Annual Report

J.P. Morgan Exchange-Traded Funds

October 31, 2021

 

     Ticker    Listing Exchange

JPMorgan ActiveBuilders Emerging Markets Equity ETF (formerly     known as JPMorgan Emerging Markets Equity Core ETF)

  

JEMA

   Cboe BZX Exchange, Inc.

JPMorgan ActiveBuilders International Equity ETF

  

JIDA

  

NYSE Arca, Inc.

JPMorgan BetaBuilders Canada ETF

  

BBCA

   Cboe BZX Exchange, Inc.

JPMorgan BetaBuilders Developed Asia ex-Japan ETF

  

BBAX

   Cboe BZX Exchange, Inc.

JPMorgan BetaBuilders Europe ETF

  

BBEU

   Cboe BZX Exchange, Inc.

JPMorgan BetaBuilders International Equity ETF

  

BBIN

   Cboe BZX Exchange, Inc.

JPMorgan BetaBuilders Japan ETF

  

BBJP

   Cboe BZX Exchange, Inc.

JPMorgan BetaBuilders U.S. Equity ETF

  

BBUS

   Cboe BZX Exchange, Inc.

JPMorgan BetaBuilders U.S. Mid Cap Equity ETF

  

BBMC

   NYSE Arca

JPMorgan BetaBuilders U.S. Small Cap Equity ETF

  

BBSC

   NYSE Arca

JPMorgan Carbon Transition U.S. Equity ETF

  

JCTR

   NYSE Arca

JPMorgan Diversified Return Emerging Markets Equity ETF

  

JPEM

   NYSE Arca

JPMorgan Diversified Return International Equity ETF

  

JPIN

   NYSE Arca

JPMorgan Diversified Return U.S. Equity ETF

  

JPUS

   NYSE Arca

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

  

JPME

   NYSE Arca

JPMorgan Diversified Return U.S. Small Cap Equity ETF

  

JPSE

   NYSE Arca

JPMorgan International Growth ETF

  

JIG

   NYSE Arca

JPMorgan U.S. Dividend ETF

  

JDIV

   NYSE Arca

JPMorgan U.S. Minimum Volatility ETF

  

JMIN

   NYSE Arca

JPMorgan U.S. Momentum Factor ETF

  

JMOM

  

NYSE Arca

JPMorgan U.S. Quality Factor ETF

  

JQUA

   NYSE Arca

JPMorgan U.S. Value Factor ETF

   JVAL    NYSE Arca

 

     LOGO  


CONTENTS

 

President’s Letter        1  
Market Overview        2  

Fund Commentaries:

    

JPMorgan ActiveBuilders Emerging Markets Equity ETF (formerly known as JPMorgan Emerging Markets Equity Core ETF)

       3  

JPMorgan ActiveBuilders International Equity ETF

       6  

JPMorgan BetaBuilders Canada ETF

       9  

JPMorgan BetaBuilders Developed Asia ex-Japan ETF

       11  

JPMorgan BetaBuilders Europe ETF

       13  

JPMorgan BetaBuilders International Equity ETF

       15  

JPMorgan BetaBuilders Japan ETF

       17  

JPMorgan BetaBuilders U.S. Equity ETF

       19  

JPMorgan BetaBuilders U.S. Mid Cap Equity ETF

       21  

JPMorgan BetaBuilders U.S. Small Cap Equity ETF

       23  

JPMorgan Carbon Transition U.S. Equity ETF

       25  

JPMorgan Diversified Return Emerging Markets Equity ETF

       27  

JPMorgan Diversified Return International Equity ETF

       30  

JPMorgan Diversified Return U.S. Equity ETF

       33  

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

       36  

JPMorgan Diversified Return U.S. Small Cap Equity ETF

       39  

JPMorgan International Growth ETF

       42  

JPMorgan U.S. Dividend ETF

       45  

JPMorgan U.S. Minimum Volatility ETF

       47  

JPMorgan U.S. Momentum Factor ETF

       49  

JPMorgan U.S. Quality Factor ETF

       51  

JPMorgan U.S. Value Factor ETF

       53  
Schedules of Portfolio Investments        55  
Financial Statements        205  
Financial Highlights        228  
Notes to Financial Statements        234  
Report of Independent Registered Public Accounting Firm        270  
Trustees        272  
Officers        273  
Schedule of Shareholder Expenses        274  
Tax Letter        276  
Board Approval of Initial Management Agreement        277  
Special Shareholder Meeting Results        279  

 

Investments in a Fund are not bank deposits or obligations of, or guaranteed or endorsed by, any bank and are not insured or guaranteed by the FDIC, the Federal Reserve Board or any other government agency. You could lose money if you sell when the Fund’s share price is lower than when you invested.

Past performance is no guarantee of future performance. The general market views expressed in this report are opinions based on market and other conditions through the end of the reporting period and are subject to change without notice. These views are not intended to predict the future performance of a Fund or the securities markets.

Prospective investors should refer to the Funds’ prospectuses for a discussion of the Funds’ investment objectives, strategies and risks. Call J.P. Morgan Exchange-Traded Funds at (844) 457-6383 for a prospectus containing more complete information about a Fund, including management fees and other expenses. Please read it carefully before investing.

Shares are bought and sold throughout the day on an exchange at market price (not at net asset value) through a brokerage account, and are not individually subscribed and redeemed from a Fund. Shares may only be subscribed and redeemed directly from a Fund by Authorized Participants, in very large creation/redemption units. Brokerage commissions will reduce returns.


PRESIDENT’S LETTER

December 14, 2021 (Unaudited)

 

Dear Shareholder,

Equity markets generated strong returns as the global economy’s rebound from 2020 gained momentum on the back of mass vaccinations, continued support from leading central banks and a rising tide of consumer demand throughout the twelve months ended October 31, 2021. While supply chain bottlenecks, rising inflationary pressures and the emergence and spread of COVID-19 variants fed intermittent volatility in financials markets — particularly in the second half of the reporting period — the overall trajectory of the global economy remained positive.

 

LOGO   

 

“As 2022 approaches, the global economy appears poised to continue growing as the private sector rebuilds inventories and economic data show signs of building momentum.”

– Brian S. Shlissel

During the twelve-month period, J.P. Morgan Exchange Traded Funds extended its array of investment solutions with the launch of the our ActiveBuilders suite of ETFs, including JPMorgan ActiveBuilders International Equity ETF (JIDA) and JPMorgan ActiveBuilders Emerging Markets Equity ETF (JEMA). Each ActiveBuilders ETF employs the expertise of the JPM Global Equities platform’s qualitative and quantitative insights. The ActiveBuilders core equity ETFs seek to improve investor returns and better manage risk across the U.S., international developed and emerging markets within a transparent ETF structure. Meanwhile, total net assets under management for all JPMorgan ETFs reached $68 billion at October 31, 2021.1

1 

JPMorgan Asset Management, December 8, 2021.

As 2022 approaches, the global economy appears poised to continue growing as the private sector rebuilds inventories and economic data show signs of building momentum. However, uneven vaccination rates and the emergence of the omicron variant of COVID-19 are providing a headwind for global growth, while supply chain shortages and inflation may hasten the transition of leading central banks away from accommodative monetary policies.

Regardless of the economic environment, our diversified platform of innovative investment solutions is designed to equip investors with the tools to build durable portfolios that can serve to meet their financial goals.

Sincerely,

 

LOGO

Brian S. Shlissel

President, J.P. Morgan Exchange-Traded Funds

J.P Morgan Asset Management

1-844-4JPM-ETF or jpmorgan.com/etfs for more information

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         1


J.P. Morgan Exchange-Traded Funds

MARKET OVERVIEW

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

Globally, equity markets outperformed fixed income markets by a wide margin amid a global economic rebound from the initial economic shock of the pandemic. While the development and distribution of multiple vaccines unleashed a sharp increase in economic activity in the first half of the period, uneven success against the pandemic, supply chain constraints and inflationary pressure weighed on growth in the latter part of the period. Overall, U.S. equity outperformed both developed market and emerging market equities.

For the twelve months ended October 31, 2021, the S&P 500 returned 42.91%; the MSCI EAFE Index returned 34.18% and the MSCI Emerging Markets Index returned 16.96%. Within fixed income, the Bloomberg U.S. Aggregate Index returned -0.48%, the Bloomberg U.S. High Yield Index returned 10.53% and the Bloomberg Emerging Markets Index returned 3.01% for the period.

At the start of the period, global equity prices began to rebound amid development of the first vaccines against COVID-19 and its leading variants. The rally in equity prices was largely led by investor demand for U.S. large cap stocks, particularly in the technology sector. Notably, emerging markets equity surged ahead of developed markets in December as China, Taiwan and other emerging market nations appeared to have greater success in containing the pandemic.

While the global rally in equity markets appeared to take a pause in January 2021, equity prices surged higher from February through June 2021. In the U.S., the successful if uneven distribution of vaccines combined with a $1.9 trillion U.S. fiscal relief and recovery package — and the prospect of additional federal government spending — helped push leading equity indexes higher in the first half of 2021. Corporate earnings and cash flows reached record highs in the first quarter of

2021. Robust growth in consumer spending, business investments and manufacturing data added further fuel to the rally in U.S. equity markets.

In May, historically high valuations for U.S. equity fueled investor demand for higher returns elsewhere in both developed and emerging markets. However, the uneven distribution of vaccines, continued spread of COVID-19 and its variants, and disparities in the re-openings of national economies weighed on equity markets in June.

In the following months global economic growth was increasingly hindered by uneven progress against the pandemic, supply chain bottlenecks and rising prices for both commodities and finished goods. Energy prices rose sharply amid a rebound in demand, which helped petroleum exporting nations but weighed on the economies of net importers. Extended inflationary pressures led to modest divergence in central bank policies at the end of the period. Leading central banks maintained their ultra-low interest rate policies, while monetary authorities in select nations, including Brazil, Norway and New Zealand, raised rates to head off rising prices.

Global equity prices largely continued their upward trajectory in the final months of the period, with the exception of a modest retreat in September 2021. While developed markets equity and emerging markets equity generally provided positive returns, equity markets slumped in select nations facing political unrest and/or rapidly rising inflationary pressures. Notably, equity prices in China were weighed down by real estate company China Evergrande’s struggles to meet debt payments as investors worried about the potential impact on financial markets. Additionally, shares of large information technology companies in China were hurt by investor uncertainty over increased domestic regulatory scrutiny.

 

 
2         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan ActiveBuilders Emerging Markets Equity ETF

(formerly known as JPMorgan Emerging Markets Equity Core ETF)1

FUND COMMENTARY

FOR THE PERIOD MARCH 10, 2021 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      (0.17)%  
Market Price**      0.35%  
MSCI Emerging Markets Index      (3.00)%  
Net Assets as of 10/31/2021    $ 325,863,960  
Fund Ticker      JEMA  

 

INVESTMENT OBJECTIVE***

The JPMorgan ActiveBuilders Emerging Markets Equity ETF (the “Fund”) seeks to provide long term capital appreciation.

INVESTMENT APPROACH

The Fund invests primarily in equity securities and equity-related instruments that are economically tied to emerging markets and seeks to outperform the MSCI Emerging Markets Index (the “Index”) over time while maintaining similar risk characteristics. The Fund allocates investments to the adviser’s actively managed emerging market equity strategies across countries, regions and styles and may invest across all market capitalizations.

HOW DID THE FUND PERFORM?

For the period from inception on March 10, 2021 to October 31, 2021, the Fund had a negative absolute return and outperformed the Index.

Relative to the Index, the Fund’s security selections in the information technology and consumer discretionary sectors were leading contributors to performance, while the Fund’s underweight positions in the energy and utilities sectors were leading detractors from relative performance.

By country, the Fund’s security selections in China and Taiwan were leading contributors to performance relative to the Index. The Fund’s underweight position in Saudi Arabia and its overweight position in Hong Kong were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Chailease Holding Co., its out-of-Index position in EPAM Systems Inc. and its

underweight position in Alibaba Group Holding Ltd. Shares of Chailease Holding, a Taiwan provider of financing and leasing, rose amid stable loan growth and improving asset quality during the period. Shares of EPAM Systems, a global provider of software development and digital platform services that largely operates from Belarus, rose amid several consecutive quarters of better-than-expected earnings during the period. Shares of Alibaba Group Holding, a Chinese electronic commerce conglomerate, fell amid tighter regulatory scrutiny of large technology companies in China as well as broader investor concerns about China Evergrande Group’s struggles to meet debt payments.

