NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE. Highbridge Dynamic Commodities Strategy Fund
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1 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE Highbridge Dynamic Commodities Strategy Fund
2 Agenda Insight Commodities have historically exhibited low correlation to other investments A diversified portfolio (which includes commodities) may benefit from: Lower volatility Higher return potential An inflation hedge Potential to capitalize on increased demand in a growing global economy Process Experienced team managing a similar strategy since July 2007 Unconstrained active approach to investing in commodities with a focus on minimizing downside risk Unique drawdown management feature attempts to adjust the Fund s exposure during periods of stress Results Seeks a more consistent level of risk than conventional commodity strategies Fund seeks higher long-term returns than the benchmark with more consistent level of risk than a passive benchmark Diversification does not guarantee investment returns and does not eliminate the risk of loss. 1
3 Insight Using commodity strategies appropriately Natural resource equity managers Trend followers Long or long-biased commodities managers Potential benefits Liquidity Dividends Tax efficiency Typically trade liquid futures Active management Diversification Inflation Exposure to global growth Potential drawbacks/ costs Primary risk is equity risk Stock-specific risk Primarily trendfollowers May not be pure commodities Volatility Potential negative roll yield Place in portfolio asset allocation Equities Absolute return Real assets Inflation hedge 2
4 Insight Why commodities? Key reasons why investors are considering exposure to commodities: Potential for attractive absolute return Diversification Potential hedge against inflation Growth of emerging economies 3
5 Insight Historically, commodities have acted as a natural inflation hedge In contrast to equities and bonds, commodities may provide investors with a natural hedge against inflation Commodity returns have been positively correlated with both inflation and unexpected inflation Equity and bond portfolios have been especially susceptible to unexpected inflation 50% Asset class correlation to inflation ( ) Inflation Unexpected Inflation 30% 29% 22% 21% Correlation 10% (10%) (30%) (31%) (36%) (34%) (50%) Commodities Stocks Bonds Source: Bloomberg; as of 12/31/11. Shown for illustrative purposes only. Unexpected inflation defined as annual changes in U.S. CPI minus the 3-month Treasury bill rate from a year prior. Commodities represented by S&P GSCI, stocks represented by S&P 500 Index and bonds represented by Barclays Capital U.S. Government Bond Index. Please see disclosure page for index definitions. 4
6 Insight Demand for commodities expected to remain high in a growing global economy Emerging countries are driving global economic growth and demand for commodities Economies in places like China, India and Latin America have far outgrown more developed countries over the past decade Rapid growth of industry and infrastructure can increase demand for commodities and drive up prices Emerging economies are expected to continue to outpace developed economies for the foreseeable future a promising trend for commodities Emerging economies driving global demand for food, energy, building materials and other commodities Source: J.P. Morgan Global Economic Research, J.P. Morgan Asset Management; as of 3/31/12. Past performance is not indicative of future returns. Forecast and aggregate data come from J.P. Morgan Global Economic Research. 5
7 Insight Opportunities in commodities for active management Each commodity sector s performance tends to be dominated by its own supply-and-demand dynamics Active rotation among commodity sectors and individual commodities may allow for more consistent returns compared to an index Dow Jones UBS Commodities Total Return Sub-Sector Indexes Total returns by sector Energy Softs Grains Live stock Industrial metals Precious metals % -50% -25% 0% 25% 50% 75% % -50% -25% 0% 25% 50% 75% % -50% -25% 0% 25% 50% 75% % -50% -25% 0% 25% 50% 75% -75% -50% -25% 0% 25% 50% 75% -75% -50% -25% 0% 25% 50% 75% -75% -50% -25% 0% 25% 50% 75% The energy sub-sector performed negatively in five out of the last seven years; passive management is unable to avoid these periods of underperformance Source: Bloomberg. Past performance is not indicative of future results. Shown for illustrative purposes only. Please see disclosure page for index definitions. 6
