JPMorgan Portfolio Strategies Funds Société d Investissement à Capital Variable, Luxembourg (R.C.S. No. B ) 31 March 2015

Transcription

1 Unaudited Semi-Annual Report JPMorgan Portfolio Strategies Funds Société d Investissement à Capital Variable, Luxembourg (R.C.S. No. B ) 31 March 2015

2 Unaudited Semi-Annual Report As at 31 March 2015 Contents Board of Directors 1 Management and Administration 2 Unaudited Financial Statements and Statistical Information Combined Statement of Net Assets 3 Combined Statement of Operations and Changes in Net Assets 4 Statement of Changes in the Number of Shares 5-6 Statistical Information 7-8 Notes to the Unaudited Financial Statements 9-12 Schedules of Investments JPMorgan Portfolio Strategies Funds - Europe Dynamic Long-Short Fund JPMorgan Portfolio Strategies Funds - Technology Long-Short Fund Appendix: Unaudited Additional Disclosures Fund Expense Ratios 22 Summary of Investment Objectives of the Sub-Funds 22 Performance and Volatility 23 Remuneration Policy of the AIFM 23 Calculation Method of the Risk Exposure 23 Sub-Fund Share Classes Subject to Taxe d Abonnement Rate of 0.01% 23 Historical Statement of Changes in the Number of Shares 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 report, 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 Berndt May (until 12 December 2014) JPMorgan Asset Management (Europe) S.à r.l. Austrian Branch Führichgasse 8 A-1010 Vienna Austria 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 (from 13 December 2014) JPMorgan Asset Management (UK)Limited 60 Victoria Embankment London EC4Y 0JP United Kingdom Massimo Greco (from 30 January 2015) 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. European Bank & Business Centre 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, Administrative, Listing and Principal Paying Agent HSBC Securities Services (Luxembourg) S.A. (until 14 November 2014) 16, boulevard d Avranches L-1160 Luxembourg Grand Duchy of Luxembourg HSBC Bank Plc, Luxembourg Branch (from 15 November 2014) 16, boulevard d Avranches L-1160 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 Combined Statement of Net Assets As at 31 March 2015 JPMorgan Portfolio Strategies Funds Combined (USD) Europe Dynamic Long-Short Fund (EUR) Technology Long-Short Fund (EUR) Assets Investments in Securities at Market 852,674, ,705, ,996,634 Acquisition Cost 752,713, ,529, ,125,137 Cash at Bank 42,674,201 20,838,822 18,883,975 Net Unrealised Gain on Contracts for Difference 1,145,252-1,066,045 Net Unrealised Gain on Financial Futures Contracts 1,195, , ,717 Net Unrealised Gain on Forward Foreign Exchange Contracts 21,824,477 13,657,653 6,657,415 Dividends Receivable 1,395,611 1,097, ,311 Interest Receivable 7,123 5,004 1,626 Receivable for Unsettled Spot Contracts Total Assets 920,917, ,112, ,112,723 Liabilities Open Short Positions 252,714, ,650,986 48,585,295 Sales Proceeds 242,913, ,450,562 46,662,635 Bank Overdrafts 6,491,249 1,470,378 4,571,928 Short Dividends Payable 438, ,382 82,571 Performance Fees Payable 5,377,744 3,543,121 1,462,691 Management Fees Payable 1,150, , ,553 Net Unrealised Loss on Contracts for Difference 1,070, ,145 - Interest Payable 430, , ,363 Payable for Unsettled Spot Contracts 2,731 1, Other Payables* 697, , ,100 Total Liabilities 268,373, ,341,318 55,471,069 Total Net Assets 652,543, ,771, ,641,654 Historical Total Net Assets Total Net Assets as at 30 September ,688, ,352, ,054,321 Total Net Assets as at 30 September ,521, ,715,323 51,925,903 * Other Payables are principally comprised of Custodian and Administrative Agent fees, tax related fees and operating expenses. The accompanying notes form an integral part of these Financial Statements. 3

6 Combined Statement of Operations and Changes in Net Assets For the Period from 1 October 2014 to 31 March 2015 JPMorgan Portfolio Strategies Funds Combined (USD) Europe Dynamic Long-Short Fund (EUR) Technology Long-Short Fund (EUR) Net Assets at the Beginning of the Period* 570,889, ,352, ,054,321 Income Dividend Income 4,331,842 2,934,555 1,097,691 Interest Income 109,931 79,045 23,283 Other Income Total Income 4,441,830 3,013,641 1,120,986 Expenses Management and Advisory Fees 5,510,976 3,996,360 1,133,470 Operating and Administrative Expenses 587, , ,187 Interest Expense 3,626,580 1,991,418 1,384,343 Dividends Paid on Short Sales 3,257,434 2,709, ,498 Custodian Fees 176, ,088 44,749 Taxe d Abonnement 75,861 49,784 20,830 