Unaudited Semi-Annual Report. GIM Portfolio Strategies Funds II Société d Investissement à Capital Variable, Luxembourg (R.C.S. No.

Transcription

1 Unaudited Semi-Annual Report GIM Portfolio Strategies Funds II Société d Investissement à Capital Variable, Luxembourg (R.C.S. No. B ) 31 March 2016

2 Unaudited Semi-Annual Report Contents Board of Directors 1 Management and Administration 2 Unaudited Financial Statements and Statistical Information Statement of Net Assets 3 Statement of Operations and Changes in Net Assets 4 Statement of Changes in the Number of Shares 5 Statistical Information 5 Notes to the Unaudited Financial Statements 6 Schedule of Investments GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund 9 Appendix - Unaudited Additional Disclosures 1. Fund Total Expense Ratios Summary of Investment Objective of the Sub-Fund Performance and Volatility Interest Rate Received/(Charged) on Bank Accounts AIFMD Remuneration Disclosure Calculation Method of the Risk Exposure Historical Statement of Changes in the Number of Shares 14 For additional information please consult No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current prospectus, the unaudited semi-annual reports, as well as the audited annual report can be obtained free of charge from the registered office of the SICAV and from local paying agents.

3 Board of Directors Chairman Iain O.S. Saunders Duine, Ardfern Argyll PA31 8QN United Kingdom Directors Jacques Elvinger Elvinger, Hoss & Prussen 2, place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg Jean Frijns Antigonelaan 2 NL-5631 LR Eindhoven The Netherlands Massimo Greco JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom John Li How Cheong The Directors Office 19 rue de Bitbourg L-1273 Luxembourg Grand Duchy of Luxembourg Peter Thomas Schwicht Birkenweg 7 D Bad Vilbel Germany Daniel Watkins JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Registered Office 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1

4 Management and Administration Alternative Investment Fund Manager/Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Investment Manager JPMorgan Asset Management (UK) Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Custodian, Corporate and Administrative Agent and Paying Agent J.P. Morgan Bank Luxembourg S.A. (until 30 September 2015) 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Brown Brothers Harriman (Luxembourg) S.C.A. (from 1 October 2015) 80, route d Esch L-1470 Luxembourg Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative 2, rue Gerhard Mercator B.P L-1014 Luxembourg Grand Duchy of Luxembourg Legal Adviser Elvinger, Hoss & Prussen 2, place Winston Churchill B.P. 425 L-2014 Luxembourg Grand Duchy of Luxembourg 2

5 Statement of Net Assets GIM Portfolio Strategies Funds II USD Equivalent Euro Managed Currency Plus Fund EUR Assets Investments in Securities at Market Value 81,188,583 71,212,121 Acquisition Cost: 81,188,583 71,212,121 Cash at Bank and at Brokers 21,504,587 18,862,101 Fee Waiver* 94,685 83,050 Net Unrealised Gain on Forward Foreign Exchange Contracts 1,022, ,827 Total Assets 103,810,323 91,054,099 Liabilities Amounts Payable on Purchase of Investments 934, ,000 Other Payables** 75,508 66,230 Total Liabilities 1,010, ,230 Total Net Assets 102,799,937 90,167,869 Historical Total Net Assets 30 September ,135,077 85,227, September ,954,648 76,892,602 * Please refer to Note 3. ** Other Payables are principally comprised of Directors fees, audit and tax related fees, registration, publication, mailing, printing, legal and marketing expenses. The accompanying notes form an integral part of these Financial Statements. 3

6 Statement of Operations and Changes in Net Assets For the Period Ended 31 March 2016 GIM Portfolio Strategies Funds II USD Equivalent Euro Managed Currency Plus Fund EUR Net Assets at the Beginning of the Period* 97,167,325 85,227,393 Expenses Custodian, Corporate, Administration and Domiciliary Agency Fees 36,868 32,338 Registrar and Transfer Agency Fees 24,580 21,559 Taxe d abonnement 5,040 4,421 Overdraft Interest 54,891 48,146 Sundry Fees** 128, ,361 Less: Fee Waiver *** 94,685 83,050 Total Expenses 154, ,775 Net Investment Income/(Loss) (154,796) (135,775) Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts 2,109,676 1,850,439 Net Realised Gain/(Loss) for the Period 2,109,676 1,850,439 Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 3,677,732 3,225,812 Net Change in Unrealised Gain/(Loss) for the Period 3,677,732 3,225,812 Increase/(Decrease) in Net Assets as a Result of Operations 5,632,612 4,940,476 Net Assets at the End of the Period 102,799,937 90,167,869 * The opening balance was converted using the foreign exchange rates as at 31 March The same net assets when converted using the foreign exchange rate ruling as at 30 September 2015 reflected a figure of USD 95,135,077. ** Sundry Fees are principally comprised of Directors fees, audit and tax related fees, registration, publication, mailing, printing fees, legal and marketing expenses. *** Please refer to Note 3. The accompanying notes form an integral part of these Financial Statements. 4

