JPMorgan Funds statistics report: International Research Enhanced Equity Fund

Transcription

1 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE JPMorgan s statistics report: International Research Enhanced Equity Offered on a limited basis A Shares jpmorganfunds.com

2 Table of contents PERFORMANCE DISCLOSURE Performance at NAV 3 Disclosures 14 Calendar year returns 3 EXPENSES Annual expenses 4 CHARACTERISTICS statistics 5 Market capitalization 5 RISK Risk/return analysis 6 HOLDINGS Top 10 holdings (%) 7 MARKET CAP Market cap breakdown (%) 8 POSITIONING Country breakdown (%) 9 Region breakdown (%) 9 Sector breakdown (%) 9 ATTRIBUTION Top 30 holdings by contribution 10 Bottom 30 holdings by contribution 11 Attribution by sector 12 Attribution by region 13 2 STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

3 Performance Share class inception date share class # A Shares 4/23/ with max 5.25% sales charge I Shares 10/28/ * R6 Shares 11/1/ MSCI EAFE Index (net of foreign withholding taxes) 1 month (%) months (%) AVERAGE ANNUAL TOTAL RETURNS (as of 6/30/2018) 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 monthend, please call YTD (%) yr (%) yrs (%) yrs (%) yrs (%) Calendar year returns A Shares 4/23/ I Shares 10/28/ R6 Shares 11/1/ MSCI EAFE Index (net of foreign withholding taxes) STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

4 Expenses Annual expenses Gross expense (%) Net expense (%) A Shares I Shares 0.35 R6 Shares STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

5 Characteristics statistics Market capitalization Active share (%) Cash flow per share 5 yr average Debt to equity average Earnings growth 5 yr average Estimated 35 yr EPS growth Estimated EPS growth FY0FY1 assets (in billions) Historic 3 yr EPS growth Historic 3 yr sales growth Historic 5 yr EPS growth Historic 5 yr sales growth Long term debt to capital MSCI 1 yr earnings growth MSCI 5 yr earnings growth Net margin Number of holdings Operating margin PEG ratio FY1 Price to book harmonic average Price to cash flow FY1 Price to cash flow FY2 Price to cash flow harmonic average Price to earnings 1 yr forecast Price to earnings 2 yr forecast Price to earnings 5 yr harmonic average Price to earnings last 12 months Return on assets Return on equity Return on equity 5 yr average Benchmark Market cap median (in billions) Market cap average (in billions) Market cap weighted average (in billions) Market cap weighted median (in billions) $38.58 $53.21 $72.71 $51.28 Index $11.24 $21.06 $60.99 $ STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

6 Risk Risk/return analysis Alpha Beta Correlation Information ratio Rsquared Sharpe ratio Sharpe ratio benchmark Standard deviation Standard deviation benchmark Tracking error 1 Year Year Years Years Years STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

7 Holdings Top 10 holdings (%) Holdings Nestle SA (Registered) Roche Holding AG Toyota Motor Corp. Royal Dutch Shell plc, Class B TOTAL SA AnheuserBusch InBev SA/NV SAP SE British American Tobacco plc BHP Billiton Ltd. Air Liquide SA Country Switzerland Switzerland Japan Netherlands France Belgium Germany United Kingdom Australia France Sector Consumer Staples Health Care Consumer Discretionary Energy Energy Consumer Staples Information Technology Consumer Staples Materials Materials % STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

8 Market cap Market cap breakdown (%) Cash Large Cap (>$100 Million) Mid to Large Cap ($10$100 Million) Small Cap (<$2 Million) Small to Mid Cap ($2$10 Million) * Due to rounding, values may not total 100% STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

9 Positioning Country breakdown (%)* Region breakdown (%)* Sector breakdown (%)* Japan United Kingdom France Germany Switzerland Australia Netherlands Spain Italy Hong Kong Finland Belgium Singapore Sweden Ireland Denmark United States ShortTerm Investments China Luxembourg Austria Israel * Due to rounding, values may not total 100% Europe Japan Pacific ex Japan North America Emerging Markets Other Developed Markets Cash & Equivalents * Due to rounding, values may not total 100% Financials Consumer Discretionary Industrials Consumer Staples Health Care Materials Information Technology Energy Telecommunication Services Utilities Real Estate ShortTerm Investments * Due to rounding, values may not total 100% STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

