Unaudited Semi-Annual Report 31 March JPMorgan Asia Absolute Return Fund

Transcription

1 Unaudited SemiAnnual Report 31 March 2015 JPMorgan Asia Absolute Return Fund

2 This report does not constitute an offer of any units in the fund forming the subject matter of this document (the "Fund"). Subscriptions are only valid if made on the basis of the current information memorandum (or equivalent), supplemented by the most recent financial report, if available. Notice to U.K. residents: This document is only directed to persons believed by JPMorgan Asset Management (U.K.) Limited to be investment professionals as defined in Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, high net worth companies, unincorporated associations and other persons as defined in Article 49 of that Order and to others to whom it can lawfully be distributed or given, inside the United Kingdom, without approval by an authorised person. Persons who do not have professional experience in matters relating to investments should not rely on it and any other person should not act on such information. This document is issued in the U.K. by JPMorgan Asset Management (U.K.) Limited and has been approved solely for the purposes of section 21(2)(b) of the Financial Services and Markets Act 2000 by JPMorgan Asset Management (U.K.) Limited which is authorised and regulated in the U.K. by the Financial Conduct Authority. Registered in England No Registered address: 25 Bank Street, Canary Wharf, London, UK, E14 5JP. Although JPMorgan Asset Management (Europe) S.à r.l., under certain administrative services agreements, provides services to the Fund, the Fund is not subject to the laws of Luxembourg nor is it subject to supervision by any supervisory authority in Luxembourg.

3 Semiannual report for the period ended 313 March 2015 Contents Page Statement of Financial Position 1 Statement of Comprehensive Income 2 Statement of Changes in Net Assets Attributable to Holders of Redeemable Units 3 Statement of Cash Flows 4 Notes to the Financial Statements 5 9 Investment Portfolio Statement of Movements in Portfolio Holdings 12

4 Semiannual report for the period ended 31 March 2015 Statement of Financial Position As at 31 March 2015 (Unaudited) Assets Cash at banks 2,459,245 4,308,176 Amounts due from brokers 448, ,251 Margin deposits 1,467,196 1,609,698 Collateral deposits with brokers 544,300 1,917,000 Derivatives 46, ,911 Investments long positions 38,827,163 46,472,330 Dividend and other accounts receivable 70,683 65,010 Total assets 43,863,603 55,168,376 Liabilities Amounts payable on redemption 4,552, ,170 Performance fee payable 13,260 Derivatives 396, ,650 Investments short positions 500,229 1,758,923 Other accounts payable 77, ,935 Liabilities (excluding net assets attributable to units) 5,527,123 2,676,938 units [Note 3] 38,336,480 52,491,438 The notes on pages 5 to 9 form part of these financial statements. 1

5 Semiannual report for the period ended 31 March 2015 Statement of Comprehensive Income For the period ended 31 March 2015 (Unaudited) to to Income Net gains/(losses) on investments and derivatives [Note 4] 315,636 (799,092) Dividend income 109, ,623 Interest on deposits 1,385 65,257 Securities borrowing fee (net of interest on collateral deposits) (814) (2,683) Net foreign currency exchange losses (83,513) (88,869) Other income ,377 (614,302) Expenses Management fee 244, ,581 Transaction costs 131, ,373 Auditor's fee 31,321 26,378 Legal and professional expenses 15,089 7,730 Trustee's fee 13,769 19,039 Printing and publication expenses 5,022 4,914 Safe custody and bank charges 3,237 5,051 Registrar's fee 1,327 3,436 Valuation fee Performance fee 13,259 Other operating expenses 6,793 13, , ,312 Net operating loss (110,394) (1,307,614) Finance costs Interest paid (699) (2,311) Loss before taxation (111,093) (1,309,925) Taxation (12,372) (30,866) Decrease in net assets attributable to units and total comprehensive income (123,465) (1,340,791) The notes on pages 5 to 9 form part of these financial statements. 2

6 Semiannual report for the period ended 31 March 2015 Statement of Changes in Net Assets Attributable to Holders of Redeemable Units For the period ended 31 March 2015 (Unaudited) to to units at the beginning of the period 52,491,438 84,994,545 Allotment of redeemable units 609,548 Redemption of redeemable units (14,031,493) (13,716,079) Net redemption (14,031,493) (13,106,531) 38,459,945 71,888,014 Decrease in net assets attributable to units and total comprehensive income (123,465) (1,340,791) units at the end of the period 38,336,480 70,547,223 The notes on pages 5 to 9 form part of these financial statements. 3