Leading individual detractors from relative performance included the Fund’s underweight positions in Infosys Ltd., Tata Consultancy Services Ltd. and BYD Co. Shares of Infosys, an Indian technology services and consulting company, rose after the company reported better-than-expected results for the first and second quarters of 2021. Shares of Tata Consultancy, an Indian technology services and consulting company, rose after the company reported strong earnings growth in the first and second quarters of 2021. Shares of BYD, a Chinese manufacturer of rechargeable batteries that was not held in the Fund, rose amid rising demand from electric vehicle manufacturers.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s largest overweight allocations relative to the Benchmark were to the financials and consumer staples sectors and its largest underweight allocations were to the materials and energy sectors. By country, the Fund’s largest overweight allocations were to Hong Kong, Russia and Taiwan and its largest underweight positions were in China and South Korea.

 

1 

Renamed, effective July 8, 2021.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         3


JPMorgan ActiveBuilders Emerging Markets Equity ETF

(formerly known as JPMorgan Emerging Markets Equity Core ETF)

FUND COMMENTARY

FOR THE PERIOD MARCH 10, 2021 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan)      5.3
  2.      Tencent Holdings Ltd. (China)      3.7  
  3.      Alibaba Group Holding Ltd. (China)      3.1  
  4.      Samsung Electronics Co. Ltd. (South Korea)      3.0  
  5.      Infosys Ltd. (India)      1.6  
  6.      Meituan (China)      1.5  
  7.      China Merchants Bank Co. Ltd., Class H (China)      1.5  
  8.      Housing Development Finance Corp. Ltd. (India)      1.5  
  9.      Sberbank of Russia PJSC, ADR (Russia)      1.4  
  10.      NetEase, Inc. (China)      1.1  

 

PORTFOLIO COMPOSITION BY COUNTRY

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
China      33.4
Taiwan      16.5  
South Korea      10.8  
India      10.8  
Russia      6.6  
Brazil      3.0  
Mexico      2.9  
South Africa      2.7  
Hong Kong      2.1  
Indonesia      1.6  
United States      1.4  
Saudi Arabia      1.4  
Thailand      1.2  
Others (each less than 1.0%)      4.1  
Short-Term Investments      1.5  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $47.92 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $48.17.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
4         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      CUMULATIVE SINCE
INCEPTION
 

JPMorgan ActiveBuilders Emerging Markets Equity ETF

     
Net Asset Value      March 10, 2021        (0.17)%  
Market Price         0.35%  

LIFE OF FUND PERFORMANCE (3/10/21 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on March 10, 2021.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan ActiveBuilders Emerging Markets Equity ETF and MSCI Emerging Markets Index from March 10, 2021 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI Emerging Markets Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if

applicable. MSCI Emerging Markets Index is a free float adjusted market capitalization-weighted index measuring emerging market equity performance. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some over- seas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         5


JPMorgan ActiveBuilders International Equity ETF

FUND COMMENTARY

FOR THE PERIOD JULY 7, 2021 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      2.15%  
Market Price**      2.52%  
MSCI EAFE Index      1.41%  
Net Assets as of 10/31/2021    $ 29,419,956  
Fund Ticker      JIDA  

 

INVESTMENT OBJECTIVE***

The JPMorgan ActiveBuilders International Markets Equity ETF (the “Fund”) seeks to provide long term capital appreciation.

INVESTMENT APPROACH

The Fund invests primarily in equity securities and equity-related instruments across market capitalizations of foreign companies and seeks to outperform the MSCI EAFE Index (the “Index”) over time while maintaining similar risk characteristics. The Fund allocates investments opportunistically in the adviser’s actively managed international equity strategies, including country, region and styles strategies.

HOW DID THE FUND PERFORM?

For the period from inception on July 7, 2021 to October 31, 2021, the Fund had a positive absolute return and outperformed the Index.

Relative to the Index, the Fund’s security selections in the health care and information technology sectors were leading contributors to performance, while the Fund’s security selections in the consumer discretionary and materials sectors were leading detractors from relative performance.

By country, the Fund’s security selections in Japan and France were leading contributors to performance relative to the Index. The Fund’s out-of-Index position in China and its security selection in Australia were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Novo Nordisk A/S, Sea Ltd. and Capgemini SE. Shares of Novo Nordisk, a Danish

pharmaceuticals company, rose after the company reported earnings growth for the first quarter of 2021 and raised its 2021 forecast for earnings and revenue. Shares of Sea, a Singapore internet and mobile platform provider, rose as the company continued to increase its market share during the period. Shares of Capgemini, a French provider of technology consulting and outsourcing services, rose amid growth in revenue and earnings during the period.

Leading individual detractors from relative performance included the Fund’s out-of-Index positions in Samsung Electronics Co. and Alibaba Group Holding Ltd., and its overweight position in BHP Group Ltd. Shares of Samsung Electronics, a South Korean consumer electronics manufacturer, fell amid a global shortage of semiconductors. Shares of Alibaba Group Holding, a Chinese electronic commerce conglomerate, fell amid tighter regulatory scrutiny of large technology companies in China as well as broader investor concerns about China Evergrande Group’s struggles to meet debt payments. Shares of BHP Group, an Australian mining and metals company, fell amid quarterly declines in production and news that the company was negotiating to sell its petroleum extraction business to Woodside Petroleum Ltd.

HOW WAS THE FUND POSITIONED?

At the end of the reporting period, the Fund’s largest overweight allocations relative to the Index were to the financials and industrials sectors and its largest underweight allocations were to the real estate and consumer staples sectors. By country, the Fund’s largest overweight allocations were to the Netherlands and Denmark and its largest underweight positions were in Australia and Japan.

 

 
6         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      ASML Holding NV (Netherlands)      2.8
  2.      Nestle SA (Registered) (Switzerland)      2.7  
  3.      Novo Nordisk A/S, Class B (Denmark)      2.1  
  4.      LVMH Moet Hennessy Louis Vuitton SE (France)      2.0  
  5.      Diageo plc (United Kingdom)      1.5  
  6.      Keyence Corp. (Japan)      1.4  
  7.      Sony Group Corp. (Japan)      1.4  
  8.      L’Oreal SA (France)      1.3  
  9.      Novartis AG (Registered) (Switzerland)      1.2  
  10.      Allianz SE (Registered) (Germany)      1.2  

 

PORTFOLIO COMPOSITION BY COUNTRY

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Japan      19.3
United Kingdom      12.1  
France      11.6  
Switzerland      9.3  
Germany      8.7  
Netherlands      6.4  
Australia      4.2  
Denmark      4.1  
Sweden      3.3  
United States      2.6  
Hong Kong      2.3  
Spain      2.1  
China      1.4  
Taiwan      1.2  
Italy      1.2  
South Korea      1.1  
Finland      1.1  
Singapore      1.1  
Others (each less than 1.0%)      5.0  
Short-Term Investments      1.9  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $49.03 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $49.21.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         7


JPMorgan ActiveBuilders International Equity ETF

FUND COMMENTARY

FOR THE PERIOD JULY 7, 2021 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited) (continued)

 

TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      CUMULATIVE SINCE
INCEPTION
 

JPMorgan ActiveBuilders International Equity ETF

     
Net Asset Value      July 7, 2021        2.15%  
Market Price         2.52%  

LIFE OF FUND PERFORMANCE (7/7/21 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on July 7, 2021.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan ActiveBuilders International Equity ETF and MSCI EAFE Index from July 7, 2021 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI EAFE Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. MSCI EAFE Index is

a free float-adjusted market capitalization weighted index measuring equity market performance of developed markets, excluding the U.S. and Canada. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some over- seas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
8         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders Canada ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      50.77%  
Market Price**      50.84%  
Morningstar® Canada Target Market Exposure IndexSM      50.37%  
Net Assets as of 10/31/2021    $ 6,071,268,619  
Fund Ticker      BBCA  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders Canada ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® Canada Target Market Exposure IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of stocks traded primarily on the Toronto Stock Exchange. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund performed in line with the Underlying Index, before considering the effects of differences in the timing of foreign exchange rate calculations, operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the financials and energy sectors were leading contributors to absolute performance, while their exposures to the real estate and health care sectors were the smallest contributors and no sector detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the financials and energy sectors and their smallest allocations were to the real estate and health care sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Shopify, Inc., Class A     
7.5

  2.      Royal Bank of Canada     
6.8
 
  3.      Toronto-Dominion Bank (The)     
6.1
 
  4.      Brookfield Asset Management, Inc., Class A     
4.0
 
  5.      Enbridge, Inc.     
3.9
 
  6.      Canadian National Railway Co.     
3.7
 
  7.      Bank of Nova Scotia (The)     
3.6
 
  8.      Bank of Montreal     
3.2
 
  9.      Canadian Imperial Bank of Commerce     
2.5
 
  10.      TC Energy Corp.     
2.4
 

 

PORTFOLIO COMPOSITION BY SECTOR

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Financials     
34.8

Energy     
13.5

Information Technology     
10.9

Industrials     
10.8

Materials     
8.7

Consumer Staples     
3.4

Consumer Discretionary     
3.2

Utilities     
3.0

Communication Services     
2.7

Others (each less than 1.0%)     
0.9
 
Short-Term Investments     
8.1
 

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $67.80 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $67.98.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         9


JPMorgan BetaBuilders Canada ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR     SINCE
INCEPTION
 

JPMorgan BetaBuilders Canada ETF

       
Net Asset Value      August 7, 2018        50.77     13.07
Market Price         50.84     13.16

LIFE OF FUND PERFORMANCE (8/7/18 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on August 7, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders Canada ETF and Morningstar® Canada Target Market Exposure IndexSM from August 7, 2018 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® Canada Target Market Exposure IndexSM does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Morningstar® Canada Target Market Exposure IndexSM is a free float adjusted market

capitalization weighted index which consists of stocks traded primarily on the Toronto Stock Exchange. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
10         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders Developed Asia ex-Japan ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*.      31.14%  
Market Price**      31.26%  
Morningstar® Developed Asia Pacific ex-Japan Target Market Exposure IndexSM      31.06%  
Net Assets as of 10/31/2021    $ 4,113,118,547  
Fund Ticker      BBAX  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders Developed Asia ex-Japan ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® Developed Asia Pacific ex-Japan Target Market Exposure IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of equity securities from developed Asia Pacific countries other than Japan, including: Australia, Hong Kong, New Zealand and Singapore. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund performed in line with the Underlying Index, before considering the effects of differences in the Fund’s net asset value calculations versus the Underlying Index’s valuation calculations, differences in the timing of foreign exchange rate calculations, as well as operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the financials and real estate sectors were leading contributors to absolute performance, while their exposures to the utilities and consumer staples sectors were the smallest contributors and no sectors detracted from absolute performance. By country, the Fund’s and the Underlying Index’s exposures to Australia and Hong Kong were leading contributors to absolute performance, while their exposures to Singapore and New Zealand were the smallest contributors to absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the financials and materials sectors and their smallest allocations were to the information technology and energy sectors. The Fund and the Underlying Index were mainly invested in four equity markets during the

reporting period; the largest allocations were to Australia and Hong Kong, followed by Singapore and New Zealand.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      AIA Group Ltd. (Hong Kong)      6.6
  2.      Commonwealth Bank of Australia (Australia)      6.6  
  3.      CSL Ltd. (Australia)      5.1  
  4.      BHP Group Ltd. (Australia)      4.0  
  5.      Hong Kong Exchanges & Clearing Ltd. (Hong Kong)      3.5  
  6.      National Australia Bank Ltd. (Australia)      3.5  
  7.      Westpac Banking Corp. (Australia)      3.5  
  8.      Australia & New Zealand Banking Group Ltd. (Australia)      3.0  
  9.      Macquarie Group Ltd. (Australia)      2.5  
  10.      Wesfarmers Ltd. (Australia)      2.4  