7 Statement of Changes in the Number of Shares For the Period Ended 31 March 2016 Shares Outstanding at the Beginning of the Period Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Period GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund GIM Euro Managed Currency Plus X - EUR 800, , Statistical Information Net Asset Value per Share in Share Class Currency 31 March September September 2014 GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund GIM Euro Managed Currency Plus X - EUR The accompanying notes form an integral part of these Financial Statements. 5

8 Notes to the Unaudited Financial Statements 1. Organisation GIM Portfolio Strategies Funds II (the SICAV ) is an investment company incorporated on 7 December 2005 for an unlimited period of time. The SICAV was incorporated under the name of JPMorgan Portfolio Strategies Funds II and changed its name to GIM Portfolio Strategies Funds II. It is organised under Part II of the Luxembourg Law of 17 December 2010, as amended, on Undertakings for Collective Investment as a Société Anonyme qualifying as a Société d Investissement à Capital Variable (SICAV)., it comprises of one Sub-Fund. On 7 December 2005, JPMorgan Asset Management (Europe) S.à r.l. was appointed by the SICAV to act as Management Company. From 1 July 2011, JPMorgan Asset Management (Europe) S.à r.l. is acting as a Chapter 15 Management Company under the Luxembourg Law of 17 December 2010, as amended. The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg, under number B The Sub-Fund may contain A, B, C, D, I and X Classes of Shares, which may differ in the minimum subscription amount, minimum holding amount and/or eligibility requirements, reference currency and the fees and expenses applicable to them. Within the Sub-Fund, individual Classes of Shares may have a currencyof denominationthat differsfromthe currencyof denominationof the Sub-Fund. The currency denomination for each Class of Share is indicated by a suffix to the Share Class name, however currently only the X Share Class is available. With effect from 1 July 2014, JPMorgan Asset Management (Europe) S.à r.l. has been authorised by the CSSF to act as an alternative investment fund manager pursuant to the Alternative Investment Fund Managers Directive (Directive 2011/61/EU) (the AIFMD ), the Commission Delegated Regulation (EU) No. 231/2013and any implementingmeasures as implementedinluxembourgbythelawof12july2013 onalternative Investment Fund Managersas amended from time to time. With effect from 1 October 2015, the Board has appointed Brown Brothers Harriman (Luxembourg) S.C.A. as Custodian to the SICAV whilst the Management Company has appointed Brown Brothers Harriman (Luxembourg) S.C.A. as Administrative Agent to the SICAV. Prior to this date, the custodian and administrative agent of the SICAV was J.P. Morgan Luxembourg S.A. 2. Significant Accounting Policies The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investment. a) Investment Valuation Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latest available price prevailing at the time of calculating the net asset value. If securitiesare listed ordealt inonseveral exchangesormarkets, the latest available price, orifappropriate, the average priceonthe principalexchangeor market will be applied. Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Those securities for which no price is available or for which the latest available price is not representative are valued on the basis of their reasonably foreseeable sales price determined with prudence and in good faith by the Board of Directors. Securities issued by any open-ended investment funds are valued at the latest available price or net asset value, as reported or provided by such funds or their agents. Liquid assets and money market instruments may be valued at nominal value plus any accrued interest or on an amortised cost basis. The Financial Statements are presented on the basis of the net asset value calculated on 31 March In accordance with the prospectus, the net asset values were calculated using the latest exchange rates known at the time of calculation. b) Realised and Unrealised Gains and Losses on Investments Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). For trades into other collective investment schemes, transactions are accounted for on receipt of the trade confirmation from the underlying transfer agents. Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date of purchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments are calculated on the total book cost and include the associated unrealised gains and losses on foreign exchange. c) Income Recognition Interest income is accrued daily. Bank interest income is recognised on an accrual basis. Dividend income is accrued on the ex-dividend date. This income is shown net of any withholding taxes and adjusted accordingly when tax reclaims apply. d) Conversion of Foreign Currencies The books and records of the Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currencies are translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currencies are converted each Valuation Day into the base currency using currency exchange rates prevailing on each such Valuation Day; (ii) purchases and sales of foreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of such transactions. Net realised and unrealised gains or losses on foreign currency transactions represent: (i) foreign exchange gains and losses from the sale and holding of foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions and Forward Foreign Exchange Contracts; and (iii) gains and losses arising from the difference between amounts of dividends and interest recorded and the amounts actually received. The resulting gains and losses on translation are included in the Net Realised Gain/(Loss) on Foreign Exchange in the Statement of Operations and Changes in Net Assets. The reference currency of the Statements is USD. For the USD conversion, the exchange rates applied as at 31 March 2016 are as follows: 1 USD = EUR e) Forward Foreign Exchange Contracts Unrealisedgainsorlossesonoutstanding ForwardForeignExchangeContractsarevalued onthebasisofcurrencyexchangerates prevailingat therelevant valuation date. The changes in such amounts are included in Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts in the Statement of Operations and Changes in Net Assets. Unrealised gains or losses are recorded under Net Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts in the Statement of Net Assets. 6