7 Semiannual report for the period ended 31 March 2015 Statement of Cash Flows For the period ended 31 March 2015 (Unaudited) to to Operating activities Purchase of investments and derivatives (41,040,840) (45,430,015) Proceeds from disposal of investments and derivatives 48,283,081 52,722,388 Decrease in collateral deposits with brokers 1,372,700 1,800,700 Decrease in margin deposits 142,502 3,400,515 Dividend received 83, ,086 Interest received 2,427 27,403 Securities borrowing fee paid (net of interest on collateral deposits) (907) (3,307) Registrar's fee paid (3,864) (6,386) Performance fee paid (13,260) (54,120) Tax paid (12,372) (30,866) Trustee's fee paid (14,127) (19,360) Transaction costs paid (131,879) (212,951) Management fee paid (253,469) (405,415) Others (176,407) (89,143) Net cash inflow from operating activities 8,236,799 11,859,529 Financing activities Interest paid (699) (2,350) Receipts on allotment of redeemable units 609,548 Payments on redemption of redeemable units (10,087,166) (14,316,631) Net cash outflow from financing activities (10,087,865) (13,709,433) Decrease in cash and cash equivalents (1,851,066) (1,849,904) Cash and cash equivalents at the beginning of the period 4,308,176 8,138,060 Exchange gains/(losses) on cash and cash equivalents 2,135 (67,656) Cash and cash equivalents at the end of the period 2,459,245 6,220,500 Analysis of balances of cash and cash equivalents: Cash at banks 2,459,245 2,999,523 Short term deposits 3,220,977 2,459,245 6,220,500 The notes on pages 5 to 9 form part of these financial statements. 4

8 Semiannual report for the period ended 31 March 2015 Notes to the Financial Statements 1 The Fund JPMorgan Asia Absolute Return Fund (the "Fund") was established under a Trust Deed dated 6 September 1989, as amended, and is governed by the laws of the Cayman Islands. The Fund is authorized by the Securities and Futures Commission of Hong Kong. The investment objective of the Fund is to provide investors with longterm capital growth in terms through an aggressively managed portfolio of equities, bonds and currencies, and derivatives of any of these. The Manager seeks to achieve this objective by investing primarily in the AsiaPacific region (including Japan). The Fund may, as considered appropriate by the Manager, hold substantial amounts of its portfolio in cash and cashbased instruments. In order to ensure that the relevant performance fee charged to units would relate more accurately to any investment gains in which they have participated, all units issued on a particular monthly dealing day have notionally been regarded as a separate unit class from units issued on other dealing days. Accordingly, a number of different unit classes are created within the Fund. A merging of separate unit classes will normally occur where, as at a yearend date, a management performance fee becomes payable by each of such unit classes. For unit classes to be merged, all units from respective unit class will be redeemed and subsequently subscribed into a merged unit class. The total value of any unitholders' units is not affected by the merger. On 3 October 2014, there was no merging of unit classes in respect of the financial. Pursuant to the Trust Deed, with effect from 20 December 2002, all units for any new unit classes are issued at a fixed price of 10 per unit (the "Subscription Price"). A preliminary charge per unit of up to 5 per cent of Subscription Price on the issue of unit is charged and paid to the Manager. All unitholders' rights with regard to the convening, voting or otherwise acting at any meeting of unitholders are the same. 2 Summary of principal accounting policies (a) Accounting policies of interim financial statements The accounting policies and methods of computation used in the preparation of these unaudited condensed interim financial statements are consistent with those used in the annual financial statements for the. (b) Investments and derivatives Classification The Fund classifies its investments and derivatives as financial assets or financial liabilities at fair value through profit or loss. These financial assets or financial liabilities are heldfortrading as they are acquired or incurred principally for the purpose of selling or repurchasing in the near term or shortterm profit taking. All derivatives are carried in assets when amounts are receivable by the Fund and in liabilities when amounts are payable by the Fund. The Fund makes short sales in which a borrowed security is sold in anticipation of a decline in the market value of that security, or it may use short sales for various arbitrage transactions. Short sales are classified as financial liabilities at fair value through profit or loss. Recognition, derecognition and measurement Purchases and sales of investments and derivatives are accounted for on the trade date basis. Investments and derivatives are initially recognized at fair value and are subsequently remeasured at fair value. Realized and unrealized gains and losses on investments and derivatives are recognized in the Statement of Comprehensive Income. Investments and derivatives are derecognized when the rights to receive cash flows from the investments and derivatives have expired or the Fund has transferred substantially all risks and rewards of ownership. Fair value estimation Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value of financial assets and liabilities traded in active markets are based on last traded prices. When trading in the securities of an investee company is suspended, the investment is valued at the Manager's estimate of its fair value. Debt securities are fair valued based on quoted prices inclusive of accrued interest. Investments in collective investment schemes are stated at fair value based on the net asset value per unit of the respective funds as determined by the administrators of the relevant funds or stated at last traded prices if the collective investment schemes are listed or traded on an exchange. 5