10 Attribution Top 30 holdings by contribution Index Attribution analysis Group NGK SPARK PLUG CO., LTD. DAIKIN INDUSTRIES, LTD. Yamato Holdings Co., Ltd. Ferguson PLC Goodman Group Australia and New Zealand Banking Group Limited Burberry Group plc ITV plc BHP Billiton PLC Tokyu Corporation Shire PLC Rio Tinto plc Fanuc Corporation Iberdrola SA Royal Philips NV Airbus SE Toyota Motor Corp. Industria de Diseño Textil, S.A. SAP SE ShinEtsu Chemical Co., Ltd. Teva Pharmaceutical Industries Limited Air Liquide SA Takeda Pharmaceutical Co. Ltd. Societe Generale S.A. Tokio Marine Holdings Incorporated AMP Limited Pandora A/S Volkswagen AG Intesa Sanpaolo S.p.A. 3i Group plc Average weight return Contribution to return Average weight return Contribution to return 0.11 Variation in average weight Selection + interaction Allocation effect effect STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

11 Attribution Bottom 30 holdings by contribution Index Attribution analysis Group Ferrari NV adidas AG Swiss Re AG Murata Manufacturing Co., Ltd. Compagnie Financiere Richemont SA ArcelorMittal SA LafargeHolcim Ltd. Safran S.A. Bankia, S.A. Akzo Nobel N.V. Wirecard AG Shiseido Company,Limited Mitsubishi UFJ Financial Group, Inc. L'Oreal SA CK Hutchison Holdings Ltd BNP Paribas SA Outokumpu Oyj Kering SA ING Groep NV Ryanair Holdings Plc Telecom Italia S.p.A. Japan Airlines Co., Ltd. Daimler AG Enel SpA British American Tobacco p.l.c. Deutsche Post AG Toray Industries, Inc. DMG MORI CO., LTD. OTSUKA Corporation Renault SA Average weight return Contribution to return Average weight return Contribution to return Variation in average weight Selection + interaction Allocation effect effect STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

12 Attribution Attribution by sector Index Attribution analysis Group Autos Banks Banks And Finance Banks Capital Markets Basic Industries Consumer Non Durable Energy Healthcare Industrial Cyclical Insurance Media Property Retail Technology Hardware Technology Semi Conduct Technology Software Telecoms Transport Svcs & Cons Cyc Utilities * Due to rounding, values may not total 100%. Average weight* return Contribution to return Average weight* return Contribution to return Variation in average weight Selection + interaction Allocation effect 0.17 effect STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

13 Attribution Attribution by region Index Attribution analysis Group Pacific Ex Japan Japan Emerging Markets Europe & Middle East * Due to rounding, values may not total 100%. Average weight* return Contribution to return Average weight* return Contribution to return Variation in average weight Selection + interaction Allocation effect effect STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

