JPMorgan Funds statistics report: High Yield Fund

Transcription

1 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE JPMorgan s statistics report: High Yield Must be preceded or accompanied by a prospectus. jpmorganfunds.com

2 Table of contents PERFORMANCE DURATION Performance at NAV 3 Effective duration (%) 13 Calendar year returns EXPENSES 3 ATTRIBUTION Contribution to performance (monthly) (%) 14 Annual operating expenses 4 Top/bottom 2 contributors (monthly) (%) 14 CHARACTERISTICS statistics RATINGS AND RANKINGS Lipper rankings Morningstar ratings HOLDINGS Top 10 Issuers Top holdings w/sector (%) Contribution to performance (quarterly) (%) Top/bottom 2 contributors (quarterly) (%) Contribution to performance (annual) (%) Top/bottom 2 contributors (annual) (%) COUNTRY EXPOSURE Country breakdown (%) DISCLOSURE Disclosures SECTORS Industry breakdown excash (% market value) 8 Sector allocation (%) 9 Industry breakdown excash (% market value) 9 Dollar default rate (%) 10 QUALITY BREAKDOWN Quality breakdown bank loans (%) 11 AVERAGE LIFE Weighted average life (%) 12 2 STATISTICS REPORT: HIGH YIELD FUND

3 Performance Share class inception date share class # A Shares 11/13/ with max 3.75% sales charge C Shares 3/22/ with max 1.00% CDSC Barclays U.S. Corporate High Yield 2% Issuer Capped Index 1 month (%) months (%) YTD (%) AVERAGE ANNUAL TOTAL RETURNS (as of 9/30/2015) Select Shares 11/13/ R2 Shares 11/3/ R5 Shares 5/15/ R6 Shares 2/22/ day unsubsidized SEC yield The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Current performance may be higher or lower than the performance data shown. For performance current to the most recent monthend, please call yr (%) 3 yrs (%) 5 yrs (%) 10 yrs (%) 30day SEC yield Dividend yield Calendar year returns A Shares 11/13/ C Shares 3/22/ Select Shares 11/13/ R2 Shares 11/3/ R5 Shares 5/15/ R6 Shares 2/22/ Barclays U.S. Corporate High Yield 2% Issuer Capped Index STATISTICS REPORT: HIGH YIELD FUND

4 Expenses Annual Operating Expenses Expense cap expiration date Expense cap (%) Total annual operating expense (%) Fee waivers and/or expense reimbursements (%) Net expense (%) A Shares 6/30/ (0.36) 1.01 C Shares 6/30/ (0.29) 1.56 S Shares 6/30/ (0.29) 0.81 R2 Shares 6/30/ (0.49) 1.31 R5 Shares 6/30/ (0.15) 0.76 R6 Shares 6/30/ (0.06) STATISTICS REPORT: HIGH YIELD FUND

5 Characteristics statistics Effective Duration Options Adjusted Spread** Convexity Number of Issuers Average Price Bonds Average Price Loans Average Price Excl. Equities, Pfds, & Escrows Yield to Worst** Current Yield Average Coupon Average Life Turnover (1yr trailing) **excludes bank loans STATISTICS REPORT: HIGH YIELD FUND

6 Ratings and rankings Lipper rankings Category: High Yield s A C S R2 R5 R6 1 Year 48(310/653) 58(377/653) 44(283/653) 53(346/653) 46(297/653) 45(290/653) 3 Years 43(225/524) 63(330/524) 33(172/524) 54(283/524) 32(167/524) 30(157/524) 5 Years 48(212/441) 71(311/441) 39(171/441) 62(274/441) 37(162/441) 35(154/441) 10 Years 24(68/289) 53(151/289) 15(42/289) 12(34/289) The ranking information is provided by Lipper Analytical Services. Past performance is no guarantee of future results. Rankings are calculated based upon the total returns of multiple share classes within their respective Lipper category. Different share classes may have different rankings. Morningstar ratings Category: High Yield Bond A C S R2 R5 R6 Overall /627 /627 /627 /627 /627 /627 3Year /627 /627 /627 /627 /627 /627 5Year /534 /534 /534 /534 /534 /534 10Year /362 /362 /362 Not yet rated Not yet rated /362 The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three, five, and 10year (if applicable) Morningstar Rating metrics. Different share classes may have different ratings. 6 STATISTICS REPORT: HIGH YIELD FUND

