECOM 5.88% 15/10/2024 $40,000 34 0.19AECOM 5.13% 15/03/2027 $4,000 3 0.02AES Corp. 5.50% 15/04/2025 $15,000 12 0.07AES Corp., FRN 4.20% 01/06/2019 $7,000 5 0.03AIMCO CLO, FRN, Series 2017-AA ‘A’ 2.59%

20/07/2029 $250,000 195 1.09Air Lease Corp. 3.00% 15/09/2023 $20,000 15 0.08Aircastle Ltd. 5.13% 15/03/2021 $10,000 8 0.05Albertsons Cos. LLC 6.63% 15/06/2024 $10,000 8 0.04Ally Financial, Inc. 4.13% 30/03/2020 $5,000 4 0.02Ally Financial, Inc. 4.25% 15/04/2021 $35,000 28 0.16Ally Financial, Inc. 8.00% 01/11/2031 $10,000 9 0.05Alternative Loan Trust 2005-23CB,

Series 2005-23CB ‘A7’ 5.25% 25/07/2035 $39,259 28 0.16Altria Group, Inc. 4.25% 09/08/2042 $30,000 24 0.13Altria Group, Inc. 3.88% 16/09/2046 $15,000 11 0.06




Total netassets %

38

AMC Entertainment Holdings, Inc. 5.75% 15/06/2025 $20,000 16 0.09

American Airlines Pass-Through Trust, Series 2015-1 ‘B’ 3.70% 01/11/2024 $28,235 22 0.12

American Axle & Manufacturing, Inc. 6.63% 15/10/2022 $64,000 51 0.29

American Axle & Manufacturing, Inc. 6.50% 01/04/2027 $3,000 2 0.01

American Express Credit Corp. 2.70% 03/03/2022 $55,000 43 0.24American International Group, Inc. 3.90%

01/04/2026 $20,000 16 0.09American International Group, Inc. 4.80%

10/07/2045 $35,000 29 0.16American Tower Corp., REIT 3.38% 15/10/2026 $30,000 23 0.13Amgen, Inc. 2.65% 11/05/2022 $25,000 20 0.11Amkor Technology, Inc. 6.38% 01/10/2022 $40,000 32 0.18Analog Devices, Inc. 3.50% 05/12/2026 $25,000 20 0.11Analog Devices, Inc. 4.50% 05/12/2036 $5,000 4 0.02Anixter, Inc. 5.50% 01/03/2023 $30,000 25 0.14Apple, Inc. 3.35% 09/02/2027 $40,000 32 0.18Apple, Inc. 4.38% 13/05/2045 $15,000 13 0.07Apple, Inc. 4.65% 23/02/2046 $10,000 9 0.05Apple, Inc. 3.85% 04/08/2046 $20,000 15 0.08Arconic, Inc. 5.90% 01/02/2027 $45,000 38 0.21Argent Securities, Inc., FRN, Series 2004-W3 ‘A3’

1.81% 25/02/2034 $171,719 123 0.69AT&T, Inc. 3.40% 15/05/2025 $125,000 96 0.54AT&T, Inc. 5.25% 01/03/2037 $20,000 16 0.09AT&T, Inc. 4.75% 15/05/2046 $30,000 22 0.12Avaya, Inc. 7.00% 01/04/2019§ $10,000 6 0.03Avis Budget Car Rental LLC 5.50% 01/04/2023 $35,000 27 0.15Banc of America Commercial Mortgage Trust,

FRN, Series 2007-3 ‘B’ 5.48% 10/06/2049 $100,000 79 0.44Bank of America Corp. 2.63% 19/10/2020 $80,000 63 0.35Bank of America Corp. 4.25% 22/10/2026 $30,000 24 0.13Bank of America Corp., FRN 6.30% Perpetual $40,000 34 0.19Bear Stearns Commercial Mortgage Securities

Trust, FRN, Series 2006-PW13 ‘B’ 5.66% 11/09/2041† $60,000 47 0.26

Berkshire Hathaway, Inc. 3.13% 15/03/2026 $55,000 44 0.25Blue Cube Spinco, Inc. 10.00% 15/10/2025 $15,000 15 0.08Boardwalk Pipelines LP 5.95% 01/06/2026 $30,000 27 0.15Boyd Gaming Corp. 6.88% 15/05/2023 $10,000 8 0.04Broadcom Corp. 3.63% 15/01/2024 $35,000 28 0.16Buckeye Partners LP 3.95% 01/12/2026 $30,000 24 0.13Burlington Northern Santa Fe LLC 4.55%

01/09/2044 $25,000 21 0.12Cablevision Systems Corp. 8.00% 15/04/2020 $8,000 7 0.04CalAtlantic Group, Inc. 8.38% 15/01/2021 $25,000 23 0.13California Resources Corp. 8.00% 15/12/2022 $3,000 2 0.01Calpine Corp. 6.00% 15/01/2022 $50,000 41 0.23Capital One Financial Corp. 3.75% 28/07/2026 $30,000 23 0.13Capital One Financial Corp. 3.75% 09/03/2027 $15,000 12 0.07CCO Holdings LLC 5.38% 01/05/2025 $53,000 44 0.25CCO Holdings LLC 5.75% 15/02/2026 $50,000 42 0.24CCO Holdings LLC 5.50% 01/05/2026 $15,000 12 0.07CCO Holdings LLC 5.13% 01/05/2027 $5,000 4 0.02CD Mortgage Trust, FRN, Series 2007-CD5 ‘B’

6.31% 15/11/2044 $200,000 157 0.88CDC Mortgage Capital Trust, FRN,

Series 2003-HE1 ‘M1’ 2.34% 25/08/2033 $66,196 51 0.29CF Industries, Inc. 4.50% 01/12/2026 $15,000 12 0.07Charter Communications Operating LLC 4.91%

23/07/2025 $50,000 42 0.24Chase Mortgage Finance Trust, FRN,

Series 2007-A1 ‘1A3’ 3.40% 25/02/2037† $81,249 63 0.35Chemours Co. (The) 7.00% 15/05/2025 $3,000 3 0.02Chemours Co. (The) 5.38% 15/05/2027 $2,000 2 0.01Chesapeake Energy Corp. 8.00% 15/12/2022 $10,000 8 0.04Chevron Corp. 2.36% 05/12/2022 $50,000 39 0.22Chubb INA Holdings, Inc. 2.88% 03/11/2022 $30,000 24 0.13CIFC Funding 2017-I Ltd., FRN, Series 2017-1A ‘A’

2.39% 23/04/2029 $250,000 195 1.09Cincinnati Bell, Inc. 7.00% 15/07/2024 $3,000 2 0.01Cinemark USA, Inc. 5.13% 15/12/2022 $25,000 20 0.11CIT Group, Inc. 5.00% 15/08/2022 $50,000 42 0.24Citigroup, Inc. 4.60% 09/03/2026 $30,000 25 0.14Citigroup, Inc., FRN 5.87% Perpetual $93,000 75 0.42Claire’s Stores, Inc. 6.13% 15/03/2020 $25,000 8 0.05Clean Harbors, Inc. 5.13% 01/06/2021 $15,000 12 0.07Clear Channel Worldwide Holdings, Inc. 7.63%

15/03/2020 $100,000 78 0.44Clear Channel Worldwide Holdings, Inc. 6.50%

15/11/2022 $110,000 89 0.50Comcast Corp. 2.35% 15/01/2027 $40,000 29 0.16

Comcast Corp. 4.60% 15/08/2045 $20,000 17 0.10Commercial Metals Co. 4.88% 15/05/2023 $25,000 20 0.11CommScope Technologies LLC 6.00% 15/06/2025 $50,000 41 0.23Community Health Systems, Inc. 6.88%

01/02/2022 $17,000 12 0.07Consolidated Communications, Inc. 6.50%

01/10/2022 $3,000 2 0.01Continental Resources, Inc. 4.50% 15/04/2023 $15,000 11 0.06Countrywide, FRN, Series 2004-ECC2 ‘M2’ 1.97%

25/12/2034 $156,089 120 0.67Countrywide Asset-Backed Certificates Trust,

FRN, Series 2005-AB3 ‘1A1’ 1.49% 25/02/2036 $55,347 39 0.22Crown Castle International Corp., REIT 3.40%

15/02/2021 $30,000 24 0.13Crown Castle International Corp., REIT 5.25%

15/01/2023 $20,000 17 0.10Crown Castle International Corp., REIT 3.70%

15/06/2026 $5,000 4 0.02CSC Holdings LLC 6.75% 15/11/2021 $7,000 6 0.03CURO Financial Technologies Corp. 12.00%

01/03/2022 $2,000 2 0.01Darden Restaurants, Inc. 3.85% 01/05/2027 $20,000 16 0.09Diamond 1 Finance Corp. 6.02% 15/06/2026 $45,000 39 0.22DISH DBS Corp. 6.75% 01/06/2021 $20,000 17 0.10DISH DBS Corp. 5.88% 15/11/2024 $200,000 165 0.92Dole Food Co., Inc. 7.25% 15/06/2025 $4,000 3 0.02Downstream Development Authority of the

Quapaw Tribe of Oklahoma 10.50% 01/07/2019 $10,000 8 0.05DT Auto Owner Trust, Series 2015-1A ‘D’ 4.26%

15/02/2022 $44,000 35 0.20Dynegy, Inc. 5.88% 01/06/2023 $25,000 18 0.10Dynegy, Inc. 7.63% 01/11/2024 $20,000 15 0.08Energy Transfer Equity LP 5.88% 15/01/2024 $5,000 4 0.02EP Energy LLC 9.38% 01/05/2020 $22,000 16 0.09EP Energy LLC 8.00% 15/02/2025 $22,000 15 0.08ESH Hospitality, Inc., REIT 5.25% 01/05/2025 $5,000 4 0.02Exelon Generation Co. LLC 4.25% 15/06/2022 $35,000 29 0.16Express Scripts Holding Co. 3.40% 01/03/2027 $30,000 22 0.12FHLMC, IO, Series 4204 ‘HI’ 2.50% 15/05/2028 $678,025 39 0.22FHLMC, IO, Series 4219 ‘BI’ 3.00% 15/02/2027 $1,411,312 97 0.54FHLMC, IO, Series 4297 ‘CI’ 3.00% 15/12/2030 $949,491 58 0.32First Data Corp. 5.75% 15/01/2024 $55,000 45 0.25First Franklin Mortgage Loan Trust, FRN,

Series 2004-FF7 ‘M1’ 1.86% 25/09/2034 $203,265 156 0.87First Franklin Mortgage Loan Trust 2006-FF8,

FRN, Series 2006-FF8 ‘IIA3’ 1.14% 25/07/2036 $57,384 44 0.25FirstEnergy Transmission LLC 5.45% 15/07/2044 $30,000 26 0.15FNMA, IO, FRN, Series 2015-48 ‘ST’ 4.60%

25/07/2045 $98,630 14 0.08Ford Motor Credit Co. LLC 3.20% 15/01/2021 $210,000 166 0.93Freeport-McMoRan, Inc. 3.55% 01/03/2022 $15,000 11 0.06Frontier Communications Corp. 9.25%

01/07/2021 $23,000 18 0.10Frontier Communications Corp. 11.00%

15/09/2025 $50,000 37 0.21General Motors Co. 5.20% 01/04/2045 $50,000 38 0.21General Motors Financial Co., Inc. 4.35%

17/01/2027 $15,000 12 0.07GenOn Energy Inc 9.88% 15/10/2020 $10,000 6 0.03Gilead Sciences, Inc. 4.15% 01/03/2047 $20,000 15 0.08Goldman Sachs Group, Inc. (The) 2.63%

25/04/2021 $60,000 47 0.26Goldman Sachs Group, Inc. (The) 4.25%

21/10/2025 $30,000 24 0.13Goldman Sachs Group, Inc. (The), FRN

5.30% Perpetual $15,000 12 0.07Goldman Sachs Group, Inc. (The), FRN

5.38% Perpetual $60,000 48 0.27Goodyear Tire & Rubber Co. (The) 5.00%

31/05/2026 $19,000 15 0.08Goodyear Tire & Rubber Co. (The) 4.88%

15/03/2027 $3,000 2 0.01Harris Corp. 4.85% 27/04/2035 $25,000 21 0.12Harris Corp. 5.05% 27/04/2045 $5,000 4 0.02HCA, Inc. 7.50% 15/02/2022 $25,000 22 0.12HCA, Inc. 5.88% 15/03/2022 $60,000 52 0.29HCA, Inc. 5.38% 01/02/2025 $140,000 115 0.64HealthSouth Corp. 5.75% 15/09/2025 $50,000 40 0.22Hecla Mining Co. 6.88% 01/05/2021 $20,000 16 0.09Herc Rentals, Inc. 7.75% 01/06/2024 $9,000 8 0.05Hertz Corp. (The) 7.38% 15/01/2021 $75,000 54 0.30Hess Corp. 5.80% 01/04/2047 $10,000 8 0.04Hexion, Inc. 6.63% 15/04/2020 $90,000 65 0.36Hilcorp Energy I LP 5.00% 01/12/2024 $9,000 7 0.04




Total netassets %


39

Hughes Satellite Systems Corp. 5.25% 01/08/2026 $6,000 5 0.03

Huntsman International LLC 5.13% 15/11/2022 $50,000 42 0.24IASIS Healthcare LLC 8.38% 15/05/2019 $15,000 12 0.07Icahn Enterprises LP 6.00% 01/08/2020 $10,000 8 0.05iHeartCommunications, Inc. 9.00% 15/12/2019 $15,000 9 0.05Infor US, Inc. 6.50% 15/05/2022 $25,000 20 0.11Intel Corp. 4.90% 29/07/2045 $10,000 9 0.05inVentiv Group Holdings, Inc. 7.50% 01/10/2024 $15,000 13 0.07J.P. Morgan Mortgage Trust, FRN, Series 2007-A1

‘3A2’ 3.47% 25/07/2035† $61,235 48 0.27Jack Ohio Finance LLC 6.75% 15/11/2021 $15,000 12 0.07Kaiser Aluminum Corp. 5.88% 15/05/2024 $5,000 4 0.02Kinetic Concepts, Inc. 7.88% 15/02/2021 $10,000 8 0.04KLX, Inc. 5.88% 01/12/2022 $15,000 12 0.07Kraft Heinz Foods Co. 5.20% 15/07/2045 $17,000 14 0.08Kraft Heinz Foods Co. 4.38% 01/06/2046 $10,000 7 0.04Kroger Co. (The) 2.65% 15/10/2026 $30,000 22 0.12Kroger Co. (The) 4.45% 01/02/2047 $30,000 23 0.13Ladder Capital Finance Holdings LLLP 5.25%

15/03/2022 $4,000 3 0.02LB-UBS Commercial Mortgage Trust, FRN,

Series 2006-C6 ‘AJ’ 5.45% 15/09/2039 $65,528 44 0.25LB-UBS Commercial Mortgage Trust, FRN,