9 Notes to the Unaudited Financial Statements (continued) f) Option Contracts The SICAV writes options on securities, futures and currencies. These options are settled in cash and subject the SICAV to unlimited risk of loss. The SICAV, however, is not subject to credit risk on written options as the counterparty has already performed its obligation by paying the premium at the inception of the contract. Options purchased are recorded as investments; options written or sold are recorded as liabilities. When the exercise of an option results in a cash settlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When securities are acquired or delivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, the difference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium is accounted for as a realised gain for options written or as a realised loss for options purchased. For options on futures, where the investment manager is based in the United Kingdom, variation margin payments are made or received daily, depending upon whether losses or gains are incurred on the underlying futures contracts. The SICAV does not hold any option contracts as at 31 March Fees and Expenses The annual management Fee that would normally be payable in respect of the X Share Classes are administratively levied and collected by the Global Distributor directly from the shareholder or through the relevant J.P. Morgan Chase & Co entity. Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase & Co. The avoidance of a double-charge of the Annual Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the net assets on which the Annual Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via classes that do not accrue an Annual Management and Advisory Fee or other equivalent fees payable to the relevant Investment Manager s group; or c) the Annual Management and Advisory Fee being netted off by a rebate to the SICAV or Sub-Fund of the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS or UCIs; or d) charging only the difference between the Annual Management and Advisory Fee of the SICAV or Sub-Fund and the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS or UCIs. Operating and Administrative Expenses are allocated to the Sub-Funds to which they are attributable or among all Sub-Funds and Share Classes prorata to their respective net assets (or in a fair and reasonable manner determined by the Directors of the SICAV). Operating and Administrative Expenses are accrued daily within each Sub-Fund s Share Classes according to the applicable charging structure of each Class. The Operating and Administrative Expenses cover: a) Expenses directly contracted by the Fund ( Direct Expenses ), including but not limited to the Custodian fees, the fees of any delegate appointed by the Custodian (including prime brokers), auditing fees and expenses, the Luxembourg taxe d abonnement, Directors fees (no fees will be paid to Directors who are also directors or employees of JPMorgan Chase & Co.) and reasonable out-of-pocket expenses incurred by the Directors. b) A Fund Servicing Fee paid to the Management Company for administrative and related services which will be the remaining amount of the Operating and Administrative Expenses after deduction of the expenses detailed under section a) above. The Management Company then bears all expenses incurred in the day today operationand administrationofthefund, includingbut notlimitedtoformationexpensessuchas organisationand registrationcosts; accounting expenses covering fund accounting and administrative services; transfer agency expenses covering registrar and transfer agency services; the Administrative Agent and Domiciliary Agent services; the fees and reasonable out-of-pocket expenses of the paying agents and representatives; legal fees and expenses; ongoing registration, listing and quotation fees, including translation expenses; the cost of publication of the Share prices and postage, telephone, facsimile transmission and other electronic means of communication; and the costs and expenses of preparing, printing and distributing the Prospectus, Key Investor or any offering document, financial reports and other documents made available to Shareholders. The Operatingand Administrative Expensesas definedinthe prospectuswerevoluntarily capped at 0.40% foreach Sub-Fund; it does notcovertransaction Fees and Extraordinary Expenses. At its discretion, the Management Company may on a temporary basis meet the Direct Expenses on a Sub-Fund s behalf and/or waive all or part of the Fund Servicing Fee. To the extent that actual Operating and Administrative costs exceed the fixed percentage, the amount borneby the Management Company will be separately disclosed as a Fee Waiver in the CombinedStatement of Net Assets and the CombinedStatement of Operations and Changes in Net Assets. 4. Distribution Policy The policy of the Sub-Fund and its Classes is to reinvest all revenues and capital gains and not pay any dividends. The Board of Directors shall nevertheless have the option, in any given accounting Year, to propose to the shareholders of any Sub-Fund or Class at the Annual General Meeting the payment of a dividend out of all or part of that Sub-Fund s or Class current net investment income, if the Board of Directors thinks it is appropriate to make such a proposal. The Board of Directors may only propose the payment of a dividend out of the actual profits of any Sub-Fund or Class. 5. Taxation Under current law and practice, the SICAV is not subject to any taxes in Luxembourg on income or capital gains, nor are dividends distributed by the SICAV liable to any withholding tax. The only tax to which the SICAV in Luxembourg is subject is the subscription tax, ( taxe d abonnement ) up to a rate of 0.05% perannumbased onthenetasset value attributed toeachshareclass at theendoftherelevantquarter, calculated and paid quarterly. A reduced tax rate of 0.01% per annum of the net assets will be applicable to the following Share Classes: GIM Euro Managed Currency Plus X - EUR. The 0.01% and 0.05% rates described above, as appropriate, are not applicable for the portion of the assets of the SICAV invested in other Luxembourg Undertakings for Collective Investments which are themselves already subject to the taxe d abonnement. No stamp duty or other tax is payable on the issue of shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealised capital appreciation of the assets of the SICAV in the Grand Duchy of Luxembourg. Although the SICAV s realised capital gains, whether short or long-term, are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. The regular income of the SICAV from some of its securities, as well as interest earned on its cash deposits in certain countries, may be subject to withholding taxes at varying rates, which normally cannot be recovered. 6. Statement of Changes in Investments A list, specifying for each investment within the Sub-Fund the total purchases and sales which occurred during the Year under review, may be obtained free of charge upon request at the registered office of the SICAV. Additional information on investments within the Sub-Fund s portfolio is available to shareholders at the registered office of the SICAV. 7. Value of Financial Instruments and Associated Risks The SICAV enters into forward foreign exchange contracts and option contracts which, to varying degrees, represent a market risk in excess of the amount reflected on the Statement of Net Assets. The amounts of the contracts represents the extent of the SICAV s participation in these financial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and security values underlying these instruments. Other market and credit risks include the possibility that there may be an illiquid market for the contracts, that a change in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities or that the counterparty to a contract defaults on its obligation to perform under the terms of the contract. 7