9 Semiannual report for the period ended 31 March 2015 Open future and swap contracts are valued at last traded prices for both long and short positions at the valuation date. The differences between the last traded prices and the contract prices are recognized in the Statement of Comprehensive Income. Open option contracts are valued at last traded prices for both long and short positions at the valuation date. The differences between the last traded prices and the premium amounts/contract prices are recognized in the Statement of Comprehensive Income. Forward foreign exchange contracts are valued at the forward rates ruling at the valuation date. The differences between the forward rates and the contract rates are recognized in the Statement of Comprehensive Income. (c) Securities lending and borrowing Securities lenders' agreements are entered into with institutions of appropriate financial standing who engage in such arrangements acceptable to the Trustee and on arm's length commercial terms. Securities lent are included in the investment portfolio of the Fund. Relevant securities lending income entitled by the Fund is accounted for in the Statement of Comprehensive Income. Collateral received for the purpose of securities lent generally consist of noncash collateral which are offbalance sheet transactions and are therefore not included in the financial statements. The Fund may enter into securities borrowing arrangements for short sale purposes. Short positions represent obligations to deliver securities sold but not yet purchased, and are accounted for as investments and valued at their fair value. Securities borrowed during the period/year are offbalance sheet transactions and are therefore not included in the investment portfolio of the Fund. Collateral placed for the purpose of securities borrowed generally consist of cash collateral and are included in the Statement of Financial Position separately. (d) Foreign currency translation Functional and presentation currency The Fund has adopted United States dollar as its functional and presentation currency. Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation of assets and liabilities denominated in foreign currencies at period/year end exchange rates are recognized in the Statement of Comprehensive Income. Foreign exchange gains and losses relating to cash and cash equivalents are presented in the Statement of Comprehensive Income within "Net foreign currency exchange gains/losses". Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the Statement of Comprehensive Income within "Net gains/losses on investments and derivatives". (e) Proceeds and payments on allotment and redemption of units The net asset value per unit is computed for each dealing day. The price at which units are allotted or redeemed is calculated by reference to the net asset value per unit as at the close of business on the relevant dealing day in accordance with the provisions of the Fund's Trust Deed dated 6 September 1989, as amended, which may be different from the accounting policies stated in the financial statements. Units of the Fund are redeemable at the option of the units and are classified as a financial liability in the Statement of Financial Position which represents the net assets attributable to units (or "net asset value" or "net assets" or "NAV") and is carried at the redemption amount that would be payable at the Statement of Financial Position date if the units exercised the right to redeem units of the Fund. 6

10 Semiannual report for the period ended 31 March Number of units in issue and net assets attributable to units (per unit) Class A Class 1010 Class 1104 Class 1305 Class 1310 Units Units Units Units Units Number of units in issue: 570, , , , , units 36,158, , , ,092 49,537 units (per unit) Class 1311 Class 1312 Class 1401 Class 1404 Class 1405 Units Units Units Units Units Number of units in issue: 18, , , , , units 173, , ,195 34, ,879 units (per unit) Class 1406 Class 1407 Class 1408 Units Units Units Number of units in issue: 5, , , units 49,238 32,216 56,921 units (per unit)

11 Semiannual report for the period ended 31 March Class A Class 1010 Class 1104 Class 1305 Class 1310 Units Units Units Units Units Number of units in issue: 777, , , , , units 49,339,093 1,099, , ,231 49,581 units (per unit) Class 1311 Class 1312 Class 1401 Class 1404 Class 1405 Units Units Units Units Units Number of units in issue: 18, , , , , units 173, , ,394 34, ,353 units (per unit) Class 1406 Class 1407 Class 1408 Units Units Units Number of units in issue: 5, , , units 49, ,715 56,972 units (per unit)

12 Semiannual report for the period ended 31 March Net gains/(losses) on investments and derivatives to to Change in unrealized gains/losses in value of investments and derivatives 616,111 (1,244,042) Realized (losses)/gains on sale of investments and derivatives (300,475) 444, ,636 (799,092) 5 Soft dollar arrangements/commission sharing arrangements The Investment Manager has entered into soft dollar arrangements/commission sharing arrangements with brokers under which certain goods and services used to support investment decision making are received by the Investment Manager. The Investment Manager does not make direct payment for these services but transacts an agreed amount of business with the brokers on behalf of the Fund. Commission is paid from the Fund on these transactions. The goods and services must be of demonstrable benefit to the Fund and may include research and advisory services; economic and political analysis; portfolio analysis, including valuation and performance measurement; market analysis, data and quotation services, computer hardware and software incidental to the above goods and services; clearing and custodian services and investmentrelated publications. 6 Distribution No distribution was made during the period (31 March 2014: nil). 9

13 Semiannual report for the period ended 31 March 2015 Investment Portfolio As at 31 March 2015 (Unaudited) Holding Fair value % of net assets Listed/Quoted Investments (99.1%) (I) Equities (26.9%) China (6.5%) China CITIC Bank 'H' 700, , China State Construction Intl 400, , CSPC Pharmaceutical Group 300, , Fu Shou Yuan Intl Group 500, , New China Life Insurance 'H' 90, , Qihoo 360 Technologies ADR 8, , Hong Kong (4.8%) BOC Hong Kong (Hldgs) 150, , Chow Tai Fook Jewellery Group 218, , CK Hutchison Hldgs 15, , HSBC HldgsHK List 51, , New World Development 300, , India (1.3%) Axis Bank 20, , ICICI Bank ADR 30, , Japan (7.6%) Bridgestone Corp 6, , Daikin Industries 5, , Hitachi Ltd 70, , Honda Motor 8, , JFE Hldgs 10, , Orix Corp 20, , Softbank Corp 10, , Suzuki Motor 12, , Taiheiyo Cement 100, , Takeda Pharmaceutical (10,000) (500,229) (1.3) Toshiba Corp 80, , Korea (4.4%) CJ O Shopping Co 1, , Hyundai Marine & Fire Insurance 10, , Hyundai Motor 2, , KIA Motors 8, , Samsung Fire & Marine Insurance 1, , Shinhan Financial Group 10, , Singapore (0.9%) United Overseas Bank 20, , Thailand (1.4%) Kasikornbank Public Co (F) 50, , PTT Exploration & Production (F) 60, , ,315, (II) Debt Securities (73.1%) Cayman Islands (13.1%) China Overs Fin III5.375%10/23RegS USD1,000,000 1,109, China Overs Fin VI 5.95% 5/24RegS USD1,000,000 1,155, New World China Land 8.5% 4/15RegS CNH16,450,000 2,755,