Brokerage Fees 69,571 64,759-13,304,426 9,262,196 3,122,077 Total Expenses before Performance Fees 13,304,426 9,262,196 3,122,077 Performance Fees 5,441,432 3,525,010 1,540,085 Total Expenses 18,745,858 12,787,206 4,662,162 Net Investment (Loss) (14,304,028) (9,773,565) (3,541,176) Net Realised Gain on Sale of Investments (1) 15,996,437 11,101,779 3,788,323 Net Realised Gain on Forward Foreign Exchange Contracts 44,038,576 29,430,289 11,562,521 Net Realised (Loss) on Financial Futures Contracts (13,998,273) (10,168,128) (2,862,006) Net Realised (Loss) on Contracts for Difference (6,388,862) (1,640,066) (4,306,934) Net Realised Gain on Swap Contracts 3,021,643 2,812,662 - Net Realised Gain on Foreign Exchange 965, , ,527 Net Realised Gain for the Period 43,634,769 32,236,499 8,380,431 Net Change in Unrealised Gain on Investments (1) 50,647,851 29,338,715 17,806,264 Net Change in Unrealised Gain on Forward Foreign Exchange Contracts 8,428,036 5,083,656 2,761,486 Net Change in Unrealised (Loss) on Contracts for Difference (6,903,381) (5,722,546) (703,388) Net Change in Unrealised Gain on Financial Futures Contracts 1,145, , ,623 Net Change in Unrealised Gain for the Period 53,317,636 29,507,133 20,122,985 Increase in Net Assets as a Result of Operations 82,648,377 51,970,067 24,962,240 Movements in Share Capital Subscriptions 437,067, ,660, ,177,983 Redemptions (438,061,590) (147,211,787) (260,552,890) (Decrease)/Increase in Net Assets as a Result of Movements in Share Capital (994,534) (1,550,844) 625,093 Net Assets at the End of the Period 652,543, ,771, ,641,654 (1) Please refer to Note 11 * Theopeningbalancewascombinedusingtheforeignexchangeratesasat31March2015.Thesamenetassetswhencombinedusingtheforeignexchangerulingasat 30September2014reflecteda figure of USD 670,688,007. The accompanying notes form an integral part of these Financial Statements. 4

7 Statement of Changes in the Number of Shares (continued) For the Period from 1 October 2014 to 31 March 2015 Shares Outstanding at the Beginning of the Period Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Period JPMorgan Portfolio Strategies Funds - Europe Dynamic Long-Short Fund JPM Europe Dynamic Long-Short Fund A 103 (EUR) 381, , (56, ) 378, JPM Europe Dynamic Long-Short Fund A 0513 (EUR) 23, (23, ) - JPM Europe Dynamic Long-Short Fund A 0613 (EUR) 34, (34, ) - JPM Europe Dynamic Long-Short Fund A 0713 (EUR) 6, (6, ) - JPM Europe Dynamic Long-Short Fund A 0913 (EUR) 12, (12, ) - JPM Europe Dynamic Long-Short Fund A 1013 (EUR) 13, (13, ) - JPM Europe Dynamic Long-Short Fund A 1113 (EUR) 23, (23, ) - JPM Europe Dynamic Long-Short Fund A 1213 (EUR) 1, (1, ) - JPM Europe Dynamic Long-Short Fund A 0214 (EUR) JPM Europe Dynamic Long-Short Fund A 0314 (EUR) 2, , JPM Europe Dynamic Long-Short Fund A 0414 (EUR) 6, (6, ) - JPM Europe Dynamic Long-Short Fund A 0514 (EUR) ( ) - JPM Europe Dynamic Long-Short Fund A 0614 (EUR) 11, (11, ) - JPM Europe Dynamic Long-Short Fund A 0714 (EUR) 64, (64, ) - JPM Europe Dynamic Long-Short Fund A 0814 (EUR) 21, (21, ) - JPM Europe Dynamic Long-Short Fund A 1014 (EUR) - 3, , JPM Europe Dynamic Long-Short Fund A 1214 (EUR) - 2, , JPM Europe Dynamic Long-Short Fund A 0215 (EUR) - 15, , JPM Europe Dynamic Long-Short Fund A 0111 (GBP) 24, , ( ) 47, JPM Europe Dynamic Long-Short Fund A 0613 (GBP) 26, (26, ) - JPM Europe Dynamic Long-Short Fund A 1013 (GBP) 1, (1, ) - JPM Europe Dynamic Long-Short Fund A 0215 (GBP) - 2, , JPM Europe Dynamic Long-Short Fund A 113 (USD) 469, , (110, ) 451, JPM Europe Dynamic Long-Short Fund A 0613 (USD) 4, (4, ) - JPM Europe Dynamic Long-Short Fund A 0713 (USD) 2, (2, ) - JPM Europe Dynamic Long-Short Fund A 0913 (USD) 6, (6, ) - JPM Europe Dynamic Long-Short Fund A 1013 (USD) 130, (130, ) - JPM Europe Dynamic Long-Short Fund A 1113 (USD) 22, (22, ) - JPM Europe Dynamic Long-Short Fund A 1213 (USD) 35, (35, ) - JPM Europe Dynamic Long-Short Fund A 0114 (USD) 17, , JPM Europe Dynamic Long-Short Fund A 0214 (USD) 40, (25, ) 15, JPM Europe Dynamic Long-Short Fund A 0314 (USD) 1, , JPM Europe Dynamic Long-Short Fund A 0514 (USD) 11, (11, ) - JPM Europe Dynamic Long-Short Fund A 0714 (USD) 133, ,100 - JPM Europe Dynamic Long-Short Fund A 0814 (USD) 34, (34, ) - JPM Europe Dynamic Long-Short Fund A 0914 (USD) - 34, (34, ) - JPM Europe Dynamic Long-Short Fund A 1014 (USD) - 25, , JPM Europe Dynamic Long-Short Fund A 1214 (USD) - 418, , JPM Europe Dynamic Long-Short Fund A 0115 (USD) - 254, , JPM Europe Dynamic Long-Short Fund A 0215 (USD) - 28, , JPM Europe Dynamic Long-Short Fund X 113 (EUR) ( ) - JPM Europe Dynamic Long-Short Fund X 1014 (USD) - 203, (179, ) 24, JPM Europe Dynamic Long-Short Fund X 1114 (USD) - 61, (61, ) - 5