Series 2007-C6 ‘AJ’ 6.39% 15/07/2040 $200,000 161 0.90Level 3 Communications, Inc. 5.75% 01/12/2022 $100,000 81 0.45Level 3 Financing, Inc. 5.25% 15/03/2026 $13,000 11 0.06LKQ Corp. 4.75% 15/05/2023 $10,000 8 0.05Lowe’s Cos., Inc. 4.05% 03/05/2047 $15,000 12 0.07LV Tower 52 Issuer, Series 2013-1 ‘M’ 7.75%

15/02/2023 $290,066 217 1.21Mallinckrodt International Finance SA 5.75%

01/08/2022 $25,000 19 0.11Mallinckrodt International Finance SA 5.50%

15/04/2025 $20,000 14 0.08Masco Corp. 3.50% 01/04/2021 $20,000 16 0.09Masco Corp. 4.38% 01/04/2026 $30,000 25 0.14Masonite International Corp. 5.63% 15/03/2023 $7,000 6 0.03Medtronic Global Holdings SCA 3.35%

01/04/2027 $55,000 44 0.25Merrill Lynch Mortgage Investors Trust, FRN,

Series 2005-A5 ‘A9’ 3.05% 25/06/2035 $57,865 44 0.25Merrill Lynch Mortgage Investors Trust, FRN,

Series 2005-FM1 ‘M1’ 1.47% 25/05/2036 $79,992 58 0.32MGM Resorts International 6.00% 15/03/2023 $160,000 137 0.77Micron Technology, Inc. 5.25% 15/01/2024 $50,000 40 0.22Microsoft Corp. 4.10% 06/02/2037 $45,000 37 0.21Morgan Stanley 3.70% 23/10/2024 $55,000 44 0.25Morgan Stanley 4.30% 27/01/2045 $15,000 12 0.07Morgan Stanley 4.38% 22/01/2047 $15,000 12 0.07Morgan Stanley ABS Capital I, Inc. Trust, FRN,

Series 2004-HE1 ‘M1’ 1.85% 25/01/2034 $78,780 59 0.33MPLX LP 5.20% 01/03/2047 $5,000 4 0.02Mylan NV 3.95% 15/06/2026 $30,000 23 0.13Mylan NV 5.25% 15/06/2046 $8,000 7 0.04NCI Building Systems, Inc. 8.25% 15/01/2023 $25,000 21 0.12Neiman Marcus Group Ltd. LLC 8.00% 15/10/2021 $25,000 10 0.06New Albertsons, Inc. 8.00% 01/05/2031 $25,000 19 0.11Newfield Exploration Co. 5.75% 30/01/2022 $20,000 17 0.10Nexstar Broadcasting, Inc. 6.13% 15/02/2022 $20,000 16 0.09NFP Corp. 9.00% 15/07/2021 $50,000 41 0.23NiSource Finance Corp. 4.38% 15/05/2047 $30,000 24 0.13Novelis Corp. 5.88% 30/09/2026 $5,000 4 0.02NRG Energy, Inc. 6.25% 01/05/2024 $50,000 39 0.22NRG Energy, Inc. 6.63% 15/01/2027 $10,000 8 0.04NRPL Trust, STEP, Series 2015-2A ‘A1’ 3.75%

25/10/2057 $79,079 62 0.35Oasis Petroleum, Inc. 6.88% 15/01/2023 $20,000 16 0.09Oracle Corp. 2.65% 15/07/2026 $20,000 15 0.08Oracle Corp. 4.50% 08/07/2044 $40,000 33 0.18PetSmart, Inc. 7.13% 15/03/2023 $25,000 18 0.10PolyOne Corp. 5.25% 15/03/2023 $30,000 25 0.14Prime Security Services Borrower LLC 9.25%

15/05/2023 $6,000 5 0.03Prudential Financial, Inc. 4.60% 15/05/2044 $20,000 17 0.10QEP Resources, Inc. 5.38% 01/10/2022 $30,000 23 0.13Qwest Capital Funding, Inc. 7.75% 15/02/2031 $35,000 26 0.15Race Point VIII CLO Ltd., FRN, Series 2013-8A

‘AR’ 2.39% 20/02/2030 $250,000 195 1.09Rackspace Hosting, Inc. 8.63% 15/11/2024 $10,000 8 0.04Regal Entertainment Group 5.75% 15/06/2023 $20,000 16 0.09Regal Entertainment Group 5.75% 01/02/2025 $25,000 20 0.11Revlon Consumer Products Corp. 5.75%

15/02/2021 $20,000 15 0.08Reynolds American, Inc. 4.45% 12/06/2025 $40,000 34 0.19

RHP Hotel Properties LP, REIT 5.00% 15/04/2023 $35,000 28 0.16Rockwell Collins, Inc. 3.50% 15/03/2027 $35,000 28 0.16Roper Technologies, Inc. 3.80% 15/12/2026 $15,000 12 0.07RR Donnelley & Sons Co. 7.63% 15/06/2020 $5,000 4 0.02RSI Home Products, Inc. 6.50% 15/03/2023 $10,000 8 0.05Sabine Pass Liquefaction LLC 5.63% 01/03/2025 $20,000 17 0.10Scientific Games International, Inc. 7.00%

01/01/2022 $10,000 8 0.05Scientific Games International, Inc. 10.00%

01/12/2022 $5,000 4 0.02Seminole Hard Rock Entertainment, Inc. 5.88%

15/05/2021 $20,000 16 0.09SESI LLC 7.13% 15/12/2021 $16,000 12 0.07Shingle Springs Tribal Gaming Authority 9.75%

01/09/2021 $5,000 4 0.02Shire Acquisitions Investments Ireland DAC

2.40% 23/09/2021 $45,000 35 0.20Sinclair Television Group, Inc. 6.13% 01/10/2022 $100,000 81 0.45Sirius XM Radio, Inc. 4.63% 15/05/2023 $9,000 7 0.04Sirius XM Radio, Inc. 6.00% 15/07/2024 $60,000 50 0.28SM Energy Co. 6.50% 01/01/2023 $40,000 31 0.17Spectrum Brands, Inc. 6.63% 15/11/2022 $69,000 57 0.32Sprint Corp. 7.88% 15/09/2023 $150,000 134 0.75SPX FLOW, Inc. 5.63% 15/08/2024 $10,000 8 0.04Steel Dynamics, Inc. 6.38% 15/08/2022 $5,000 4 0.02Sunoco Logistics Partners Operations LP 4.25%

01/04/2024 $35,000 28 0.16SUPERVALU, Inc. 7.75% 15/11/2022 $25,000 20 0.11Synchrony Financial 3.70% 04/08/2026 $25,000 19 0.11Talen Energy Supply LLC 4.62% 15/07/2019 $5,000 4 0.02Targa Resources Partners LP 4.25% 15/11/2023 $5,000 4 0.02TEGNA, Inc. 6.38% 15/10/2023 $20,000 17 0.10Tenet Healthcare Corp. 5.00% 01/03/2019 $50,000 40 0.22Tenet Healthcare Corp. 8.13% 01/04/2022 $150,000 123 0.69Tennant Co. 5.63% 01/05/2025 $2,000 2 0.01Tops Holding LLC 8.00% 15/06/2022 $5,000 3 0.02TransDigm, Inc. 6.50% 15/07/2024 $15,000 12 0.07TransDigm, Inc. 6.50% 15/05/2025 $7,000 6 0.03TransDigm, Inc. 6.38% 15/06/2026 $7,000 6 0.03Tutor Perini Corp. 6.88% 01/05/2025 $5,000 4 0.02Unit Corp. 6.63% 15/05/2021 $28,000 22 0.12United Rentals North America, Inc. 7.63%

15/04/2022 $35,000 28 0.16UnitedHealth Group, Inc. 4.75% 15/07/2045 $20,000 18 0.10Uniti Group, Inc., REIT 6.00% 15/04/2023 $20,000 16 0.09Uniti Group, Inc., REIT 8.25% 15/10/2023 $20,000 16 0.09Uniti Group, Inc., REIT 7.13% 15/12/2024 $5,000 4 0.02Univision Communications, Inc. 5.13%

15/05/2023 $20,000 16 0.09Valeant Pharmaceuticals International, Inc.

7.00% 01/10/2020 $5,000 4 0.02Valeant Pharmaceuticals International, Inc.



5.88% 15/05/2023 $15,000 10 0.06VEREIT Operating Partnership LP, REIT 4.60%

06/02/2024 $40,000 33 0.18Verizon Communications, Inc. 3.50% 01/11/2024 $22,000 17 0.10Verizon Communications, Inc. 4.13% 16/03/2027 $50,000 40 0.22Verizon Communications, Inc. 3.85% 01/11/2042 $10,000 7 0.04Verizon Communications, Inc. 4.86%

21/08/2046 $35,000 27 0.15Verizon Communications, Inc. 5.01% 15/04/2049 $5,000 4 0.02Viacom, Inc. 3.45% 04/10/2026 $30,000 23 0.13Viacom, Inc., FRN 5.87% 28/02/2057 $5,000 4 0.02Viacom, Inc., FRN 6.25% 28/02/2057 $5,000 4 0.02Vista Outdoor, Inc. 5.88% 01/10/2023 $15,000 12 0.07VOLT XXV LLC, STEP, Series 2015-NPL8 ‘A1’ 3.50%

26/06/2045 $58,531 46 0.26Wachovia Bank Commercial Mortgage Trust,

FRN, Series 2006-C29 ‘AJ’ 5.37% 15/11/2048 $20,415 16 0.09Wachovia Bank Commercial Mortgage Trust,



FRN, Series 2007-C33 ‘B’ 5.97% 15/02/2051 $50,000 37 0.21Wachovia Bank Commercial Mortgage Trust,

FRN, Series 2007-C33 ‘C’ 5.97% 15/02/2051 $70,000 48 0.27Walgreens Boots Alliance, Inc. 4.65% 01/06/2046 $5,000 4 0.02Wells Fargo & Co. 4.30% 22/07/2027 $30,000 25 0.14Wells Fargo & Co., FRN 5.90% Perpetual $95,000 78 0.44


£’000Total netassets %Investment Holding


Total netassets %


40




Total netassets %

Wells Fargo Commercial Mortgage Trust 2015-NXS2, FRN, Series 2015-NXS2 ‘A5’ 3.77% 15/07/2058 $65,000 53 0.30

Wells Fargo Mortgage Backed Securities 2005-AR3 Trust, FRN, Series 2005-AR3 ‘1A1’ 3.17% 25/03/2035 $80,844 64 0.36

Western Digital Corp. 10.50% 01/04/2024 $25,000 23 0.13Williams Partners LP $35,000 27 0.15Windstream Services LLC 7.75% 15/10/2020 $3,000 2 0.01Windstream Services LLC 6.38% 01/08/2023 $150,000 99 0.55WMG Acquisition Corp. 6.75% 15/04/2022 $10,000 8 0.05WPX Energy, Inc. 5.25% 15/09/2024 $32,000 24 0.13Zayo Group LLC 6.00% 01/04/2023 $18,000 15 0.08Zayo Group LLC 5.75% 15/01/2027 $2,000 2 0.01Zebra Technologies Corp. 7.25% 15/10/2022 $100,000 84 0.47

9,002 50.38

Corporate Bonds total 13,194 73.85

Government Bonds 17.24% (11.71%)Angola 0.94% (0.89%)Angola Government Bond 9.50% 12/11/2025 $200,000 167 0.94

167 0.94

Argentina 0.47% (0.50%)Provincia de Buenos Aires 9.38% 14/09/2018 $100,000 84 0.47

84 0.47

Belarus 0.45% (0.50%)Belarus Government Bond 8.95% 26/01/2018 $100,000 80 0.45

80 0.45

Brazil 2.69% (1.06%)Nota do tesouro Nacional, FRN 0.00%

01/01/2025 BRL 1,998 480 2.69

480 2.69

Indonesia 3.05% (1.97%)Indonesia Government Bond 6.63%

17/02/2037 $100,000 97 0.54Indonesia Treasury 8.75% 15/05/2031 IDR 6,875,000,000 448 2.51

545 3.05

Italy 0.00% (0.70%)Mexico 3.03% (0.51%)Mexico Government Bond 3.38% 23/02/2031 €100,000 92 0.51Mexican Bonos 6.50% 09/06/2022 MXN 111,500 450 2.52

542 3.03

New Zealand 2.21% (2.70%)New Zealand Government Bond 4.50%

15/04/2027 NZD 280,000 178 1.00New Zealand Government Bond 2.75%

15/04/2037 NZD 429,000 217 1.21

395 2.21

Portugal 1.03% (1.00%)Portugal Obrigacoes do Tesouro OT 2.88%

15/10/2025 €206,000 184 1.03

184 1.03

Russia 1.77% (0.50%)Russian Federal Bond – OFZ 8.15%

03/02/2027 RUB 22,100,000 317 1.77

317 1.77

Spain 0.25% (0.83%)Spain Government Bond 2.90% 31/10/2046 €50,000 44 0.25

44 0.25

Turkey 0.00% (0.48%)United States of America 1.35% (0.07%)FHLMC, IO, Series 4170 ‘NI’ 2.50% 15/02/2028 $1,099,349 74 0.41FNMA, IO, Series 2013-64 ‘LI’ 3.00%

25/06/2033 $501,873 53 0.30GNMA, IO, Series 2013-109 ‘TI’ 4.50%

20/07/2041 $1,078,996 65 0.36US Treasury 2.25% 15/08/2046 $10,000 7 0.04US Treasury 2.88% 15/11/2046 $40,000 31 0.17US Treasury Bill 2.00% 22/06/2017 $15,000 12 0.07

242 1.35

Government Bonds total 3,080 17.24

Convertible Bonds 4.02% (2.13%)China 0.22% (0.11%)Ctrip.com International Ltd. 1.00% 01/07/2020 $45,000 40 0.22

40 0.22

South Korea 0.06% (0.00%)MagnaChip Semiconductor SA 5.00% 01/03/2021 $10,000 10 0.06

10 0.06

United States of America 3.74% (2.02%)Cypress Semiconductor Corp. 4.50% 15/01/2022 $35,000 33 0.18Envestnet, Inc. 1.75% 15/12/2019 $45,000 33 0.18Finisar Corp. 0.50% 15/12/2033 $25,000 21 0.12Finisar Corp. 0.50% 15/12/2036 $25,000 19 0.11General Cable Corp., STEP 4.50% 15/11/2029 $60,000 35 0.20Intel Corp. 3.48% 15/12/2035 $30,000 32 0.18Liberty Media Corp-Liberty Formula One 1.00%