14 Semiannual report for the period ended 31 March 2015 Investment Portfolio (Continued) As at 31 March 2015 (Unaudited) Holding Fair value % of net assets China (8.4%) Bank of China 5% 13/11/24RegS USD2,000,000 2,149, Ind & Comm Bk CN 6% PerpRegS USD1,000,000 1,065, Hong Kong (32.8%) Bank of East Asia VRN 8.5%PerpRegS USD2,000,000 2,404, Bank of East VRN 4.25% 11/24RegS USD500, , China Unicom HK 4% 16/04/17RegS CNH10,000,000 1,602, Cosco Pacific Fin 4.375% 31/01/23 USD3,500,000 3,406, Dah Sing Bank VRN 5.25%29/1/24RegS USD500, , SinoOcean Land VRN 10.25%PerpRegS USD2,000,000 2,219, Yuexiu Property 4.5% 24/01/23 USD2,000,000 1,908, Singapore (8.6%) Olam Intl 7.5% 12/08/20 USD2,000,000 2,276, Pakuwon Prima 7.125% 02/07/19RegS USD1,000,000 1,025, United Kingdom (4.2%) CCBL Funding 3.2% 29/11/15RegS CNH10,000,000 1,612, Virgin Islands (6.0%) Fita Intl 7% 10/02/20 USD2,000,000 2,280, ,011, (III) Derivatives (0.9%) Forward foreign exchange contracts (0.0%) (19,206) (0.0) Futures (0.9%) HSCEI (HFE) Fut 04/15 (30) (68,283) (0.2) HSI (HFE) Fut 04/15 (5) (18,444) (0.1) JGB 10Yr Bond (OSE) Fut 06/15 (10) (3,752) (0.0) KOSPI 200 (KFE) Fut 06/15 (20) (55,884) (0.1) Share Price Idx 200 (SFE) Fut 06/15 (5) (5,730) (0.0) TOPIX (OSE) Fut 06/15 (40) (78,382) (0.2) US 10Yr Note (CBT) Fut 06/15 (110) (100,156) (0.3) (349,837) (0.9) Total Listed/Quoted Investments 37,977, Cash at banks 2,459, Other net liabilities (2,099,862) (5.5) units at 31 March ,336, Total investments, at cost less proceeds on short positions 38,393,265 11

15 Semiannual report for the period ended 31 March 2015 Statement of Movements in Portfolio Holdings For the period ended 31 March 2015 (Unaudited) % holdings of net assets Listed/Quoted Investments Equities Japan China Hong Kong Korea Thailand India Singapore 0.9 Philippines 0.7 Indonesia 0.6 Debt Securities Hong Kong Cayman Islands Singapore 8.6 China 8.4 Virgin Islands United Kingdom Derivatives Forward foreign exchange contracts (0.0) 0.5 Futures (0.9) 0.1 Total Listed/Quoted Investments Cash at banks Other net (liabilities)/assets (5.5) 6.0 units

16 FR/DP/0115

17

18 This report does not constitute an offer of any units in the fund forming the subject matter of this document (the "Fund"). Subscriptions are only valid if made on the basis of the current information memorandum (or equivalent), supplemented by the most recent financial report, if available. Notice to U.K. residents: This document is only directed to persons believed by JPMorgan Asset Management (U.K.) Limited to be investment professionals as defined in Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, high net worth companies, unincorporated associations and other persons as defined in Article 49 of that Order and to others to whom it can lawfully be distributed or given, inside the United Kingdom, without approval by an authorised person. Persons who do not have professional experience in matters relating to investments should not rely on it and any other person should not act on such information. This document is issued in the U.K. by JPMorgan Asset Management (U.K.) Limited and has been approved solely for the purposes of section 21(2)(b) of the Financial Services and Markets Act 2000 by JPMorgan Asset Management (U.K.) Limited which is authorised and regulated in the U.K. by the Financial Conduct Authority. Registered in England No Registered address: 25 Bank Street, Canary Wharf, London, UK, E14 5JP. Although JPMorgan Asset Management (Europe) S.à r.l., under certain administrative services agreements, provides services to the Fund, the Fund is not subject to the laws of Luxembourg nor is it subject to supervision by any supervisory authority in Luxembourg.