 

PORTFOLIO COMPOSITION BY COUNTRY

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Australia      59.2
Hong Kong      21.2  
Singapore      9.6  
New Zealand      2.4  
China      1.2  
Macau      1.0  
Others (each less than 1.0%)      1.8  
Short-Term Investments      3.6  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $56.89 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $57.12.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         11


JPMorgan BetaBuilders Developed Asia ex-Japan ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR     SINCE
INCEPTION
 

JPMorgan BetaBuilders Developed Asia ex-Japan ETF

       
Net Asset Value      August 7, 2018        31.14     7.51
Market Price         31.26     7.63

LIFE OF FUND PERFORMANCE (8/7/18 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on August 7, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders Developed Asia ex-Japan ETF and Morningstar® Developed Asia Pacific ex-Japan Target Market Exposure IndexSM from August 7, 2018 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® Developed Asia Pacific ex-Japan Target Market Exposure IndexSM does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Morningstar® Developed Asia Pacific ex-Japan Target Market Exposure IndexSM is a free float adjusted market capitalization-weighted index that consists of equity securities from

developed Asia-Pacific countries or regions other than Japan, including Australia, Hong Kong, New Zealand, and Singapore. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some over- seas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
12         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders Europe ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      41.54%  
Market Price**      41.77%  
Morningstar® Developed Europe Target Market Exposure IndexSM      41.39%  
Net Assets as of 10/31/2021    $ 9,427,453,378  
Fund Ticker      BBEU  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders Europe ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® Developed Europe Target Market Exposure IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of equity securities from developed European countries or regions, including Austria, Belgium, Denmark, Finland, France, Germany, Ireland, Italy, the Netherlands, Norway, Portugal, Spain, Sweden, Switzerland and the U.K. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund performed in line with the Underlying Index, before considering the effects of differences in the Fund’s net asset value calculations versus the Underlying Index’s valuation calculations, differences in the timing of foreign exchange rate calculations, as well as operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the financials and industrials sectors were leading contributors to absolute performance, while their exposures to the real estate and communication services sectors were the smallest contributors and no sector detracted from absolute performance.

By country, the Fund’s and the Underlying Index’s exposures to the U.K. and France were leading contributors to absolute performance, while their exposures to Poland and Portugal were the smallest contributors and no country detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the financials and industrials sectors and their smallest allocations were to the real estate and communications services sectors. The Fund’s and the Underlying Index’s largest country allocations were to the U.K. and France and the smallest allocations were to Poland and Portugal.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
  1.      Nestle SA (Registered) (Switzerland)    3.2%
  2.      ASML Holding NV (Netherlands)    2.9
  3.      Roche Holding AG (Switzerland)    2.4
  4.      LVMH Moet Hennessy Louis Vuitton SE (France)    1.8
  5.      Novartis AG (Registered) (Switzerland)    1.7
  6.      AstraZeneca plc (United Kingdom)    1.7
  7.      Novo Nordisk A/S, Class B (Denmark)    1.5
  8.      SAP SE (Germany)    1.4
  9.      Unilever plc (United Kingdom)    1.2
  10.      Siemens AG (Registered) (Germany)    1.1

 

PORTFOLIO COMPOSITION BY COUNTRY

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
United Kingdom      18.6
France      15.2  
Switzerland      14.3  
Germany      12.5  
Netherlands      8.2  
Sweden      6.0  
Denmark      4.1  
Spain      3.7  
Italy      3.3  
Finland      2.1  
United States      1.9  
Australia      1.5  
Belgium      1.4  
Norway      1.1  
Ireland      1.0  

Others (each less than 1.0%)

     3.4  

Short-Term Investments

     1.7  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $59.74 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $59.92.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         13


JPMorgan BetaBuilders Europe ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR     SINCE
INCEPTION
 

JPMorgan BetaBuilders Europe ETF

       
Net Asset Value      June 15, 2018        41.54     8.34
Market Price         41.77     8.44

LIFE OF FUND PERFORMANCE (6/15/18 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on June 15, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders Europe ETF and Morningstar® Developed Europe Target Market Exposure IndexSM from June 15, 2018 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® Developed Europe Target Market Exposure IndexSM does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. Morningstar® Developed Europe Target Market Exposure IndexSM is a free float adjusted market capitalization-weighted index which consists of

equity securities from developed European countries or regions. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some over- seas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
14         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders International Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value* .      34.26%  
Market Price**      34.24%  
Morningstar® Developed Markets ex-North America Target Market Exposure IndexSM .      34.15%  
Net Assets as of 10/31/2021 .    $ 3,680,140,678  
Fund Ticker      BBIN  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders International Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® Developed Markets ex-North America Target Market Exposure IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of equity securities from developed countries outside the U.S. and Canada. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund performed in line with the Underlying Index, before considering the effects of differences in the Fund’s net asset value calculations versus the Underlying Index’s valuation calculations, differences in the timing of foreign exchange rate calculations, as well as operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the financials and industrials sectors were leading contributors to absolute performance, while their exposures to the utilities and communication services sectors were the smallest contributors and no sector detracted from absolute performance. The Fund’s and the Underlying Index’s exposures to the U.K. and Japan were leading contributors to absolute performance, while their exposures to Portugal and Poland were the smallest contributors and no country detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest sector allocations were to the financials and industrials sectors, while their smallest allocations were to the real estate and energy sectors. The Fund’s and the Underlying Index’s largest country allocations were to Japan and the U.K., while their smallest allocations were to Poland and Portugal.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Nestle SA (Registered) (Switzerland)      2.0
  2.      ASML Holding NV (Netherlands)      1.9  
  3.      Roche Holding AG (Switzerland)      1.6  
  4.      Toyota Motor Corp. (Japan)      1.2  
  5.      LVMH Moet Hennessy Louis Vuitton SE (France)      1.2  
  6.      Novartis AG (Registered) (Switzerland)      1.1  
  7.      AstraZeneca plc (United Kingdom)      1.1  
  8.      Novo Nordisk A/S, Class B (Denmark)      1.0  
  9.      SAP SE (Germany)      0.9  
  10.      Sony Group Corp. (Japan)      0.8  

 

PORTFOLIO COMPOSITION BY COUNTRY

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Japan      24.7
United Kingdom      12.0  
France      9.7  
Switzerland      9.2  
Germany      8.0  
Australia      7.5  
Netherlands      5.2  
Sweden      3.8  
Denmark      2.6  
Spain      2.4  
Hong Kong      2.4  
Italy      2.1  
Finland      1.3  
United States      1.3  
Singapore      1.1  
Others (each less than 1.0%)      5.2  
Short-Term Investments      1.5  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $60.53 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $60.64.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         15


JPMorgan BetaBuilders International Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR     SINCE
INCEPTION
 

JPMorgan BetaBuilders International Equity ETF

       
Net Asset Value      December 3, 2019        34.26     12.66
Market Price         34.24     12.76

LIFE OF FUND PERFORMANCE (12/3/19 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on December 3, 2019.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders International Equity ETF and Morningstar® Developed Markets ex-North America Target Market Exposure IndexSM from December 3, 2019 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® Developed Markets ex-North America Target Market Exposure IndexSM does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Morningstar®

Developed Markets ex-North America Target Market Exposure IndexSM is a free float adjusted market capitalization weighted index which consists of stocks traded primarily on equity markets in developed markets outside North America. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some foreign markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
16         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders Japan ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      19.47%  
Market Price**      18.98%  
Morningstar® Japan Target Market Exposure IndexSM      19.61%  
Net Assets as of 10/31/2021    $ 7,864,537,853  
Fund Ticker .      BBJP  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders Japan ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® Japan Target Market Exposure IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of stocks traded primarily on the Tokyo Stock Exchange or the Nagoya Stock Exchange. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund performed in line with the Underlying Index, before considering the effects of differences in the Fund’s net asset value calculations versus the Underlying Index’s valuation calculations, differences in the timing of foreign exchange rate calculations, as well as operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the industrials and consumer discretionary sectors were leading contributors to absolute performance, while their exposures to the utilities sector was the sole sector detractor from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the industrials and consumer discretionary sectors and their smallest allocations were to the energy and utilities sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Toyota Motor Corp.      5.0
  2.      Sony Group Corp.      3.2  
  3.      Keyence Corp.      2.5  
  4.      Recruit Holdings Co. Ltd.      2.5  
  5.      Tokyo Electron Ltd.      1.6  
  6.      Shin-Etsu Chemical Co. Ltd.      1.6  
  7.      Mitsubishi UFJ Financial Group, Inc.      1.6  
  8.      SoftBank Group Corp.      1.5  
  9.      Daikin Industries Ltd.      1.4  
  10.      Nidec Corp.      1.3  

 

PORTFOLIO COMPOSITION BY SECTOR

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Industrials      23.3
Consumer Discretionary      20.1  
Information Technology      13.2  
Health Care      9.4  
Financials      8.6  
Communication Services      7.0  
Consumer Staples      6.9  
Materials      5.7  
Real Estate      3.9  
Utilities      1.0  
Energy      0.7  
Short-Term Investments      0.2  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $57.16 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $57.21.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         17


JPMorgan BetaBuilders Japan ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR     SINCE
INCEPTION
 

JPMorgan BetaBuilders Japan ETF

       
Net Asset Value      June 15, 2018        19.47     5.57
Market Price         18.98     5.60

LIFE OF FUND PERFORMANCE (6/15/18 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on June 15, 2018.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders Japan ETF and Morningstar® Japan Target Market Exposure IndexSM from June 15, 2018 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® Japan Target Market Exposure IndexSM does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. Morningstar® Japan Target Market Exposure IndexSM is a free float adjusted market capitalization weighted index which consists of stocks traded primarily on the Tokyo Stock Exchange or the Nagoya Stock Exchange. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some over- seas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
18         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders U.S. Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      43.02%  
Market Price** .      42.97%  
Morningstar® US Target Market Exposure IndexSM .      43.09%  
Net Assets as of 10/31/2021 .      $782,605,972  
Fund Ticker .      BBUS  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders U.S. Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® US Target Market Exposure IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of equity securities traded primarily in the U.S. It targets the top 85% of those stocks by market capitalization, and primarily includes large and mid-capitalization companies. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the information technology and financials sectors were leading contributors to absolute performance, while their exposures to the utilities and materials sectors were the smallest contributors and no sector detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the information technology and health care sectors and their smallest allocations were to the energy and utilities sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Microsoft Corp.      6.0
  2.      Apple, Inc.      5.7  
  3.      Amazon.com, Inc.      3.5  
  4.      Tesla, Inc.      2.2  
  5.      Alphabet, Inc., Class A      2.2  
  6.      Alphabet, Inc., Class C      2.0  
  7.      Meta Platforms, Inc., Class A      1.9  
  8.      NVIDIA Corp.      1.5  
  9.      Berkshire Hathaway, Inc., Class B      1.3  
  10.      JPMorgan Chase & Co.      1.2  

 

PORTFOLIO COMPOSITION BY SECTOR

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Information Technology      28.5
Health Care      12.7  
Consumer Discretionary      12.7  
Financials      11.4  
Communication Services      10.7  
Industrials      7.9  
Consumer Staples      5.4  
Real Estate      2.8  
Energy      2.6  
Materials      2.4  
Utilities      2.4  
Short-Term Investments      0.5  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $84.15 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the Cboe BZX Exchange, Inc. As of October 31, 2021, the closing price was $84.11.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         19


JPMorgan BetaBuilders U.S. Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan BetaBuilders U.S. Equity ETF

        
Net Asset Value      March 12, 2019        43.02%        23.54%  
Market Price         42.97%        23.52%  