30/01/2023 $25,000 21 0.12Live Nation Entertainment, Inc. 2.50% 15/05/2019 $50,000 44 0.25Medidata Solutions, Inc. 1.00% 01/08/2018 $15,000 15 0.08Nabors Industries, Inc. 0.75% 15/01/2024 $50,000 32 0.18Nuance Communications, Inc. 1.50% 01/11/2035 $50,000 42 0.24Oasis Petroleum, Inc. 2.63% 15/09/2023 $30,000 25 0.14ON Semiconductor Corp. 1.00% 01/12/2020 $55,000 47 0.26Red Hat, Inc. 0.25% 01/10/2019 $35,000 36 0.20Shutterfly, Inc. 0.25% 15/05/2018 $40,000 31 0.17SM Energy Co. 1.50% 01/07/2021 $25,000 18 0.10Square, Inc. 0.38% 01/03/2022 $40,000 37 0.21Synchronoss Technologies, Inc. 0.75% 15/08/2019 $10,000 7 0.04Teradyne, Inc. 1.25% 15/12/2023 $45,000 45 0.25Wabash National Corp. 3.38% 01/05/2018 $10,000 14 0.08Web.com Group, Inc. 1.00% 15/08/2018 $50,000 38 0.21Zillow Group, Inc. 2.00% 01/12/2021 $50,000 43 0.24

668 3.74

Convertible Bonds total 718 4.02

Collective Investment Schemes 1.63% (1.78%)JPM Global Absolute Return Bond

Fund X (inc) – USD† 3,739 291 1.63

Collective Investment Schemes total 291 1.63

To Be Announced Contracts 0.09% (0.19%)FNMA 3.00% 25/06/2043 20,000 16 0.09

To Be Announced Contracts total 16 0.09

Swaps 0.00% (0.00%)Interest Rate Swap UBS Pay floating CDI 1 day

Receive fixed 12.930000 02/01/2019 100,000 1 –

Swaps total 1 –

Forward Currency Contracts (1.57)% (0.35%)Buy AUD 15,366 sell GBP 8,875 dated 13/06/2017 – –Buy BRL 134,386 sell USD 42,006 dated 13/06/2017 (1) (0.01)Buy CAD 13,604 sell GBP 7,846 dated 13/06/2017 – –Buy CAD 4,109 sell GBP 2,370 dated 13/07/2017 – –Buy EUR 25,177 sell GBP 21,885 dated 13/06/2017 – –Buy GBP 388,769 sell AUD 681,295 dated 13/06/2017 (7) (0.04)Buy GBP 16,150 sell CAD 28,637 dated 13/06/2017 – –Buy GBP 3,756,407 sell EUR 4,463,451 dated 13/06/2017 (143) (0.80)Buy GBP 18,566 sell MXN 460,939 dated 13/06/2017 (1) –Buy GBP 375,959 sell NZD 707,312 dated 13/06/2017 (16) (0.09)Buy GBP 13,396,060 sell USD 17,353,965 dated 13/06/2017 (118) (0.66)Buy GBP 77,204 sell USD 99,425 dated 13/07/2017 – –Buy JPY 1,304,879 sell USD 11,598 dated 13/06/2017 – –Buy RUB 15,487,219 sell USD 269,203 dated 13/06/2017 3 0.02Buy TRY 811,975 sell GBP 174,251 dated 13/06/2017 4 0.02Buy TRY 811,624 sell USD 226,312 dated 13/06/2017 2 0.01Buy USD 40,594 sell BRL 134,386 dated 13/06/2017 – –Buy USD 226,312 sell CAD 308,827 dated 13/06/2017 (3) (0.02)Buy USD 426,547 sell GBP 328,446 dated 13/06/2017 4 0.02Buy USD 97,815 sell GBP 76,410 dated 13/06/2017 – –Buy USD 171,210 sell TRY 623,898 dated 13/06/2017 (4) (0.02)

Forward Currency Contracts total (280) (1.57)


41




Futures (0.22)% ((0.23)%)3 Month Eurodollar 18/12/2017 65 20 0.113 Month Eurodollar 19/03/2018 (32) (21) (0.12)3 Month Eurodollar 17/12/2018 (62) (2) (0.01)3 Month Eurodollar 16/12/2019 (21) (23) (0.13)Australia 10 Year Bond 15/06/2017 7 23 0.13Canada 10 Year Bond 20/09/2017 6 3 0.02Euro-Bobl 08/06/2017 (1) (1) (0.01)Euro-BTP 08/06/2017 3 8 0.04Euro-Bund 08/06/2017 4 3 0.02Euro-Buxl 08/06/2017 (2) (2) (0.01)Euro-OAT 08/06/2017 (11) (46) (0.25)US 10 Year Note 20/09/2017 (5) (1) –US 2 Year Note 29/09/2017 (15) – –US 5 Year Note 29/09/2017 (2) – –US Ultra Bond 20/09/2017 (1) (1) (0.01)

Futures total (40) (0.22)

Investment assets (including investment liabilities) 17,013 95.22Net other assets 854 4.78

Net assets 17,867 100.00

The comparative percentage figures in brackets are as at 30 November 2016.† A related party to the Fund.

Debt security credit analysisMarket value


Investment Grade 3,552 19.88Below Investment Grade 8,109 45.37Unrated 5,347 29.95

Debt securities total 17,008 95.20

Credit rating designations BB or above are considered investment grade whereas credit rating designations BB or lower are considered below investment grade.


Counterparty

Forward currencycontracts

£’000

Futures contracts

£’000 SwapsTotal

£’000

ANZ Banking Group (165) – – (165)Barclays (1) – – (1)Citibank (4) – – (4)Deutsche Bank 2 – – 2 Goldman Sachs (40) 57 – 17 National Australia Bank (74) – – (74)Royal Bank of Canada (5) – – (5)Standard Chartered 7 – – 7 UBS – – 1 1

(280) 57 1 (222)


The counterparty exposure on forward currency contracts is reported at their mark to market values but for futures contracts and swaps it is only the positive mark to market values that are reported.

42


£’000



Mexican Bonos 6.50% 09/06/2022 440Mexican Bonos 8.50% 13/12/2018 340Nota do tesouro Nacional, FRN 0.00% 01/01/2025 299LV Tower 52 Issuer, Series 2013-1 ‘M’ 7.75% 15/02/2023 241Russian Federal Bond - OFZ 8.15% 03/02/2027 212CIFC Funding 2017-I Ltd., FRN, Series 2017-1A ‘A’ 2.39% 23/04/2029 200Indonesia Treasury 8.75% 15/05/2031 200Race Point VIII CLO Ltd., FRN, Series 2013-8A ‘AR’ 2.39% 20/02/2030 199AIMCO CLO, FRN, Series 2017-AA ‘A’ 2.59% 20/07/2029 195UBS Group AG, FRN 5.75% Perpetual 186Lloyds Banking Group plc, FRN 6.37% Perpetual 180Telecom Italia SpA 3.63% 25/05/2026 114Windstream Services LLC 6.38% 01/08/2023 104Nyrstar Netherlands Holdings BV 6.88% 15/03/2024 104Ardagh Packaging Finance plc 6.75% 15/05/2024 93IHO Verwaltungs GmbH 3.25% 15/09/2023 89Wells Fargo & Co., FRN 5.90% Perpetual 79Reynolds American, Inc. 4.45% 12/06/2025 55AT&T, Inc. 3.40% 15/05/2025 53State Street Corp. 51


£’000



Mexican Bonos 8.50% 13/12/2018 352Lloyds Banking Group plc, FRN 7.50% Perpetual 167Petrobras Global Finance BV 8.75% 23/05/2026 165UBS Group AG, FRN 6.87% Perpetual 164LV Tower 52 Issuer, Series 2013-1 ‘A’ 5.50% 15/07/2019 154J.P. Morgan Chase Commercial Mortgage Securities Trust, FRN, Series 2007-LDPX ‘AM’ 5.46% 15/01/2049† 153LB-UBS Commercial Mortgage Trust, Series 2007-C1 ‘AJ’ 5.48% 15/02/2040 141Spanish Bonos 1.95% 30/04/2026 137Italy Buoni Poliennali Del Tesoro 2.80% 01/03/2067 120Swissport Investments SA 6.75% 15/12/2021 116Virgin Media Secured Finance plc 6.00% 15/04/2021 115Southern Copper Corp. 5.88% 23/04/2045 112Windstream Services LLC 7.50% 01/04/2023 111Petrobras Global Finance BV 5.75% 20/01/2020 108Galapagos SA 5.38% 15/06/2021 105Pizzaexpress Financing 1 plc 8.63% 01/08/2022 101Bank of America Corp., FRN 6.10% Perpetual 94Europcar Groupe SA 5.75% 15/06/2022 92Schaeffler Finance BV 3.50% 15/05/2022 86Bear Stearns Commercial Mortgage Securities Trust, FRN, Series 2007-PW16 ‘AJ’ 5.72% 11/06/2040† 82

43




£’000 £’000 £’000 £’000

Income

Net capital gains 437 73

Revenue 401 454

Expenses (75) (70)


Taxation (2) (2)


Total return before distributions 761 455

Distributions (323) (382)

Change in net assets attributable to shareholders from investment activities 438 73



£’000 £’000 £’000 £’000



Amounts payable on cancellation of shares (2) (13)

422 27

Change in net assets attributable to shareholders from investment activities (see above) 438 73

Retained distributions on accumulation shares 189 183





£’000 £’000

Assets:


Current assets:

Debtors 186 219

Cash and bank balances 787 652


Liabilities:

Investment liabilities (390) (157)

Creditors:

Distribution payable (64) (134)




44

JPM Income Fund

Important Information The ACD approved the liquidation of JPM Income Fund on 6 March 2017. The liquidation commenced on 24 May 2017 and liquidation proceeds were paid to shareholders on 30 May 2017.

Investment objective and policyThe Fund seeks to provide income with a secondary objective of capital growth.

The Fund seeks to achieve its objective by investing opportunistically across multiple debt markets and sectors that the Investment Adviser believes have high potential to produce risk adjusted income with a secondary objective of capital growth. Exposures to certain countries, sectors, currencies and credit ratings of debt securities may vary and may be concentrated from time to time.

The Fund will primarily invest in Debt Securities (including but not limited to Convertible Bonds, Credit Linked Notes, Asset Backed Securities, Mortgage Backed Securities, and Covered Bonds), Structured Products, deposits with credit institutions and money market instruments. Debt Securities may include Below Investment Grade and Unrated Securities and the Fund may invest up to 100% in government and public securities (see section 3.11(e)) of the Prospectus). Issuers of these assets may be located in any country, including Emerging Markets and the Fund may invest in assets denominated in any currency.

The Fund may also invest in Equity and Equity-Linked Securities and Participation Notes (which may be held on an ancillary basis, as appropriate).

Other instruments as permitted in the stated investment and borrowing powers of the Company may be held on an ancillary basis, as appropriate. As part of its investment objective and for temporary defensive purposes, any portion of the Fund’s assets may be invested in cash and cash equivalents.

Financial Derivative Instruments may be used for the purpose of Efficient Portfolio Management, including hedging, where appropriate (see section 11.7 of the Prospectus for risk warnings on derivatives). Subject to at least 60 days’ notice to Shareholders, the Fund may use derivatives for investment purposes which may change the risk profile of the Fund.

The Fund also uses a strategy of managing the income accrued and received as well as the distributions paid throughout the year to help minimise fluctuations in the level of monthly income distributions.

The Fund’s assets will primarily be denominated in USD, which will be hedged back to Sterling. The Investment Adviser may also use opportunities in the foreign exchange markets to maximise returns.


Notwithstanding the strategy intended to minimise fluctuations of monthly distributions throughout the year, distributions to investors may vary and there is no guarantee that distributions will always be paid or paid at a level that does not fluctuate.

Bond funds may not behave like direct investments in the underlying Bonds themselves. By investing in Bond funds, the certainty of receiving a regular fixed amount of income for a defined period of time with the prospect of a future known return of capital is lost.

The value of Bonds and other Debt Securities may change significantly depending on market, economic and interest rate conditions as well as the creditworthiness of the issuer. Issuers of Bonds and other Debt Securities

may fail to meet payment obligations (default) or the credit rating of Bonds and other Debt Securities may be downgraded. These risks are typically increased for Below Investment Grade and certain Unrated Securities which may also be subject to higher volatility and be more difficult to sell than Investment Grade securities.

Convertible Bonds are subject to the credit, interest rate and markets risks associated with both Bonds and Equity securities, and to risks specific to Convertible Securities. Convertible Bonds may also be more difficult to sell than the underlying Equity securities.

A Fund investing in Contingent Convertible Securities may be adversely impacted should specific trigger events occur (as specified in the terms of the security) and may be at increased risk of capital loss. This may be as a result of the security converting to Equities at a discounted share price, the value of the security being written down, temporarily or permanently, and/or coupon payments ceasing or being deferred.



The value of Equity and Equity-Linked Securities may fluctuate in response to the performance of individual companies and general market conditions. Furthermore, participation notes run the risk of counterparty default which may result in the loss of the full market value of the note.

The Fund may have exposure to Asset and Mortgage Backed Securities (ABS and MBS). ABS / MBS may be difficult to sell, subject to adverse changes to interest rates and to the risk that the payment obligations relating to the underlying asset are not met.

The Fund may be concentrated in a limited number of securities, industry sectors or countries and as a result, may be more volatile than more broadly diversified funds.

Bond funds will normally distribute a combination of Coupon and the expected discount/premium on the securities. Therefore, a Fund’s distribution will comprise income received and an element of projected capital gains or losses. This could result in an element of capital gain being taxed as income in the hands of an investor.

The Fund charges the annual fee of the Authorised Corporate Director (ACD) as well as the fixed expenses against capital, which will increase the amount of income available for distribution to Shareholders, but may constrain capital growth. It may also have tax implications for certain investors.


The Fund may invest in Structured Products which will involve additional risks including the movements in the value of the underlying asset and the risk of the issuer of the Structured Product becoming insolvent.

The Fund may invest in Credit Linked Notes which involve the risk of the underlying credit instrument decreasing in value or defaulting and the risk of the issuer of the Credit Linked Note becoming insolvent.


45

Fund updateVolatility has dominated over the six-month period ending 31 May 2016. The Fund’s performance was positive over the period from 30 November 2016 to 24 May 2017, when the Fund was liquidated.

The main contributor to excess returns was the Fund’s exposure to high yield credit. The sector benefited from the good growth environment and the stabilisation in energy prices at the beginning of 2017. While the rally in commodity prices faded in the second quarter of 2017, the solid fundamentals displayed in the first-quarter 2017 earnings season were positive for the sector’s performance. The Fund’s exposure to investment grade credit also benefited performance as strong corporate fundamentals combined with continued demand from foreign investors has provided support for spreads to continue tightening since the beginning of 2017. The Fund’s exposure to emerging market bonds in the US dollar-denominated assets space contributed positively. Emerging assets as a whole posted positive performance—after selling off in the immediate aftermath of the US presidential election, in the beginning of the year the sector was supported by positive inflows into the asset class from yield-starved investors. Despite idiosyncratic risks in countries like Brazil, with the emergence of the “Car Wash” scandal, emerging market assets continued demonstrating solid fundamentals and provided an attractive carry. The Fund’s exposure to government rates detracted over the period. Our core view of higher US rates was particularly challenged despite the Federal Reserve hiking twice over the period.