19 year ended 303 September 2014 Contents Page Statement of Responsibilities of the Manager and the Trustee 1 Report of the Trustee to the Unitholders 1 Independent Auditor s Report to the Unitholders and the Trustee 2 Statement of Financial Position 3 Statement of Comprehensive Income 4 Statement of Changes in Net Assets Attributable to Holders of Redeemable Units 5 Statement of Cash Flows 6 Notes to the Financial Statements 7 29 Investment Portfolio Unaudited Statement of Movements in Portfolio Holdings Unaudited 33 Performance Record Unaudited Management and Administration 42

20 Statement of Responsibilities of the Manager and the Trustee Manager's Responsibilities The Manager of the Fund is required by the Code on Unit Trusts and Mutual Funds established by the Securities and Futures Commission of Hong Kong and the Trust Deed to prepare financial statements for each annual accounting period which give a true and fair view of the financial position of the Fund at the end of that period and of the transactions for the period then ended. In preparing these financial statements, the Manager is required to: select suitable accounting policies and then apply them consistently; make judgments and estimates that are prudent and reasonable; and prepare the financial statements on the basis that the Fund will continue in operation unless it is inappropriate to presume this. The Manager is also required to manage the Fund in accordance with the Trust Deed and take reasonable steps for the prevention and detection of fraud and other irregularities. Trustee's Responsibilities The Trustee of the Fund is required to: ensure that the Fund is managed by the Manager in accordance with the Trust Deed and that the investment and borrowing powers are complied with; satisfy itself that sufficient accounting and other records have been maintained; safeguard the property of the Fund and rights attaching thereto; and report to the unitholders for each annual accounting period on the conduct of the Manager in the management of the Fund. Report of the Trustee to the Unitholders We hereby confirm that, in our opinion, the Manager of the Fund has, in all material respects, managed the Fund in accordance with the provisions of the Trust Deed dated 6 September 1989, as amended, for the. HSBC Trustee (Cayman) Limited, Trustee 16 January

21 Independent Auditor's Report To the Unitholders (as a body) and the Trustee of JPMorgan Asia Absolute Return Fund (the "Fund") Report on the Financial Statements We have audited the financial statements of the Fund set out on pages 3 to 29, which comprise the Statement of Financial Position as at 30 September 2014, and the Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable to Holders of Redeemable Units and Statement of Cash Flows for the year then ended, and a summary of significant accounting policies and other explanatory information. Management's Responsibility for the Financial Statements The Trustee and the Manager (the "Management") of the Fund are responsible for the preparation of financial statements that give a true and fair view in accordance with Hong Kong Financial Reporting Standards issued by the Hong Kong Institute of Certified Public Accountants, and are responsible for ensuring that the financial statements have been properly prepared in accordance with the relevant disclosure provisions of the Trust Deed dated 6 September 1989, as amended (the "Trust Deed") and Appendix E of the Code on Unit Trusts and Mutual Funds issued by the Securities and Futures Commission of Hong Kong (the "SFC Code"), and for such internal control as the Management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor's Responsibility Our responsibility is to express an opinion on these financial statements based on our audit and to report our opinion solely to you, as a body, and for no other purpose. We do not assume responsibility towards or accept liability to any other person for the contents of this report. We conducted our audit in accordance with Hong Kong Standards on Auditing issued by the Hong Kong Institute of Certified Public Accountants. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. We are also required to assess whether the financial statements of the Fund have been properly prepared, in all material respects, in accordance with the relevant disclosure provisions of the Trust Deed and the SFC Code. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor's judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the auditor considers internal control relevant to the Fund's preparation of financial statements that give a true and fair view in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of the Fund as at 30 September 2014, and of its financial transactions and cash flows for the year then ended in accordance with Hong Kong Financial Reporting Standards. Report on Other Legal and Regulatory Requirements In our opinion, the financial statements have been properly prepared, in all material respects, in accordance with the relevant disclosure provisions of the Trust Deed and the SFC Code. PricewaterhouseCoopers Cayman Islands, 16 January

22 Statement of Financial Position As at 30 September Assets Cash at banks 4,308,176 78,962 Short term deposits 9,809,211 Amounts due from brokers 320,251 2,793,028 Margin deposits 1,609,698 5,624,491 Collateral deposits with brokers [Note 9] 1,917,000 4,935,100 Derivatives [Note 4(I)(a)] 475, ,393 Investments long positions [Note 4(I)(a)] 46,472,330 72,600,567 Dividend and other accounts receivable 65,010 97,091 Total assets 55,168,376 96,364,843 Liabilities Short term bank loans unsecured [Note 7(i)] 1,750,113 Amounts due to brokers 1,493,510 Amounts payable on redemption 608,170 1,675,834 Performance fee payable [Note 7(f)] 13,260 54,120 Derivatives [Note 4(I)(a)] 157,650 1,596,892 Investments short positions [Note 4(I)(a)] 1,758,923 4,625,427 Other accounts payable 138, ,402 Liabilities (excluding net assets attributable to units) 2,676,938 11,370,298 units [Note 3] 52,491,438 84,994,545 Approved by the Trustee and the Manager on 16 January 2015 Signed By: HSBC Trustee (Cayman) Limited, Trustee JPMorgan Funds (Asia) Limited, Manager The notes on pages 7 to 29 form part of these financial statements. 3