8 Process Access to one of the world s leading alternative investment managers Highbridge s statistical arbitrage team has an extensive experience in managing similar portfolios Supported by the infrastructure of Highbridge Capital Management, a global alternative investment management organization since 1992, with over $29 billion in AUM Glenn Dubin Co-Founder Chairman & Chief Executive Officer Todd Builione Managing Partner President, CEO Highbridge Hedge Funds Hedge Fund Investment Committee Mark Vanacore, Portfolio Manager Todd Builione Subu Venkataraman Glenn Dubin Arminio Fraga Jeff Holman Alec McAree Alain Sunier Scott Kapnick Managing Partner CEO Highbridge Principal Strategies HCM Executive Committee Glenn Dubin Todd Builione Scott Kapnick Christopher Hayward Mary Erdoes Arminio Fraga Amaury Bier Christopher Hayward Managing Partner Chief Operating Officer HPS Credit Committee Scott Kapnick Scot French Mike Patterson Purnima Puri Serge Adam Dave Frey Portfolio Management HF Risk Management Business Development & Investor Relations Legal, Regulatory, Compliance & HR Finance, Operations & Technology Portfolio Management HPS Peter Beebee Jerome Benveniste Evan Dick Alain Sunier Statistical Arbitrage Mark Vanacore Multi-Strategy PM, Convertible & Volatility Arbitrage Sassan Alizadeh Global Macro Alec McAree Fundamental L/S Equity Subu Venkataraman Chief Risk Officer Jan Faller Deputy Chief Risk Officer Mark D Andrea Global Head of Institutional Business Development Sebastian Echavarria Global Head of Family Offices & Bank Platforms Greg Eisner COO Business Development & Investor Relations Jeff Holman Global Head of Product Strategy Maston O Neal US Asset Management Noah Greenhill General Counsel John Oliva Chief Compliance Officer Amy Yates Head of Human Resources Jim Glynn Chief Financial Officer Faith Rosenfeld Chief Administrative Officer, HPS James Jordan Director of Finance & Treasury Marc Creatore Head of Operations Serge Adam Credit Opportunities Scot French Mezzanine Debt David Frey Liquid Loan Cliff Friedman Growth Equity Mike Patterson Senior Loan Purnima Puri Credit Opportunities As of March 31,
9 Process Exposure to a diversified mix of commodities Actively managed Actively managed strategy invests in securities linked to the value of commodities or commodity futures contracts to gain broad exposure to various market sectors Combines a fundamental and systematic approach employing factors including the impact of historical prices, the relationships between and among the various commodities and macroeconomic influences Long-biased approach with ability to take short positions Emphasis on risk management Long-term volatility target Drawdown management feature The managers seek to achieve the stated objectives. There can be no guarantee this will be achieved. 8
10 Process Investment universe The Fund employs a long-biased approach with ability to short Its investment universe consists of the of the most liquid, major commodities (1) as well as certain commodity-linked currencies (2) Industrial Agriculture Energy Livestock metals Precious metals Softs Currency Corn Wheat Soybeans Soymeal Soybean oil Crude oil Natural gas Heating oil Unleaded gasoline Aluminum Copper Lead Nickel Zinc Tin Cattle Hogs Gold Silver Cocoa Coffee Cotton Sugar Australian Dollar Source: Highbridge Capital Management, LLC. Shown for illustrative purposes only. (1) Commodity exposure gained primarily through swaps on indexes that will (i) track a single underlying commodity or (ii) track a number of commodities representing a specific sector of the commodity markets or (iii) be representative of the commodity markets. (2) Currency exposure gained through the use of forward foreign exchange and futures contracts. 9
11 Process Portfolio construction The Fund utilizes a proprietary quantitative model to estimate expected returns, manage risk and optimize the risk-return trade-off adjusted for estimated transaction costs The Fund depends on the interaction of four components of the investment process: Forecasting system Risk model Portfolio construction Drawdown management Optimization Execution The forecasting system employs factors based on economic principles and durable relationships present in the commodities markets and seeks to identify the most attractive opportunities The risk model forecasts volatility and correlations among portfolio positions Drawdown management seeks to dynamically adjust the Fund s risk target based on portfolio performance The optimization process seeks to maximize the portfolio s expected return subject to risk targets, transaction cost penalties, leverage penalties, and limits on individual position sizes, sector exposures as well as overall exposure Execution relies on the Fund s dedicated trading desk. Post-trade evaluation is implemented to assess market impact and transaction costs Shown for illustrative purposes only. The managers seek to achieve the stated objectives. There can be no guarantee this will be achieved. 10
12 Process Forecasting system Employ factors based on economic principles and durable relationships present in commodities markets Forecast theme Description Supply/Term structure The Forecasting system seeks to identify profitable trades, given the shape of the futures curve and the supply situation Example: Tight (excess) supplies are bullish (bearish) for commodities Momentum The Forecasting system attempts to capitalize on the continuance of current trends in the commodities market Example: It often takes time for prices to fully reflect new information Value The Forecasting system seeks to find under- or overvalued commodities to help identify an attractive investment opportunity Example: Commodities prices tend to mean revert over the medium to long term due to crop cycles and substitution Shown for illustrative purposes only. 11