7 Holdings Top 10 Issuers Top holdings w/sector (%) Issuer Sprint Nextel Corp Valeant Pharmaceuticals Aercap Ireland Capital LTD HCAThe Healthcare Company Royal Bank Of Scotland Group Plc TMobile USA Inc. Tenet Healthcare Corporation First Data Corp. Univision Cemex Finance LLC Holdings Royal Bank of Scotland Group plc, 6.1%, 6/10/2023 DISH DBS Corp., 6.75%, 6/1/2021 ArcelorMittal, 7%, 2/25/2022 Embarq Corp., 7.995%, 6/1/2036 iheartcommunications, Inc., Term Loan D, 0%, 1/30/2019 NumericableSFR SAS, 6%, 5/15/2022 Sprint Communications, Inc., 9%, 11/15/2018 Valeant Pharmaceuticals International, Inc., 5.875%, 5/15/2023 CIT Group, Inc., 5.25%, 3/15/2018 Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 Sector Financials Consumer Discretionary Materials Telecommunication Services Consumer Discretionary Consumer Discretionary Telecommunication Services Health Care Financials Consumer Discretionary % STATISTICS REPORT: HIGH YIELD FUND

8 Sectors Industry breakdown excash (% market value)* Industry Breakdown MV% Excludes Cash Chemicals Metals Paper Aerospace/Defense Building Materials Construction Machinery Diversified Manufacturing Environmental Packaging Cable Satellite Media Entertainment Wireless Wirelines Automotive Gaming Home Construction Leisure Lodging Restaurants Retailers Services Consumer Products Food/Beverage Healthcare Pharmaceuticals * Due to rounding, values may not total 100% Benchmark Industry Breakdown MV% Excludes Cash Supermarkets Tobacco Independent Midstream Oil Field Services Refining Banking Brokerage/Asset Mgr/Exchanges Finance Companies Financial Other Insurance Health Insurance Life Insurance P&C REITS Healthcare REITS Office REITS Other REITS Retail Industrial Other Technology Airlines Railroads Transportation Services Electric Other Utility Total # of Industries Benchmark STATISTICS REPORT: HIGH YIELD FUND

9 Sectors Sector allocation (%)* Industry breakdown excash (% market value)* US Invst Grade Corporate Bonds US High Yield Corporate Bonds Bank Loans Non US Invst Grade Corporate Bonds Non US High Yield Corporate Bonds Preferred Stock Equity Cash Total * Due to rounding, values may not total 100% Basic Capital Goods Communication Consumer Cyc. Consumer Noncyc. Energy Finance Industrial Other Technology Transportation Utility * Due to rounding, values may not total 100% Benchmark STATISTICS REPORT: HIGH YIELD FUND

10 Sectors Dollar default rate (%)* Year JPMHY Issuer Default Rate Since Inception (annualized) *Through September 30, 2015 Moody's Issuer Default Rate Year Since Inception (annualized) JPMHY Dollar Default Rate Moody's Dollar Default Rate STATISTICS REPORT: HIGH YIELD FUND

11 Quality breakdown Quality breakdown bank loans (%)* A & Higher Baa Ba B Caa & Lower NR * Due to rounding, values may not total 100% STATISTICS REPORT: HIGH YIELD FUND

12 Average life Weighted average life (%)* Less than one year Years Years Years 10 and over * Due to rounding, values may not total 100% STATISTICS REPORT: HIGH YIELD FUND

13 Duration Effective duration (%)* 0 to 1 Years 1 to 3 Years 3 to 5 Years 5 to 7 Years 7 to 10 Years 10 to 15 Years 15+ Years Totals * Due to rounding, values may not total 100% STATISTICS REPORT: HIGH YIELD FUND