23 Statement of Comprehensive Income For the Income Net (losses)/gains on investments and derivatives [Note 5] (1,605,999) 7,983,110 Dividend income 510, ,705 Interest on deposits 71,166 15,196 Securities borrowing fee (net of interest on collateral deposits) [Note 9] (4,628) (23,071) Net foreign currency exchange losses (114,517) (429,067) Other income 462 (1,143,161) 8,334,873 Expenses Management fee [Note 7(e)] 723, ,088 Transaction costs 408, ,263 Auditor's fee 56,000 53,392 Trustee's fee [Note 8] 36,288 39,804 Legal and professional expenses 15,808 6,320 Performance fee [Note 7(f)] 13,260 54,120 Registrar's fee [Note 7(k)] 11,233 12,245 Safe custody and bank charges 11,127 16,861 Printing and publication expenses 9,505 7,214 Valuation fee [Note 7(e)] Other operating expenses 15,431 12,160 1,301,791 1,894,307 Net operating (loss)/profit (2,444,952) 6,440,566 Finance costs Interest paid (2,876) (11,320) (Loss)/profit before taxation (2,447,828) 6,429,246 Taxation [Note 6] (51,970) (90,781) (2,499,798) 6,338,465 Change in cumulative difference arising from the fair value adjustment of units of the Fund (511,022) (Decrease)/increase in net assets attributable to units and total comprehensive income (2,499,798) 5,827,443 The notes on pages 7 to 29 form part of these financial statements. 4

24 Statement of Changes in Net Assets Attributable to Holders of Redeemable Units For the units at the beginning of the year 84,994,545 87,750,702 Allotment of redeemable units [Note 3] 1,394,269 11,070,331 Redemption of redeemable units [Note 3] (31,397,578) (19,653,931) Net redemption (30,003,309) (8,583,600) 54,991,236 79,167,102 (Decrease)/increase in net assets attributable to units and total comprehensive income (2,499,798) 5,827,443 units at the end of the year 52,491,438 84,994,545 The notes on pages 7 to 29 form part of these financial statements. 5

25 Statement of Cash Flows For the Operating activities Purchase of investments and derivatives (94,640,717) (229,823,555) Proceeds from disposal of investments and derivatives 115,794, ,095,360 Decrease/(increase) in margin deposits 4,014,793 (1,007,394) Decrease in collateral deposits with brokers 3,018,100 3,817,000 Dividend received 536, ,986 Interest received 71,415 15,999 Securities borrowing fee paid (net of interest on collateral deposits) (5,159) (24,057) Registrar's fee paid (11,646) (12,803) Trustee's fee paid (37,137) (39,555) Tax paid (51,970) (90,781) Performance fee paid (54,120) (1,519) Transaction costs paid (417,466) (849,693) Management fee paid (750,651) (844,195) Others (86,260) (777,293) Net cash inflow from operating activities 27,380,377 18,244,500 Financing activities Interest paid (2,915) (11,305) Receipts on allotment of redeemable units [Note 12] 1,394,269 11,120,331 Payments on redemption of redeemable units [Note 12] (32,465,242) (21,236,403) Net cash outflow from financing activities (31,073,888) (10,127,377) (Decrease)/increase in cash and cash equivalents (3,693,511) 8,117,123 Cash and cash equivalents at the beginning of the year 8,138,060 (233,158) Exchange (losses)/gains on cash and cash equivalents (136,373) 254,095 Cash and cash equivalents at the end of the year 4,308,176 8,138,060 Analysis of balances of cash and cash equivalents: Cash at banks 4,308,176 78,962 Short term deposits 9,809,211 Short term bank loans unsecured (1,750,113) 4,308,176 8,138,060 The notes on pages 7 to 29 form part of these financial statements. 6