LIFE OF FUND PERFORMANCE (3/12/19 TO 10/31/2021)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on March 12, 2019.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders U.S. Equity ETF and the Morningstar® US Target Market Exposure IndexSM from March 12, 2019 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® US Target Market Exposure IndexSM does not

reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. Morningstar® US Target Market Exposure IndexSM is a free float adjusted market capitalization weighted index which consists of stocks traded primarily on the US Stock Exchange. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
20         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders U.S. Mid Cap Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      47.15%  
Market Price**      47.52%  
Morningstar® US Mid Cap Target Market Exposure Extended IndexSM .      47.30%  
Net Assets as of 10/31/2021      $1,698,624,114  
Fund Ticker .      BBMC  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders U.S. Mid Cap Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® US Mid Cap Target Market Exposure Extended IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free-float adjusted market-capitalization weighted index consisting of mid capitalization equity securities traded primarily in the U.S. It targets those securities that fall between the 85th and 95th percentiles in market capitalization of the investible universe. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the twelve months ended October 31, 2021, the Fund had a positive absolute return and performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the information technology and financials sectors were leading contributors to absolute performance, while their exposures to the communication services and utilities sectors were the smallest contributors and no sector detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the information technology and industrials sectors and their smallest allocations were to the utilities and energy sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Datadog, Inc., Class A      1.0
  2.      MongoDB, Inc.      0.9  
  3.      Generac Holdings, Inc.      0.8  
  4.      Enphase Energy, Inc.      0.8  
  5.      Bill.com Holdings, Inc.      0.7  
  6.      Devon Energy Corp.      0.6  
  7.      Catalent, Inc.      0.6  
  8.      Caesars Entertainment, Inc.      0.6  
  9.      Monolithic Power Systems, Inc.      0.6  
  10.      Charles River Laboratories International, Inc.      0.6  

 

PORTFOLIO COMPOSITION BY SECTOR

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Information Technology      19.4
Industrials      15.2  
Financials      13.2  
Health Care      13.1  
Consumer Discretionary      13.1  
Real Estate      7.7  
Materials      4.3  
Energy      2.8  
Consumer Staples      2.7  
Communication Services      2.5  
Utilities      1.8  
Short-Term Investments      4.2  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $93.59 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $93.68.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         21


JPMorgan BetaBuilders U.S. Mid Cap Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan BetaBuilders U.S. Mid Cap Equity ETF

        
Net Asset Value      April 14, 2020        47.15%        49.70%  
Market Price         47.52%        49.80%  

LIFE OF FUND PERFORMANCE (4/14/20 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on April 14, 2020.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders U.S. Mid Cap Equity ETF and Morningstar® US Mid Cap Target Market Exposure Extended IndexSM from April 14, 2020 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® US Mid Cap Target

Market Exposure Extended IndexSM does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Morningstar® US Mid Cap Target Market Exposure Extended IndexSM is a free float adjusted market capitalization-weighted index that consists of mid cap U.S. equity securities. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
22         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan BetaBuilders U.S. Small Cap Equity ETF

FUND COMMENTARY

FOR THE PERIOD NOVEMBER 16, 2020 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      32.56%  
Market Price**      32.70%  
Morningstar® US Small Cap Target Market Exposure Extended IndexSM      32.67%  
Net Assets as of 10/31/2021    $ 442,061,490  
Fund Ticker      BBSC  

 

INVESTMENT OBJECTIVE***

The JPMorgan BetaBuilders U.S. Small Cap Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the Morningstar® US Small Cap Target Market Exposure Extended IndexSM (the “Underlying Index”).

INVESTMENT APPROACH

The Underlying Index is a free float adjusted market-capitalization weighted index consisting of small capitalization equity securities traded primarily in the U.S. It targets those securities that fall between the 95th and 99th percentiles in market capitalization of the investible universe. Using a “passive” investment approach, the Fund attempts to replicate the Underlying Index as closely as possible, before considering fees and expenses, and invests in substantially all of the securities in the Underlying Index in approximately the same proportions as the Underlying Index.

HOW DID THE FUND PERFORM?

For the period from inception on November 16, 2020 to October 31, 2021, the Fund had a positive absolute return and performed in line with the Underlying Index, before considering the effects of operating expenses, fees and tax management of the Fund’s portfolio.

The Fund’s and the Underlying Index’s exposures to the information technology and consumer discretionary were leading contributors to absolute performance, while their exposures to the utilities and consumer staples sectors were the smallest contributors and no sector detracted from absolute performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the health care and information technology sectors and their smallest allocations were to the utilities and consumer staples sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      ZoomInfo Technologies, Inc., Class A      0.6
  2.      SoFi Technologies, Inc.      0.6  
  3.      Asana, Inc., Class A      0.5  
  4.      Ovintiv, Inc.      0.5  
  5.      Intellia Therapeutics, Inc.      0.5  
  6.      Apartment Income REIT Corp.      0.4  
  7.      Macy’s, Inc.      0.4  
  8.      Biohaven Pharmaceutical Holding Co. Ltd.      0.4  
  9.      Saia, Inc.      0.4  
  10.      Dick’s Sporting Goods, Inc.      0.4  

 

PORTFOLIO COMPOSITION BY SECTOR

AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
Health Care      16.8
Information Technology      15.3  
Industrials      14.7  
Financials      14.4  
Consumer Discretionary      11.5  
Real Estate      6.5  
Energy      5.6  
Materials      3.8  
Communication Services      3.6  
Consumer Staples      2.4  
Utilities      1.5  
Short-Term Investments      3.9  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $67.49 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $67.56.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         23


JPMorgan BetaBuilders U.S. Small Cap Equity ETF

FUND COMMENTARY

FOR THE PERIOD NOVEMBER 16, 2020 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited) (continued)

 

TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      CUMULATIVE SINCE
INCEPTION
 

JPMorgan BetaBuilders U.S. Small Cap Equity ETF

     
Net Asset Value      November 16, 2020        32.56%  
Market Price         32.70%  

LIFE OF FUND PERFORMANCE (11/16/20 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 16, 2020.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan BetaBuilders U.S. Small Cap Equity ETF and Morningstar® US Small Cap Target Market Exposure Extended IndexSM from November 16, 2020 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the Morningstar® US Small Cap Target

Market Exposure Extended IndexSM does not reflect the deduction of expenses

associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Morningstar® US Small Cap Target Market Exposure Extended IndexSM is a free float adjusted market capitalization weighted index that consists of small cap U.S. equity securities. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
24         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan Carbon Transition U.S. Equity ETF

FUND COMMENTARY

FOR THE PERIOD DECEMBER 9, 2020 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      27.68%  
Market Price**      27.70%  
JPMorgan Asset Management Carbon Transition U.S. Equity Index      27.88%  
Russell 1000 Index      26.45%  
Net Assets as of 10/31/2021    $ 24,933,394  
Fund Ticker      JCTR  

 

INVESTMENT OBJECTIVE***

The JPMorgan Carbon Transition U.S. Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JPMorgan Asset Management Carbon Transition U.S. Equity Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which primarily tracks U.S. large- and mid-cap equity securities of companies located in the U.S. and employs a rules-based process designed to capture the performance of companies that have been identified as better positioned to benefit from a transition to a lower carbon economy while also providing broader U.S. market exposure. Companies are evaluated on how they effectively manage emissions, resources and carbon-related risks.

HOW DID THE FUND PERFORM?

For the period from inception on December 9, 2020 to October 31, 2021, the Fund provided a positive absolute return and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. Both the Fund and the Underlying Index outperformed the Russell 1000 Index, which is a more traditional market capitalization weighted index.

The Fund’s and the Underlying Index’s exposures to the information technology and financial sectors were leading contributors to absolute performance, while their exposures to the utilities and materials sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s exposures to the information technology and communication services sectors were leading contributors to performance, while their exposures to the health care and materials sectors were leading detractors from relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s largest allocations were to the information technology and health care sectors and the smallest allocations were to the utilities and energy sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Microsoft Corp.      6.0
  2.      Apple, Inc.      5.6  
  3.      Alphabet, Inc., Class A      4.2  
  4.      Amazon.com, Inc.      3.6  
  5.      Tesla, Inc.      1.7  
  6.      NVIDIA Corp.      1.7  
  7.      Meta Platforms, Inc., Class A      1.6  
  8.      UnitedHealth Group, Inc.      1.3  
  9.      Johnson & Johnson      1.2  
  10.      Home Depot, Inc. (The)      1.2  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Information Technology      29.2
Health Care      13.3  
Consumer Discretionary      13.3  
Financials      11.8  
Communication Services      9.1  
Industrials      7.5  
Consumer Staples      5.2  
Real Estate      3.3  
Energy      2.8  
Materials      2.4  
Utilities      2.1  
Short-Term Investments      0.0 (a) 

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $62.33 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the inception date net asset value, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $62.34.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.
(a)   Amounts rounds to less than 0.1%.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         25


JPMorgan Carbon Transition U.S. Equity ETF

FUND COMMENTARY

FOR THE PERIOD DECEMBER 9, 2020 (INCEPTION DATE) THROUGH OCTOBER 31, 2021 (Unaudited) (continued)

 

TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      CUMULATIVE SINCE
INCEPTION
 

JPMorgan Carbon Transition U.S. Equity ETF

     
Net Asset Value      December 9, 2020        27.68%  
Market Price         27.70%  

LIFE OF FUND PERFORMANCE (12/9/20 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on December 9, 2020.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Carbon Transition U.S. Equity ETF, the JPMorgan Asset Management Carbon Transition U.S. Equity Index and the Russell 1000 Index from December 9, 2020 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JPMorgan Asset Management Carbon Transition U.S. Equity Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and

capital gain distributions of the securities included in the Index, if applicable. The JPMorgan Asset Management Carbon Transition U.S. Equity Index is a rules based, proprietary index built to achieve a meaningful reduction in carbon intensity without relying on exclusions or sector deviations. It is a proprietary index designed to reflect the performance of a subset of the U.S. large and mid-cap companies in developed markets that, based on the index rules, are determined to be best positioned to benefit from a transition to a low-carbon economy. The Russell 1000 Index is a market capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
26         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan Diversified Return Emerging Markets Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      26.93%  
Market Price**      27.80%  
JP Morgan Diversified Factor Emerging Markets Equity Index (net of foreign withholding taxes)      28.36%  
FTSE Emerging Index (net of foreign withholding taxes)      17.06%  
Net Assets as of 10/31/2021    $ 153,882,748  
Fund Ticker      JPEM  

 

INVESTMENT OBJECTIVE***

The JPMorgan Diversified Return Emerging Markets Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor Emerging Markets Equity Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which provides emerging markets large- and mid-cap equity exposure, diversified across emerging market regions, super-sectors and individual securities. The Underlying Index uses a proprietary multi-factor stock selection process that utilizes the following characteristics: value, momentum and quality. The Underlying Index methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute return for the twelve months ended October 31, 2021, and performed in line with the Underlying Index, before considering differences in the net asset value calculations and foreign exchange pricing between the Underlying Index and the Fund and fees and operating expenses incurred by the Fund. The Fund and the Underlying Index outperformed the FTSE Emerging Index, which is a more traditional market capitalization weighted index.

From a super-sector perspective, the Fund’s and the Underlying Index’s positions in the defensives and consumer super-sectors

were leading contributors to absolute performance, while their positions in the basic materials and industrials super-sectors were the smallest contributors and no super-sector detracted from absolute performance.

From a regional perspective, the Fund’s and the Underlying Index’s positions in the Latin America region and in the Europe, Middle East & Africa (EMEA) region were the largest contributors to absolute performance, while their positions in China and the Asia-Pacific, excluding China, region were the smallest contributors and no region detracted from absolute performance.

Relative to the FTSE Emerging Index, the Fund’s and Underlying Index’s multi-factor security selections in China and their multi-factor security selections in the consumer super-sector were leading contributors to performance, while their multi-factor security selections in the EMEA region and their multi-factor security selections in the defensives super-sector were leading detractors from relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the defensives and consumer super-sectors, while their smallest allocations were to the basic materials and industrials super-sectors. The Fund’s and the Underlying Index’s largest regional allocations were to EMEA and China and their smallest allocations were to Latin America and the Asia-Pacific, excluding Japan.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         27


JPMorgan Diversified Return Emerging Markets Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

  

PERCENT OF
TOTAL
INVESTMENTS

 
  1.     

Infosys Ltd. (India)

     1.9
  2.     

Sberbank of Russia PJSC (Russia)

     1.5  
  3.     