2017 20162014 from

launch

JPM Income FundA-Class Acc – -1.6% 1.7%

JPM Income FundB-Class Inc – -1.3% 2.0%

JPM Income FundC-Class Acc – -1.2% 2.2%

Benchmark Index – 3.1% 3.8%


Fund size £0.0m

Benchmark Index Bloomberg Barclays Multiverse Index Hedged to GBP









share priceLowest

share price




2014 50.67p 49.29p 1.26p2015 49.27p 45.88p 2.48p2016 46.56p 43.47p 2.41p2017B 45.31p 44.19p 1.31pB-Class Income SharesA



2014 101.5p 98.77p 2.53p2015 98.77p 92.45p 4.98p2016 94.21p 87.68p 4.87p2017B 91.89p 89.70p 2.65p

A A-Class Accumulation Shares, A-Class Income Shares, B-Class Income Shares, C-Class Accumulation Shares and C-Class Income Shares were launched on 2 June 2014.B To 24 May 2017.



You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares (income shares are used if no accumulation share class exists) which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.

46


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares30.11.14 2,981 5,937,831 50.20p 1.18%30.11.15 2,934 5,980,740 49.06p 1.18%30.11.16 3,051 5,990,578 50.93p 1.18%31.05.17 8 – – 1.18%A-Class Income Shares30.11.14C 2,934 5,994,567 48.94p 1.18%30.11.15C 2,808 6,184,766 45.40p 1.18%30.11.16C 2,840 6,354,120 44.69p 1.18%31.05.17 7 – – 1.18%B-Class Income Shares30.11.14C 2,904 2,962,500 98.04p 0.83%30.11.15C 2,704 2,962,500 91.27p 0.83%30.11.16C 2,669 2,960,000 90.16p 0.83%31.05.17 – – – 0.83%C-Class Accumulation Shares30.11.14C 2,981 2,962,038 100.6p 0.68%30.11.15C 3,067 3,102,477 98.85p 0.68%30.11.16C 3,144 3,048,669 103.1p 0.68%31.05.17 3 – – 0.68%C-Class Income Shares30.11.14 3,052 3,110,605 98.12p 0.68%30.11.15 2,930 3,203,534 91.48p 0.68%30.11.16 2,836 3,133,472 90.50p 0.68%31.05.17 1 – – 0.68%

C The net asset value and the net asset value per income share are shown ex-dividend.


47


Equities 100.00%*

Financials 100.00%

Diversified Financial Services 100.00%UCI International, Inc 1,536 19 100.00

19 100.00

Financials total 19 100.00

Equities total 19 100.00

Investment assets 19 100.00Net other assets – –

Net assets 19 100.00

* As the Fund is in liquidation no comparatives have been provided.



48


£’000



JPM US Dollar Liquidity Fund X (dist.)† 1,403US Treasury 1.75% 30/11/2021 621LV Tower 52 Issuer, Series 2013-1 ‘M’ 7.75% 15/02/2023 201CIFC Funding 2017-I Ltd., FRN, Series 2017-1A ‘A’ 2.39% 23/04/2029 200Race Point VIII CLO Ltd., FRN, Series 2013-8A ‘AR’ 2.39% 20/02/2030 199Anchor Assets 6.25% 15/02/2020 197Dominican Republic Bond 7.45% 30/04/2044 148Access Point Funding Trust 7.00% 15/02/2023 147State of California 7.30% 01/10/2039 85Bay Area 6.92% 01/04/2040 85University of California 6.58% 15/05/2049 84Capital One 5.75%15/07/2020 83Petroleos Mexicanos, FRN 4.88% 11/03/2022 83Rackspace Hosting, Inc. 8.63% 15/11/2024 79Nissan Auto 1.05% 15/04/2019 75Nissan Auto 1.22% 15/08/2018 73Wamu Mortgage 5.50% 20/06/2033 73BMW Vehicle 1.34% 22/01/2019 64Hyundai Auto 1.30% 15/03/2019 63Hyundai Auto 1.12% 15/10/2019 63


£’000


Major sales Cost

JPM US Dollar Liquidity Fund X (dist.)† 1,396US Treasury 1.75% 30/11/2021 617UBS Group AG, FRN 7.00% Perpetual 214Tidewater Auto Receivables Trust, Series 2014-AA ‘D’ 3.57% 15/05/2021 212Bear Stearns Commercial Mortgage Securities Trust, FRN, Series 2007-PW16 ‘AJ’ 5.72% 11/06/2040 205Charter Communications Operating LLC 6.38% 23/10/2035 203SFR Group SA 6.00% 15/05/2022 196Race Point VIII CLO Ltd., FRN, Series 2013-8A ‘AR’ 2.39% 20/02/2030 195CIFC Funding 2017-I Ltd., FRN, Series 2017-1A ‘A’ 2.39% 23/04/2029 195Morgan Stanley Capital I Trust, FRN, Series 2006-HQ8 ‘B’ 5.42% 12/03/2044 194Progreso Receivables Funding IV LLC, Series 2015-B ‘B’ 5.00% 28/07/2020 194A10 Term Asset Financing LLC, Series 2014-1 ‘D’ 5.08% 15/04/2033 193Wachovia Bank Commercial Mortgage Trust, FRN, Series 2007-C31 ‘B’ 5.70% 15/04/2047” 193LV Tower 52 Issuer, Series 2013-1 ‘M’ 7.75% 15/02/2023 192Anchor Assets 6.25% 15/02/2020 190Centex Home Equity Loan Trust, STEP, Series 2003-B ‘AF4’ 3.74% 25/02/2032 190GNMA, Series 2014-140 ‘BW’ 3.50% 20/09/2044 187Wachovia Bank Commercial Mortgage Trust, FRN, Series 2007-C33 ‘B’ 5.96% 15/02/2051 178Banco de la Provincia de Buenos Aires 9.95% 09/06/2021 178Barclays Bank plc 7.63% 21/11/2022 170

49




£’000 £’000 £’000 £’000

Income

Net capital losses (62) (66)

Revenue 477 481

Expenses (65) (66)


Taxation - -


Total return before distributions 350 349

Distributions (477) (445)

Change in net assets attributable to shareholders from investment activities (127) (96)



£’000 £’000 £’000 £’000




(14,579) 36

Change in net assets attributable to shareholders from investment activities (see above) (127) (96)

Retained distribution on accumulation shares 185 139

Closing net assets attributable to shareholders 19 14,522




£’000 £’000

Assets:

Investments 19 14,159

Current assets:

Debtors – 293


Total assets 68 14,772

Liabilities:

Investment liabilities – (96)

Creditors:

Distribution payable (49) (122)

Other creditors – (14)


Net assets attributableto shareholders 19 14,540

50

JPM UK Equity Income Fund

Important information The Prospectus was updated on 31 May 2017 to include the JPM UK Equity Income Fund.

Investment objective and policyTo maximise relative returns by aiming to generate a yield in excess of the FTSE™ All-Share Index and to provide long-term capital growth.

The Fund will achieve its objective by investing in a portfolio consisting primarily of Equity and Equity-Linked Securities of UK Companies. It will invest using a flexible investment approach in stocks with specific style characteristics such as value, quality and momentum.

UK Companies are companies that are incorporated under the laws of, and have their registered office in, the UK, or that derive the predominant part of their economic activity from the UK, even if listed elsewhere. Smaller companies may be held.

The Fund may hold cash and cash equivalents and in exceptional circumstances the Fund may invest in fixed income securities as the Investment Adviser deems appropriate.





The single market, in which the Fund primarily invests, in this case the UK, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.

The Fund charges the annual fee of the Authorised Corporate Director (ACD) as well as the fixed expenses against capital, which will increase the amount of income available for distribution to Shareholders, but may constrain capital growth.


Fund reviewThe JPM UK Equity Income Fund launched on 31 May 2017. Performance reviews will appear in future reports.

The Fund’s investment objective is to maximise relative returns by aiming to generate a yield in excess of the FTSE All-Share Index and to provide long-term capital growth.

Fund statisticsRisk and Reward Profile 5†

Fund size £3.9m

Benchmark Index FTSE All-Share Index (Net)

Fund charges and expenses A-Class C-Class

Initial charge (max.) 3.00% Nil

Exit charge Nil Nil



Fixed expenses 0.18% 0.18%

Top ten holdings %Royal Dutch Shell plc ‘B’ 7.62HSBC Holdings plc 6.25British American Tobacco plc 5.57GlaxoSmithKline plc 4.98BP plc 4.20Lloyds Banking Group plc 3.89Rio Tinto plc 3.19BAE Systems plc 3.06Unilever plc 2.85Aviva plc 2.83

Sector breakdown %Financials 29.23Consumer Staples 14.49Consumer Discretionary 12.13Energy 11.82Industrials 7.60Health Care 7.49Materials 7.29Utilities 3.42Telecommunication Services 2.64Information Technology 2.62Net other assets 1.27

You should remember that past performance is not a guide to the future. The price of investments and the income from them may fall as well as rise and investors may not get back the full amount invested.† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices

51



share priceLowest

share price



2017B 50.00p 50.00p 0.00pA-Class Income SharesA

2017B 50.00p 50.00p 0.00pC-Class Accumulation SharesA

2017B 100.0p 100.0p 0.00pC-Class Income SharesA

2017B 100.0p 100.0p 0.00p

A A-Class Accumulation Shares, A-Class Income Shares, C-Class Accumulation Shares and C-Class Income Shares were launched on 31 May 2017.B To 31 May 2017.

Portfolio turnover rate31.05.17 0.00%



Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares31.05.17 964 1,940,000 49.72p 1.38%A-Class Income Shares31.05.17 964 1,940,000 49.72p 1.38%C-Class Accumulation Shares31.05.17 965 970,000 99.44p 0.78%C-Class Income Shares31.05.17 965 970,000 99.44p 0.78%


52


Equities 98.73%

Consumer Discretionary 12.13%Distributors 1.30%Connect Group plc 10,533 13 0.34Headlam Group plc 6,043 37 0.96

50 1.30

Hotels, Restaurants & Leisure 1.24%888 Holdings plc 16,716 48 1.24

48 1.24

Household Durables 4.87%Berkeley Group Holdings plc 2,019 66 1.71Persimmon plc 2,404 59 1.53Taylor Wimpey plc 31,225 63 1.63

188 4.87

Media 2.36%ITV plc 30,822 61 1.58WPP plc 1,728 30 0.78

91 2.36

Specialty Retail 2.36%Card Factory plc 10,548 35 0.91WH Smith plc 3,107 56 1.45

91 2.36

Consumer Discretionary total 468 12.13

Consumer Staples 14.49%Beverages 2.28%Diageo plc 3,741 88 2.28

88 2.28

Food & Staples Retailing 0.78%Booker Group plc 15,280 30 0.78

30 0.78

Food Products 0.73%Tate & Lyle plc 3,843 28 0.73

28 0.73

Personal Products 2.85%Unilever plc 2,530 110 2.85

110 2.85

Tobacco 7.85%British American Tobacco plc 3,865 215 5.57Imperial Brands plc 2,420 88 2.28

303 7.85

Consumer Staples total 559 14.49

Energy 11.82%Oil, Gas & Consumable Fuels 11.82%BP plc 34,272 162 4.20Royal Dutch Shell plc ‘B’ 13,584 294 7.62

456 11.82

Energy total 456 11.82

Financials 29.23%Banks 11.95%Barclays plc 18,547 39 1.01HSBC Holdings plc 35,283 241 6.25Lloyds Banking Group plc 211,130 150 3.89TBC Bank Group plc 1,826 31 0.80

461 11.95

Capital Markets 2.88%Intermediate Capital Group plc 6,301 55 1.43Jupiter Fund Management plc 5,811 29 0.75Schroders plc 845 27 0.70

111 2.88

Consumer Finance 0.98%Arrow Global Group plc 9,574 38 0.98

38 0.98

Insurance 13.42%Aviva plc 20,713 109 2.83Beazley plc 16,332 78 2.02Direct Line Insurance Group plc 14,144 49 1.27Lancashire Holdings Ltd. 5,203 36 0.93Legal & General Group plc 26,998 68 1.76Phoenix Group Holdings 9,890 75 1.94Prudential plc 5,909 103 2.67

518 13.42


Health Care 7.49%Pharmaceuticals 7.49%AstraZeneca plc 1,860 97 2.51GlaxoSmithKline plc 11,364 192 4.98

289 7.49

Health Care total 289 7.49

Industrials 7.60%Aerospace & Defense 3.06%BAE Systems plc 17,795 118 3.06

118 3.06

Airlines 1.06%easyJet plc 2,910 41 1.06

41 1.06

Construction & Engineering 1.74%Costain Group plc 6,989 34 0.88Galliford Try plc 2,664 33 0.86

67 1.74

Industrial Conglomerates 1.04%DCC plc 544 40 1.04

40 1.04

Machinery 0.70%Morgan Advanced Materials plc 8,970 27 0.70

27 0.70

Industrials total 293 7.60

Information Technology 2.62%Electronic Equipment, Instruments & Components 1.76%Electrocomponents plc 11,693 68 1.76

68 1.76

Software 0.86%Micro Focus International plc 1,383 33 0.86

33 0.86

Information Technology total 101 2.62

Materials 7.29%Chemicals 0.78%Croda International plc 744 30 0.78

30 0.78

Construction Materials 0.88%Forterra plc 13,030 34 0.88

34 0.88

Containers & Packaging 0.86%DS Smith plc 7,482 33 0.86

33 0.86

Metals & Mining 3.19%Rio Tinto plc 3,937 123 3.19

123 3.19

Paper & Forest Products 1.58%Mondi plc 3,017 61 1.58

61 1.58

Materials total 281 7.29

Telecommunication Services 2.64%Wireless Telecommunication Services 2.64%Vodafone Group plc 44,024 102 2.64

102 2.64

Telecommunication Services total 102 2.64




Total netassets %

53

Utilities 3.42%Multi-Utilities 2.54%National Grid plc 8,943 98 2.54

98 2.54

Water Utilities 0.88%Severn Trent plc 1,347 34 0.88

34 0.88

Utilities total 132 3.42


Investment assets 3,809 98.73Net other assets 49 1.27

Net assets 3,858 100.00




54

Portfolio movementsFor the period ending 31 May 2017

£’000



Royal Dutch Shell plc ‘B’ 296HSBC Holdings plc 242British American Tobacco plc 216GlaxoSmithKline plc 193BP plc 163Lloyds Banking Group plc 151Rio Tinto plc 124BAE Systems plc 119Unilever plc 111Aviva plc 110Prudential plc 103Vodafone Group plc 103National Grid plc 98AstraZeneca plc 98Diageo plc 88Imperial Brands plc 88Beazley plc 78Phoenix Group Holdings 75Legal & General Group plc 69Electrocomponents plc 68

As the Fund only launched on 31 May 2017, there have been no sales during the period.