13 Process Forecasting system employs factors based on economic principles and durable relationships present in commodities markets Forecasting system example: Supply/ Term structure Individual commodity prices are driven by supply/demand relationships, which are unique for each commodity The fundamentals of wheat were very different from those of corn in 2011 The inventory to consumption ratio for wheat rose above 30% in early 2009, indicating ample supply, while the ratio for corn declined to around 5% by mid-2011, signaling tighter supply Commodity markets tend to trade in line with fundamentals Price movements in 2011 reflected the supply situation: wheat prices declined by 35% relative to corn prices Wheat has been well supplied in 2011 in contrast to corn and has sold off, while corn prices have been more stable Inventory / Consumption ratio 60% 50% 40% 30% 20% 10% Corn Wheat Wheat has been in ample supply 42%.Corn has been in tighter supply 7% 2011YTD Cumulative futures returns 45% 35% 25% 15% 5% -5% -15% -25% -35% Corn Wheat 1% -34% Corn prices are holding up Wheat prices are down 0% Dec-07 Jun-08 Dec-08 Jun-09 Dec-09 Jun-10 Dec-10 Jun-11 Dec-11-45% Jan-11 Apr-11 Jul-11 Oct-11 Source: Bloomberg, USDA, Highbridge Capital Management, LLC; December 31, 2010 December 31, Shown for illustrative purposes only. Past performance is no guarantee of future results. 12
14 Process Risk model Volatility As this example shows, the volatility of commodities can change quickly and dramatically Therefore, it is important to have a dynamic approach to risk management, to adjust exposures when volatility changes Silver prices declined by about 30% in early May... and its volatility increased by 50% since early Silver Futures Price Silver Implied Volatility Price Jan-11 Feb-11 Mar-11 Apr-11 May Implied Vol (Left) Source: The Wall Street Journal, May 5, (Right) Bloomberg, Highbridge Capital Management, LLC; as of 5/31/11. Shown for illustrative purposes only. Past performance is no guarantee of future results. 13
15 Process Risk management aims to preserve capital We attempt to reduce the Fund s exposure during periods of elevated volatility We attempt to reduce the targeted risk as the Fund underperforms. This may preserve capital during extended drawdowns but can lead to periods like October 2011 when we did not participate fully in the market recovery DJ UBS Commodity Index: Sector Commodity Aug-11 Sep-11 Oct-11 Nov-11 Energy Natural Gas -4% -12% -2% -13% Crude Oil -8% -11% 17% 8% Unleaded Gasoline -1% -10% 6% -1% Heating Oil -1% -10% 10% -1% Livestock Live Cattle -3% 8% -3% 3% Lean Hogs -8% 8% 0% 2% Grains Wheat 12% -23% 3% -6% Corn 14% -23% 9% -7% Soybeans 7% -19% 2% -7% Base metals Aluminium -7% -13% 2% -5% Copper -7% -25% 15% -2% Zinc -9% -19% 7% 3% Nickel -11% -21% 11% -11% Precious metals Gold 12% -11% 6% 1% Silver 4% -28% 14% -5% Softs Sugar 0% -11% 2% -8% Cotton 4% -5% 2% -11% Coffee 19% -21% -1% 3% Vegetable oil Soybean Oil 5% -15% 2% -4% HDCSF Net Exposure Jul-11 Aug-11 Sep-11 Oct-11 (Left chart) Source: Dow Jones UBS, Bloomberg; as of 10/31/11. (Right chart) Source: Highbridge Capital Management, LLC. Commodity exposure is shown as a percent of total net assets as of October 31, Shown for illustrative purposes only.past performance does not guarantee future results. Please see disclosure page for index definitions. 14
16 Process Portfolio positioning Net commodity exposure (as of 2/29/12) 90% 80% 82.00% 70% 60% 50% 40% 30% 20% 28.80% Precious Metals and Financial Commodities Energy Industrial Metals Agriculture 10% 0% Precious Metals and Financial Commodities 2.70% 0.20% Energy Industrial Metals Agriculture Source: J.P. Morgan Asset Management. Percent of total net assets. 15
17 Process Risk management Aims to keep Fund risk at a manageable level instead of matching the risk of an unmanaged index, which can fluctuate or spike given market conditions Attempts to quickly reduce exposure to the commodities market as correlations and volatilities increase Seeks to reduce targeted risk during periods of underperformance via drawdown managment feature Flexibility to quickly adjust portfolio holdings as market conditions change: Invest in only the most liquid commodities and focus on shorter-term contracts, which are generally the most active, in each market sector The ability to rebalance daily The managers seek to achieve the stated objectives. There can be no guarantee this will be achieved. 16