8 Statement of Changes in the Number of Shares (continued) For the Period from 1 October 2014 to 31 March 2015 Shares Outstanding at the Beginning of the Period Shares Subscribed Shares Redeemed Shares Outstanding at the End of the Period JPMorgan Portfolio Strategies Funds - Technology Long-Short Fund JPM Technology Long-Short Fund A 1012 (CHF) 13, , , JPM Technology Long-Short Fund A 0913 (CHF) 2, (2, ) - JPM Technology Long-Short Fund A 1013 (CHF) ( ) - JPM Technology Long-Short Fund A 1213 (CHF) 4, (4, ) - JPM Technology Long-Short Fund A 0214 (CHF) 8, (8, ) - JPM Technology Long-Short Fund A 0314 (CHF) 3, (3, ) - JPM Technology Long-Short Fund A 0414 (CHF) 2, (2, ) - JPM Technology Long-Short Fund A 1114 (CHF) - 1, , JPM Technology Long-Short Fund A 0115 (CHF) - 3, , JPM Technology Long-Short Fund A 0215 (CHF) - 5, , JPM Technology Long-Short Fund A (EUR) 147, , (11, ) 281, JPM Technology Long-Short Fund A 1113 (EUR) 2, (2, ) - JPM Technology Long-Short Fund A 1213 (EUR) ( ) - JPM Technology Long-Short Fund A 0114 (EUR) 26, (26, ) - JPM Technology Long-Short Fund A 0214 (EUR) 15, (15, ) - JPM Technology Long-Short Fund A 0314 (EUR) 72, (72, ) - JPM Technology Long-Short Fund A 0414 (EUR) 2, (2, ) - JPM Technology Long-Short Fund A 0514 (EUR) 51, (51, ) - JPM Technology Long-Short Fund A 0614 (EUR) 6, (6, ) - JPM Technology Long-Short Fund A 0714 (EUR) 1, (1, ) - JPM Technology Long-Short Fund A 0814 (EUR) ( ) - JPM Technology Long-Short Fund A 0914 (EUR) - 7, , JPM Technology Long-Short Fund A 1014 (EUR) - 18, ( ) 18, JPM Technology Long-Short Fund A 1114 (EUR) - 8, , JPM Technology Long-Short Fund A 1214 (EUR) - 1, , JPM Technology Long-Short Fund A 0115 (EUR) - 2, , JPM Technology Long-Short Fund A 0215 (EUR) - 13, , JPM Technology Long-Short Fund A (GBP) 6, , JPM Technology Long-Short Fund A 1213 (GBP) ( ) - JPM Technology Long-Short Fund A 0214 (GBP) ( ) - JPM Technology Long-Short Fund A 0215 (GBP) - 1, , JPM Technology Long-Short Fund A (USD) 311, , (796, ) 209, JPM Technology Long-Short Fund A 0913 (USD) 1, (1, ) - JPM Technology Long-Short Fund A 1113 (USD) 10, (10, ) - JPM Technology Long-Short Fund A 0214 (USD) 8, (8, ) - JPM Technology Long-Short Fund A 0314 (USD) 52, (52, ) - JPM Technology Long-Short Fund A 0414 (USD) 450, (450, ) - JPM Technology Long-Short Fund A 0514 (USD) 167, (167, ) - JPM Technology Long-Short Fund A 0614 (USD) 158, (158, ) - JPM Technology Long-Short Fund A 0714 (USD) ( ) - JPM Technology Long-Short Fund A 1014 (USD) - 4, , JPM Technology Long-Short Fund A 1114 (USD) - 1, , JPM Technology Long-Short Fund A 0115 (USD) - 974, , JPM Technology Long-Short Fund A 0215 (USD) - 4, , JPM Technology Long-Short Fund X 1014 (USD) - 962, (962, ) - 6

9 Statistical Information (continued) Net Asset per Share Series in Share Class Currency 31 March September September 2013 JPMorgan Portfolio Strategies Funds - Europe Dynamic Long-Short Fund JPM Europe Dynamic Long-Short Fund A 0911 (EUR) JPM Europe Dynamic Long-Short Fund A 0911 (USD) JPM Europe Dynamic Long-Short Fund A 0312 (EUR) JPM Europe Dynamic Long-Short Fund A 0312 (GBP) JPM Europe Dynamic Long-Short Fund A 0312 (USD) JPM Europe Dynamic Long-Short Fund A 0113 (EUR) JPM Europe Dynamic Long-Short Fund A 0113 (USD) JPM Europe Dynamic Long-Short Fund A 0213 (EUR) JPM Europe Dynamic Long-Short Fund A 0313 (EUR) JPM Europe Dynamic Long-Short Fund A 0313 (USD) JPM Europe Dynamic Long-Short Fund A 0413 (EUR) JPM Europe Dynamic Long-Short Fund A 0813 (EUR) JPM Europe Dynamic Long-Short Fund A 0813 (USD) JPM Europe Dynamic Long-Short Fund A 103 (EUR) JPM Europe Dynamic Long-Short Fund A 0513 (EUR) JPM Europe Dynamic Long-Short Fund A 0613 (EUR) JPM Europe Dynamic Long-Short Fund A 0713 (EUR) JPM Europe Dynamic Long-Short Fund A 0913 (EUR) JPM Europe Dynamic Long-Short Fund A 1013 (EUR) JPM Europe Dynamic Long-Short Fund A 1113 (EUR) JPM Europe Dynamic Long-Short Fund A 1213 (EUR) JPM Europe Dynamic Long-Short Fund A 0214 (EUR) JPM Europe Dynamic Long-Short Fund A 0314 (EUR) JPM Europe Dynamic Long-Short Fund A 0414 (EUR) JPM Europe Dynamic Long-Short Fund A 0514 (EUR) JPM Europe Dynamic Long-Short Fund A 0614 (EUR) JPM Europe Dynamic Long-Short Fund A 