10 Notes to the Unaudited Financial Statements (continued) 8. Transactions with Connected Parties All transactions with connected parties were carried out on an arm s length basis. J.P. Morgan Chase & Co. and its affiliates ( J.P. Morgan ) are counterparties for certain forward foreign exchange contracts and option contracts. The Alternative Investment Fund Manager/Management Company, Registrar, Global Distributor, Transfer and Domiciliary Agent, Investment Manager and other related Agents of the SICAV are considered as connected parties as they are affiliated entities of JPMorgan Chase & Co. In addition Elvinger, Hoss & Prussen (of which Mr Jacques Elvinger, who is on the Board of the Directors of the SICAV, is a partner) is compensated for legal services to the SICAV. 9. Transaction Costs For the period ended 31 March 2016, the SICAV incurred transaction costs which have been defined as brokerage fees relating to purchase or sale of transferable securities, derivatives (except OTC derivatives) or other eligible assets. The SICAV also incurred transaction costs charged by the custodian agent and relating to purchase and sale of transferable securities as follows: Sub-Fund Base Currency Custodian Transaction Costs and Brokerage Fees (Base Currency) GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund EUR Directors Fees The only remuneration paid to Directors is an annual fee. Connected Directors waive their right to this fee and consequently no fees were paid in respect of Mr Greco and Mr Watkins. The total amount paid to the Directors for the financial period was EUR 42,289 of which the Chairman was due EUR 10, Events during the Period With effect from 1 October 2015, the Board has appointed Brown Brothers Harriman (Luxembourg) S.C.A. as Custodian to the SICAV whilst the Management Company has appointed Brown Brothers Harriman (Luxembourg) S.C.A. as Administrative Agent to the SICAV. 12. Events after the Period-End On 28 April 2016, the Board resolved that an Extraordinary General Meeting be held as soon as is practicable to liquidate the SICAV in accordance with the liquidation policy subject to the CSSF approval. 8

11 - Euro Managed Currency Plus Fund Schedule of Investments Investments Currency Quantity/ Nominal Value Fair Value EUR % of Net Assets Investments Quantity/ Nominal Value Currency % of Net Assets Units of authorised UCITS or other collective investment undertakings Collective Investment Schemes - UCITS Luxembourg JPMorgan Liquidity Funds - Euro Liquidity Fund - JPM Euro Liquidity X (flex dist.) EUR 71,212,121 71,212, ,212, Total Collective Investment Schemes - UCITS 71,212, Total Units of authorised UCITS or other collective investment undertakings 71,212, Total Investments 71,212, Cash 18,862, Other Assets /(Liabilities) 93, Total Net Assets 90,167, Related Party Fund Geographic Allocation of Portfolio as at 31 March 2016 % of Net Assets Luxembourg Total Investments Cash and Other Assets/(Liabilities) Total Geographic Allocation of Portfolio as at 30 September 2015 % of Net Assets Luxembourg Total Investments Cash and Other Assets/(Liabilities) Total