Taiwan Semiconductor Manufacturing Co. Ltd. (Taiwan)

     1.4  
  4.     

Reliance Industries Ltd. (India)

     1.3  
  5.     

Vale SA (Brazil)

     1.2  
  6.     

LUKOIL PJSC (Russia)

     1.0  
  7.     

Hindustan Unilever Ltd. (India)

     0.9  
  8.     

Tata Consultancy Services Ltd. (India)

     0.9  
  9.     

Al Rajhi Bank (Saudi Arabia)

     0.8  
  10.     

Housing Development Finance Corp. Ltd. (India)

     0.8  

 

PORTFOLIO COMPOSITION BY COUNTRY

AS OF OCTOBER 31, 2021 

  

PERCENT OF
TOTAL
INVESTMENTS

 

China

     24.2

Taiwan

     11.7  

India

     11.3  
Brazil      8.3  
Russia      6.5  

Mexico

     5.8  

South Africa

     5.7  

Saudi Arabia

     3.7  

Indonesia

     3.5  
Turkey      2.9  

Thailand

     2.8  

Malaysia

     2.4  

United Arab Emirates

     1.9  

Kuwait

     1.7  
Qatar      1.6  

Chile

     1.1  

Greece

     1.0  

Others (each less than 1.0%)

     3.2  

Short-Term Investments

     0.7  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $56.99 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $57.05.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
28         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan Diversified Return Emerging Markets Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      5 YEAR      SINCE
INCEPTION
 

JPMorgan Diversified Return Emerging Markets Equity ETF

           
Net Asset Value      January 7, 2015        26.93%        6.54%        4.82%  
Market Price         27.80%        6.43%        4.84%  

LIFE OF FUND PERFORMANCE (1/7/15 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on January 7, 2015.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return Emerging Markets Equity ETF, the JP Morgan Diversified Factor Emerging Markets Equity Index and the FTSE Emerging Index from January 7, 2015 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan Diversified Factor Emerging Markets Equity Index and the FTSE Emerging Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan Diversified Factor Emerging Markets Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor Emerging Markets Equity Index. JP Morgan Diversified Factor Emerging Markets Equity Index is comprised of large- and mid-cap equity securities from emerging markets.

Holdings in this index are selected from the constituents of the FTSE Emerging Index. The FTSE Emerging Index is a market-capitalization weighted index and is part of the FTSE Global Equity Index Series. The series includes large- and mid-cap securities from advanced and secondary emerging markets, classified in accordance with FTSE’s transparent Country Classification Review Process. The FTSE Emerging Index provides investors with a comprehensive means of measuring the performance of the most liquid companies in the emerging markets. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         29


JPMorgan Diversified Return International Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      25.98%  
Market Price**      26.08%  
JP Morgan Diversified Factor International Equity Index (net of foreign withholding taxes)      26.37%  
FTSE Developed ex North America Index (net of foreign withholding taxes)      33.73%  
Net Assets as of 10/31/2021    $ 842,016,222  
Fund Ticker      JPIN  

 

INVESTMENT OBJECTIVE***

The JPMorgan Diversified Return International Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor International Equity Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which is composed of large- and mid- cap equity securities in developed markets outside North America, diversified across sectors, international regions and individual securities. The Underlying Index uses a proprietary multi-factor selection process that utilizes the following characteristics: value, momentum and quality. The Underlying Index methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021, and performed in line with the Underlying Index, before considering the effects of differences in the Fund’s net asset value calculations versus the Underlying Index’s valuation calculations, as well as differences due to specific trading limits, the Fund’s small cash allocation and fees and operating expenses incurred by the Fund. The Fund and the Underlying Index underperformed the FTSE Developed ex North America Index, which is a more traditional market capitalization weighted index.

From a sector perspective, the Fund’s and the Underlying Index’s positions in the industrials and consumer discretionary sectors were leading contributors to absolute performance, while their positions in the telecommunications and health care sectors were the smallest contributors and no sector detracted from absolute performance.

From a regional perspective, the Fund’s and Underlying Index’s positions in Europe, excluding the U.K., and Asia Pacific, excluding Japan were the largest contributors to absolute performance, while their positions in Japan and the U.K. were the smallest contributors and no region detracted from absolute performance.

Relative to the FTSE Developed ex North America Index, the Fund’s and the Underlying Index’s multi-factor security selections in Europe, excluding the U.K., and in Japan were leading detractors from performance. The Fund’s and the Underlying Index’s overweight positions in the energy sector and their overweight positions in the U.K. were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the consumer staples and consumer discretionary sectors, while their smallest allocations were to the energy and real estate sectors. By region, the Fund’s and the Underlying Index’s largest allocations were to Japan and their smallest allocations were to Norway.

 

 
30         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

  

PERCENT OF
TOTAL
INVESTMENTS

 
  1.     

Open House Co. Ltd. (Japan)

     0.5
  2.     

AstraZeneca plc (United Kingdom)

     0.5  
  3.     

Royal Dutch Shell plc, Class A (Netherlands)

     0.4  
  4.     

Ashtead Group plc (United Kingdom)

     0.4  
  5.     

Sonova Holding AG (Registered) (Switzerland)

     0.4  
  6.     

Diageo plc (United Kingdom)

     0.4  
  7.     

Tokyo Electron Ltd. (Japan)

     0.4  
  8.     

Ferguson plc (United States)

     0.4  
  9.     

Capgemini SE (France)

     0.4  
  10.     

NN Group NV (Netherlands)

     0.4  

 

PORTFOLIO COMPOSITION BY COUNTRY
AS OF OCTOBER 31, 2021

  

PERCENT OF
TOTAL
INVESTMENTS

 

Japan

     29.2

United Kingdom

     15.4  

Australia

     9.9  

South Korea

     8.7  

Sweden

     4.3  

Hong Kong

     3.9  

France

     3.3  
Netherlands      3.1  

Germany

     2.6  
Singapore      2.0  

Finland

     2.0  

Switzerland

     2.0  

Italy

     1.6  
Spain      1.5  
China      1.2  
Norway      1.0  

Others (each less than 1.0%)

     7.3  

Short-Term Investments

     1.0  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $61.01 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $61.08.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         31


JPMorgan Diversified Return International Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      5 YEAR      SINCE
INCEPTION
 

JPMorgan Diversified Return International Equity ETF

           

Net Asset Value

     November 5, 2014        25.98%        7.15%        5.44%  

Market Price

        26.08%        7.10%        5.45%  

LIFE OF FUND PERFORMANCE (11/5/14 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 5, 2014.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return International Equity ETF, the JP Morgan Diversified Factor International Equity Index and the FTSE Developed ex North America Index from November 5, 2014 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan Diversified Factor International Equity Index and the FTSE Developed ex North America Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan Diversified Factor International Equity Index and developed the proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor International Equity Index. JP Morgan Diversified Factor International Equity Index is comprised of large- and mid-cap equity securities from developed global markets (excluding North

America). Holdings in this index are selected from the constituents of the FTSE Developed ex North America Index. The FTSE Developed ex North America Index is a market-capitalization weighted index representing the performance of large- and mid-cap stocks in developed markets, excluding the U.S. and Canada. The index is derived from the FTSE Global Equity Index Series, which covers 98% of the world’s investable market capitalization. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
32         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan Diversified Return U.S. Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      40.36%  
Market Price**      40.44%  
JP Morgan Diversified Factor US Equity Index      40.63%  
Russell 1000 Index      43.51%  
Net Assets as of 10/31/2021    $ 710,012,574  
Fund Ticker      JPUS  

 

INVESTMENT OBJECTIVE***

The JPMorgan Diversified Return U.S. Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Equity Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which is composed of large- and mid-cap equity securities of U.S. companies, diversified across sectors and individual securities. The Underlying Index uses a rules based proprietary multi-factor selection process that utilizes the following characteristics: value, momentum and quality. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021, and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. Both the Fund and the Underlying Index underperformed the

Russell 1000 Index, which is a more traditional market capitalization weighted index.

The Fund’s and the Underlying Index’s positions in the consumer discretionary and technology sectors were the leading contributors to absolute performance, while their positions in the telecommunications and consumer staples sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s overweight positions in the utilities sector and their underweight positions in the technology sector were leading detractors from performance, while their overweight positions in the energy sector and their multi-factor security selections in the consumer discretionary sector were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the health care and utilities sectors and their smallest allocations were to the telecommunications and energy sectors.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         33


JPMorgan Diversified Return U.S. Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Coterra Energy, Inc.     
0.7

  2.      Microsoft Corp.     
0.5
 
  3.      Marathon Oil Corp.      0.5  
  4.      Devon Energy Corp.     
0.5
 
  5.      Apple, Inc.     
0.5
 
  6.      NVIDIA Corp.     
0.5
 
  7.      Quanta Services, Inc.     
0.5
 
  8.      Thermo Fisher Scientific, Inc.     
0.4
 
  9.      Lowe’s Cos., Inc.     
0.4
 
  10.      UnitedHealth Group, Inc.     
0.4
 

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Consumer Staples      13.0
Utilities      11.3
Health Care      11.1
Industrials      9.3
Technology      9.2
Financials      8.3
Basic Materials      8.2
Real Estate     
8.0

Consumer Discretionary     
7.4

Energy      5.8
Telecommunications      5.0
Short-Term Investments     
3.4
 

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $101.43 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $101.46.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
34         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      5 YEAR      SINCE
INCEPTION
 

JPMorgan Diversified Return U.S. Equity ETF

           
Net Asset Value      September 29, 2015        40.36%        14.39%        14.21%  
Market Price         40.44%        14.39%        14.22%  

LIFE OF FUND PERFORMANCE (9/29/15 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on September 29, 2015.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return U.S. Equity ETF, the JP Morgan Diversified Factor US Equity Index, and the Russell 1000 Index from September 29, 2015 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan Diversified Factor US Equity Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan Diversified Factor US Equity Index and developed the proprietary

factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor US Equity Index. JP Morgan Diversified Factor US Equity Index is comprised of U.S. large- and mid-cap equity securities. Holdings in this index are selected from the constituents of the Russell 1000 Index. The Russell 1000 Index is a market-capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         35


JPMorgan Diversified Return U.S. Mid Cap Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      44.52%  
Market Price**      44.73%  
JP Morgan Diversified Factor US Mid Cap Equity Index      44.91%  
Russell Midcap Index      45.40%  
Net Assets as of 10/31/2021    $ 239,808,712  
Fund Ticker      JPME  

 

INVESTMENT OBJECTIVE***

The JPMorgan Diversified Return U.S. Mid Cap Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Mid Cap Equity Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which tracks mid cap equity securities of U.S. companies, diversified across sectors and individual securities. The Underlying Index uses a proprietary multi-factor selection process that utilizes the following characteristics: value, momentum and quality. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021, and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. The Fund and the Underlying Index underperformed the Russell

Midcap Index, which is a more traditional market capitalization weighted index.

The Fund’s and the Underlying Index’s positions in the consumer discretionary and energy sectors were leading contributors to absolute performance, while their positions in the telecommunications and consumer staples sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell Midcap Index, the Fund’s and the Underlying Index’s overweight positions in the utilities and consumer staples sectors were leading detractors from performance, while the Fund’s and Underlying Index’s overweight positions in the energy sector and their underweight positions in the consumer discretionary sector were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the health care and consumer discretionary sectors and their smallest allocations were to the telecommunications and energy sectors.