14 RISKS ASSOCIATED WITH INVESTING IN THE FUND: The following risks could cause the fund to lose money or perform more poorly than other investments. For more complete risk information, see the prospectus. International investing has a greater degree of risk and increased volatility due to political and economic instability of some overseas markets. Changes in currency exchange rates and different accounting and taxation policies outside the U.S. can affect returns. RETURNS: 1 The quoted performance of the includes performance of a predecessor fund/share class prior to the 's commencement of operations. Please refer to the current prospectus for further information. ANNUAL OPERATING EXPENSES: The s adviser and/or its affiliates have contractually agreed to waive fees and/or reimburse expenses to the extent Annual Operating Expenses (excluding acquired fund fees and expenses, dividend and interest expenses related to short sales, interest, taxes, expenses related to litigation and potential litigation and extraordinary expenses) exceed 0.60% for A Shares, 0.25% for R6 Shares and 0.35% for I Shares of the average daily net assets. The may invest in one or more money market funds advised by the adviser or its affiliates (affiliated money market funds). The s adviser has contractually agreed to waive fees and/or reimburse expenses in an amount sufficient to offset the fees and expenses of the affiliated money market funds incurred by the because of the s investment in such money market funds. This waiver is in effect through 2/28/2019 for A Shares, 2/28/2019 for R6 Shares and 2/28/2019 for I Shares, at which time the adviser and/or its affiliates will determine whether to renew or revise it. The difference between net and gross fees includes all applicable fee waivers and expense reimbursements. PORTFOLIO STATISTICS: Active Share represents the difference between a fund s holdings and the benchmark s holdings. It is calculated by taking the sum of the absolute value of the weighting of the fund s holdings versus the weighting of the benchmark s holdings excluding derivatives but including cash and cash equivalents. If a holding of the fund isn t a holding of the benchmark, the weighting of the benchmark is assumed to be zero. Similarly, if the benchmark includes a holding that isn t a holding of the fund, the weighting of the fund is assumed to be zero. RISK RETURN: Alpha: The relationship between the performance of the and its beta over a threeyear period of time. Beta: Beta measures a fund s volatility in comparison to the market as a whole. A beta of 1.00 indicates a fund has been exactly as volatile as the market. Correlation: A statistical measure of how the returns of two investments or indices move in relation to each other. Information ratio: A riskadjusted performance measure defined as excess return divided by tracking error. Information ratio is a special version of the Sharpe Ratio where the benchmark does not have to be the riskfree rate. Since this ratio considers the annualized standard deviation of both series (measures of risks inherent in owning either a portfolio or the benchmark),the ratio shows the riskadjusted excess return of the portfolio over the benchmark. R2: The percentage of a 's movements that result from movements in the index ranging from 0 to 100. A with an R2 of 100 means that 100 percent of the 's movement can completely be explained by movements in the 's external index benchmark. Sharpe Ratio: Sharpe Ratio measures the fund s excess return compared to a riskfree investment. The higher the Sharpe Ratio, the better the returns relative to the risk taken. Tracking Error: The active risk of the portfolio, which determines the annualized standard deviation of the excess returns between the portfolio and the benchmark. Standard Deviation/Volatility: A statistical measure of the degree to which the s returns have varied from its historical average. The higher the standard deviation, the wider the range of returns from its average and the greater the historical volatility. The standard deviation is calculated over a 36month period based on s monthly returns. The standard deviation shown is based on the 's Class A Shares or the oldest share class, where Class A Shares are not available. HOLDINGS: The top 10 holdings listed reflect only the 's longterm investments. Shortterm investments are excluded. Holdings are subject to change. The holdings listed should not be considered recommendations to purchase or sell a particular security. Each individual security is calculated as a percentage of the aggregate market value of the securities held in the and does not include the use of derivative positions, where applicable. INDEXES DEFINED: Mutual funds have fees that reduce their performance: indexes do not. You cannot invest directly in an index. The MSCI EAFE (Europe, Australia, Far East) Index (net of foreign withholding taxes) is a free floatadjusted market capitalization weighted index measuring equity market performance of developed markets, excluding the U.S. and Canada. SHARECLASS OPTIMIZATION: * Effective April 3rd,Selectshare class becameishare class. 14 STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

15 ATTRIBUTION: Value added to a portfolio s return is commonly referred to as the active management or total effect. The total effect is the difference between the portfolio return and benchmark return. It is also the sum of the following investment decisions or effects: Allocation Effect measures an investment manager s ability to effectively allocate their portfolio s assets to various segments. The allocation effect determines whether the overweighting or underweighting of segments relative to a benchmark contributes positively or negatively to the overall portfolio return. Selection Effect measures the manager s ability to select securities within a given segment relative to a benchmark. The over or underperformance of the portfolio is weighted by the benchmark weight, therefore, selection is not affected by the manager s allocation to the segment. Interaction Effect measures the combined impact of a manager s selection and allocation decisions within a segment. If a manager had superior selection and overweighted that particular segment, the interaction effect is positive, whereas, if an investment manager had superior selection, but underweighted that segment, the interaction effect is negative. The total effect can be used to determine the amount an investment manager has added to a portfolio s return. If the total effect is positive, the manager has contributed positively to the portfolio s return. If the total effect is negative, the manager has not contributed positively to the portfolio s return. 15 STATISTICS REPORT: INTERNATIONAL RESEARCH ENHANCED EQUITY FUND

16 NOT FDIC INSURED NO BANK GUARANTEE MAY LOSE VALUE Contact JPMorgan Distribution Services, Inc. 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. return figures (for the fund and any index quoted) assume payment of fees and reinvestment of dividends (after the highest applicable foreign withholding tax) and distributions. Without fee waivers, fund returns would have been lower. Due to rounding, some values may not total 100%. J.P. Morgan s 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. J.P. Morgan Asset Management is the brand name for the asset management business of JPMorgan Chase & Co and its affiliates worldwide. JPMorgan Chase & Co., July 2018 MFDPIREE20618 jpmorganfunds.com