12 - Euro Managed Currency Plus Fund Schedule of Investments Forward Foreign Exchange Contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Gain/(Loss) EUR % of Net Assets AUD 9,210,183 CAD 9,115,263 20/04/ , AUD 4,299,496 CAD 4,270,073 20/04/2016 3,126 - AUD 9,650,381 EUR 6,494,471 20/04/ , AUD 18,509,932 JPY 1,576,768,525 20/04/ , AUD 4,686,721 NZD 5,137,218 20/04/ , AUD 4,693,806 NZD 5,153,588 20/04/ , AUD 9,382,818 USD 6,944,036 20/04/ , AUD 9,289,581 USD 6,916,650 20/04/ , AUD 9,389,096 USD 7,035,062 20/04/ , BRL 26,477,815 USD 7,039,538 20/04/ , BRL 25,370,719 USD 6,922,811 20/04/ , BRL 12,904,928 USD 3,517,671 20/04/ , BRL 2,060,258 USD 551,461 20/04/ , CHF 3,560,710 CAD 4,793,536 20/04/ , CHF 6,806,694 JPY 783,402,823 20/04/ , CHF 6,796,941 USD 6,974,047 20/04/ , CLP 12,131,753,318 USD 17,749,456 20/04/ , CLP 1,960,636,767 USD 2,837,801 20/04/ , CLP 2,443,742,510 USD 3,567,507 20/04/ , COP 11,646,068,944 USD 3,711,362 20/04/ , COP 10,889,637,818 USD 3,564,821 20/04/ , CZK 85,876,650 EUR 3,174,033 20/04/ EUR 41,505,319 GBP 32,151,328 20/04/ , EUR 490,641 GBP 387,305 20/04/2016 2,348 - EUR 531,370 GBP 419,715 20/04/2016 2,217 - EUR 46,948,133 JPY 5,835,873,572 20/04/2016 1,380, EUR 3,163,031 JPY 392,098,238 20/04/ , EUR 612,427 JPY 77,166,720 20/04/2016 9, EUR 508,483 JPY 63,982,972 20/04/2016 8, EUR 690,016 JPY 87,335,532 20/04/2016 8, EUR 3,086,306 NZD 5,052,360 20/04/ , EUR 6,300,095 SEK 58,074,592 20/04/ , EUR 6,449,436 SGD 9,855,668 20/04/ , EUR 12,804,099 THB 500,248,286 20/04/ , EUR 39,978,198 USD 43,878,031 20/04/2016 1,491, EUR 3,163,031 USD 3,452,019 20/04/ , EUR 6,259,789 USD 7,049,474 20/04/ , EUR 3,134,000 USD 3,500,816 20/04/ , EUR 3,163,000 USD 3,541,991 20/04/ , EUR 3,167,000 USD 3,565,367 20/04/ , EUR 3,167,975 USD 3,592,040 20/04/ , EUR 581,671 USD 653,407 20/04/2016 8, GBP 2,435,080 JPY 390,656,718 20/04/ , IDR 50,856,660,037 USD 3,835,344 20/04/ , INR 248,407,425 USD 3,665,989 20/04/ , JPY 396,794,811 GBP 2,450,986 20/04/2016 8, KRW 5,057,344,578 USD 4,164,995 20/04/ , KRW 8,664,272,229 USD 7,440,976 20/04/ , KRW 4,505,011,152 USD 3,864,309 20/04/ , KRW 4,407,209,070 USD 3,791,800 20/04/ , MXN 255,905,990 EUR 12,952,627 20/04/ , MYR 14,218,586 USD 3,504,705 20/04/ , MXN 132,779,773 USD 7,594,750 20/04/ , MXN 49,726,241 USD 2,772,941 20/04/ , MXN 121,949,532 USD 7,010,407 20/04/ , NOK 58,671,695 AUD 9,175,475 20/04/ , NOK 58,350,509 AUD 9,175,458 20/04/ NOK 120,334,222 EUR 12,726,494 20/04/ , NZD 10,494,106 AUD 9,389,186 20/04/ , NZD 5,148,519 AUD 4,587,733 20/04/ , NZD 5,255,406 AUD 4,694,548 20/04/ , NZD 5,238,690 GBP 2,443,751 20/04/ , NZD 4,620,500 GBP 2,191,566 20/04/ , NZD 4,998,543 NOK 28,283,158 20/04/ , NZD 5,287,639 SEK 29,321,441 20/04/ , NZD 5,149,662 USD 3,565,832 20/04/2016 5, PHP 819,539,132 USD 17,427,733 20/04/ , PLN 13,915,208 USD 3,672,895 20/04/ , RUB 36,547,610 USD 504,920 20/04/ , SEK 444,060,409 EUR 47,437,679 20/04/ , SEK 6,542,706 EUR 706,462 20/04/2016 1,838 - SEK 29,271,489 GBP 2,443,751 20/04/ ,