 

 
36         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Coterra Energy, Inc.      0.9
  2.      Marathon Oil Corp.      0.5  
  3.      Devon Energy Corp.      0.5  
  4.      Targa Resources Corp.      0.5  
  5.      Pioneer Natural Resources Co.      0.5  
  6.      Enphase Energy, Inc.      0.5  
  7.      Entegris, Inc.      0.5  
  8.      Arthur J Gallagher & Co.      0.5  
  9.      Jefferies Financial Group, Inc.      0.5  
  10.      Olin Corp.      0.5  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Health Care      11.6
Industrials      11.1
Technology      10.4
Financials      9.8
Utilities      9.7
Consumer Staples      9.3
Real Estate      9.2
Basic Materials      8.7
Consumer Discretionary      8.0
Energy      6.7
Telecommunications      3.8
Short-Term Investments      1.7  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $92.24 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $92.30.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         37


JPMorgan Diversified Return U.S. Mid Cap Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      5 YEAR      SINCE
INCEPTION
 

JPMorgan Diversified Return U.S. Mid Cap Equity ETF

           
Net Asset Value      May 11, 2016        44.52%        14.17%        13.54%  
Market Price         44.73%        14.19%        13.55%  

LIFE OF FUND PERFORMANCE (5/11/16 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on May 11, 2016.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return U.S. Mid Cap Equity ETF, JP Morgan Diversified Factor US Mid Cap Equity Index and the Russell Midcap Index from May 11, 2016 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan Diversified Factor US Mid Cap Equity Index and Russell Midcap Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan Diversified Factor US Mid Cap Equity Index and developed the

proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor US Mid Cap Equity Index. The JP Morgan Diversified Factor US Mid Cap Equity Index is comprised of U.S. mid-cap equity securities. Holdings in this index are selected from the Russell Midcap Index. The Russell Midcap Index is a market-capitalization weighted index which measures the performance of the 800 smallest companies in the Russell 1000 Index. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
38         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan Diversified Return U.S. Small Cap Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:        
Net Asset Value*      58.49%  
Market Price**      58.25%  
JP Morgan Diversified Factor US Small Cap Equity Index      58.69%  
Russell 2000 Index      50.80%  
Net Assets as of 10/31/2021    $ 176,262,186  
Fund Ticker      JPSE  

 

INVESTMENT OBJECTIVE***

The JPMorgan Diversified Return U.S. Small Cap Equity ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan Diversified Factor US Small Cap Equity Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which tracks small cap equity securities of U.S. companies, diversified across sectors and individual securities. The Underlying Index uses a proprietary multi-factor selection process that utilizes the following characteristics: value, momentum and quality. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021, and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. Both the Fund and the Underlying Index outperformed the

Russell 2000 Index, which is a more traditional market capitalization weighted index.

The Fund’s and the Underlying Index’s positions in the consumer discretionary and energy sectors were leading contributors to absolute performance, while their positions in the consumer staples and telecommunications sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 2000 Index, the Fund’s and the Underlying Index’s overweight positions in the energy sector and underweight positions in the health care sector were leading contributors to performance, while their multi-factor security selections in consumer discretionary and financials sectors were leading detractors from relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the consumer discretionary and technology sectors and their smallest allocations were to the telecommunications and utilities sectors.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         39


JPMorgan Diversified Return U.S. Small Cap Equity ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      SM Energy Co.      0.5
  2.      Ranger Oil Corp.      0.4  
  3.      Antero Resources Corp.      0.4  
  4.      Ovintiv, Inc.      0.4  
  5.      Calix, Inc.      0.4  
  6.      Saia, Inc.      0.4  
  7.      Kite Realty Group Trust      0.4  
  8.      PDC Energy, Inc.      0.3  
  9.      Medpace Holdings, Inc.      0.3  
  10.      Tetra Tech, Inc.      0.3  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Financials      10.8
Technology      10.3
Industrials      10.2
Real Estate      9.3
Health Care      9.2
Basic Materials      9.1
Energy      7.6
Consumer Discretionary      7.1
Consumer Staples      7.1
Utilities      4.7
Telecommunications      4.5
Short-Term Investments      10.1  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $45.20 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $45.24.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
40         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan Diversified Return U.S. Small Cap Equity ETF

        
Net Asset Value      November 15, 2016        58.49%        13.96%  
Market Price         58.25%        13.98%  

LIFE OF FUND PERFORMANCE (11/15/16 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 15, 2016.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan Diversified Return U.S. Small Cap Equity ETF, the JP Morgan Diversified Factor US Small Cap Equity Index and the Russell 2000 Index from November 15, 2016 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan Diversified Factor US Small Cap Equity Index and Russell 2000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan Diversified Factor US Small Cap Equity Index and developed the

proprietary factors on which the index is based. FTSE Russell, the benchmark administrator, administers, calculates and governs the JP Morgan Diversified Factor US Small Cap Equity Index. The JP Morgan Diversified Factor US Small Cap Equity Index is comprised of U.S. large- and mid-cap equity securities. Holdings in this index are selected from the Russell 2000 Index. The Russell 2000 Index is an unmanaged index, measuring performance of the 2000 smallest stocks (on the basis of capitalization) in the Russell 3000 Index. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         41


JPMorgan International Growth ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      25.63%  
Market Price**      25.85%  
MSCI ACWI ex USA Growth Index      22.73%  
Net Assets as of 10/31/2021    $ 61,291,950  
Fund Ticker      JIG  

 

INVESTMENT OBJECTIVE***

The JPMorgan International Growth ETF (the “Fund”) seeks long term capital appreciation.

INVESTMENT APPROACH

The Fund employs a fundamental bottom-up approach that seeks to identify companies with strong growth and quality characteristics.

HOW DID THE FUND PERFORM?

For twelve months ended October 31, 2021, the Fund outperformed the MSCI ACWI ex USA Growth Index (the “Benchmark”).

Relative to the Benchmark, the Fund’s security selections in the health care and consumer staples sectors were leading contributors to performance, while the Fund’s security selections in the financials and industrials sectors were leading detractors from relative performance.

Leading individual contributors to relative performance included the Fund’s overweight positions in Sea Ltd. and ASML Holdings NV and its out-of-Benchmark position in EPAM Systems Inc. Shares of Sea, a Singapore internet and mobile platform provider, rose as the company continued to increase its market share during the period. Shares of ASML Holdings, a

Dutch provider of semiconductor manufacturing equipment, rose amid increased capital spending in the semiconductor industry. Shares of EPAM Systems, a global provider of software development and digital platform services that largely operates from Belarus, rose amid several consecutive quarters of better-than-expected earnings during the period.

Leading individual detractors from relative performance included the Fund’s overweight positions in Kuaishou Technology, Magazine Luiza SA and InPost SA. Shares of Kuaishou Technology, a Chinese provider of streaming services and mobile games, fell amid increased regulatory scrutiny of video gaming companies in China. Shares of Magazine Luiza, a Brazilian consumer goods retailer, fell amid the continued spread of COVID-19 in Brazil and the Brazilian central bank’s decision to sharply raise interest rates. Shares of InPost, a Luxembourg provider of e-commerce parcel delivery services, fell amid rising energy prices and reduced investor demand for stocks that had benefitted from pandemic travel restrictions.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s largest allocations were to the information technology and consumer discretionary sectors and the smallest allocations were to the real estate and utilities sectors. The Fund had no positions in the energy sector.

 

 
42         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


 

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Taiwan Semiconductor Manufacturing Co. Ltd., ADR (Taiwan)      4.7
  2.      ASML Holding NV (Netherlands)      4.3  
  3.      Nestle SA (Registered) (Switzerland)      3.9  
  4.      LVMH Moet Hennessy Louis Vuitton SE (France)      3.3  
  5.      Tencent Holdings Ltd. (China)      3.1  
  6.      Novo Nordisk A/S, Class B (Denmark)      3.0  
  7.      Keyence Corp. (Japan)      2.6  
  8.      L’Oreal SA (France)      2.5  
  9.      Diageo plc (United Kingdom)      2.4  
  10.      Sony Group Corp. (Japan)      2.3  

 

PORTFOLIO COMPOSITION BY COUNTRY
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
China      10.6
Japan      10.6
United Kingdom      10.0
Switzerland      8.9
Netherlands      8.2
Taiwan      7.0
France      5.8
Germany      5.7
Hong Kong      5.7
Denmark      5.6
United States      5.0
Canada      4.2
Sweden      3.1
Indonesia      1.6
South Korea      1.6
Australia      1.3
India      1.2
Finland      1.2
Others (each less than 1.0%)      2.0  
Short-Term Investments      0.7  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $79.09 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $79.40.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         43


JPMorgan International Growth ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan International Growth ETF

        
Net Asset Value      May 20, 2020        25.63%        33.90%  
Market Price         25.85%        34.26%  

LIFE OF FUND PERFORMANCE (5/20/20 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on May 20, 2020.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan International Growth ETF and the MSCI ACWI ex USA Growth from May 20, 2020 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the MSCI ACWI ex USA Growth does not reflect the deduction of expenses associated with an exchange-traded fund and approximates the minimum possible dividend reinvestment of the securities included in the benchmarks, if applicable. The MSCI ACWI ex USA Growth measures

the performance of growth stocks in equity markets outside the U.S. Investors cannot invest directly in an index.

Performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

International investing involves a greater degree of risk and increased volatility. Changes in currency exchange rates and differences in accounting and taxation policies outside the United States can raise or lower returns. Also, some overseas markets may not be as politically and economically stable as the United States and other nations.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
44         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan U.S. Dividend ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      44.70%  
Market Price**      45.15%  
JP Morgan US Dividend Index      44.80%  
Russell 1000 Index      43.51%  
Russell 1000 Value Index(1)      43.76%  
Net Assets as of 10/31/2021    $ 48,842,278  
Fund Ticker      JDIV  

 

INVESTMENT OBJECTIVE***

The JPMorgan U.S. Dividend ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Dividend Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which consists of large- and mid-cap U.S. equity securities selected to provide exposure to the highest dividend yielding sectors on a risk adjusted basis. The Underlying Index uses a proprietary selection process that seeks to identify companies within each sector that have higher dividend yields over a rolling twelve month period. Within each sector, individual equity securities are also weighted to diversify risk. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021 and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. The Fund and the Underlying Index outperformed the Russell 1000 Index, which is a more traditional market capitalization weighted index.

On an absolute basis, the Fund’s and the Underlying Index’s positions in the consumer discretionary and energy sectors were leading contributors to performance, while their positions in the telecommunications and consumer staples sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selections in the consumer discretionary sector and their overweight positions in the energy sector were leading contributors to performance, while their overweight positions in the utilities and consumer staples sectors were the leading detractors from relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the utilities and consumer

staples sectors and their smallest allocations were to the telecommunications and energy sectors.

 

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021

   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Olin Corp.      0.8
  2.      ONEOK, Inc.      0.7  
  3.      KLA Corp.      0.7  
  4.      Paychex, Inc.      0.7  
  5.      UnitedHealth Group, Inc.      0.7  
  6.      Edison International      0.7  
  7.      General Mills, Inc.      0.7  
  8.      CF Industries Holdings, Inc.      0.7  
  9.      Exelon Corp.      0.7  
  10.      Analog Devices, Inc.      0.7  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Consumer Staples      18.0
Utilities      17.7
Financials      8.6
Basic Materials      8.1
Health Care      8.0
Industrials      7.8
Real Estate      7.7
Telecommunications      7.4
Technology      5.9
Energy      5.8
Consumer Discretionary      4.8  
Short-Term Investments      0.2  

(1)   Effective September 30, 2021, the Russell 1000 Value Index was included as an additional index. Relative performance to the Russell 1000 Value Index will be provided in future annual and semi-annual reports
*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $32.56 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $32.59.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         45


JPMorgan U.S. Dividend ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan U.S. Dividend ETF

        
Net Asset Value      November 8, 2017        44.70%        10.78%  
Market Price         45.15%        10.80%  

LIFE OF FUND PERFORMANCE (11/8/17 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 8, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Dividend ETF, the JP Morgan US Dividend Index, the Russell 1000 Index and the Russell 1000 Value Index from November 8, 2017 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan US Dividend Index, Russell 1000 Index and Russell 1000 Value Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan US Dividend Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Dividend Index. The JP Morgan US Dividend Index contains U.S. large- and mid-cap equity securities

from the Russell 1000 Index using a rules-based factor selection process. The Underlying Index is designed to provide exposure to the highest dividend yielding sectors on a risk adjusted basis, meaning that the index will establish sector weights by considering both the yield of the sector and the relative volatility of sector returns. The Russell 1000 Index is a market-capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 1000 Value Index is an unmanaged index measuring the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
46         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan U.S. Minimum Volatility ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      28.87%  
Market Price**      29.38%  
JP Morgan US Minimum Volatility Index      29.01%  
Russell 1000 Index      43.51%  
Net Assets as of 10/31/2021    $ 20,160,648  
Fund Ticker      JMIN  

 

INVESTMENT OBJECTIVE***

The JPMorgan U.S. Minimum Volatility ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Minimum Volatility Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which consists of large- and mid-cap U.S. equity securities and is designed so that it targets lower volatility than the Russell 1000 Index. The Underlying Index is designed to distribute risk among sectors and stocks in order to seek to minimize the overall portfolio volatility based upon the parameters of the rules-based process. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute return for the twelve months ended October 31, 2021 and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. The Fund and the Underlying Index underperformed the Russell 1000 Index, which is a more traditional market capitalization weighted equity index.