0714 (EUR) JPM Europe Dynamic Long-Short Fund A 0814 (EUR) JPM Europe Dynamic Long-Short Fund A 1014 (EUR) JPM Europe Dynamic Long-Short Fund A 1214 (EUR) JPM Europe Dynamic Long-Short Fund A 0215 (EUR) JPM Europe Dynamic Long-Short Fund A 0111 (GBP) JPM Europe Dynamic Long-Short Fund A 0613 (GBP) JPM Europe Dynamic Long-Short Fund A 1013 (GBP) JPM Europe Dynamic Long-Short Fund A 0215 (GBP) JPM Europe Dynamic Long-Short Fund A 113 (USD) JPM Europe Dynamic Long-Short Fund A 0613 (USD) JPM Europe Dynamic Long-Short Fund A 0713 (USD) JPM Europe Dynamic Long-Short Fund A 0913 (USD) JPM Europe Dynamic Long-Short Fund A 1013 (USD) JPM Europe Dynamic Long-Short Fund A 1113 (USD) JPM Europe Dynamic Long-Short Fund A 1213 (USD) JPM Europe Dynamic Long-Short Fund A 0114 (USD) JPM Europe Dynamic Long-Short Fund A 0214 (USD) JPM Europe Dynamic Long-Short Fund A 0314 (USD) JPM Europe Dynamic Long-Short Fund A 0514 (USD) JPM Europe Dynamic Long-Short Fund A 0714 (USD) JPM Europe Dynamic Long-Short Fund A 0814 (USD) JPM Europe Dynamic Long-Short Fund A 1014 (USD) JPM Europe Dynamic Long-Short Fund A 1214 (USD) JPM Europe Dynamic Long-Short Fund A 0115 (USD) JPM Europe Dynamic Long-Short Fund A 0215 (USD) JPM Europe Dynamic Long-Short Fund X 113 (EUR) JPM Europe Dynamic Long-Short Fund X 1014 (USD)

10 Statistical Information (continued) Net Asset per Share Series in Share Class Currency 31 March September September 2013 JPMorgan Portfolio Strategies Funds - Technology Long-Short Fund JPM Technology Long-Short Fund A 1012 (USD) JPM Technology Long-Short Fund A 1112 (USD) JPM Technology Long-Short Fund A 0113 (EUR) JPM Technology Long-Short Fund A 0113 (GBP) JPM Technology Long-Short Fund A 0113 (USD) JPM Technology Long-Short Fund A 1212 (EUR) JPM Technology Long-Short Fund A 0213 (GBP) JPM Technology Long-Short Fund A 0213 (CHF) JPM Technology Long-Short Fund A 0413 (USD) JPM Technology Long-Short Fund A 0513 (USD) JPM Technology Long-Short Fund A 0612 (USD) JPM Technology Long-Short Fund A 0712 (EUR) JPM Technology Long-Short Fund A 0712 (USD) JPM Technology Long-Short Fund A 0812 (USD) JPM Technology Long-Short Fund A 0912 (EUR) JPM Technology Long-Short Fund A 0613 (EUR) JPM Technology Long-Short Fund A 0613 (USD) JPM Technology Long-Short Fund A 0713 (EUR) JPM Technology Long-Short Fund A 0713 (GBP) JPM Technology Long-Short Fund A 0713 (USD) JPM Technology Long-Short Fund A 0713 (CHF) JPM Technology Long-Short Fund A 0813 (EUR) JPM Technology Long-Short Fund A 0813 (GBP) JPM Technology Long-Short Fund A 0813 (USD) JPM Technology Long-Short Fund A 1012 (CHF) JPM Technology Long-Short Fund A 0913 (CHF) JPM Technology Long-Short Fund A 1013 (CHF) JPM Technology Long-Short Fund A 1213 (CHF) JPM Technology Long-Short Fund A 0214 (CHF) JPM Technology Long-Short Fund A 0314 (CHF) JPM Technology Long-Short Fund A 0414 (CHF) JPM Technology Long-Short Fund A 1114 (CHF) JPM Technology Long-Short Fund A 0115 (CHF) JPM Technology Long-Short Fund A 0215 (CHF) JPM Technology Long-Short Fund A (EUR) JPM Technology Long-Short Fund A 1113 (EUR) JPM Technology Long-Short Fund A 1213 (EUR) JPM Technology Long-Short Fund A 0114 (EUR) JPM Technology Long-Short Fund A 0214 (EUR) JPM Technology Long-Short Fund A 0314 (EUR) JPM Technology Long-Short Fund A 0414 (EUR) JPM Technology Long-Short Fund A 0514 (EUR) JPM Technology Long-Short Fund A 0614 (EUR) JPM Technology Long-Short Fund A 0714 (EUR) JPM Technology Long-Short Fund A 0814 (EUR) JPM Technology Long-Short Fund A 0914 (EUR) JPM Technology Long-Short Fund A 1014 (EUR) JPM Technology Long-Short Fund A 1114 (EUR) JPM Technology Long-Short Fund A 1214 (EUR) JPM Technology Long-Short Fund A 0115 (EUR) JPM Technology Long-Short Fund A 0215 (EUR) JPM Technology Long-Short Fund A (GBP) JPM Technology Long-Short Fund A 1213 (GBP) JPM Technology Long-Short Fund A 0214 (GBP) JPM Technology Long-Short Fund A 0215 (GBP) JPM Technology Long-Short Fund A (USD) JPM Technology Long-Short Fund A 0913 (USD) JPM Technology Long-Short Fund A 1113 (USD) JPM Technology Long-Short Fund A 0214 (USD) JPM Technology Long-Short Fund A 0314 (USD) JPM Technology Long-Short Fund A 0414 (USD) JPM Technology Long-Short Fund A 0514 (USD) JPM Technology Long-Short Fund A 0614 (USD) JPM Technology Long-Short Fund A 0714 (USD) JPM Technology Long-Short Fund A 1014 (USD) JPM Technology Long-Short Fund A 1114 (USD) JPM Technology Long-Short Fund A 0115 (USD) JPM Technology Long-Short Fund A 0215 (USD)