55



To period ending 31 May2017

£’000 £’000

Income

Net capital losses (22)

Revenue –

Expenses –

Net revenue before taxation –

Taxation –

Net revenue after taxation –

Total return before distributions (22)

Distributions –

Change in net assets attributable to shareholders from investment activities (22)


To period ending 31 May2017

£’000 £’000

Opening net assets attributable to shareholders –

Amounts receivable on issue of shares 3,880

3,880

Change in net assets attributable to shareholders from investment activities (see above) (22)

Closing net assets attributable to shareholders 3,858



As at31 May 2017

£’000

Assets:

Investments 3,809

Current assets:

Debtors 3,880

Total assets 7,689

Liabilities:

Creditors:

Other creditors (3,831)

Total liabilities (3,831)

Net assets attributableto shareholders 3,858

56

JPM UK Equity Plus Fund

Investment objective and policyTo provide long-term capital growth through exposure to UK companies by direct investments in securities of such companies and through the use of Financial Derivative Instruments (derivatives).

UK companies are companies that are incorporated under the laws of, and have their registered office in, the UK, or that derive the predominant part of their economic activity from the UK, even if listed elsewhere. Smaller companies may also be held.

To enhance investment returns, the Fund uses a 130/30 strategy, buying Equity and Equity-Linked Securities considered undervalued or attractive and Short Selling Equity Securities considered overvalued or less attractive, using derivatives where appropriate.

The Fund will normally hold Long Positions of approximately 130% of its net assets and Short Positions of approximately 30% of its net assets but may vary from these targets depending on market conditions. The Fund may use derivatives for investment purposes or Efficient Portfolio Management including hedging, where appropriate (see Section 11.7 of the Prospectus for Risk Warnings on derivatives).

Long Positions will be achieved directly or through the use of derivatives, and Short Positions will be achieved via the use of derivatives only.

At any given time, a significant amount of the Fund’s assets may be held as cash and cash equivalents to provide cover for the exposure created by the use of derivatives or to assist in achieving its investment objective.

In certain exceptional circumstances the Fund may invest in Covered Bonds, Government Bonds, Investment Grade, Below-Investment Grade and Unrated Securities as the Investment Adviser deems appropriate.

The Fund will invest predominantly in assets denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.




The Fund can use sophisticated investment techniques that differ from those used in traditional Equity funds.

There is no guarantee that the use of long and short positions will succeed in enhancing investment returns.



The single market in which the Fund primarily invests, in this case the UK, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.


Fund reviewUK stocks delivered positive returns in the six months under review. Domestic stocks were helped by the surprising resilience of the UK economy following the European Union (EU) referendum, while the many international stocks in the index were supported by the buoyant global economy.

Stock selection in general retailers, construction & materials and nonlife insurance contributed positively to relative performance. Detractors included stock selection and an underweight in travel & leisure, stock selection and an overweight in mining, and stock selection in support services. At the stock level, the Fund benefited most in relative terms from an overweight position in boohoo.com. The online fast fashion retailer continued to report strong trading updates and upgraded its guidance. The company continued to trade strongly, with momentum continuing across all channels. An overweight in Hastings Group, one of the fastest-growing general insurance providers in the UK, was also positive. The company has delivered above expectations as it expands its business through exposure from online comparison websites. Stock-level detractors included a short position in easyJet. Although the company reported a first-half loss that was slightly worse than expected, it guided towards an improving outlook for revenue per seat in the third quarter. An overweight to Petrofac, a facilities provider to the oil and gas sector, also detracted from returns. Its share price dropped on the back of an announcement that the UK’s Serious Fraud Office had begun an investigation into claims of bribery and corruption at the firm. However, relative returns were boosted by an underweight position in BT. The British telecommunications company announced a worse-than-expected impact on its figures from an accounting scandal in Italy, which hit the share price. Following this news, the British regulator fined the company in relation to historical use of “deemed consent” by Openreach, which was a further negative for the share price.

Fund outlookSterling has significantly weakened since the referendum and, with 70% of the FTSE 100’s earnings generated overseas, this has resulted in an immediate boost to earnings. The weakness is sterling has also driven broad-based M&A activity, which we expect to continue. As Theresa May’s minority government begins negotiations with the EU in coming weeks, the perceived success of these talks will be quickly reflected in currency markets, with implications for the relative performance of overseas earners vs. domestic companies.

While sector dispersion continues to widen, which should prove beneficial for active managers like ourselves, and the UK stock market continues to demonstrate resilience, investors will need to drill down into company fundamentals to find attractive investment opportunities. While political events will inevitably create volatility in the next two years, they will also likely create numerous opportunities for those stock pickers that can react to new information both swiftly and dispassionately. Our behavioural finance approach to stock picking takes evidence-based views, which avoid emotional decision-making, meaning we are well-placed to benefit from what will undoubtedly be an emotionally-charged period.


57


share

Net asset value per

share31.05.17 30.11.16 % Return

JPM UK Equity Plus FundC-Class Acc 128.7 112.3 14.60%

JPM UK Equity Plus FundC-Class Perf Acc 129.2 112.7 14.64%



2017 20162015 from

launch

JPM UK Equity Plus FundC-Class Acc 28.0% -3.3% 4.0%

JPM UK Equity Plus FundC-Class Perf Acc 28.3% -3.3% 4.1%

Benchmark Index 24.5% 0.1% 3.8%


Fund size £142.3m

Benchmark Index FTSE All-Share Index (Net)

Fund charges and expenses C-ClassC-Class

Perf

Initial charge (max.) Nil Nil

Exit charge Nil Nil



Fixed expenses 0.18% 0.18%

Performance fee Nil 10%

Top ten holdings (excluding Liquidity Funds) %Royal Dutch Shell plc 6.40British American Tobacco plc 5.17HSBC Holdings plc 4.75GlaxoSmithKline plc 4.52Lloyds Banking Group plc 3.06Unilever plc 2.83BP plc 2.80Rio Tinto plc 2.65Diageo plc 2.45Prudential plc 2.28

Sector breakdown %Financials 17.58Consumer Staples 14.43Consumer Discretionary 12.78Energy 9.20Liquidity Funds 8.68Health Care 8.33Industrials 8.08Materials 4.39Telecommunication Services 1.71Information Technology 1.67Real Estate 1.19Utilities 0.96Swaps 0.25Futures (0.01)Net other assets 10.76



share priceLowest

share price


(net)C-Class Accumulation SharesA

2015 104.0p 98.24p 0.35p2016 113.8p 89.59p 2.86p2017B 128.8p 110.4p 0.00pC-Class Income SharesA

2015 104.1p 98.24p 0.35p2016 113.4p 89.30p 2.84p2017B 125.0p 107.2p 0.00pC-Class Perf Accumulation SharesA

2015 104.1p 98.25p 0.41p2016 114.1p 89.66p 3.09p2017B 129.2p 110.7p 0.00pC-Class Perf Income SharesA

2015 104.1p 98.25p 0.41p2016 113.7p 89.35p 3.12p2017B 125.2p 107.2p 0.00p

A C-Class Accumulation Shares, C-Class Income Shares, C-Class Perf Accumulation Shares and C-Class Perf Income Shares were launched on 8 September 2015.B To 31 May 2017.



† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares (income shares are used if no accumulation share class exists) which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan

58


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


C-Class Accumulation Shares30.11.15 15,403 14,959,474 103.0p 1.05%30.11.16 95,041 84,614,080 112.3p 1.05%31.05.17 102,623 79,720,404 128.7p 1.05%C-Class Income Shares30.11.15C 8,365 8,151,000 102.6p 1.05%30.11.16C 8,892 8,150,000 109.1p 1.05%31.05.17 10,187 8,150,000 125.0p 1.05%C-Class Perf Accumulation Shares30.11.15 8,398 8,151,000 103.0p 0.78%30.11.16 16,851 14,958,474 112.7p 0.78%31.05.17 19,328 14,958,474 129.2p 0.78%C-Class Perf Income Shares30.11.15C 8,365 8,151,000 102.6p 0.78%30.11.16C 8,895 8,150,000 109.1p 0.78%31.05.17 10,198 8,150,000 125.1p 0.78%



59


Equities 80.32% (84.65%)

Consumer Discretionary 12.78% (12.36%)Auto Components 1.30% (0.98%)GKN plc 525,359 1,846 1.30

1,846 1.30

Distributors 1.51% (1.19%)Connect Group plc 285,078 356 0.25Inchcape plc 218,766 1,801 1.26

2,157 1.51

Hotels, Restaurants & Leisure 1.44% (1.99%)Compass Group plc 5,433 91 0.06InterContinental Hotels Group plc 44,723 1,956 1.38

2,047 1.44

Household Durables 1.94% (1.40%)Barratt Developments plc 324,259 1,970 1.38DFS Furniture plc 140,507 386 0.27Taylor Wimpey plc 203,461 411 0.29

2,767 1.94

Internet & Direct Marketing Retail 0.16% (0.00%)On the Beach Group plc 58,530 231 0.16

231 0.16

Media 3.64% (3.06%)Ascential plc 41,276 145 0.10ITV plc 908,745 1,786 1.26UBM plc 211,551 1,536 1.08WPP plc 97,877 1,711 1.20

5,178 3.64

Specialty Retail 1.30% (2.46%)JD Sports Fashion plc 409,258 1,848 1.30

1,848 1.30

Textiles, Apparel & Luxury Goods 1.49% (1.28%)Burberry Group plc 117,904 2,122 1.49

2,122 1.49


Consumer Staples 14.43% (13.07%)Beverages 2.45% (2.33%)Diageo plc 148,396 3,489 2.45

3,489 2.45

Food & Staples Retailing 1.23% (1.21%)Wm Morrison Supermarkets plc 707,681 1,749 1.23

1,749 1.23

Food Products 0.00% (0.10%)Household Products 1.08% (1.91%)Reckitt Benckiser Group plc 18,962 1,529 1.08

1,529 1.08

Personal Products 2.83% (0.89%)Unilever plc 92,512 4,028 2.83

4,028 2.83

Tobacco 6.84% (6.63%)British American Tobacco plc 132,550 7,355 5.17Imperial Brands plc 65,704 2,383 1.67

9,738 6.84

Consumer Staples total 20,533 14.43

Energy 9.20% (11.49%)Oil, Gas & Consumable Fuels 9.20% (11.49%)BP plc 842,250 3,984 2.80Royal Dutch Shell plc ‘A’ 267,613 5,663 3.98Royal Dutch Shell plc ‘B’ 159,714 3,455 2.42

13,102 9.20


Financials 17.58% (17.83%)Banks 11.08% (12.11%)Aldermore Group plc 711,689 1,753 1.23Barclays plc 1,395,114 2,900 2.04HSBC Holdings plc 991,932 6,762 4.75Lloyds Banking Group plc 6,131,715 4,362 3.06

15,777 11.08

Capital Markets 0.91% (2.50%)Jupiter Fund Management plc 36,193 179 0.13TP ICAP plc 231,085 1,118 0.78

1,297 0.91

Insurance 5.59% (3.22%)Aviva plc 523,337 2,753 1.93Hastings Group Holdings plc 318,484 999 0.70Hiscox Ltd. 78,328 960 0.68Prudential plc 186,321 3,240 2.28

7,952 5.59


Health Care 8.33% (7.43%)Biotechnology 1.80% (2.09%)Shire plc 56,492 2,557 1.80

2,557 1.80

Health Care Equipment & Supplies 0.33% (0.00%)ConvaTec Group plc 147,372 474 0.33

474 0.33

Pharmaceuticals 6.20% (5.34%)AstraZeneca plc 45,502 2,385 1.68GlaxoSmithKline plc 380,619 6,434 4.52

8,819 6.20


Industrials 8.08% (9.04%)Aerospace & Defense 2.51% (2.31%)BAE Systems plc 259,350 1,725 1.21QinetiQ Group plc 587,599 1,847 1.30

3,572 2.51

Air Freight & Logistics 0.00% (0.26%)Construction & Engineering 1.12% (1.04%)John Laing Group plc 539,907 1,597 1.12

1,597 1.12

Industrial Conglomerates 0.00% (1.20%)Machinery 1.06% (0.54%)Fenner plc 223,554 698 0.49IMI plc 64,699 813 0.57

1,511 1.06

Professional Services 1.96% (2.13%)Experian plc 144,092 2,342 1.64Hogg Robinson Group plc 114,644 80 0.06SThree plc 119,301 370 0.26

2,792 1.96

Trading Companies & Distributors 1.43% (1.56%)Ashtead Group plc 127,907 2,031 1.43

2,031 1.43

Industrials total 11,503 8.08

Information Technology 1.67% (2.28%)Electronic Equipment, Instruments & Components 0.00% (0.73%)IT Services 0.39% (0.37%)Computacenter plc 64,650 553 0.39

553 0.39

Software 1.28% (1.18%)Alfa Financial Software Holdings plc 24,570 102 0.07Micro Focus International plc 71,770 1,725 1.21

1,827 1.28





Total netassets %

60

Materials 4.39% (6.33%)Chemicals 0.26% (1.19%)Johnson Matthey plc 11,821 368 0.26

368 0.26

Metals & Mining 4.13% (5.14%)Anglo American plc 202,486 2,106 1.48Rio Tinto plc 120,640 3,771 2.65

5,877 4.13

Materials total 6,245 4.39

Real Estate 1.19% (0.57%)Equity Real Estate Investment Trusts (REITs) 1.19% (0.57%)British Land Co. plc (The) 17,877 115 0.08Land Securities Group plc 112,265 1,217 0.86Tritax Big Box plc 245,198 359 0.25

1,691 1.19

Real Estate total 1,691 1.19

Telecommunication Services 1.71% (2.24%)Diversified Telecommunication Services 0.22% (0.29%)BT Group plc 103,912 319 0.22

319 0.22

Wireless Telecommunication Services 1.49% (1.95%)Vodafone Group plc 914,458 2,121 1.49

2,121 1.49

Telecommunication Services total 2,440 1.71

Utilities 0.96% (2.01%)Multi-Utilities 0.96% (2.01%)Centrica plc 334,314 672 0.47National Grid plc 63,790 696 0.49

1,368 0.96

Utilities total 1,368 0.96


Swaps 0.25% (0.60%)UK Equity Total Return Swap 1 353 0.25

Swaps total 353 0.25

Futures (0.01)% (0.02%)FTSE 100 Index 16/06/2017 (53) (15) (0.01)

Futures total (15) (0.01)

Liquidity Funds 8.68% (9.52%)JPM Sterling Liquidity Fund X (dist.)† 12,348,665 12,349 8.68

Liquidity Funds total 12,349 8.68

Investment assets (including investment liabilities) 127,021 89.24Net other assets 15,315 10.76

Net assets 142,336 100.00

The comparative percentage figures in brackets are as at 30 November 2016.† A related party to the Fund.


CounterpartySwaps£’000

Total£’000

Goldman Sachs 353 353

353 353


The counterparty exposure on swaps is reported at their positive mark to market values.