In terms of absolute performance, the Fund’s and the Underlying Index’s positions in the health care and energy sectors were leading contributors to performance, while their positions in the telecommunication and basic materials sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s overweight positions in the utilities and consume staples sectors were leading detractors from performance, while their overweight positions in the energy sector and their security selections and underweight positions in the industrials sector were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the health care and consumer staples sectors and their smallest allocations were to the real estate and telecommunications sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Microsoft Corp.      0.8
  2.      First Solar, Inc.      0.8  
  3.      Thermo Fisher Scientific, Inc.      0.7  
  4.      UnitedHealth Group, Inc.      0.7  
  5.      Intuit, Inc.      0.7  
  6.      Cheniere Energy, Inc.      0.7  
  7.      Costco Wholesale Corp.      0.7  
  8.      Republic Services, Inc.      0.7  
  9.      Berkshire Hathaway, Inc., Class B      0.7  
  10.      Brown & Brown, Inc.      0.7  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Health Care      20.1
Consumer Staples      19.8  
Utilities      17.7  
Energy      6.0  
Technology      5.6  
Financials      5.3  
Consumer Discretionary      5.3  
Industrials      5.1  
Real Estate      5.0  
Telecommunications      4.9  
Basic Materials      4.8  
Short-Term Investments      0.4  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $36.66 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $36.69.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         47


JPMorgan U.S. Minimum Volatility ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan U.S. Minimum Volatility ETF

        
Net Asset Value      November 8, 2017        28.87%        12.51%  
Market Price         29.38%        12.54%  

LIFE OF FUND PERFORMANCE (11/8/17 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 8, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Minimum Volatility ETF, the JP Morgan US Minimum Volatility Index and the Russell 1000 Index from November 8, 2017 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan US Minimum Volatility Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan US Minimum Volatility Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Minimum Volatility Index. The JP Morgan

US Minimum Volatility Index contains U.S. large- and mid-cap equity securities selected from the Russell 1000 Index, using a rules-based factor selection process. The Underlying Index is designed to distribute risk among sectors and stocks in order to seek to minimize the overall portfolio volatility based upon the parameters of the rules-based process. The Russell 1000 Index is a market-capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
48         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan U.S. Momentum Factor ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      42.68%  
Market Price**      42.38%  
JP Morgan US Momentum Factor Index      42.92%  
Russell 1000 Index      43.51%  
Russell 1000 Growth Index(1)      43.21%  
Net Assets as of 10/31/2021    $ 221,858,171  
Fund Ticker      JMOM  

 

INVESTMENT OBJECTIVE***

The JPMorgan U.S. Momentum Factor ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Momentum Factor Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which is composed of U.S. large- and mid-cap securities selected to represent positive momentum factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a momentum factor to identify the companies that have higher risk-adjusted returns relative to those of their sector peers over a twelve month period. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021 and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. The Fund underperformed the Russell 1000 Index, which is a more traditional market capitalization weighted index.

On an absolute basis, the Fund’s and the Underlying Index’s allocations to the technology and consumer discretionary sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the consumer staples and utilities sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selections in the financials and consumer staples sectors were leading detractors from performance, while the Fund’s and Underlying Index’s security selections in the health care and technology sectors were the largest contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and Underlying Index’s largest allocations were to the technology and consumer discretionary sectors and their smallest allocations were to the basic materials and energy sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Tesla, Inc.      2.9
  2.      NVIDIA Corp.      2.2  
  3.      Microsoft Corp.      2.1  
  4.      Alphabet, Inc., Class A      1.8  
  5.      Home Depot, Inc. (The)      1.8  
  6.      Apple, Inc.      1.7  
  7.      Adobe, Inc.      1.4  
  8.      Procter & Gamble Co. (The)      1.2  
  9.      PayPal Holdings, Inc.      1.2  
  10.      Thermo Fisher Scientific, Inc.      1.2  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Technology      29.7
Consumer Discretionary      16.3  
Industrials      12.7  
Health Care      12.3  
Financials      10.7  
Consumer Staples      4.5  
Real Estate      3.2  
Telecommunications      2.8  
Energy      2.8  
Utilities      2.6  
Basic Materials      1.5  
Short-Term Investments      0.9  

(1)    Effective September 30, 2021, the Russell 1000 Growth Index was included as an additional index. Relative performance to the Russell 1000 Growth Index will be provided in future annual and semi-annual reports.
*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $47.71 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $47.68.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         49


JPMorgan U.S. Momentum Factor ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan U.S. Momentum Factor ETF

        
Net Asset Value      November 8, 2017        42.68%        18.90%  
Market Price         42.38%        18.88%  

LIFE OF FUND PERFORMANCE (11/8/17 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 8, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Momentum Factor ETF, the JP Morgan US Momentum Factor Index, the Russell 1000 Index and the Russell 1000 Growth Index from November 8, 2017 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan US Momentum Factor Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan US Momentum Factor Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Momentum Factor Index. The JP Morgan US Momentum Factor Index contains U.S. large- and

mid-cap equity securities selected from the Russell 1000 Index, using a rules-based risk allocation and factor selection process. It is designed to reflect a sub-set of U.S. securities selected utilizing a momentum factor to identify companies that have had better recent performance compared to other securities without undue concentration in individual securities. The Russell 1000 Index is a market-capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 1000 Growth Index is an unmanaged index measuring the performance of those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
50         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan U.S. Quality Factor ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      39.97%  
Market Price**      40.02%  
JP Morgan US Quality Factor Index      40.12%  
Russell 1000 Index      43.51%  
Net Assets as of 10/31/2021    $ 393,204,091  
Fund Ticker      JQUA  

 

INVESTMENT OBJECTIVE***

The JPMorgan U.S. Quality Factor ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Quality Factor Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which consists of large- and mid-cap U.S. equity securities selected to represent quality factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a quality factor to identify higher quality companies relative to their sector peers as measured by profitability, earnings quality and solvency/financial risk. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute performance for the twelve months ended October 31, 2021 and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. Both the Fund and the Underlying Index underperformed the Russell 1000 Index, which is a more traditional market capitalization weighted index.

On an absolute basis, the Fund’s and the Underlying Index’s allocations to the technology and consumer discretionary sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the basic materials and utilities sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selections in the financials and industrials sectors were leading detractors from performance. The Fund’s and the Underlying Index’s security selections in the technology and real estate sectors were leading contributors to relative performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the technology and consumer discretionary sectors and their smallest allocations were to the basic materials and energy sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      NVIDIA Corp.      2.2
  2.      Microsoft Corp.      2.2  
  3.      Alphabet, Inc., Class A      2.0  
  4.      Apple, Inc.      1.9  
  5.      Home Depot, Inc. (The)      1.8  
  6.      Meta Platforms, Inc., Class A      1.7  
  7.      Johnson & Johnson      1.6  
  8.      Procter & Gamble Co. (The)      1.6  
  9.      Visa, Inc., Class A      1.5  
  10.      Adobe, Inc.      1.5  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Technology      29.3
Consumer Discretionary      15.6  
Industrials      13.2  
Health Care      11.9  
Financials      10.5  
Consumer Staples      4.4  
Real Estate      3.3  
Telecommunications      2.9  
Energy      2.8  
Utilities      2.5  
Basic Materials      1.5  
Short-Term Investments      2.1  

*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $43.45 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $43.48.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         51


JPMorgan U.S. Quality Factor ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan U.S. Quality Factor ETF

        
Net Asset Value      November 8, 2017        39.97%        16.89%  
Market Price         40.02%        16.91%  

LIFE OF FUND PERFORMANCE (11/8/17 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 8, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Quality Factor ETF, the JP Morgan US Quality Factor Index and the Russell 1000 Index from November 8, 2017 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan US Quality Factor Index and Russell 1000 Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan US Quality Factor Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and

governs the JP Morgan US Quality Factor Index. The JP Morgan US Quality Factor Index contains U.S. large- and mid-cap equity securities selected from the Russell 1000 Index, using a rules-based risk allocation and factor selection process. It is designed to reflect a sub-set of U.S. securities selected utilizing a quality factor to identifying higher quality companies as measured by profitability, solvency, and earnings quality without undue concentration in individual securities. The Russell 1000 Index is a market-capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
52         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan U.S. Value Factor ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited)

 

REPORTING PERIOD RETURN:  
Net Asset Value*      51.38%  
Market Price**      51.88%  
JP Morgan US Value Factor Index      51.57%  
Russell 1000 Index      43.51%  
Russell 1000 Value Index(1)      43.76%  
Net Assets as of 10/31/2021    $ 400,579,487  
Fund Ticker      JVAL  

 

INVESTMENT OBJECTIVE***

The JPMorgan U.S. Value Factor ETF (the “Fund”) seeks investment results that closely correspond, before fees and expenses, to the performance of the JP Morgan US Value Factor Index (the “Underlying Index”).

INVESTMENT APPROACH

The Fund is passively managed to the Underlying Index, which consists of large- and mid-cap U.S. equity securities selected to represent value factor characteristics. The Underlying Index uses a proprietary selection process that utilizes a relative valuation factor to identify companies with attractive prices relative to their sector peers based on fundamental characteristics of book yield, earnings yield, dividend yield and cash flow yield. The Underlying Index’s methodology includes quarterly rebalancing.

HOW DID THE FUND PERFORM?

The Fund posted a positive absolute return for the twelve months ended October 31, 2021 and performed in line with the Underlying Index, before considering operating expenses, fees and tax management of the Fund’s portfolio. The Fund and the Underlying Index outperformed the Russell 1000 Index, which is a more traditional market capitalization weighted index.

On an absolute basis, the Fund’s and the Underlying Index’s allocations to the technology and financials sectors were leading contributors to performance, while the Fund’s and the Underlying Index’s allocations to the utilities and basic materials sectors were the smallest contributors and no sector detracted from absolute performance.

Relative to the Russell 1000 Index, the Fund’s and the Underlying Index’s security selections in the consumer discretionary sector and the financials sector were leading contributors to performance. The Fund’s and the Underlying Index’s security selections in the health care and technology sectors were leading detractors from performance.

HOW WAS THE FUND POSITIONED?

During the reporting period, the Fund’s and the Underlying Index’s largest allocations were to the technology and consumer discretionary sectors and their smallest allocations were to the basic materials and energy sectors.