11 Notes to the Unaudited Financial Statements As at 31 March Organisation JPMorgan Portfolio Strategies Funds (the SICAV ) is an investment company incorporated on 8 November 2002 for an unlimited period of time. It is organised under Part II of the Luxembourg law of 17 December 2010 on Undertakings for Collective Investment as a Société Anonyme qualifying as a Société d Investissement à Capital Variable (SICAV). As at 31 March 2015, it comprises 2 Sub-Funds each relating to a separate investment portfolio consisting of securities, cash and other instruments. The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg, under number B Each Sub-Fund may contain A 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 each Sub-Fund, individual Classes of Shares may have a currency of denomination that differs from the currency of denomination of the Sub-Fund. The currency denomination for each Class of Share is indicated by a suffix to the Share Class name. 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 Commission Delegated Regulation (EU) No.231/2013 and any implementing measures as implemented in Luxembourg by the Law of 12 July 2013 on Alternative Investment Fund Managers as amended from time to time. 2. Significant Accounting Policies The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments. 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 securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange or 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 values 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 2015.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 accruals basis.dividend income, or expense in the case of short sales, 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 each 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 business day into the base currency using currency exchange rates prevailing on each such business 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 exchange transactions represent: (i) foreign exchange gains and losses from the sale and holding of foreign currencies and 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 Net Realised Gain/(Loss) on Foreign Exchange in the Combined Statement of Operations and Changes in Net Assets. The reference currency of the Combined Statements is USD. The exchange rate applied as at 31 March 2015 was as follows: 1 USD = EUR e) Forward Foreign Exchange Contracts Unrealised gains or losses on outstanding Forward Foreign Exchange Contracts are valued on the basis of currency exchange rates prevailing at the relevant valuation date.the changes in such amounts are included in Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts in the Combined Statement of Operations and Changes in Net Assets.Unrealised gains or losses are recorded under Unrealised Net Gain/(Loss) on Forward Foreign Exchange Contracts in the Combined Statement of Net Assets. f) Short Sales The SICAV may make short sales of equity securities.a short sale occurs when the SICAV sells a security which it does not own, either by borrowing it from a broker or selling it in a market with extended settlement dates.in the event that the value of the security that the SICAV sold short declines, the SICAV will gain as it will repurchase the security in the market at a lower price.if the price of the security increases, the SICAV will suffer a loss as it will have to repurchase the security in the market at a higher price. Short sales may incur higher transaction costs than regular securities transactions. The SICAV has recorded these obligations in the Financial Statements at the market value of the related securities. 9

12 Notes to the Unaudited Financial Statements (continued) As at 31 March 2015 g) Contracts for Difference Contracts for difference are valued based on the closing market price of the underlying security, less any financing charges attributable to each contract. Upon entering into contracts for difference, the SICAV may be required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount ( initial margin ).Subsequently, payments known as variation margin are made or received by the SICAV periodically, depending on fluctuations in the value of the underlying security.during the period contracts are open, changes in the value of contracts are recognised as unrealised gains and losses by marking-to-market at each valuation point in order to reflect the changes in the value of the underlying