61


£’000



Unilever plc 2,446GlaxoSmithKline plc 1,908ITV plc 1,754Prudential plc 1,749Aviva plc 1,657IMI plc 826Land Securities Group plc 795Lloyds Banking Group plc 646Spectris plc 419ConvaTec Group plc 386DFS Furniture plc 385GKN plc 365On the Beach Group plc 223UBM plc 221Connect Group plc 203John Laing Group plc 132Experian plc 92Alfa Financial Software Holdings plc 80Royal Dutch Shell plc ‘B’ 71Centrica plc 34

£’000



Spectris plc 1,713Kingfisher plc 1,707Smiths Group plc 1,626Reckitt Benckiser Group plc 1,255Centrica plc 1,245BP plc 1,218Jupiter Fund Management plc 1,148Johnson Matthey plc 1,142HSBC Holdings plc 1,126GlaxoSmithKline plc 997Compass Group plc 801Hastings Group Holdings plc 765Vodafone Group plc 752WPP plc 744TP ICAP plc 699Barclays plc 638Hill & Smith Holdings plc 403WS Atkins plc 397Tullow Oil plc 386Royal Dutch Shell plc ‘A’ 377

62




£’000 £’000 £’000 £’000

Income

Net capital gains/(losses) 16,985 (1,560)

Revenue 2,385 844


Net revenue before taxation 1,684 664

Taxation (21) (3)

Net revenue after taxation 1,663 661


Distributions (29) 1




£’000 £’000 £’000 £’000


Amounts receivable on issue of shares 658 1,751


(5,972) 1,747

Dilution adjustment 10 18


Unclaimed distributions – 1





£’000 £’000

Assets:


Current assets:

Debtors 766 596

Cash and bank balances 15,768 6,782

Total assets 143,570 130,295

Liabilities:

Investment liabilities (15) –

Creditors:


Other creditors (1,219) (130)

Total liabilities (1,234) (616)


63

Securities Financing Transactions

As defined in Article 3 of Regulation (EU) 2015/2365, securities financing transactions include repurchase transactions, securities or commodities lending and securities or commodities borrowing, buy-sell back transactions or sell-buy back transactions and margin lending transactions. Whilst the Fund does not engage in such SFT’s, it does engage in Total Return Swaps therefore, in accordance with Article 13 of the Regulation, the Funds involvement in and exposure to Total Return Swaps (including Contracts for Difference) for the period end 31 May 2017 are detailed below.

Global DataAmount of assets engaged in TRS

The following table represents the total value of assets engaged in TRS:

Value £’000 % of AUM

TRS 353 0.25%

Concentration DataCounterparties

The following table provides details of the counterparties (based on gross volume of outstanding transactions with exposure on a gross absolute basis) in respect of TRS as at the balance sheet date:

CounterpartyValue £’000

Goldman Sachs 29,931

Aggregate transaction dataType, quality, maturity, tenor and currency of collateral

All collateral received (£’000: 523) by the Fund in respect of OTC derivatives (including TRS) with the counterparty noted (Goldman Sachs) as at the balance sheet date is in the form of cash (Sterling) and is therefore open maturity.

Maturity tenor of TRS

The following table provides an analysis of the maturity tenor of open TRS positions as at the balance sheet date:

MaturityValue £’000

more than 1 year 353

353

Country in which counterparties are established

CounterpartyCountry of

IncorporationGoldman Sachs United Kingdom

Settlement and clearingOTC derivative transactions are entered into by the Fund under an International Swaps and Derivatives Associations, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivative transactions (including total return swaps) entered into by the parties. All OTC derivative transactions entered under an ISDA Master Agreement are netted together for collateral purposes, therefore any collateral disclosures provided are in respect of all OTC derivative transactions entered into by the Fund under the ISDA Master agreement, not just total return swaps.

Re-use of collateralCash collateral received in the context of OTC (including TRS) Transactions in Derivatives may be reused in accordance with the provisions contained within the Prospectus, however the Fund does not currently reinvest cash collateral received in respect of OTC Derivatives.

Safekeeping of collateralAll collateral received (£’000: 523) by the Fund in respect of OTC derivatives (including TRS) as at the balance sheet date is in the form of cash (Sterling), held by the Custodian.

Return and costAll returns from TRS transactions will accrue to the Fund and are not subject to any returns sharing arrangements with the Fund’s Manager or any other third parties. Returns from those instruments are disclosed in Fund’s financial statements.

64

JPM UK Smaller Companies Fund

Investment objective and policyTo provide long-term capital growth by investing primarily in UK smaller companies.

UK smaller companies are companies that are incorporated under the laws of, and have their registered office in, the UK, or that derive the predominant part of their economic activity from the UK, even if listed elsewhere. This may include companies listed on AIM or included in the FTSE 250 index.

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed income securities, cash and cash equivalents may be held on an ancillary basis, as appropriate.

The Fund will invest predominantly in assets denominated in Sterling. However, assets may be denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.




Companies listed on AIM tend to be smaller and early stage companies and may carry greater risks than an investment in a company with a full listing on the London Stock Exchange.

The Fund may take significant positions relative to its Benchmark.

The single market in which the Fund invests, in this case the UK, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.


Fund reviewUK small cap stocks delivered positive returns and outperformed large caps in the six months under review. Domestic stocks were helped by the surprising resilience of the UK economy following the European Union (EU) referendum, while the more internationally-exposed stocks were supported by the buoyant global economy.

The Fund, which invests in attractively-valued, high-quality UK small cap stocks with positive momentum, outperformed its benchmark. Positive contributors to relative returns included an underweight in real estate, followed by stock selection in beverages and household goods & home construction. An overweight position in nonlife insurance detracted the most, followed by stock selection in media and industrial transportation.

At the stock level, the Fund benefited most in relative terms from an overweight position in Fever-Tree. Shares of the firm, which specialises in premium mixers for drinks, continued to perform strongly as it yet again upgraded its sales guidance on the back of the willingness of consumers to switch to premium mixers. An overweight position in Victoria was also positive, as the international manufacturer, supplier and distributor of carpets benefited from earnings-enhancing acquisitions. Stock-level detractors from relative returns included overweights in Novae Group and Plus500. Despite both companies operating in different sectors, each was impacted by changing regulation. Novae Group, a specialist Lloyd’s insurance company, saw a significant impact from the Ogden rate cut, which halved its profits, while Plus500, a spread-betting provider, was also negatively impacted by regulatory change. However, relative returns were boosted by an underweight position in Lonmin, a South African platinum producer. The company has struggled for a number of years as low prices and soaring costs have caused it to go to the market for support on a number of occasions.

Fund outlookSterling has significantly weakened since the referendum and, with 70% of the FTSE 100’s earnings generated overseas, this has resulted in an immediate boost to earnings. The weakness is sterling has also driven broad-based M&A activity, which we expect to continue. As Theresa May’s minority government begins negotiations with the EU in coming weeks, the perceived success of these talks will be quickly reflected in currency markets, with implications for the relative performance of overseas earners vs. domestic companies.

While sector dispersion continues to widen, which should prove beneficial for active managers like ourselves, and the UK stock market continues to demonstrate resilience, investors will need to drill down into company fundamentals to find attractive investment opportunities. While political events will inevitably create volatility in the next two years, they will also likely create numerous opportunities for those stock pickers that can react to new information both swiftly and dispassionately. Our behavioural finance approach to stock picking takes evidence-based views, which avoid emotional decision-making, meaning we are well-placed to benefit from what will undoubtedly be an emotionally-charged period.


share

Net asset value per

share31.05.17 30.11.16 % Return

JPM UK Smaller Companies Fund A-Class Acc 442.0 367.4 20.30%

JPM UK Smaller Companies Fund B-Class Acc 452.1 374.9 20.59%

JPM UK Smaller Companies Fund C-Class Acc 457.5 378.9 20.74%

JPM UK Smaller Companies Fund I-Class Acc 900.1 744.2 20.95%



65


JPM UK Smaller Companies Fund A-Class Acc 20.1% -0.2% 7.5% 16.2%

JPM UK Smaller Companies Fund B-Class Acc 20.7% 0.3% 8.0% 16.7%

JPM UK Smaller Companies Fund C-Class Acc 21.0% 0.6% 8.3% 17.0% JPM UK Smaller Companies Fund I-Class Acc 21.3% 0.9% 8.6% 17.3% JPM UK Smaller Companies Fund X-Class Inc – 1.5% 9.2% 17.9%

Benchmark Index 24.0% 0.3% 8.6% 23.9%


Fund size £132.9m

Benchmark Index FTSE Small Cap ex Investment Trusts (Gross)

Fund charges and expenses A-Class B-Class C-Class I-Class X-Class

Initial charge (max.) 3.00% Nil Nil Nil Nil

Exit charge Nil Nil Nil Nil Nil

Ongoing charge (comprises) 1.68% 1.18% 0.93% 0.60% 0.06%A

Annual management fee 1.50% 1.00% 0.75% 0.60% –

Fixed expenses 0.18% 0.18% 0.18% – 0.06%

Top ten holdings (excluding Liquidity Funds) %4imprint Group plc 3.35Fevertree Drinks plc 2.99McBride plc 2.97JD Sports Fashion plc 2.87FDM Group Holdings plc 2.84Hill & Smith Holdings plc 2.81OneSavings Bank plc 2.75Fenner plc 2.72Wincanton plc 2.70Ricardo plc 2.30

Sector breakdown %Industrials 30.24Consumer Discretionary 21.25Information Technology 12.66Financials 12.10Consumer Staples 8.28Materials 5.92Energy 4.52Real Estate 2.67Health Care 0.76Liquidity Funds 0.16Net other assets 1.44



share priceLowest

share price


(net)A-Class Accumulation Shares2014 374.6p 299.2p 0.00p2015 394.3p 315.0p 1.04p2016 392.6p 313.6p 2.83p2017B 446.4p 368.0p 0.00pA-Class Income Shares2014 72.73p 58.10p 0.00p2015 76.57p 61.17p 0.20p2016 76.03p 60.73p 0.56p2017B 85.77p 70.71p 0.00pB-Class Accumulation Shares2014 377.0p 302.1p 1.67p2015 400.1p 318.3p 2.89p2016 398.6p 319.3p 3.96p2017B 456.5p 375.5p 0.00pC-Class Accumulation Shares2014 378.4p 303.7p 2.55p2015 403.3p 320.1p 3.86p2016 401.9p 322.4p 5.87p2017B 462.0p 379.5p 0.00pC-Class Income Shares2014 72.93p 58.53p 0.49p2015 77.14p 61.22p 0.73p2016 76.12p 61.07p 1.11p2017B 86.15p 70.77p 0.00pI-Class Accumulation Shares2014 736.7p 592.3p 7.16p2015 789.5p 624.8p 9.91p2016 786.9p 632.5p 13.82p2017B 908.9p 745.5p 0.00pX-Class Income Shares2014 619.7p 499.9p 9.08p2015 658.8p 539.5p 11.51p2016C 645.3p 520.4p 0.00p

B To 31 May 2017.C X-Class Income shares were closed on 8 September 2016.



† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices^ Performance returns are calculated using the dealing prices of the accumulation shares (income shares are used if no accumulation share class exists) which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. MorganA The ongoing charge will vary in accordance to the annual management fee which varies, as agreed from time to time between the ACD and the relevant JPMorgan Chase & Co. entity.

66


Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares30.11.14 88,078 27,299,992 322.6p 1.68%30.11.15 87,045 22,720,629 383.1p 1.68%30.11.16 68,475 18,637,425 367.4p 1.68%31.05.17 79,078 17,890,311 442.0p 1.68%A-Class Income Shares30.11.14D 1,386 2,213,087 62.65p 1.68%30.11.15D 1,513 2,039,903 74.19p 1.68%30.11.16D 1,317 1,865,894 70.59p 1.68%31.05.17 1,727 2,032,932 84.93p 1.68%B-Class Accumulation Shares30.11.14 1,820 558,365 325.9p 1.18%30.11.15 1,313 337,674 388.9p 1.18%30.11.16 54 14,299 374.9p 1.18%31.05.17 65 14,299 452.1p 1.18%C-Class Accumulation Shares30.11.14 5,960 1,818,750 327.7p 0.93%30.11.15 12,778 3,259,004 392.1p 0.93%30.11.16 17,183 4,535,365 378.9p 0.93%31.05.17 19,584 4,280,877 457.5p 0.93%C-Class Income Shares30.11.14D 617 983,906 62.67p 0.93%30.11.15D 868 1,168,793 74.26p 0.93%30.11.16D 974 1,378,025 70.65p 0.93%31.05.17 1,168 1,369,485 85.31p 0.93%I-Class Accumulation Shares30.11.14 29,850 4,667,928 639.5p 0.60%30.11.15 30,287 3,945,481 767.6p 0.60%30.11.16 24,667 3,314,510 744.2p 0.60%31.05.17 31,262 3,473,186 900.1p 0.60%X-Class Income Shares30.11.14D 1,194 224,933 530.9p 0.06%30.11.15D 1,251 198,803 629.4p 0.06%30.11.16E – – – 0.05%

D The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.E X-Class Income shares were closed on 8 September 2016.


67





Total netassets %

Equities 98.40% (98.58%)

Consumer Discretionary 21.25% (23.94%)Auto Components 0.20% (0.41%)Autins Group plc# 199,760 270 0.20

270 0.20

Distributors 1.70% (0.36%)John Menzies plc 267,000 1,882 1.42Up Global Sourcing Holdings plc 189,700 380 0.28

2,262 1.70

Hotels, Restaurants & Leisure 1.77% (3.52%)888 Holdings plc 260,000 749 0.56Gym Group plc (The) 329,553 627 0.47Hollywood Bowl Group plc 565,527 981 0.74

2,357 1.77

Household Durables 5.17% (4.50%)Henry Boot plc 440,000 1,324 1.00MJ Gleeson plc 438,000 2,742 2.06Victoria plc# 517,000 2,802 2.11

6,868 5.17

Leisure Products 0.43% (0.33%)Character Group plc (The)# 115,500 566 0.43

566 0.43

Media 7.73% (9.16%)4imprint Group plc 265,000 4,455 3.35NAHL Group plc# 403,010 555 0.42Next Fifteen Communications Group plc# 178,000 708 0.53Quarto Group, Inc. 185,000 453 0.34STV Group plc 186,000 681 0.51Tarsus Group plc 500,000 1,433 1.08Trinity Mirror plc 1,850,000 1,984 1.50

10,269 7.73

Multiline Retail 0.00% (0.39%)Specialty Retail 4.25% (5.27%)Gear4Music Holdings plc 18,215 148 0.11JD Sports Fashion plc 844,032 3,811 2.87Lookers plc 1,315,000 1,683 1.27

5,642 4.25


Consumer Staples 8.28% (8.94%)Beverages 2.99% (2.73%)Fevertree Drinks plc# 227,000 3,973 2.99

3,973 2.99

Food & Staples Retailing 0.00% (0.10%)Food Products 1.42% (2.61%)Hilton Food Group plc 157,000 1,201 0.90Hotel Chocolat Group Ltd.# 106,483 410 0.31Premier Foods plc 677,771 275 0.21