13 - Euro Managed Currency Plus Fund Schedule of Investments Forward Foreign Exchange Contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Gain/(Loss) EUR % of Net Assets SEK 28,821,514 GBP 2,437,169 20/04/ , SEK 58,091,092 USD 7,020,353 20/04/ , SEK 58,066,592 USD 7,157,047 20/04/2016 8, SGD 9,493,158 USD 6,989,411 20/04/ , THB 134,876,705 USD 3,801,036 20/04/ , TRY 31,117,163 EUR 9,540,896 20/04/ , TRY 20,171,247 USD 6,890,264 20/04/ , TRY 10,111,028 USD 3,453,810 20/04/ , TRY 9,812,237 USD 3,378,751 20/04/ , TWD 113,392,597 USD 3,444,699 20/04/ , USD 6,933,863 GBP 4,816,464 20/04/2016 9, ZAR 54,872,870 USD 3,464,975 20/04/ , ZAR 53,506,283 USD 3,437,765 20/04/ , ZAR 53,401,675 USD 3,456,106 20/04/ , ZAR 108,799,627 USD 7,270,926 20/04/ , Total Unrealised Gain on Forward Foreign Exchange Contracts 11,545, AUD 4,648,593 NZD 5,158,167 20/04/2016 (4,337) - AUD 4,648,657 NZD 5,159,266 20/04/2016 (4,962) (0.01) AUD 9,259,499 NZD 10,278,229 20/04/2016 (10,898) (0.01) AUD 9,259,524 USD 7,125,509 20/04/2016 (6,884) (0.01) CAD 4,801,192 EUR 3,262,817 20/04/2016 (6,921) (0.01) CAD 4,525,512 NZD 5,131,722 20/04/2016 (53,519) (0.06) CHF 6,837,221 NOK 59,222,025 20/04/2016 (13,180) (0.01) EUR 3,382,824 CAD 4,996,465 20/04/2016 (5,494) (0.01) EUR 9,762,490 CHF 10,660,255 20/04/2016 (8,058) (0.01) EUR 3,247,173 ILS 13,994,693 20/04/2016 (18,660) (0.02) EUR 778,168 MXN 15,267,796 20/04/2016 (2,022) - EUR 3,203,528 PLN 13,915,208 20/04/2016 (74,797) (0.08) EUR 502,352 SEK 4,650,895 20/04/2016 (1,144) - EUR 3,201,102 ZAR 54,872,870 20/04/2016 (60,944) (0.07) GBP 846,870 EUR 1,083,067 20/04/2016 (15,380) (0.02) HUF 3,917,173,285 EUR 12,564,047 20/04/2016 (107,116) (0.12) IDR 44,989,782,722 USD 3,435,646 20/04/2016 (12,890) (0.01) JPY 97,458,250 EUR 778,168 20/04/2016 (17,202) (0.02) JPY 370,404,762 EUR 2,942,072 20/04/2016 (49,904) (0.06) JPY 77,112,464 NOK 5,828,959 20/04/2016 (15,985) (0.02) JPY 364,149,677 NOK 27,486,314 20/04/2016 (71,258) (0.08) JPY 63,186,503 SEK 4,632,102 20/04/2016 (8,094) (0.01) JPY 68,904,676 SEK 5,197,999 20/04/2016 (24,708) (0.03) JPY 393,178,217 USD 3,503,572 20/04/2016 (3,067) - NOK 59,196,488 EUR 6,305,582 20/04/2016 (28,524) (0.03) NOK 29,488,330 SEK 29,185,868 20/04/2016 (32,728) (0.04) NZD 5,123,253 AUD 4,629,762 20/04/2016 (4,211) - NZD 5,144,721 AUD 4,655,730 20/04/2016 (8,656) (0.01) NZD 10,361,136 AUD 9,382,818 20/04/2016 (21,801) (0.02) THB 241,447,131 USD 6,863,611 20/04/2016 (2,660) - USD 6,975,041 AUD 9,175,467 20/04/2016 (68,421) (0.08) USD 6,954,296 AUD 9,193,977 20/04/2016 (99,097) (0.11) USD 6,935,648 AUD 9,289,581 20/04/2016 (179,913) (0.20) USD 6,942,468 AUD 9,342,073 20/04/2016 (209,322) (0.23) USD 3,427,420 BRL 12,508,369 20/04/2016 (75,514) (0.08) USD 7,501,886 BRL 28,597,190 20/04/2016 (465,632) (0.52) USD 3,180,293 CHF 3,165,094 20/04/2016 (111,437) (0.12) USD 3,548,998 CLP 2,427,869,452 20/04/2016 (66,259) (0.07) USD 6,771,157 CLP 4,653,477,758 20/04/2016 (154,345) (0.17) USD 3,646,804 COP 11,646,068,944 20/04/2016 (199,862) (0.22) USD 3,478,981 CZK 84,872,061 20/04/2016 (85,996) (0.10) USD 3,459,246 CZK 85,876,650 20/04/2016 (140,442) (0.16) USD 561,945 EUR 495,235 20/04/2016 (2,342) - USD 2,123,858 EUR 1,882,051 20/04/2016 (19,173) (0.02) USD 933,983 EUR 850,295 20/04/2016 (31,080) (0.03) USD 1,977,194 EUR 1,801,595 20/04/2016 (67,358) (0.07) USD 3,481,491 EUR 3,157,654 20/04/2016 (103,970) (0.12) USD 2,707,168 EUR 2,485,239 20/04/2016 (110,728) (0.12) USD 6,887,805 EUR 6,331,983 20/04/2016 (290,553) (0.32) USD 76,219,013 EUR 69,117,971 20/04/2016 (2,264,759) (2.51) USD 549,532 GBP 387,450 20/04/2016 (6,470) (0.01) USD 7,078,765 HUF 1,953,780,936 20/04/2016 (4,257) - USD 3,553,963 HUF 984,182,654 20/04/2016 (12,530) (0.01) 11