security.realised gains or losses upon closure of the contract are equal to the difference between the value of the contract at the time it was opened and the value at the timeit was closed. The open contracts for difference are included in the Combined Statement of Net Assets on the basis of the Unrealised Gain/(Loss) attributable to each contract as at the end of the period.dividends attributable to open contracts for difference are also included in the value of the Unrealised Gain/(Loss) at the end of the period. The contracts are subject to a daily financing charge and income, usually applied at a previously agreed rate, which is accounted for as interest income for short Contracts for Difference and as interest expense for long Contracts for Difference positions. h) Financial Futures Contracts on Indices Regulated financial futures contracts are valued at the exchange quoted settlement price.initial margin deposits are made upon entering into the contracts and can be either in cash or securities.during the period the contracts are open, changes in the value of the contracts are recognised as unrealised gains and losses by marking-to-market on a daily basis to reflect the market value of the contracts at the end of each business day s trading.variation margin payments are made or received, depending upon whether losses or gains are incurred.when a contract is closed, the SICAV records a realised gain or loss equal to the difference between the proceeds from, or cost of, the closing transaction and the initial cost of the contract in Net Realised Gain/(Loss) on Financial Futures Contracts in the Combined Statement of Operations and Changes in Net Assets. Unrealised gains or losses are recorded under Unrealised Net Gain/(Loss) on Financial Futures Contracts in the Combined Statement of Net Assets. i) Total Return Swaps The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the returns generated by a security, instrument, basket or index thereof.the payments made by the SICAV to the counterparty and vice versa are calculated by reference to a specific security, on a basket of securities, index, or instruments and an agreed upon notional amount.any such underlying security or instrument must be a transferable security and any such index must be an index of a regulated market. A Total Return Swap will exchange the total performance on a specific basket of securities, selected by the Investment Manager against a reference rate plus a spread.the total performance will include interests, dividends, gains and losses on the underlying securities during the contract period according to the type of underlying.the risk of this type of instrument will depend on the uncertain evolution, at the time of the contract conclusion, of the performance of the underlying. These underlying securities are listed on a primary exchange. The value of the underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers. The relevant indices include, but are not limited to currencies, interest rates, prices and total return on interest rates indices, fixed income indices and stock indices. The market values are recorded under Total Return Swaps at Market in the Combined Statement of Net Assets.The changes in such amounts are included in the Combined Statement of Operations and Changes in Net Assets under Net Change in Unrealised Gain/(Loss) on Swap Contracts.When a contract is closed, the Realised Gain/(Loss) is recorded under Net Realised Gain/(Loss) on Swap Contracts in the Combined Statement of Operations and Changes in Net Assets. 3. Fees and Expenses a) All Sub-Funds - Expense Structure 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.During the period under review, Operating and Administrative Expenses as defined in the prospectus were voluntarily capped at 0.40% for each Sub-Fund; it does not cover Transaction Fees and Extraordinary Expenses.The Management Company absorbs any difference that may arise between the actual costs of the Operating and Administrative Expenses of the SICAV and the fixed percentage.to the extent that actual Operating and Administrative costs exceed the fixed percentage, the amount borne by the Management Company will be separately disclosed as an Fee Waiver in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets. The Operating and Administrative Expenses cover: (i) Expenses directly contracted by the Fund, including but not limited to the Custodian fees, auditing fees and