TOP TEN EQUITY HOLDINGS OF THE PORTFOLIO
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
  1.      Microsoft Corp.      2.2
  2.      Alphabet, Inc., Class A      2.0  
  3.      UnitedHealth Group, Inc.      1.9  
  4.      Apple, Inc.      1.9  
  5.      Meta Platforms, Inc., Class A      1.7  
  6.      Johnson & Johnson      1.6  
  7.      salesforce.com, Inc.      1.1  
  8.      Pfizer, Inc.      1.1  
  9.      Broadcom, Inc.      1.1  
  10.      Walmart, Inc.      1.1  

 

PORTFOLIO COMPOSITION BY SECTOR
AS OF OCTOBER 31, 2021
   PERCENT OF
TOTAL
INVESTMENTS
 
Technology      29.0
Consumer Discretionary      15.7  
Industrials      12.8  
Health Care      12.3  
Financials      10.8  
Consumer Staples      4.5  
Real Estate      3.1  
Telecommunications      2.8  
Energy      2.7  
Utilities      2.5  
Basic Materials      1.5  
Short-Term Investments      2.3  

(1)    Effective September 30, 2021, the Russell 1000 Value Index was included as an additional index. Relative performance to the Russell 1000 Value Index will be provided in future annual and semi-annual reports.
*   The return shown is based on net asset value and may differ from the return shown in the financial highlights, which reflects adjustments made to the net asset value in accordance with accounting principles generally accepted in the United States of America. The net asset value was $37.09 as of October 31, 2021.
**   Market price return was calculated assuming an initial investment made at the market price at the beginning of the reporting period, reinvestment of all dividends and distributions at market price during the period, and sale at the market price on the last day of the period. The price used to calculate the market price return was the closing price on the NYSE Arca. As of October 31, 2021, the closing price was $37.08.
***   The adviser seeks to achieve the Fund’s objective. There can be no guarantee it will be achieved.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         53


JPMorgan U.S. Value Factor ETF

FUND COMMENTARY

TWELVE MONTHS ENDED OCTOBER 31, 2021 (Unaudited) (continued)

 

AVERAGE ANNUAL TOTAL RETURNS AS OF OCTOBER 31, 2021 (Unaudited)

 
     INCEPTION DATE      1 YEAR      SINCE
INCEPTION
 

JPMorgan U.S. Value Factor ETF

        
Net Asset Value      November 8, 2017        51.38%        13.24%  
Market Price         51.88%        13.23%  

LIFE OF FUND PERFORMANCE (11/8/17 TO 10/31/21)

 

 

LOGO

 

The performance quoted is past performance and is not a guarantee of future results. Exchange-traded funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor’s shares, when sold or redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data shown. For up-to-date, month-end performance information please call 1-844-457-6383.

Fund commenced operations on November 8, 2017.

The graph illustrates comparative performance for $10,000 invested in shares of the JPMorgan U.S. Value Factor ETF, the JP Morgan US Value Factor Index, the Russell 1000 Index and the Russell 1000 Value Index from November 8, 2017 to October 31, 2021. The performance of the Fund reflects the deduction of Fund expenses and assumes reinvestment of all dividends and capital gain distributions, if any. The performance of the JP Morgan US Value Factor Index, Russell 1000 Index and Russell 1000 Value Index does not reflect the deduction of expenses associated with an exchange-traded fund and has been adjusted to reflect reinvestment of all dividends and capital gain distributions of the securities included in the Index, if applicable. The Fund’s adviser is a sponsor of the JP Morgan US Value Factor Index and developed the proprietary factors on which the index is based. FTSE International Limited, the benchmark administrator, administers, calculates and governs the JP Morgan US Value Factor

Index. The JP Morgan US Value Factor Index contains U.S. large- and mid-cap equity securities selected from the Russell 1000 Index, using a rules-based risk allocation and factor selection process. It is designed to reflect a sub-set of U.S. securities selected utilizing a value factor to identify companies with attractive valuations without undue concentration in individual securities. The Russell 1000 Index is a market capitalization weighted index, which measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 1000 Value Index is an unmanaged index measuring the performance of those Russell 1000 companies with lower price-to-book ratios and lower forecasted growth values. Investors cannot invest directly in an index.

For periods presented prior to November 1, 2019, the date on which a unitary fee structure was adopted, Fund performance reflects the waiver of the Fund’s fees and reimbursement of expenses for certain periods since the inception date. Without these waivers and reimbursements, performance would have been lower. Also, performance shown in this section does not reflect the deduction of taxes that a shareholder may pay on Fund distributions or on gains resulting from redemption or sale of Fund shares.

The returns shown are based on net asset values calculated for shareholder transactions and may differ from the returns shown in the financial highlights, which reflect adjustments made to the net asset values in accordance with accounting principles generally accepted in the United States of America.

 

 
54         J.P. MORGAN EXCHANGE-TRADED FUNDS   OCTOBER 31, 2021


JPMorgan ActiveBuilders Emerging Markets Equity ETF

(formerly known as JPMorgan Emerging Markets Equity Core ETF)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2021

 

INVESTMENTS    SHARES     VALUE($)  

Common Stocks — 98.7%

    

Argentina — 0.7%

 

MercadoLibre, Inc.*

     1,558       2,307,429  
    

 

 

 

Brazil — 3.0%

 

Ambev SA

     28,494       85,980  

Atacadao SA

     136,177       402,948  

B3 SA — Brasil Bolsa Balcao

     438,760       928,239  

Banco Bradesco SA (Preference)*

     115,464       408,148  

Banco BTG Pactual SA*

     37,528       150,609  

Banco do Brasil SA

     55,218       279,328  

BB Seguridade Participacoes SA

     48,416       189,759  

Blau Farmaceutica SA*

     10,549       71,382  

Bradespar SA (Preference)

     17,819       153,349  

Caixa Seguridade Participacoes S/A*

     55,896       86,263  

CVC Brasil Operadora e Agencia de Viagens SA*

     13,441       38,129  

Gerdau SA (Preference)

     30,005       143,810  

Hapvida Participacoes e Investimentos SA (a)

     64,465       131,699  

Itau Unibanco Holding SA (Preference)

     224,196       928,357  

Itausa SA (Preference)

     159,186       289,952  

Localiza Rent a Car SA

     58,550       468,292  

Locaweb Servicos de Internet SA* (a)

     69,694       226,970  

Lojas Renner SA

     124,832       711,550  

Magazine Luiza SA*

     208,351       399,440  

Notre Dame Intermedica Participacoes SA

     11,018       125,489  

Petroleo Brasileiro SA, ADR

     70,920       696,434  

Porto Seguro SA

     35,090       146,048  

Raia Drogasil SA*

     88,596       367,332  

Rumo SA*

     31,348       87,982  

Sao Martinho SA

     20,247       137,974  

SLC Agricola SA

     11,018       84,981  

Sul America SA

     20,537       94,356  

Suzano SA*

     29,042       252,814  

TOTVS SA

     12,659       73,593  

Vale SA, ADR

     78,931       1,004,792  

WEG SA

     60,938       398,530  

XP, Inc., Receipts*

     5,175       168,899  

XP, Inc., Class A*

     2,582       84,715  
    

 

 

 
       9,818,143  
    

 

 

 

Burkina Faso — 0.1%

 

Endeavour Mining plc

     7,164       181,994  
    

 

 

 

Canada — 0.1%

 

B2Gold Corp.

     30,260       124,942  

Ivanhoe Mines Ltd., Class A*

     9,742       76,434  
    

 

 

 
       201,376  
    

 

 

 
INVESTMENTS    SHARES     VALUE($)  
    

Chile — 0.2%

 

Banco Santander Chile

     9,653,486       422,452  

Falabella SA

     31,806       87,954  
    

 

 

 
       510,406  
    

 

 

 

China — 33.5%

 

Advanced Micro-Fabrication Equipment, Inc., Class A*

     6,200       151,317  

Aier Eye Hospital Group Co. Ltd., Class A

     54,088       408,521  

Alibaba Group Holding Ltd.*

     489,400       10,063,365  

Amoy Diagnostics Co. Ltd., Class A

     7,609       96,011  

Angel Yeast Co. Ltd., Class A

     12,900       112,045  

Anhui Conch Cement Co. Ltd., Class H

     67,000       331,309  

ANTA Sports Products Ltd.

     45,200       700,316  

Bank of Ningbo Co. Ltd., Class A

     20,500       122,054  

Beijing Kingsoft Office Software, Inc., Class A

     17,225       796,923  

Bilibili, Inc., ADR* (b)

     9,315       682,789  

BOE Technology Group Co. Ltd., Class A

     1,285,100       986,033  

Bosideng International Holdings Ltd.

     268,000       207,661  

Brilliance China Automotive Holdings Ltd.* ‡

     16,000       5,296  

BTG Hotels Group Co. Ltd., Class A*

     40,700       155,316  

Budweiser Brewing Co. APAC Ltd. (a)

     286,300       785,265  

Centre Testing International Group Co. Ltd., Class A

     8,400       36,162  

Chacha Food Co. Ltd., Class A

     48,300       429,654  

Changzhou Xingyu Automotive Lighting Systems Co. Ltd., Class A

     2,000       71,366  

China Construction Bank Corp., Class H

     3,201,000       2,178,539  

China Hongqiao Group Ltd.

     135,500       150,548  

China Lesso Group Holdings Ltd.

     136,000       210,211  

China Medical System Holdings Ltd.

     61,000       103,286  

China Meidong Auto Holdings Ltd.

     26,000       134,312  

China Merchants Bank Co. Ltd., Class H

     579,000       4,852,103  

China Molybdenum Co. Ltd., Class H

     324,000       200,298  

China Pacific Insurance Group Co. Ltd., Class H

     258,800       791,378  

China Petroleum & Chemical Corp., Class H

     412,000       200,740  

China Resources Beer Holdings Co. Ltd.

     26,000       214,678  

China Resources Land Ltd.

     134,000       520,653  

China Resources Mixc Lifestyle Services Ltd. (a)

     154,600       813,251  

China Tourism Group Duty Free Corp. Ltd., Class A

     6,700       280,249  

China Vanke Co. Ltd., Class H

     151,400       353,736  

China Yongda Automobiles Services Holdings Ltd.

     66,500       105,806  

Chongqing Brewery Co. Ltd., Class A*

     35,000       820,016  

Chongqing Fuling Zhacai Group Co. Ltd., Class A

     16,400       89,254  

 

SEE NOTES TO FINANCIAL STATEMENTS.

 

 
OCTOBER 31, 2021   J.P. MORGAN EXCHANGE-TRADED FUNDS         55


JPMorgan ActiveBuilders Emerging Markets Equity ETF

(formerly known as JPMorgan Emerging Markets Equity Core ETF)

SCHEDULE OF PORTFOLIO INVESTMENTS

AS OF OCTOBER 31, 2021 (continued)

 

INVESTMENTS    SHARES     VALUE($)  

Common Stocks — continued

 

China — continued

 

Contemporary Amperex Technology Co. Ltd., Class A

     13,504       1,350,961  

Country Garden Services Holdings Co. Ltd.

     197,000       1,516,601  

ENN Energy Holdings Ltd.

     58,600       1,009,589  

ENN Natural Gas Co. Ltd., Class A

     53,600       154,111  

Flat Glass Group Co. Ltd., Class H

     20,000       107,213  

Foshan Haitian Flavouring & Food Co. Ltd., Class A

     71,440       1,306,450  

Fu Jian Anjoy Foods Co. Ltd., Class A

     22,000       695,743  

Fuyao Glass Industry Group Co. Ltd., Class H (a)

     171,600       988,021  

GF Securities Co. Ltd., Class H

     271,800       461,005  

Glodon Co. Ltd., Class A

     26,400       306,065  

Guangdong Haid Group Co. Ltd., Class A

     6,800       69,576  

Guangdong Investment Ltd.

     268,000       336,973  

Guangzhou Automobile Group Co. Ltd., Class H

     292,000       275,636  

Guangzhou Kingmed Diagnostics Group Co. Ltd., Class A

     6,800       121,891  

Haier Smart Home Co. Ltd., Class H

     804,600       2,996,084  

Haitian International Holdings Ltd.

     31,000       90,349  

Hangzhou Tigermed Consulting Co. Ltd., Class A

     20,300       539,703  

Hangzhou Tigermed Consulting Co. Ltd., Class H (a)

     7,000       136,525  

Han’s Laser Technology Industry Group Co. Ltd., Class A

     54,200       363,076  

Hefei Meiya Optoelectronic Technology, Inc., Class A

     129,900       820,409  

Hongfa Technology Co. Ltd., Class A

     14,000       161,776  

Hualan Biological Engineering, Inc., Class A

     13,800       64,014  

Huayu Automotive Systems Co. Ltd., Class A

     148,516       621,615  

Huazhu Group Ltd.*

     168,000       779,840  

Hundsun Technologies, Inc., Class A

     18,800       184,343  

Industrial & Commercial Bank of China Ltd., Class H

     136,000       74,550  

Industrial Bank Co. Ltd., Class A

     170,805       496,450  

Inner Mongolia Yili Industrial Group Co. Ltd., Class A

     258,600       1,731,443  

Jade Bird Fire Co. Ltd., Class A

     18,173       89,825  

JD Health International, Inc.* (a)