26 Notes to the Financial Statements 1 The Fund JPMorgan Asia Absolute Return Fund (the "Fund") was established under a Trust Deed dated 6 September 1989, as amended, and is governed by the laws of the Cayman Islands. The Fund is authorized by the Securities and Futures Commission of Hong Kong ("SFC"). The investment objective of the Fund is to provide investors with longterm capital growth in terms through an aggressively managed portfolio of equities, bonds and currencies, and derivatives of any of these. The Manager seeks to achieve this objective by investing primarily in the AsiaPacific region (including Japan). The Fund may, as considered appropriate by the Manager, hold substantial amounts of its portfolio in cash and cashbased instruments. In order to ensure that the relevant performance fee charged to units would relate more accurately to any investment gains in which they have participated, all units issued on a particular monthly dealing day have notionally been regarded as a separate unit class from units issued on other dealing days. Accordingly, a number of different unit classes are created within the Fund. A merging of separate unit classes will normally occur where, as at a yearend date, a management performance fee becomes payable by each of such unit classes. For unit classes to be merged, all units from respective unit class will be redeemed and subsequently subscribed into a merged unit class. The total value of any unitholders' units is not affected by the merger. On 3 October 2014, there was no merging of unit classes in respect of this financial year. Pursuant to the Trust Deed, with effect from 20 December 2002, all units for any new unit classes are issued at a fixed price of 10 per unit (the "Subscription Price"). A preliminary charge per unit of up to 5 per cent of Subscription Price on the issue of unit is charged and paid to the Manager. All unitholders' rights with regard to the convening, voting or otherwise acting at any meeting of unitholders are the same. 2 Summary of principal accounting policies The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all the years presented, unless otherwise stated. (a) Basis of preparation of financial statements The financial statements of the Fund have been prepared in accordance with Hong Kong Financial Reporting Standards ("HKFRS"). The financial statements have been prepared under the historical cost convention, as modified by the revaluation of financial assets and financial liabilities (including derivative financial instruments) held at fair value through profit or loss. The preparation of financial statements in conformity with HKFRS requires the use of certain critical accounting estimates. It also requires the Manager and the Trustee (the "Management") to exercise their judgment in the process of applying the Fund's accounting policies. Standards and amendments to existing standards effective 1 October 2013 HKFRS 13, "Fair Value Measurement" The standard improves consistency and reduces complexity by providing a precise definition of fair value and a single source of fair value measurement and disclosure requirements for use across HKFRSs. The requirements do not extend the use of fair value accounting but provide guidance on how it should be applied where its use is already required or permitted by other standards within HKFRS. If an asset or a liability measured at fair value has a bid price and an ask price, the standard requires valuation to be based on a price within the bidask spread that is most representative of fair value and allows the use of midmarket pricing or other pricing conventions that are used by market participants as a practical expedient for fair value measurement within a bidask spread. On adoption of the standard, the Fund changed its valuation inputs for listed investments to last traded prices. The use of last traded prices is recognized as a standard pricing convention within the industry. Amendments to HKFRS 7, "Disclosures Offsetting Financial Assets and Financial Liabilities" require additional disclosures to enable users of financial statements to evaluate the effect or the potential effects of netting arrangements, including rights of setoff associated with the Fund's recognized financial assets and recognized financial liabilities, on the Fund's financial position. The amendments did not have any impact on the Fund's financial position or performance. Standards and amendments to existing standards effective after 1 October 2013 that have been early adopted by the Fund Amendments to Hong Kong Accounting Standard ("HKAS") 32, "Offsetting Financial Assets and Financial Liabilities" is effective for annual periods beginning on or after 1 January 2014, and have been early adopted by the Fund. These amendments clarify the offsetting criteria in HKAS 32 and address inconsistencies in their application. This includes clarifying the meaning of "currently has a legally enforceable right of setoff" and that some gross settlement systems may be considered equivalent to net settlement. The amendments did not have any impact on the Fund's financial position or performance. 7

27 There are no other standards, interpretations or amendments to existing standards that are effective for the financial year on or after 1 October 2013 that would be expected to have a material impact on the Fund. (b) Investments and derivatives Classification The Fund classifies its investments and derivatives as financial assets or financial liabilities at fair value through profit or loss. These financial assets or financial liabilities are heldfortrading as they are acquired or incurred principally for the purpose of selling or repurchasing in the near term or shortterm profit taking. All derivatives are carried in assets when amounts are receivable by the Fund and in liabilities when amounts are payable by the Fund. The Fund makes short sales in which a borrowed security is sold in anticipation of a decline in the market value of that security, or it may use short sales for various arbitrage transactions. Short sales are classified as financial liabilities at fair value through profit or loss. Recognition, derecognition and measurement Purchases and sales of investments and derivatives are accounted for on the trade date basis. Investments and derivatives are initially recognized at fair value and are subsequently remeasured at fair value. Realized and unrealized gains and losses on investments and derivatives are recognized in the Statement of Comprehensive Income. Investments and derivatives are derecognized when the rights to receive cash flows from the investments and derivatives have expired or the Fund has transferred substantially all risks and rewards of ownership. Fair value estimation Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. The fair value of financial assets and liabilities traded in active markets are based on last traded prices. When trading in the securities of an investee company is suspended, the investment is valued at the Manager's estimate of its fair value. Debt securities are fair valued based on quoted prices inclusive of accrued interest. Investments in collective investment schemes are stated at fair value based on the net asset value per unit of the respective funds as determined by the administrators of the relevant funds or stated at last traded prices if the collective investment schemes are listed or traded on an exchange. Open future and swap contracts are valued at last traded prices for both long and short positions at the valuation date. The differences between the last traded prices and the contract prices are recognized in the Statement of Comprehensive Income. Open option contracts are valued at last traded prices for both long and short positions at the valuation date. The differences between the last traded prices and the premium amounts/contract prices are recognized in the Statement of Comprehensive Income. Forward foreign exchange contracts are valued at the forward rates ruling at the valuation date. The differences between the forward rates and the contract rates are recognized in the Statement of Comprehensive Income. Transfers between levels of the fair value hierarchy Transfers between levels of the fair value hierarchy are deemed to have occurred at the beginning of the reporting period. (c) Securities lending and borrowing Securities lenders' agreements are entered into with institutions of appropriate financial standing who engage in such arrangements acceptable to the Trustee and on arm's length commercial terms. Securities lent are included in the investment portfolio of the Fund. Relevant securities lending income entitled by the Fund is accounted for in the Statement of Comprehensive Income. Collateral received for the purpose of securities lent generally consist of noncash collateral which are offbalance sheet transactions and are therefore not included in the financial statements. The Fund may enter into securities borrowing arrangements for short sale purposes. Short positions represent obligations to deliver securities sold but not yet purchased, and are accounted for as investments and valued at their fair value. Securities borrowed during the year are offbalance sheet transactions and are therefore not included in the investment portfolio of the Fund. Collateral placed for the purpose of securities borrowed generally consist of cash collateral and are included in the Statement of Financial Position separately. Refer to Note 9. 8