expenses, the Luxembourg taxe d abonnement, Directors fees and reasonable out-of-pocket expenses incurred by the Directors. (ii) 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 (i) above.the Management Company then bears all expenses incurred in the day to day operation and administration of the Fund, including but not limited to formation expenses such as organisation and registration costs; 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 Information Documents or any offering document, financial reports and other documents made available to Shareholders. Operating and Administrative Expenses do not include Transaction Fees and Extraordinary Expenses. The change in the structure of the Operating and Administrative Expenses does not affect the current fixed percentage level on all Sub-Funds for Share Classes A and X Shares as disclosed in Appendix II of the Prospectus. b) All Sub-Funds - Management and Advisory Fees The SICAV pays to the Management Company (or the relevant Sub-Fund Investment Manager) an annual management fee calculated as a percentage of the net assets of each sub-fund or Share Class under its management as at each Valuation Day. The Annual Management and Advisory Fee is accrued at each Valuation Day and payable monthly in arrears at the following rate: JPMorgan Portfolio Strategies Funds - Europe Dynamic Long-Short Fund A - EUR, USD, GBP 2.00% p.a. X - EUR (see Note 3. c) JPMorgan Portfolio Strategies Funds Technology Long-Short Fund A EUR, USD, GBP 2.00% p.a 10

13 Notes to the Unaudited Financial Statements (continued) As at 31 March 2015 c) All Sub-Funds - Share Class X - Management and Advisory Fees The Annual Management and Advisory Fees 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. d) All Sub-Funds - Performance Fees For all Class A Shares, the Management Company is entitled to receive an annual performance-based incentive fee (the Performance Fee ) from the SICAV calculated so that each Share is charged a Performance Fee which relates to that Share s performance.this is achieved by issuing a new Series of Shares on each Valuation Day. At the end of each SICAV accounting year, each of these Series may be collapsed into the Original Series or Conversion A Shares. A detailed definition of the Share Class benchmarks is given in the Prospectus of the SICAV.For each Calculation Period, the Performance Fee in respect of each Share will be equal to a rate defined in the Prospectus multiplied by the appreciation in the Net Asset per Share of that Series during that Calculation Period above the Adjusted High Water Mark for Shares of that Series.The Adjusted High Water Mark is the High Water Mark for Shares of that Series increased by the percentage return of that Share Class s benchmark, if any, since the High Water Mark was set.if there is no benchmark for that Share Class, then the Adjusted High Water Mark will be the same as the High Water Mark. A Performance Fee will be charged on each of the Class A Shares of the JPMorgan Portfolio Strategies Funds - Europe Dynamic Long Short-Fund and the JPMorgan Portfolio Strategies Funds - Technology Long-Short Fund.The Performance Fee percentage will be 20%.During the period, JPMorgan Portfolio Strategies Funds - Europe Dynamic Long-Short Fund and JPMorgan Portfolio Strategies Funds - Technology Long-Short Fund incurred performance fees of EUR 3,525,010 and EUR 1,540,085 respectively. e) All Sub-Funds Custodian fees The SICAV pays to the Custodian by way of remuneration a custodian fee and transaction fees and charges as agreed from time to time in writing.such fees are accrued daily and paid to the Custodian monthly in arrears.the custodian fees are in accordance with normal practice in Luxembourg and are calculated on the basis of a percentage of net assets of the SICAV together with a fixed amount per transaction. f) All Sub-Funds Brokerage fees The SICAV pays fees to the broker for service provided during the period. 4. Distribution Policy The policy of each Sub-Fund and Class 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 period, 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 thinks it appropriate to make such a proposal.the Board 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% per annum based on the net asset value attributed to each Share Class at the end of the relevant quarter, calculated and paid quarterly.a reduced tax rateof 0.01% per annum of the net assets will be applicable to Share Classes as identified in the Appendix. 