14 - Euro Managed Currency Plus Fund Schedule of Investments Forward Foreign Exchange Contracts (continued) Currency Purchased Amount Purchased Currency Sold Amount Sold Maturity Date Unrealised Gain/(Loss) EUR % of Net Assets USD 3,544,652 HUF 993,579,440 20/04/2016 (50,579) (0.06) USD 3,409,679 HUF 969,812,909 20/04/2016 (93,387) (0.10) USD 10,690,222 IDR 141,891,311,454 20/04/2016 (86,804) (0.10) USD 3,249,420 ILS 12,635,853 20/04/2016 (98,600) (0.11) USD 7,072,143 INR 479,915,599 20/04/2016 (143,743) (0.16) USD 909,967 JPY 102,296,579 20/04/2016 (594) - USD 702,035 JPY 79,758,266 20/04/2016 (6,994) (0.01) USD 913,594 JPY 103,527,284 20/04/2016 (7,023) (0.01) USD 10,488,089 JPY 1,191,687,047 20/04/2016 (105,532) (0.12) USD 3,681,613 KRW 4,218,392,014 20/04/2016 (22,778) (0.03) USD 3,516,007 KRW 4,188,337,692 20/04/2016 (144,865) (0.16) USD 31,994,792 KRW 38,692,901,562 20/04/2016 (1,765,413) (1.96) USD 3,147,156 MXN 54,467,519 20/04/2016 (22,878) (0.03) USD 3,015,383 MYR 12,182,146 20/04/2016 (115,012) (0.13) USD 2,875,777 MYR 11,894,214 20/04/2016 (172,232) (0.19) USD 17,930,608 MYR 73,694,798 20/04/2016 (968,259) (1.07) USD 3,533,997 PHP 164,330,846 20/04/2016 (37,130) (0.04) USD 3,519,289 PHP 163,717,306 20/04/2016 (38,319) (0.04) USD 3,383,264 PHP 158,066,104 20/04/2016 (49,755) (0.06) USD 3,642,289 PHP 171,679,288 20/04/2016 (82,417) (0.09) USD 3,369,774 RUB 228,571,792 20/04/2016 (29,161) (0.03) USD 7,338,847 RUB 533,314,040 20/04/2016 (527,354) (0.58) USD 7,010,407 SEK 57,860,561 20/04/2016 (114,898) (0.13) USD 6,992,059 SGD 9,633,694 20/04/2016 (142,065) (0.16) USD 3,517,744 THB 124,415,747 20/04/2016 (15,311) (0.02) USD 7,100,771 TRY 21,057,089 20/04/2016 (300,709) (0.33) USD 3,484,714 TWD 113,392,597 20/04/2016 (41,790) (0.05) Total Unrealised Loss on Forward Foreign Exchange Contracts (10,649,066) (11.81) Net Unrealised Gain on Forward Foreign Exchange Contracts 896, Counterparty Unrealised Gain/(Loss) UBS AG 896, ,827 12

