1. JPMorgan Investment Funds Income Opportunity Fund August 2013 All performance data relates to Share Class: JPM A (acc) - USD Fund Overview Quarterly Comments Investment Objective A review To achieve returns in excess of benchmarks Other, debt and currency markets, where appropriate using financial derivative instruments where applicable.
US economic data continued to surprise upside in the second quarter, providing a strong foundation for the Federal Reserve to reduce its current pace of asset purchases. Fund Statistics Morningstar CategoryTM Fund Manager(s) Client Portfolio Manager(s) Fund Launch Date Fund Size (as on 31/08/13) NAV (as on 30/08/13) 12M NAV High (as on 10/05/13) ) 12M NAV Low (as at 30/08/12) Share Class Launch Date Average Duration to Maturity Yield to Maturity Average Maturity USD Flexible Bond William Eigen Jason Strecker 19/07/07 USD 9393.1m 177.93 178.96/1718yr 3.0 years (30/ As of 06/13) the Fund's tenure ended quarterly at 1.1 years. With the exception of high yield (HY) bonds, the portfolio has few negative periods. HY bonds have maintained strong returns year to date.
We are shorting this position due to tightening spreads. The basic story of having a long beta in credit remains intact. In the coming months, we will maintain our focus on lower quality HY bonds as the return for risk in rated and preferred CCCrated names remains attractive B CCC amid low potential defaults and solid fundamentals. Although alternative financing has been a valuable source of return in our strategy, we are reducing positions in this sector based on strength in pricing. Most of this capital is allocated to short-dated HY credit default swaps. At the end of the quarter, we exited preferred positions while adding to short value trades relative to the insurance industry given attractive levels.
The fund's total short exposure represents 19% of the long exposure. Cash is our biggest hedge, ending the month with an allocation of 55%. Outlook Overall, we continue to adhere to the core tenets of the strategy, which is to target inefficiently priced areas of the market while protecting against interest rate risk and general market volatility. We will adjust our free capital from time to time to suit the opportunity presented to us. Benchmark BBA Overnight USD LIBOR Performance (as at 31/08/13) Cumulative Performance s JP M A ( a c c ) USD Calendar Year Performance s Benchmark s J P M A ( a c c ) USD Benchmark Fund Highlights JPM Income Opportunity Fund, an alternative income fund is .
Although returns cannot be guaranteed, the fund aims for positive returns in excess of cash, regardless of the market environment. Because the fund can move flexibly in the fixed income markets by investing only in sectors that it believes offer attractive future returns relative to cash it has the potential to protect capital as well as deliver strong returns. Its low correlation with traditional fixed income funds means it also offers attractive diversification benefits as a complement to traditional portfolios.
Cumulative Performance % JPM A (acc) USD Benchmark 1 M 0.24 0.01 3 M 0.40 0.03 1 Y 2.76 0.15 3 Y 9.56 0.49 5 Y 10 Y 2012 6.52 0.16 JPM A (acc) USD 0.16 0.16 0.03 1 Y 2.76 0.15 3 Y 10 Y 2012 6.52 0.16 Year 2012 01801 Ben 0201 1 YTD010 Cald. 4.58 0.24 2011 0.33 0.16 Annual Performance % JPM A (acc) USD Benchmark 3 Y 3.09 0.16 5 Y Please read the explanatory notes, risks and important information at the end of this document. 10 Y from start 5.52 0.21
2. JPMorgan Investment Funds - Income Opportunity Fund Fund Facts Investor Suitability Fund Codes ISIN Bloomberg Reuters Investor Profile JPM A (acc) USD LU0323456466 JPHIOUA LX LU0323456466.LUF JPHOUA LX LX LU0323456466.LUF JP23456466.LUF JP23456466. LUF JP23456466. LUF JP6M Charge 34084000d Charge (JP36564466) J565D Charge. .) Redemption Charge (Max) Annual Charge Cost TER (Total Expense Ratio) Performance Fee Principal Risks JPM A (acc) USD 3.00% 0.50% 1.00% 0.20% 1.20% 20.00% JPM C (ac.50% 0.50% USD) % 0.15% 0.70% 20.00% The performance fee is 20% when the fund's return exceeds the benchmark return.
Please refer to the fund's prospectus for conditions on application of performance fee. (As at 31/08/13) Statistical Analysis Review Correlation Alpha Beta Annual Volatility Sharpe Ratio Tracking Error Information Ratio Value at Risk (VaR) VaR This is a total return bond subfund aimed at investors seeking returns that are favorable when higher than the benchmark. Reducing the potential for capital losses in the medium term through a diversified multisector approach, focusing on full returns and high-value production from multiple sources. Since the subfund focuses on the bond universe sub rather than cash volatility, investors should have an investment horizon of at least three to five years. 3 years 0.27 2.92 69.85 2.67 1.05 2.67 1.09 5 years The value of the Veetmara investment may fall as well as rise and you may get back less than the original investment.