18 Results Highbridge Dynamic Commodities Strategy Fund Performance As of March 31, Months YTD 1 Year Since inception 1 A Shares (HDSAX) at NAV 5.04% 5.04% -7.56% 11.94% With 5.25% max. sales charge -0.50% -0.50% % 9.24% Select Shares (HDCSX) at NAV 5.14% 5.14% -7.31% 12.25% Dow Jones-UBS Commodity Index Total Return 0.89% 0.89% % 0.71% Lipper Commodities General Funds Index 3.49% 3.49% % 8.15% Annual operating expenses A Shares Select Shares Expense cap expiration date 2/29/2013 2/29/2013 Expense cap (%) Total annual Fund operating expenses (%) Fee waivers and/or expense reimbursements (%) 2 (0.25) (0.25) Net expenses (%) Inception Date:1/13/10. 2 The Investment Advisor, Administrator and Distributor have contractually agreed to waive fees and/or reimburse expenses to the extent that Total Annual Operating Expenses (excluding Acquired Fund Fees and Expenses, dividend expenses relating to short sales, interest, taxes and extraordinary expenses and expenses related to the Board of Trustees deferred compensation plan) exceed the expense cap of the average daily net assets through the expense cap expiration date. The Fund s service providers have voluntarily agreed to waive additional fees and/or reimburse expenses. This voluntary waiver may be terminated at any time. In addition, the Fund s service providers may voluntarily waive or reimburse certain of their fees, as they may determine, from time to time. The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Current performance may be higher or lower than the performance data shown. For performance current to the most recent month-end, please call Please see disclosure page for index definitions. 17
19 Results Highbridge Dynamic Commodities Strategy Fund Performance review In 1Q12, the Fund (Select Shares) rose to 5.14%: DJ-UBS Commodity Index Total Return was up to 0.89% For 2011, the Fund (Select Shares) fell to -6.78%; DJ-UBS Commodity Index was down at % The Fund outperformed DJ-UBS in January and March and underperformed it in February Performance of the energy sector as well as precious metals and financial commodities was the strongest positive driver of returns Industrial metals and agriculture (including soft commodities) detracted from performance 1Q 2012 Returns (1) (as of March 31, 2011) Absolute Returns Relative Returns Energy + + Precious metals and financial commodities + + Industrial metals - - Agriculture - - Softs - - The energy sector as well as precious metals and financial commodities contributed to results Volatility remained elevated and the Fund s overall net exposure was at lower levels than those maintained in the first half of Returns (1) (as of December 31, 2011) Absolute Returns Relative Returns Energy + + Precious metals and financial commodities + + Softs - + Agriculture - - Industrial metals - - Legend/key for chart above (1) Attribution data for 2011 is for the Selected Share Class to date 12/31/11. Attribution data for 1Q 12 is for Select Shares to date 12/31/11-3/31/12 + O - Contributor Neutral Detractor The performance quoted is past performance and is not a guarantee of future results. Mutual funds are subject to certain market risks. Investment returns and principal value of an investment will fluctuate so that an investor's shares, when redeemed, may be worth more or less than original cost. Current performance may be higher or lower than the performance data shown. For performance current to the most recent month-end, please call Please see disclosure page for index definitions. 18
20 Summary Insight Commodities have historically exhibited low correlation to other investments A diversified portfolio (which includes commodities) may benefit from: Lower volatility Higher return potential An inflation hedge Potential to capitalize on increased demand in a growing global economy Process Experienced team managing a similar strategy since July 2007 Unconstrained active approach to investing in commodities with a focus on minimizing downside risk Unique drawdown management feature attempts to adjust the Fund s exposure during periods of stress Results Seeks a more consistent level of risk than conventional commodity strategies Fund seeks higher long-term returns than the benchmark with more consistent level of risk than a passive benchmark Diversification does not guarantee investment returns and does not eliminate the risk of loss. 19
21 What this means to you Potential for a more consistent investment experience that seeks to capture the upside of commodities while managing downside risk May be appropriate for investors seeking: Long-term exposure to a broad mix of commodities Enhanced portfolio diversification Higher return potential with lower overall risk Potential hedge against inflation Less volatile approach to commodity investing Diversification does not guarantee investment returns and does not eliminate the risk of loss. 20
22 Next steps See latest quarterly commentary and quarter-end fact sheet for specific product information Tickers: A Shares HDSAX C Shares HDCCX Select Shares HDCSX To learn more about increasing your diversification and return potential with the Highbridge Dynamic Commodities Strategy Fund: Contact your financial professional Call Visit 21