15 Appendix - Unaudited Additional Disclosures 1. Fund Total Expense Ratios (1) Share Class Name For the period ended 31 March 2016 For the year ended 30 September 2015 For the year ended 30 September 2014 Capped Expense Ratio 31 March 2016 Inception Date GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund GIM Euro Managed Currency Plus X - EUR 0.11% 0.20% 0.12% 0.20% 22-May-07 (1) Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Funds & Asset Management Association. The Total Expense Ratio ( TER ) represents the total operating costs as a percentage of the SICAV s average daily net assets. The total operating cost comprises Management and Advisory Fees, custodian fees, taxe d abonnement and other expenses, as summarised in the USD equivalent Statement of Operations. Overdraft interest and Performance Fees are excluded from the calculation. The capped expense ratios and total expense ratios for some Share Classes may have changed over the previous five years. All details concerning these changes have been disclosed in previous years Financial Statements. All TER figures are annualised. 2. Summary of Investment Objective of the Sub-Fund GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund The Sub-Fund s investment objective is to provide investors with appreciation in the value of their Shares in excess of the London Interbank Offered Rate for one month Euro deposits, through the Sub-Fund s participation in the global currency and related markets. The Sub-Fund seeks to achieve its investment objective primarily through transactions in spot, forward and options contracts in the over-the-counter foreign exchange market. Through transactions in such instruments, the Sub-Fund seeks to profit from fluctuations in currency exchange rates and the interest rate differentials reflected in the values of currencies. 3. Performance and Volatility Performance Returns for periods greater than one year are annualised. SICAV performance includes reinvestment of income and is net of all expenses. Past performance is no indication of current or future performance. The performance data does not take into account the commissions and costs incurred on the issue and redemption of units. Volatility The standard deviation (D) of the price is calculated on a daily basis throughout each SICAV s financial year. The following details relate to the period from 1 October 2015 to 31 March If D is equal to or less than 0.1 then volatility was Low If D is greater than 0.1 but less or equal to 1.0 then volatility was Medium If D is greater than 1.0 but less than or equal to 2.4 then volatility was High If D is greater than 2.4 then volatility was Very High Performance 3 Months 6 Months 9 Months 1 Year 2 Years 3 Years Volatility GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund GIM Euro Managed Currency Plus X - EUR 3.13% 5.80% 11.69% 4.73% 10.36% 3.08% Medium 4. Interest Rate Received/(Charged) on Bank Accounts Basis for Bank Interest Rates The rates are based on the Brown Brothers Harriman Treasury rates and consequently may change on a daily basis. The bank interest amount, if any, is posted to each of the Sub-Fund s bank accounts on a monthly basis on the first business day of the subsequent month based on the bank balances from the prior month. 5. AIFMD Remuneration Disclosure This section of the semi-annual report has been prepared in accordance with the Alternative Investment Fund Managers Directive, the European CommissionDelegated Regulation supplementing the AIFMD, and the Guidelines on sound remuneration policies under the AIFMD issued by the European Securities and Markets Authority, as well as any applicable local regulations. Remuneration Policy The current remuneration policy for the EMEA Global Investment business of J.P. Morgan can be found at This policy includes details of the alignment with risk management, the financial and non-financial criteria used to evaluate performance and the measures adopted to avoid or manage conflicts of interest. Quantitative Disclosures The table below provides an overview of the aggregate 2015 total remuneration paid to staff of the AIFM and the number of beneficiaries. It is not possible to provide a further breakdown of remuneration attributable to GIM Portfolio Strategies Funds II in a relevant or reliable way. However, for context, the AIFM manages six AIFs (with 14 Sub-Funds) and five UCITS (with 164 Sub-Funds), with a combined AUM as at December 2015 of USD 1,746m and USD 277,435m respectively. Fixed Variable Number of beneficiaries All staff (USD 000s) 36,845 21, The Identified Staff of the AIFM are those employees whose actions have a material impact on the risk profile of the AIFM or the AIFs it manages, including GIM Portfolio Strategies Funds II. The aggregate 2015 total remuneration paid to this group was USD 4,804,744. Given the size of the AIFM, in particular the number of senior management and other Identified Staff, compensation information for these two groups has been aggregated. For the purposes of the above disclosures, where portfolio management activities have been formally delegated, remuneration for the relevant employees has been excluded. 13

16 Appendix - Unaudited Additional Disclosures (continued) 6. Calculation Method of the Risk Exposure Leverage Gross Method Maximum Leverage Gross Method Leverage Commitment Method Maximum Leverage Commitment Method GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund 1,749.75% 3,500% 1,068.06% 3,500% 7. Historical Statement of Changes in the Number of Shares Shares Outstanding at the Beginning of the Year Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Year For the Year Ended 30 September 2015 GIM Portfolio Strategies Funds II - Euro Managed Currency Plus Fund GIM Euro Managed Currency Plus X - EUR 800, , For the Year Ended 30 September 2014 JPMorgan Portfolio Strategies Funds II - Euro Managed Currency Plus Fund JPMorgan Euro Managed Currency Plus X - EUR 800, ,

17 For further information concerning GIM Portfolio Strategies Funds II please contact the Global Distributor: JPMorgan Asset Management (Europe) S.à r.l. Postal Address: L-2633 Luxembourg Tel No: (352) Fax No: (352) GB H747 05/16