14 Attribution Contribution to performance (monthly) (%) High Yield Bonds Bank Loans Equity Cash Total Average Weighting Return Benchmark Average Weighting Benchmark Return Total Effect 1 16 bps 3 bps 2 bps +7 bps 14 bps Top/bottom 2 contributors (monthly) (%) Market Value Market Value Asset Security Return Return Weighting 3 Weighting 3 Allocation Selection Total Effect 2 Top 2 Contributors Benchmark Benchmark Energy bps +18 bps +19 bps Industrial Other bps +2 bps +2 bps Bottom 2 Contributors Benchmark Benchmark Utility bps 14 bps 14 bps Communication bps 11 bps 11 bps 1 Total Effect of high yield bonds, bank loans, equity, and cash compares average fund weighting * return vs. an equal weighting * benchmark return. Mathematical error increases for time periods longer than a month. 2 Total Effect sums Asset Allocation and Security Selection, calculation methodology available upon request. 3 Market Value Weighting is average capital for the and beginning month market value for the benchmark. 14 STATISTICS REPORT: HIGH YIELD FUND

15 Attribution Contribution to performance (quarterly) (%) High Yield Bonds Bank Loans Equity Cash Total Average Weighting Return Benchmark Average Weighting Benchmark Return Total Effect bps 18 bps 10 bps +11 bps +3 bps Top/bottom 2 contributors (quarterly) (%) Market Value Market Value Asset Security Return Return Weighting 3 Weighting 3 Allocation Selection Total Effect 2 Top 2 Contributors Benchmark Benchmark Energy bps +58 bps +64 bps Basic Materials bps +13 bps +17 bps Bottom 2 Contributors Benchmark Benchmark Utility bps 35 bps 34 bps Communication bps 30 bps 30 bps 1 Total Effect of high yield bonds, bank loans, equity, and cash compares average fund weighting * return vs. an equal weighting * benchmark return. Mathematical error increases for time periods longer than a month. 2 Total Effect sums Asset Allocation and Security Selection, calculation methodology available upon request. 3 Market Value Weighting is average capital for the and beginning month market value for the benchmark. 15 STATISTICS REPORT: HIGH YIELD FUND

16 Attribution Contribution to performance (annual) (%) High Yield Bonds Bank Loans Equity Cash Total Average Weighting Return Benchmark Average Weighting Benchmark Return Total Effect bps 35 bps 7 bps +8 bps +80 bps Top/bottom 2 contributors (annual) (%) Market Value Market Value Asset Security Return Return Weighting 3 Weighting 3 Allocation Selection Total Effect 2 Top 2 Contributors Benchmark Benchmark Energy bps +108 bps +107 bps Basic Materials bps +50 bps +55 bps Bottom 2 Contributors Benchmark Benchmark Utility bps 59 bps 58 bps Consumer Cyclical bps 6 bps 22 bps 1 Total Effect of high yield bonds, bank loans, equity, and cash compares average fund weighting * return vs. an equal weighting * benchmark return. Mathematical error increases for time periods longer than a month. 2 Total Effect sums Asset Allocation and Security Selection, calculation methodology available upon request. 3 Market Value Weighting is average capital for the and beginning month market value for the benchmark. 16 STATISTICS REPORT: HIGH YIELD FUND

17 Country exposure Country breakdown (%)* AUSTRALIA AUSTRIA BAHAMAS BERMUDA BRITISH VIRGIN ISLANDS CANADA CAYMAN ISLANDS FINLAND FRANCE GERMANY IRELAND JAPAN LUXEMBOURG MARSHALL ISLANDS MEXICO NETHERLANDS NIGERIA SPAIN UNITED KINGDOM UNITED STATES * Due to rounding, values may not total 100% STATISTICS REPORT: HIGH YIELD FUND

