Strategy. The fund, using a passive or indexing investment approach, seeks investment results that correspond generally to the performance, before fees and expenses, of the Underlying Index, which applies environmental, social and governance (ESG) considerations to a broader parent index. The Underlying Index generally aims to keep the broad characteristics of its parent index, the J.P. Morgan DM High Yield USD Index (a USD denominated high yield corporate bond index of developed market issuers), resulting in a broad high yield fixed income market exposure with ESG aspects. The Underlying Index uses the J.P. Morgan DM High Yield USD Index as its parent index before implementing ESG considerations. Each issuer within the parent index is given an ESG score and assigned to … Show more… The fund, using a passive or indexing investment approach, seeks investment results that correspond generally to the performance, before fees and expenses, of the Underlying Index, which applies environmental, social and governance (ESG) considerations to a broader parent index. The Underlying Index generally aims to keep the broad characteristics of its parent index, the J.P. Morgan DM High Yield USD Index (a USD denominated high yield corporate bond index of developed market issuers), resulting in a broad high yield fixed income market exposure with ESG aspects. The Underlying Index uses the J.P. Morgan DM High Yield USD Index as its parent index before implementing ESG considerations. Each issuer within the parent index is given an ESG score and assigned to a quintile based on that score. All issuers within the lowest quintile are removed from consideration for the Underlying Index, and the remainder are either weighted up or down based on which quintile they were scored in, with the best performers being weighted more heavily, and the remaining lower scoring issuers being weighted more lightly. The Index Provider obtains ESG factor valuations for each issuer in the parent index from RepRisk and Sustainalytics, which are investment research providers dedicated to responsible investing and ESG research. These ESG factor valuations are obtained from each provider and translated by the Index Provider to a range of 0 100, with 100 being the best possible score. The Index Providers finalized ESG score for each issuer incorporates a 3-month rolling average of the scores from each individual provider. The Index Provider calculates ESG scores daily. In addition, if an instrument is categorized as green by the Climate Bond Initiative (CBI) under the criteria used by the CBI to certify bonds as being closely linked with green and climate friendly assets or projects, the security will be upgraded one quintile from the quintile to which it originally was assigned. Issuers involved in thermal coal, tobacco manufacturing, weapons (subject to revenue threshholds), oil sands or UN Global Compact principle violation are excluded from the index regardless of their ESG score, however green bonds from issuers involved in thermal coal or oil sands remain eligible as a means to incentivize transition to less pollutive revenue streams. The Index Provider reviews ESG scores on a quarterly basis. Corresponding changes to add or remove instruments from the Underlying Index and to adjust quintile assignments based on this quarterly review are enacted during the corresponding monthly reconstitution. The Underlying Index consists of fixed rate bonds, floating rate bonds, hybrid bonds, step-up bonds (securities that pay an initial interest rate but also have a feature where the rate increases at periodic intervals), payment-in-kind (PIK) bonds, toggle bonds (PIK bonds where the issuer has an option to defer an interest payment by paying an increased coupon in the future), amortizer bonds (bonds where the principal on the debt is paid down regularly), perpetual bonds (a bond with no maturity date), Sukuk bonds (Islamic financial certificates) and all subordinated financial bonds excluding AT1 bonds (a category of bonds issued by banks designed to absorb losses if the banks equity capital dips below a certain threshold), structured bonds, credit enhanced bonds, and securities issued by sovereign and quasi-sovereign entities (bonds issued by entities wholly-owned or guaranteed by the government). Additional exclusions include bonds with less than two years to maturity to enter the Underlying Index, less than six full months to maturity if already part of the Underlying Index and have less than $250 million of minimum issue size. The Underlying Index only includes eligible bonds issued by countries in developed markets, as defined by the Index Provider. As of July 31, 2023, the Underlying Index included issuers in the following countries: Australia, Austria, Belgium, Bermuda, Canada, Denmark, Finland, France, Germany, Greece, Ireland, Italy, Japan, Luxembourg, Malta, Netherlands, Norway, Puerto Rico, Spain, Sweden, Switzerland, the United Kingdom, and the United States. Inclusion in the Underlying Index is limited to USD denominated high yield securities of developed market issuers. Credit rating will be determined based on the following rules: (i) the middle rating of the S&P Global Ratings (S&P), Moodys Investors Services, Inc. (Moodys) or Fitch Investors Services, Inc. (Fitch); (ii) the lower rating when two ratings are available; and (iii) the sole rating when only one rating is provided. Under normal circumstances, the Underlying Index is reconstituted on a monthly basis. The fund changes its portfolio in accordance with the Underlying Index, and, therefore, any changes to the Underlying Indexs reconstitution schedule will result in corresponding changes to the funds schedule of portfolio changes. Any changes made to the Underlying Index in between scheduled reconstitutions (e.g., in the event of a corporate action) also will result in corresponding changes to the funds portfolio. As of July 31, 2023, the Underlying Index consisted of 1,778 securities (631 issuers) with an average amount outstanding of approximately $438 million and a minimum amount outstanding of approximately $7.8 million. As of July 31, 2023, a significant percentage of the Underlying Index was comprised of securities of issuers from the United States (87.74%). The fund uses a representative sampling indexing strategy in seeking to track the Underlying Index, meaning it generally will invest in a sample of securities in the index whose risk, return and other characteristics resemble the risk, return and other characteristics of the Underlying Index as a whole. The fund will normally invest at least 80% of its net assets, plus the amount of any borrowings for investment purposes, in corporate bonds rated high yield by credit rating agencies (e.g., S&P rating below BBB-). In addition, the fund will invest at least 80% of its total assets, but typically far more, in instruments that comprise the Underlying Index. The fund will concentrate its investments (i.e., hold 25% or more of its total assets) in a particular industry or group of industries to the extent that its Underlying Index is concentrated. As of July 31, 2023, a significant percentage of the Underlying Index was comprised of issuers in the consumer cyclical (20.5%) sector. The consumer cyclical sector encompasses those businesses that tend to be the most sensitive to economic cycles. It includes issuers engaged in the following sub-sectors: automotive, consumer cyclical services, gaming, home construction, leisure, lodging, restaurants, and retailers. The funds exposure to particular sectors or countries may change over time to correspond to changes in the Underlying Index. The fund is not sponsored, endorsed, or promoted by J.P. Morgan Chase & Co., and J.P. Morgan Chase & Co. bears no liability with respect to any index on which the fund is based. Securities lending. The fund may lend securities (up to one-third of total assets) to approved institutions, such as registered broker-dealers, pooled investment vehicles, banks and other financial institutions. In connection with such loans, the fund receives liquid collateral in an amount that is based on the type and value of the securities being lent. Show less