The value of debt securities can vary significantly depending on economic and interest rate conditions as well as the creditworthiness of the issuer. Issuers of debt securities may fail to meet payment obligations or the credit rating of the debt securities may be downgraded.Can be done. These risks are generally increased for below investment grade debt securities which may also be subject to greater volatility and less liquidity than investment grade debt securities. The creditworthiness of unrated debt securities is not measured by reference to an independent credit rating agency. The value of financial derivative instruments can be volatile. This is because small movements in the value of the underlying asset may cause large movements in the value of financial derivative instruments and, therefore, investment in such instruments may result in losses greater than the amount invested by the Subfund. Sub-movements in currency exchange rates can adversely affect your investment returns. Currency hedging used to reduce the impact of currency fluctuations may not always be successful. (as on 31/08/13) Fund 0.86% Value at Risk (VaR) provides a measure of the potential loss that could arise under normal market conditions over a given time interval and at a given confidence level.
The VaR approach is measured at the 99% confidence level and is based on a one-month time horizon. The holding period in respect of financial derivative instruments for the purpose of calculating global exposure is one month. Please read the specification notes, risks and important information at the end of this document.
3. JPMorgan Investment Funds - Income Opportunity Fund Holdings Bond Quality Breakdown B AAA AA A BBB < BBB Corporate Bonds Non-Rated Cash Percentage Non-Investment Grade (as at 31/08/13) 3.7% 0.9% 0.6% 30% 3.2% 2.30 % % 56.6% 36.5% 33.0% (as of 31/08/13) 10 Largest Holdings Bond Holdings Federal Farm Credit Banks (United States) Toronto Dominion Bank (United States) US Treasury (United States) US Treasury (United States) Mont. Blank Capital (United States) Westpac Bank (Australia) FNMA (United States) DNB (Norway) Mitsubishi UFJ (United States) World Bank (International) Coupon Rate 0.000% 0.300% 0.000% 0.250% 0.000% 0.007%350%207%350 % 0.000% Strategy Split Sector Corporate Credit & High Yield Credit: ABS/MBS Other Global Sovereign/EMD Cash Total Geographic Breakdown Country United States Australia United Kingdom Canada Sweden Netherlands Japan Luxembourg Chile Other Total Please read explanatory notes, risks and important information. End of this document. Date of Maturity C 11/09/13 14/05/14 19/09/13 31/01/14 10/12/13 28/05/14 13/03/14 16/12/13 20/12/13 16/ 09/13 Weight 1.1% 1.1% 1.1% 1.1% 0.9% 0.8% 0.8% 0.8% 0.8% 0.8% (as on 31/08/13) Fund 36.5% 5.7% 1.2% 0.1% 5.10% (as on 31/08/13) /13) Fund 72.4% 3.2% 3.1% 2.8% 2.8% 2.3% 2.0% 1.7% 1.6% 8.1% 100.0%
4. JPMorgan Investment Funds - Income Opportunity Fund Disclosure Notes, Risks and Important Information Notes A The investment objective of the Fund was changed on 16/08/11. The investment objective was revised on 30/06/12. The amendments made for clarity do not change the way the Subfund is managed. B Data is expressed as a percentage of NAV, indicating the leverage taken by the fund.
C Maturity Date refers to the maturity/reset date of the security. For securities whose reference coupon rate is adjusted at least every 397 days, the date of the next coupon rate adjustment is shown. You must remember that past performance is not a guide for the future. The value of investments and the income from them may go down as well as up and investors may not get back the full amount invested.
All performance details are NAVNAV with gross income reinvested. NAV FX adjusted returns are calculated by JPMAM. Composite benchmarks are calculated by JPMAM. Formerly JPM Highbridge Income Opportunity Fund, the fund was renamed on 16/07/08. The base currency of the Subfund was changed from Euro (EUR) to US Dollar (USD) on 04/01/10. Sub Source: J.P. Morgan Important Information This is a promotional document and as such the views expressed herein are not to be taken as advice or a recommendation to buy or sell any investment or interest. Reliance on the information contained in this material is at the sole discretion of the reader. Any research in this document has been obtained and J.P. Actions may have been taken by Morgan Asset Management for its own purposes. The results of such research are provided as additional information and are not necessarily JP.
reflect the views of Morgan Asset Management. Any forecasts, statistics, opinions, statements of financial market trends or investment techniques and strategies expressed, unless otherwise stated, are those of JP Morgan Asset Management as of the date of this document. They are believed to be reliable at the time of writing, management may not necessarily be all inclusive and accuracy is not guaranteed. They may be subject to change without reference or at all without notice to you. It should be noted that the value of investment and income from it may fluctuate according to market conditions and tax treaties and investors may not get back the full amount invested.
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6 Route de Traves, L2633 Senningerberg, Grand L Duchy of Luxembourg, your financial advisor or your JP Morgan Asset Management regional contact. In Switzerland, J.P. Morgan (Suisse) SA, 8, rue de la Confédération, PO Box 5507, 1211 Geneva 11, Switzerland, has been authorized by the Swiss Financial Market Supervisory Authority FINMA as the Swiss representative and as the Fund's paying agent. © 2013 Morningstar. All rights reserved by us. The information contained herein: (1) is proprietary to Morningstar; (2) may not be copied or distributed; AND (3) NOT GUARANTEED TO BE ACCURATE, COMPLETE OR TIMELY. Neither Morningstar nor its content providers are responsible for any loss or damage arising from any use of this information. Past performance is no guarantee of future results.
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