18 RISKS ASSOCIATED WITH INVESTING IN THE FUND: The 's fixed income securities are subject to interest rate risk. If rates increase, the value of the s investments generally declines. The may invest in securities that are below investment grade (i.e., high yield or junk bonds ) that are generally rated in the fifth or lower rating categories of Standard & Poor's and Moody's Investors Service. Although these securities tend to provide higher yields than higherrated securities, there is a greater risk that the 's share price will decline. The has the ability to invest 100% of its total assets in high yield securities. The may invest in derivatives that may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions and could result in losses that significantly exceed the s original investment. Many derivatives create leverage that can cause the to be more volatile than it would be if it had not used derivatives. The 's investment in equity securities may rise or fall because of changes in the broad market or changes in a company's financial condition, sometimes rapidly or unpredictably. When the value of a fund's securities goes down, an investment in a fund decreases in value. RETURNS: 1 The quoted performance of the includes performance of a predecessor fund/share class prior to the 's commencement of operations. Please refer to the current prospectus for further information. MERGER INFORMATION: On 61915, the B share class merged with and into the A share class. PORTFOLIO STATISTICS: Average Life: The length of time the principal of a debt issue is expected to be outstanding. Duration: Measures price sensitivity of fixed income securities to interest rate changes. QUALITY DISTRIBUTION: The manager receives credit quality ratings on underlying securities of the portfolio from the three major ratings agencies S&P, Moody's and Fitch. When calculating the credit quality breakdown, the manager selects the middle rating of the agencies when all three agencies rate a security. The manager will use the lower of the two ratings if only two agencies rate a security and will use one rating if that is all that is provided. Securities that are not rated by all three agencies are reflected as such. HOLDINGS: The top 10 holdings listed reflect only the 's longterm investments. Shortterm investments are excluded. Holdings are subject to change. The holdings listed should not be considered recommendations to purchase or sell a particular security. Each individual security is calculated as a percentage of the aggregate market value of the securities held in the and does not include the use of derivative positions, where applicable. MORNINGSTAR AND LIPPER: 2015, Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its providers; (2) may not be copied or distributed; (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damage or losses arising from any use of this information. For each fund with a threeyear history, Morningstar calculates a Morningstar Rating metric each month by subtracting the return on a 90day U.S. Treasury Bill from the fund's loadadjusted return for the same period, and then adjusting this excess return for risk. The top 10% of funds in each broad asset class receive 5 stars, the next 22.5% receive 4 stars, the next 35% receive 3 stars, the next 22.5% receive 2 stars and the bottom 10% receive 1 star. The Overall Morningstar Rating for a fund is derived from a weighted average of the performance figures associated with its three, five and tenyear (if applicable) Morningstar Rating metrics. Past performance is no guarantee of future results. Different share classes may have different ratings. The ranking information is provided by Lipper Analytical Services. Past performance is no guarantee of future results. Rankings are calculated based upon the total returns of multiple share classes within their respective Lipper category. Different share classes may have different rankings. INDEXES DEFINED: The Barclays U.S. Corporate High Yield 2% Issuer Capped Index is an unmanaged index comprised of fixed rate, noninvestment grade debt securities that are dollar denominated and nonconvertible. The index limits the maximum exposure to any one issuer to 2%. The performance of the index does not reflect the deduction of expenses associated with a fund, such as investment management fees. By contrast, the performance of the reflects the deduction of the fund expenses, including sales charges if applicable. An individual cannot invest directly in an index. 18 STATISTICS REPORT: HIGH YIELD FUND

19 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE Contact JPMorgan Distribution Services, Inc. at for a fund prospectus. You can also visit us at Investors should carefully consider the investment objectives and risks as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing. Total return assumes reinvestment of dividends and capital gains distributions and reflects the deduction of any sales charges, where applicable. Performance may reflect the waiver of a portion of the 's advisory or administrative fees and/or reimbursement of certain expenses for certain periods since the inception date. If fees had not been waived and/or certain expenses were not reimbursed, performance would have been less favorable. J.P. Morgan s are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds. JPMorgan Distribution Services, Inc. is a member of FINRA/SIPC. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, JPMorgan Chase Bank, N.A., J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc. JPMorgan Chase & Co., October 2015 MFDPHY10915 jpmorganfunds.com