1,886 1.42

Household Products 2.97% (3.12%)McBride plc 2,020,000 3,939 2.97

3,939 2.97

Personal Products 0.90% (0.38%)Warpaint London plc# 400,400 1,201 0.90

1,201 0.90


Energy 4.52% (5.19%)Oil, Gas & Consumable Fuels 4.52% (5.19%)Amerisur Resources plc# 1,539,114 400 0.30Anglo Pacific Group plc 376,000 419 0.31EnQuest plc 4,050,000 1,438 1.08Faroe Petroleum plc# 400,000 356 0.27James Fisher & Sons plc 35,500 598 0.45Ophir Energy plc 2,498,000 2,074 1.56Premier Oil plc 423,000 251 0.19Soco International plc 360,000 474 0.36

6,010 4.52


Financials 12.10% (10.99%)Banks 1.56% (0.00%)TBC Bank Group plc 122,397 2,076 1.56

2,076 1.56

Capital Markets 0.94% (0.16%)Sanne Group plc 55,000 368 0.28Xafinity plc 526,574 886 0.66

1,254 0.94

Consumer Finance 2.20% (0.64%)Arrow Global Group plc 565,000 2,264 1.70S&U plc 32,900 659 0.50

2,923 2.20

Diversified Financial Services 1.50% (2.45%)Plus500 Ltd.# 389,000 1,992 1.50

1,992 1.50

Insurance 2.11% (3.97%)Charles Taylor plc 340,000 766 0.57Novae Group plc 373,000 2,042 1.54

2,808 2.11

Thrifts & Mortgage Finance 3.79% (3.77%)Mortgage Advice Bureau Holdings Ltd.# 321,700 1,384 1.04OneSavings Bank plc 878,000 3,645 2.75

5,029 3.79


Health Care 0.76% (0.00%)Health Care Technology 0.76% (0.00%)Servelec Group plc 352,118 1,008 0.76

1,008 0.76


Industrials 30.24% (26.92%)Aerospace & Defense 2.16% (2.38%)Avon Rubber plc 265,000 2,867 2.16

2,867 2.16

Air Freight & Logistics 2.70% (2.36%)Wincanton plc 1,182,000 3,593 2.70

3,593 2.70

Building Products 2.88% (2.79%)Tyman plc 677,000 2,315 1.74Volution Group plc 770,000 1,513 1.14

3,828 2.88

Commercial Services & Supplies 6.35% (3.53%)Cape plc 735,000 1,771 1.33De La Rue plc 427,000 2,874 2.16Interserve plc 273,000 619 0.47Restore plc# 195,000 819 0.62RPS Group plc 860,000 2,359 1.77

8,442 6.35

Construction & Engineering 2.98% (3.35%)Costain Group plc 395,000 1,909 1.43Morgan Sindall Group plc 164,629 2,056 1.55

3,965 2.98

Electrical Equipment 0.89% (0.69%)Luceco plc 495,000 1,177 0.89

1,177 0.89

Machinery 7.23% (5.82%)Fenner plc 1,155,000 3,609 2.72Porvair plc 274,000 1,584 1.19Renold plc 1,926,000 1,040 0.78Somero Enterprises, Inc.# 395,430 1,226 0.92Trifast plc 997,000 2,154 1.62

9,613 7.23

Professional Services 4.58% (4.65%)Exova Group plc 109,000 258 0.19Ricardo plc 347,000 3,053 2.30Robert Walters plc 325,000 1,423 1.07Staffline Group plc# 95,000 1,348 1.02

6,082 4.58

68

Road & Rail 0.47% (0.00%)Eddie Stobart Logistics plc# 398,000 621 0.47

621 0.47

Trading Companies & Distributors 0.00% (1.35%)Industrials total 40,188 30.24

Information Technology 12.66% (13.70%)Communications Equipment 0.80% (0.82%)Telit Communications plc# 312,200 1,062 0.80

1,062 0.80

Electronic Equipment, Instruments & Components 3.78% (4.45%)Laird plc 926,000 1,306 0.99Oxford Instruments plc 214,000 2,354 1.77Smart Metering Systems plc# 256,000 1,359 1.02

5,019 3.78

Internet Software & Services 0.32% (0.40%)ULS Technology plc 345,000 428 0.32

428 0.32

IT Services 4.37% (3.96%)FDM Group Holdings plc 478,998 3,779 2.84First Derivatives plc# 32,500 1,010 0.76Keywords Studios plc 78,099 609 0.46Softcat plc 95,000 413 0.31

5,811 4.37

Semiconductors & Semiconductor Equipment 0.17% (0.82%)Imagination Technologies Group plc 196,000 226 0.17

226 0.17

Software 2.32% (1.98%)Fusionex International plc# 90,347 42 0.03Microgen plc 210,000 666 0.50SDL plc 330,000 2,031 1.53Tracsis plc# 91,463 338 0.26

3,077 2.32

Technology Hardware, Storage & Peripherals 0.90% (1.27%)Xaar plc 325,043 1,201 0.90

1,201 0.90


Materials 5.92% (6.43%)Construction Materials 2.18% (1.24%)Forterra plc 878,000 2,307 1.73Marshalls plc 148,000 594 0.45

2,901 2.18

Metals & Mining 3.74% (5.19%)Hill & Smith Holdings plc 263,767 3,732 2.81Hochschild Mining plc 153,000 431 0.32Kenmare Resources plc 122,000 325 0.25Petra Diamonds Ltd. 375,000 483 0.36

4,971 3.74


Real Estate 2.67% (2.47%)Equity Real Estate Investment Trusts (REITs) 0.75% (0.88%)Safestore Holdings plc 225,000 987 0.75

987 0.75

Real Estate Management & Development 1.92% (1.59%)CLS Holdings plc 480,840 946 0.71Urban & Civic plc 180,000 477 0.36Watkin Jones plc# 617,529 1,130 0.85

2,553 1.92



Liquidity Funds 0.16% (1.13%)JPM Sterling Liquidity Fund X (dist.)† 211,363 211 0.16

Liquidity Funds total 211 0.16


Net assets 132,884 100.00

The comparative percentage figures in brackets are as at 30 November 2016.# Security traded on another regulated market.† A related party to the Fund.




Total netassets %


69


£’000



JPM Sterling Liquidity Fund X (dist.)† 6,996RPS Group plc 2,109TBC Bank Group plc 1,820Arrow Global Group plc 1,777EnQuest plc 1,424Laird plc 1,365John Menzies plc 1,339Fenner plc 1,305Forterra plc 901Cape plc 733Xafinity plc 732Keywords Studios plc 641Eddie Stobart Logistics plc 637Microgen plc 565Exova Group plc 501Kenmare Resources plc 430Anglo Pacific Group plc 427ULS Technology plc 405Faroe Petroleum plc 401Sanne Group plc 368


£’000



JPM Sterling Liquidity Fund X (dist.)† 8,062E2V Technologies plc 2,294Lavendon Group plc 1,880Fuller Smith & Turner plc ‘A’ 1,190James Fisher & Sons plc 1,18832Red plc 1,061Hilton Food Group plc 927Fevertree Drinks plc 860Ithaca Energy, Inc. 825Pendragon plc 804Paysafe Group plc 744Ferrexpo plc 742JD Sports Fashion plc 678Premier Foods plc 612Topps Tiles plc 577NAHL Group plc 539iomart Group plc 499Plus500 Ltd. 493Mothercare plc 484Petra Diamonds Ltd. 472

70




£’000 £’000 £’000 £’000

Income


Revenue 1,549 1,701



Taxation (72) (49)


Total return before distributions 22,867 (5,389)

Distributions - (5)

Change in net assets attributable to shareholders from investment activities 22,867 (5,394)



£’000 £’000 £’000 £’000




(2,653) (2,288)

Dilution adjustment – 18

Change in net assets attributable to shareholders from investment activities (see above) 22,867 (5,394)





£’000 £’000

Assets:


Current assets:

Debtors 2,145 533


Total assets 133,199 113,060

Liabilities:

Creditors:





71

JPM US Smaller Companies Fund

Investment objective and policyTo provide long-term capital growth by investing primarily in US smaller companies.

US smaller companies are companies that are incorporated under the laws of, and have their registered office in, the US, or that derive the predominant part of their economic activity from the US, even if listed elsewhere.

This Equity based Fund invests primarily in those stocks which the Investment Adviser believes to have the potential of above-average growth (growth stocks).

Other instruments as permitted in the stated investment and borrowing powers of the Company including, but not limited to, fixed interest securities, cash and cash equivalents may be held on an ancillary basis, as appropriate.

The Fund will invest predominantly in assets denominated in US Dollar. However, assets may be denominated in other currencies and non-Sterling currency exposure will not normally be hedged back to Sterling.




The single market in which the Fund invests, in this case the US, may be subject to particular political and economic risks and, as a result, the Fund may be more volatile than more broadly diversified funds.

The Fund may have greater volatility compared to broader market indices as a result of the Fund’s focus on growth stocks.



Fund reviewThe Fund generated a positive return and outperformed its benchmark for the six-month period under review. The portfolio’s outperformance was driven by stock selection. In particular, stock selection in the technology and consumer discretionary sectors proved beneficial. In technology, our overweight positions in Shopify and RingCentral added value. Shares of Shopify traded higher in April as rumours of a possible takeover boosted investor sentiment. In the consumer discretionary space, our overweight positions in The Trade Desk and Wayfair contributed the most. Shares of The Trade Desk rose in May after revenues beat expectations and guidance was raised due to new large brands joining the platform. At the security level, our overweight in healthcare name EXACT Sciences also helped. In terms of detractors, our stock selection in financial services and our sector allocation in the utilities space proved lacklustre. Our lack of exposure to financial services names CoreSite and DuPont Fabros detracted the most. At the security level, our overweight positions in healthcare name Horizon Pharma and in E.L.F. Beauty in the consumer discretionary space were among the largest detractors. Horizon Pharma reported earnings and revenues below expectations, with lower guidance due to its primary care business products struggling in the pharmacy benefit management space.

Fund outlookOur fundamental outlook for continued US economic expansion and associated growth in corporate earnings remains intact. However, we would be remiss not to address the risks currently facing US equity markets. The pace of nominal growth has moderated and this has been reflected in the market leadership, which we will continue to monitor closely. From the US presidential election up to the end of last year, the financials, telecom and energy sectors were the top performers. Those same three sectors are now this year’s worst performers. It therefore appears to be safe to say that the “Trump rally” has now reversed.


72

† For specific risks, including the risk and reward profile, please refer to the Key Investor information Document (KIID) available on the following website http://am.jpmorgan.co.uk/investor/prices-and-factsheets/?list=all&tab=Prices ^ Performance returns are calculated using the dealing prices of the accumulation shares which are calculated using market prices and foreign exchange rates available at 12 noon. The benchmark returns, which are based on close of business prices, may reflect variances to the Fund performance that are due to timing differences. Performance returns are in Sterling.Source: J.P. Morgan.


share

Net asset value per

share31.05.17 30.11.16 % Return

JPM US Smaller Companies Fund A-Class Acc 532.7 486.0 9.61%

JPM US Smaller Companies Fund B-Class Acc 544.7 495.7 9.89%

JPM US Smaller Companies Fund C-Class Acc 551.2 500.9 10.04%

JPM US Smaller Companies Fund I-Class Acc 558.1 507.5 9.97%



JPM US Smaller Companies Fund A-Class Acc 46.6% -10.8% 26.5% -0.8%

JPM US Smaller Companies Fund B-Class Acc 47.3% -10.3% 27.1% -0.3%

JPM US Smaller Companies Fund C-Class Acc 47.7% -10.1% 27.5% -0.1% JPM US Smaller Companies Fund I-Class Acc 47.6% -10.1% 27.3% -0.2%

Benchmark Index 34.8% -4.9% 29.3% 5.4%


Fund size £80.5m

Benchmark Index Russell 2000 Growth (Net of 15% withholding tax)

Fund charges and expenses A-Class B-Class C-Class I-Class

Initial charge (max.) 3.00% Nil Nil Nil

Exit charge Nil Nil Nil Nil

Ongoing charge (comprises) 1.68% 1.18% 0.93% 1.00%

Annual management fee 1.50% 1.00% 0.75% 1.00%

Fixed expenses 0.18% 0.18% 0.18% –

Top ten holdings %Boyd Gaming Corp. 1.87Cavium, Inc. 1.73John Bean Technologies Corp. 1.69Take-Two Interactive Software, Inc. 1.51Masonite International Corp. 1.50Littelfuse, Inc. 1.45HEICO Corp. 1.43Summit Materials, Inc. ‘A’ 1.43RingCentral, Inc. ‘A’ 1.38Graco, Inc. 1.31

Sector breakdown %Information Technology 29.47Health Care 19.94Industrials 18.50Consumer Discretionary 12.22Financials 5.60Consumer Staples 4.78Materials 3.55Real Estate 2.03Energy 1.47Net other assets 2.44

73



share priceLowest

share price


(net)A-Class Accumulation Shares2014 382.1p 305.9p 0.00p2015 428.0p 344.0p 0.00p2016 498.0p 291.0p 0.00p2017A 543.7p 463.6p 0.00pA-Class Income Shares2014 100.1p 80.18p 0.00p2015 112.2p 90.15p 0.00p2016 130.4p 76.26p 0.00p2017A 142.4p 121.4p 0.00pB-Class Accumulation Shares2014 384.6p 308.2p 0.00p2015 433.1p 348.9p 0.00p2016 508.0p 295.7p 0.00p2017A 555.3p 472.9p 0.00pC-Class Accumulation Shares2014 385.9p 309.5p 0.00p2015 435.8p 351.5p 0.00p2016 513.3p 298.2p 0.00p2017A 561.6p 477.9p 0.00pC-Class Income Shares2014 101.1p 81.09p 0.00p2015 114.2p 92.11p 0.00p2016 134.5p 78.14p 0.00p2017A 147.2p 125.2p 0.00pI-Class Accumulation Shares2014 391.7p 314.1p 0.00p2015 442.0p 356.4p 0.00p2016 520.0p 302.3p 0.00p2017A 568.8p 484.1p 0.00p

A To 31 May 2017.




Date

Net assetvalue per

share class£’000

Numberof shares

Net assetvalue per


A-Class Accumulation Shares30.11.14 41,667 11,265,690 369.9p 1.68%30.11.15 27,809 7,098,482 391.8p 1.68%30.11.16 26,952 5,546,083 486.0p 1.68%31.05.17 26,416 4,958,825 532.7p 1.68%A-Class Income Shares30.11.14B 1,686 1,739,353 96.92p 1.68%30.11.15B 1,039 1,012,190 102.7p 1.68%30.11.16B 739 580,451 127.3p 1.68%31.05.17 803 575,675 139.5p 1.68%B-Class Accumulation Shares30.11.14 479 128,094 373.6p 1.18%30.11.15 301 75,815 397.6p 1.18%30.11.16 342 68,944 495.7p 1.18%31.05.17 305 55,960 544.7p 1.18%C-Class Accumulation Shares30.11.14 29,916 7,965,155 375.6p 0.93%30.11.15 38,684 9,650,756 400.8p 0.93%30.11.16 43,199 8,623,849 500.9p 0.93%31.05.17 46,595 8,453,979 551.2p 0.93%C-Class Income Shares30.11.14B 2,758 2,802,591 98.41p 0.93%30.11.15B 2,621 2,495,222 105.0p 0.93%30.11.16B 4,712 3,589,607 131.3p 0.93%31.05.17 5,535 3,832,604 144.4p 0.93%I-Class Accumulation Shares30.11.14 1,699 445,991 381.0p 1.00%30.11.15 1,289 317,139 406.3p 1.00%30.11.16 868 170,958 507.5p 1.00%31.05.17 838 150,169 558.1p 1.00%

B The net asset value and the net asset value per income share are shown ex-dividend at the financial year end.* The Ongoing charges takes into account the ACD fee, the fixed expenses and any expenses paid to an affiliate in respect of stocklending activities, expressed as a percentage of the average daily net asset values over the period.