28 (d) Offsetting financial instruments Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or realize the asset and settle the liability simultaneously. (e) Income and expense Dividend income is recognized on the exdividend date with the corresponding foreign withholding tax recorded as an expense and is accounted for in the Statement of Comprehensive Income. Interest income on investments is accounted for as part of net gains/losses on investments and derivatives in the Statement of Comprehensive Income. Interest income on cash at banks and shortterm deposits is accounted for in the Statement of Comprehensive Income on an effective interest basis. Expenses are accounted for in the Statement of Comprehensive Income on an accrual basis. (f) Foreign currency translation Functional and presentation currency The Fund has adopted United States dollar as its functional and presentation currency. Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation of assets and liabilities denominated in foreign currencies at year end exchange rates are recognized in the Statement of Comprehensive Income. Foreign exchange gains and losses relating to cash and cash equivalents are presented in the Statement of Comprehensive Income within "Net foreign currency exchange gains/losses". Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the Statement of Comprehensive Income within "Net gains/losses on investments and derivatives". (g) Cash and cash equivalents For the purpose of the Statement of Cash Flows, cash and cash equivalents comprise cash at banks and bank deposits with maturity of three months or less from the date of placing the deposits, net of certain shortterm bank loans which the Fund usually undertakes as overnight bank borrowings. (h) Margin deposits Margin deposits with brokers for trading of future and swap contracts are stated at amortized cost using the effective interest method. (i) Amounts due from/to brokers Amounts due from/to brokers represent receivables for investments and derivatives sold and payables for investments and derivatives purchased that have been contracted for but not yet settled by the end of the year. (j) Proceeds and payments on allotment and redemption of units The net asset value per unit is computed for each dealing day. The price at which units are allotted or redeemed is calculated by reference to the net asset value per unit as at the close of business on the relevant dealing day in accordance with the provisions of the Fund's Trust Deed dated 6 September 1989, as amended, which may be different from the accounting policies stated in the financial statements. Units of the Fund are redeemable at the option of the units and are classified as a financial liability in the Statement of Financial Position which represents the net assets attributable to units (or "net asset value" or "net assets" or "NAV") and is carried at the redemption amount that would be payable at the Statement of Financial Position date if the units exercised the right to redeem units of the Fund. 9

29 3 Number of units in issue and net assets attributable to units (per unit) Number of units in issue 2014 Number of units in issue: Class A Class 1009 Class 1010 Class 1011 Class 1012 Units Units Units Units Units At the beginning of the year 1,012, , , , , Total allotments Total redemptions (337, ) (10, ) Merger [Note 1 and 12] 102, (93, ) (47, ) (15, ) At the end of the year 777, , units 49,339,093 1,099,104 units (per unit) Number of units in issue: Class 1101 Class 1102 Class 1103 Class 1104 Class 1105 Units Units Units Units Units At the beginning of the year 89, , , , , Total allotments Total redemptions (24, ) Merger [Note 1 and 12] (89, ) (122, ) (23, ) (15, ) At the end of the year 55, units 533,276 units (per unit)

30 Number of units in issue: Class 1106 Class 1108 Class 1110 Class 1202 Class 1209 Units Units Units Units Units At the beginning of the year 15, , , , , Total allotments Total redemptions Merger [Note 1 and 12] (15, ) (5, ) (46, ) (8, ) (5, ) At the end of the year units units (per unit) Number of units in issue: Class 1210 Class 1211 Class 1302 Class 1304 Class 1305 Units Units Units Units Units At the beginning of the year 6, , , , , Total allotments Total redemptions (17, ) Merger [Note 1 and 12] (6, ) (10, ) (61, ) (84, ) At the end of the year 16, units 156,231 units (per unit)

31 Number of units in issue: Class 1306 Class 1308 Class 1310 Class 1311 Class 1312 Units Units Units Units Units At the beginning of the year 10, , Total allotments 5, , , Total redemptions (900, ) Merger [Note 1 and 12] (10, ) At the end of the year 5, , , units 49, , ,058 units (per unit) Number of units in issue: Class 1401 Class 1404 Class 1405 Class 1406 Class 1407 Units Units Units Units Units At the beginning of the year Total allotments 22, , , , , Total redemptions Merger [Note 1 and 12] At the end of the year 22, , , , , units 222,394 34, ,353 49, ,715 units (per unit)