23 J.P. Morgan Asset Management Contact your J.P. Morgan Funds client advisor or call our Advisor Service Center at for a Fund prospectus. You can also visit us at Investors should carefully consider the investment objectives and risks as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the mutual fund. Read the prospectus carefully before investing. This document is intended solely to report on various investment views held by J.P. Morgan Asset Management. Opinions, estimates, forecasts and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. We believe the information provided here is reliable but should not be assumed to be accurate or complete. The views and strategies described may not be suitable for all investors. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations. Past performance is no guarantee of future results. RISKS ASSOCIATED WITH INVESTING IN THE FUND Highbridge Dynamic Commodities Strategy Fund The Fund will gain exposure to commodity markets primarily by investing up to 25% of its total assets in the HCM Commodities Strategy Fund Ltd., a wholly owned subsidiary of the Fund organized under the laws of the Cayman Islands. By investing in the Subsidiary, the Fund is indirectly exposed to the risks associated with the Subsidiary s investments. The derivatives and other investments held by the Subsidiary are generally similar to those that are permitted to be held by the Fund and are subject to the same risks that apply to similar investments if held directly by the Fund. The Fund may use derivatives in connection with its investment strategies. Derivatives may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions than other types of investments and could result in losses that significantly exceed the Fund s original investment. The techniques and strategies contemplated by the Fund are expected to result in a high degree of portfolio turnover. Portfolio turnover may vary greatly from year to year as well as within a particular year. High portfolio turnover (e.g. over 100%) may involve correspondingly greater expenses to the Fund, including brokerage commissions or dealer mark-ups and other transaction costs on the sale of securities and reinvestments in other securities. Assets not invested in commodity-linked derivatives, currency-linked derivatives or the Subsidiary will be invested in fixed income securities. The fixed income portion of the Fund is intended to provide liquidity and preserve capital. The Fund generally will only buy securities that have remaining maturities of 397 days or less. The dollar-weighted average maturity of the Fund s fixed income investments will generally be 90 days or less. The Fund s investment in income securities is subject to interest rate risks. Bond prices generally fall when interest rates rise. The Fund will have a significant portion of its assets concentrated in commodity-linked securities. Developments affecting commodities will have a disproportionate impact on the Fund. The Fund s investment in commodity-linked derivative instruments may subject the Fund to greater volatility than investments in traditional securities, particularly if the instruments involve leverage. The value of commodity-linked derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Use of leveraged commodity-linked derivatives creates an opportunity for increased return but, at the same time, creates the possibility for greater loss (including the likelihood of greater volatility of the Fund s net asset value), and there can be no assurance that the Fund s use of leverage will be successful. 22
24 J.P. Morgan Asset Management Past performance is no guarantee of future results. Diversification does not guarantee investment returns and does not eliminate the risk of loss. Total return assumes reinvestment of dividends and capital gains distributions and reflects the deduction of any sales charges, where applicable. Performance may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. If fees had not been waived, performance would have been less favorable. The Barclays Capital CTA Index is an industry benchmark of representative performance of commodity trading advisors. There are currently 533 programs included in the index s calculation, which is unweighted and rebalanced at the beginning of each year. The Barclays Capital U.S. Aggregate Index is an unmanaged index and represents a mix of maturities. It is a replica (or model) of the U.S. government bond, mortgage-backed securities and corporate bond markets. The Barclays Capital U.S. Government Bond Index is an unmanaged index that is composed of securities issued by the U.S. government.the Dow Jones-UBS Commodity Index is composed of futures contracts on 19 physical commodities. The performance of the Lipper Commodities General Funds Average includes expenses associated with a mutual fund, such as investment management fees. These expenses are not identical to the expenses charged by the Fund. The S&P 500 Index is an unmanaged broad-based index that is used as a representation of the U.S. stock market. It includes 500 widely held common stocks. The S&P Goldman Sachs Commodity Index (S&P GSCI) is a long-only, tradable index for physical commodity futures contracts. The index is comprised of the shortest-maturity contracts for each of the 24 physical commodities contracts included in the index. All indexes are unmanaged and an individual cannot invest directly in an index. Index returns do not include fees or expenses. J.P. Morgan Funds are distributed by JPMorgan Distribution Services, Inc., which is an affiliate of JPMorgan Chase & Co. Affiliates of JPMorgan Chase & Co. receive fees for providing various services to the funds. JPMorgan Distribution Services, Inc. is a member of FINRA/SIPC. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated and J.P. Morgan Alternative Asset Management, Inc. JPMorgan Chase & Co., May 2012 FB-HDCS (1Q12) 23
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