74


Equities 97.56% (96.93%)

Consumer Discretionary 12.22% (14.15%)Distributors 1.12% (1.02%)Pool Corp. 9,690 899 1.12

899 1.12

Diversified Consumer Services 0.69% (0.00%)Bright Horizons Family Solutions, Inc. 9,260 555 0.69

555 0.69

Hotels, Restaurants & Leisure 4.10% (3.44%)Boyd Gaming Corp. 76,516 1,504 1.87Texas Roadhouse, Inc. 22,619 854 1.06Vail Resorts, Inc. 5,741 940 1.17

3,298 4.10

Household Durables 0.62% (0.62%)TRI Pointe Group, Inc. 50,948 497 0.62

497 0.62

Internet & Direct Marketing Retail 0.81% (0.81%)Wayfair, Inc. ‘A’ 13,060 652 0.81

652 0.81

Multiline Retail 0.92% (1.25%)Ollie’s Bargain Outlet Holdings, Inc. 23,196 743 0.92

743 0.92

Specialty Retail 2.89% (5.28%)Burlington Stores, Inc. 8,016 601 0.75Floor & Decor Holdings, Inc. ‘A’ 6,930 212 0.26Lithia Motors, Inc. ‘A’ 10,379 731 0.91Penske Automotive Group, Inc. 7,165 236 0.29Tile Shop Holdings, Inc. 35,012 547 0.68

2,327 2.89

Textiles, Apparel & Luxury Goods 1.07% (1.73%)Wolverine World Wide, Inc. 42,382 862 1.07

862 1.07


Consumer Staples 4.78% (3.94%)Food & Staples Retailing 2.21% (2.14%)Casey’s General Stores, Inc. 5,499 492 0.61Performance Food Group Co. 35,549 786 0.98Sprouts Farmers Market, Inc. 26,898 500 0.62

1,778 2.21

Food Products 1.49% (0.99%)Freshpet, Inc. 60,393 701 0.87Snyder’s-Lance, Inc. 17,311 495 0.62

1,196 1.49

Personal Products 1.08% (0.81%)elf Beauty, Inc. 44,374 872 1.08

872 1.08


Energy 1.47% (1.64%)Oil, Gas & Consumable Fuels 1.47% (1.64%)Diamondback Energy, Inc. 4,693 345 0.43Jagged Peak Energy, Inc. 38,045 388 0.48RSP Permian, Inc. 15,782 449 0.56

1,182 1.47


Financials 5.60% (5.97%)Banks 2.37% (1.94%)Bank of the Ozarks, Inc. 12,850 445 0.55Signature Bank 3,977 446 0.55Texas Capital Bancshares, Inc. 17,470 1,020 1.27

1,911 2.37

Capital Markets 2.78% (3.48%)Evercore Partners, Inc. ‘A’ 18,065 972 1.21Financial Engines, Inc. 20,641 617 0.77PennantPark Investment Corp. 78,667 461 0.57WisdomTree Investments, Inc. 25,218 184 0.23

2,234 2.78

Thrifts & Mortgage Finance 0.45% (0.55%)BofI Holding, Inc. 21,286 366 0.45

366 0.45


Health Care 19.94% (22.51%)Biotechnology 8.42% (10.33%)ACADIA Pharmaceuticals, Inc. 11,939 239 0.30Axovant Sciences Ltd. 14,859 242 0.30Bellicum Pharmaceuticals, Inc. 34,385 304 0.38Biohaven Pharmaceutical Holding Co. Ltd. 19,530 366 0.45Coherus Biosciences, Inc. 25,422 411 0.51Exact Sciences Corp. 37,006 941 1.17FibroGen, Inc. 18,241 365 0.45Halozyme Therapeutics, Inc. 52,498 497 0.62Ignyta, Inc. 40,092 223 0.28Insmed, Inc. 16,165 192 0.24Kite Pharma, Inc. 13,650 770 0.96Neurocrine Biosciences, Inc. 7,412 251 0.31Portola Pharmaceuticals, Inc. 14,149 397 0.49REGENXBIO, Inc. 20,506 267 0.33Sage Therapeutics, Inc. 10,193 514 0.64Spark Therapeutics, Inc. 10,955 438 0.54TESARO, Inc. 1,241 139 0.17Versartis, Inc. 19,341 224 0.28

6,780 8.42

Health Care Equipment & Supplies 4.03% (4.33%)GenMark Diagnostics, Inc. 87,541 881 1.10Insulet Corp. 13,677 446 0.55K2M Group Holdings, Inc. 45,093 803 1.00Nevro Corp. 11,771 651 0.81Novadaq Technologies, Inc. 81,707 459 0.57

3,240 4.03

Health Care Providers & Services 3.24% (3.18%)Acadia Healthcare Co., Inc. 28,874 929 1.15Teladoc, Inc. 34,025 785 0.98WellCare Health Plans, Inc. 6,657 894 1.11

2,608 3.24

Health Care Technology 1.87% (1.95%)Evolent Health, Inc. ‘A’ 54,820 967 1.20Veeva Systems, Inc. ‘A’ 10,626 537 0.67

1,504 1.87

Pharmaceuticals 2.38% (2.72%)Horizon Pharma plc 61,587 484 0.60Nektar Therapeutics 37,677 558 0.69Revance Therapeutics, Inc. 26,887 458 0.57TherapeuticsMD, Inc. 138,887 415 0.52

1,915 2.38


Industrials 18.50% (16.99%)Aerospace & Defense 2.06% (2.20%)HEICO Corp. 20,013 1,152 1.43Hexcel Corp. 12,839 503 0.63

1,655 2.06

Air Freight & Logistics 0.66% (0.72%)XPO Logistics, Inc. 12,936 532 0.66

532 0.66

Building Products 6.27% (5.26%)Advanced Drainage Systems, Inc. 50,124 773 0.96Fortune Brands Home & Security, Inc. 13,041 639 0.79JELD-WEN Holding, Inc. 20,893 507 0.63Lennox International, Inc. 7,053 964 1.20Masonite International Corp. 21,144 1,209 1.50Trex Co., Inc. 19,440 957 1.19

5,049 6.27

Commercial Services & Supplies 0.90% (0.73%)Advanced Disposal Services, Inc. 40,522 721 0.90

721 0.90




Total netassets %

75

Electrical Equipment 0.00% (0.36%)Industrial Conglomerates 0.60% (0.72%)Carlisle Cos., Inc. 6,077 482 0.60

482 0.60

Machinery 4.82% (4.19%)Graco, Inc. 12,342 1,052 1.31John Bean Technologies Corp. 20,665 1,362 1.69Middleby Corp. (The) 7,366 729 0.90Oshkosh Corp. 14,725 741 0.92

3,884 4.82

Marine 0.54% (0.00%)Kirby Corp. 8,539 439 0.54

439 0.54

Road & Rail 1.01% (1.04%)Old Dominion Freight Line, Inc. 11,670 814 1.01

814 1.01

Trading Companies & Distributors 1.64% (1.77%)H&E Equipment Services, Inc. 30,677 479 0.60Rush Enterprises, Inc. ‘A’ 29,890 839 1.04

1,318 1.64

Industrials total 14,894 18.50

Information Technology 29.47% (27.06%)Communications Equipment 1.34% (0.96%)Ciena Corp. 23,166 426 0.53Quantenna Communications, Inc. 43,866 653 0.81

1,079 1.34

Electronic Equipment, Instruments & Components 1.45% (1.30%)Littelfuse, Inc. 9,193 1,164 1.45

1,164 1.45

Internet Software & Services 9.61% (9.19%)2U, Inc. 17,871 591 0.73Cloudera, Inc. 34,860 584 0.73Cornerstone OnDemand, Inc. 2,104 60 0.08CoStar Group, Inc. 2,901 587 0.73Envestnet, Inc. 31,813 876 1.09GoDaddy, Inc. ‘A’ 30,194 980 1.22GrubHub, Inc. 24,740 838 1.04Instructure, Inc. 24,152 500 0.62MuleSoft, Inc. ‘A’ 17,881 371 0.46Nutanix, Inc. ‘A’ 30,949 437 0.54Okta, Inc. 18,320 371 0.46Shopify, Inc. ‘A’ 8,932 630 0.78Trade Desk, Inc. (The) ‘A’ 21,915 912 1.13

7,737 9.61

Semiconductors & Semiconductor Equipment 6.56% (6.35%)Advanced Micro Devices, Inc. 64,508 558 0.69Cavium, Inc. 24,095 1,390 1.73Inphi Corp. 23,883 758 0.94MACOM Technology Solutions Holdings, Inc. 18,716 889 1.10MKS Instruments, Inc. 12,939 818 1.02Monolithic Power Systems, Inc. 11,388 868 1.08

5,281 6.56

Software 10.51% (8.90%)Appian Corp. 20,070 279 0.35Atlassian Corp. plc ‘A’ 22,711 630 0.78Guidewire Software, Inc. 18,375 952 1.18HubSpot, Inc. 11,850 656 0.81Imperva, Inc. 11,732 453 0.56Paycom Software, Inc. 17,918 922 1.14Proofpoint, Inc. 10,806 729 0.91RingCentral, Inc. ‘A’ 41,680 1,109 1.38Take-Two Interactive Software, Inc. 20,542 1,217 1.51Tyler Technologies, Inc. 5,606 746 0.93Zendesk, Inc. 37,436 770 0.96

8,463 10.51

Technology Hardware, Storage & Peripherals 0.00% (0.36%)Information Technology total 23,724 29.47

Materials 3.55% (2.25%)Chemicals 0.92% (0.00%)Ferro Corp. 56,830 745 0.92

745 0.92

Construction Materials 2.63% (2.25%)Eagle Materials, Inc. 12,926 967 1.20Summit Materials, Inc. ‘A’ 54,447 1,147 1.43

2,114 2.63


Real Estate 2.03% (2.42%)Equity Real Estate Investment Trusts (REITs) 1.07% (1.12%)CubeSmart 19,411 377 0.47Highwoods Properties, Inc. 12,319 484 0.60

861 1.07

Real Estate Management & Development 0.96% (1.30%)RE/MAX Holdings, Inc. ‘A’ 18,421 774 0.96

774 0.96




Net assets 80,492 100.00

The comparative percentage figures in brackets are as at 30 November 2016.




Total netassets %


76


£’000



Ferro Corp. 731H&E Equipment Services, Inc. 645Advanced Micro Devices, Inc. 638Bank of the Ozarks, Inc. 625Bright Horizons Family Solutions, Inc. 567Teladoc, Inc. 536Kirby Corp. 511elf Beauty, Inc. 498Cloudera, Inc. 484JELD-WEN Holding, Inc. 482Jagged Peak Energy, Inc. 468Quantenna Communications, Inc. 453Oshkosh Corp. 431Advanced Drainage Systems, Inc. 409MuleSoft, Inc. ‘A’ 378Tyler Technologies, Inc. 372John Bean Technologies Corp. 368Summit Materials, Inc. ‘A’ 350Okta, Inc. 347Paycom Software, Inc. 326

£’000



Surgical Care Affiliates, Inc. 1,049Shopify, Inc. ‘A’ 879Take-Two Interactive Software, Inc. 723Watsco, Inc. 712Cornerstone OnDemand, Inc. 658Wayfair, Inc. ‘A’ 618Benefitfocus, Inc. 547Burlington Stores, Inc. 511Ollie’s Bargain Outlet Holdings, Inc. 508Monro Muffler Brake, Inc. 490Nimble Storage, Inc. 470GrubHub, Inc. 4562U, Inc. 453MKS Instruments, Inc. 447Kate Spade & Co. 434Veeva Systems, Inc. ‘A’ 430Monolithic Power Systems, Inc. 419Evercore Partners, Inc. ‘A’ 405Sage Therapeutics, Inc. 404Atlassian Corp. plc ‘A’ 396

77




£’000 £’000 £’000 £’000

Income


Revenue 176 167


Net expense before taxation (302) (209)

Taxation (25) (48)

Net expense after taxation (327) (257)

Total return before distributions 7,184 (5,385)

Distributions 14 24

Change in net assets attributable to shareholders from investment activities 7,198 (5,361)



£’000 £’000 £’000 £’000




(3,542) (8,338)

Dilution adjustment 24 8

Change in net assets attributable to shareholders from investment activities (see above) 7,198 (5,361)





£’000 £’000

Assets:


Current assets:

Debtors 136 524

Cash and bank balances 2,311 2,210


Liabilities:

Creditors:




78

Accounting policies

The interim financial statements of each of the Funds have been prepared in accordance with the Statement of Recommended Practice (SORP) for Authorised Funds issued by The Investment Association in May 2014.

Accounting policies applied are consistent with those of the annual financial statements for the period ending 30 November 2016 and are described in those financial statements.

This report has been prepared in accordance with the Financial Conduct Authority’s Collective Investment Schemes Sourcebook and was approved by the Authorised Corporate Director on 14 July 2017.

The ACD has decided that the JPM Global Allocation Fund and JPM Income Fund will cease to trade during the next financial period. The ACD will bear any costs of the wind up.

Accordingly, the financial statements have been prepared on a basis other than going concern for these funds. No adjustments were required in these financial statements to reduce assets to their realisable values and to reclassify fixed assets and long-term liabilities as current assets and liabilities or to provide for liabilities arising from the decision. The ACD will bear the costs relating to any such liabilities arising.

The comparative financial statements continue to be prepared on a going concern basis. The principal accounting policies, which have been applied consistently throughout the year, are set out below.

Dan WatkinsDirectorFor and on behalf of JPMorgan Funds Limited14 July 2017

Ruston SmithDirectorFor and on behalf of JPMorgan Funds Limited14 July 2017

79

Who to contact

Intermediaries

0800 727 770

If you are an investor with us please call

0800 20 40 20

Lines are open 9.00am to 5.30pm Monday to Friday.Telephone lines are recorded to ensure compliance with our legal and regulatory obligations and internal policies.

www.jpmorganassetmanagement.co.uk

Issued by JPMorgan Funds Limited which is authorised and regulated by the Financial Conduct Authority.Registered in Scotland No: SC019438. Registered address: 3 Lochside View, Edinburgh Park, Edinburgh EH12 9DH.

GB 07/17

Documents

Interim Report & Accounts (Unaudited) JPMorgan Fund II ICVC · The opinions and views expressed in this document are those held by J.P. Morgan Asset Management as at ... CEO of Tesco