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 collective investment undertakings 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 in the Grand Duchy of Luxembourg on realised or unrealised capital appreciation of the assets of the SICAV.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 each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtained free of charge upon request at the registered office of the SICAV.Additional information on investments within each Sub-Fund s portfolio is available to shareholders at the registered office of the SICAV. 7. of Financial Instruments and Associated Risks The SICAV enters into forward foreign exchange contracts, financial futures contracts and contracts for differences which, to varying degrees, represent a market risk in excess of the amount reflected on the Combined Statement of Net Assets.The amount 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. 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 are counterparties for certain forward foreign exchange contracts, financial futures contracts and swaps contracts. The Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent, Investment Managers 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. 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 May, Mr Greco and Mr Watkins.Mr Schwicht was also a Connected Director and waived this fee until 1 November 2014, after which he became an independent Director. The total amount paid to the Directors for the period was EUR 36,871 of which the Chairman was due EUR 8,

14 Notes to the Unaudited Financial Statements (continued) As at 31 March Transaction Costs For the period from 1 October 2014 to 31 March 2015, 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: JPMorgan Portfolio Strategies Funds - Europe Dynamic Long-Short Fund: EUR 1,753,318; JPMorgan Portfolio Strategies Funds - Technology Long-Short Fund: EUR 553,459. The amounts included under the heading Brokerage Fees in the Combined Statement of Operations and Changes in Net Assets are composed of transactions-related fees and are not included in the transaction costs mentioned above. 11. Net Gains/(Losses) on Investments The following table details the gross gains/(losses) on investments: Europe Dynamic Long-Short Fund Technology Long-Short Fund (EUR) (EUR) Realised Gain on Sale of Investments 61,407,952 24,936,756 Realised (Loss) on Sale of Investments (50,306,173) (21,148,433) Net Realised Gain on Sale Investments 11,101,779 3,788,323 Change in Unrealised Gain on Investments 70,957,126 32,896,442 Change in Unrealised (Loss) on Investments (41,618,411) (15,090,178) Net Change in Unrealised Gain on Investments 29,338,715 17,806,264 12

15 - Europe Dynamic Long-Short Fund Schedule of Investments (Market Expressed in EUR) As at 31 March 2015 Quantity/ Nominal Name of Securities Market % of Net Assets Quantity/ Nominal Name of Securities Market % of Net Assets Transferable Securities Admitted to an Official Exchange Listing Long Positions Shares GERMANY 157,283 Aareal Bank 6,212, ,780 Allianz SE 6,276, ,558 Continental 8,675, ,124 Daimler 7,279, ,491 Deutsche Annington Immobilien SE 10,660, ,268 Hannover Rueck 5,816, ,142 HeidelbergCement 5,693, ,747 Henkel 6,566, ,483 K+S 5,336, ,809 LEG Immobilien GmbH 9,293, ,060 Merck KGaA 5,024, ,230 Muenchener Rueckversicherung Gesellschaft 4,459, ,505 Nordex 2,168, ,444 Osram Licht 5,640, ,906 Symrise 4,995, ,098, FRANCE 40,908 Arkema 3,016, ,499 AXA 6,063, ,719 BNP Paribas 6,433, ,599 Cap Gemini 6,766, ,314 Dassault Aviation 7,122, ,840 Fonciere des Regions 3,211, ,511 Groupe FNAC 4,481, ,864 Havas Advertising 119, ,047,507 Natixis 7,291, ,164 Orange 3,070, ,791 Publicis Groupe 5,515, ,056,987 Technicolor 6,348, ,342 Unibail-Rodamco 3,600, ,826 Valeo 4,286, ,325, NETHERLANDS 98,645 ASM International 4,246, ,443 ASML Holding 5,445, ,744 Heineken 5,024, ,420 ING Groep 4,358, ,807 Koninklijke Ahold 5,978, ,396,794 PostNL 5,534, ,394 Refresco Gerber 5,888, ,951 TKH Group 5,204, ,108 Wolters Kluwer 7,451, ,132, SWITZERLAND 112,582 Adecco 8,746, ,687 Forbo Holding 9,656, ,247 Geberit 3,237, ,188 Georg Fischer AG 3,309, ,661 Kardex 2,510, ,123 Logitech International 5,030, ,901 SFS Group 4,376, ,093 Straumann Holding 3,085, ,010 Swiss Life Holding 3,462, ,414, DENMARK 1,801 A P Moller - Maersk 3,505, ,430 ISS 6,843, ,328 Novo Nordisk 9,776, ,858 Pandora 6,771, ,099 Royal Unibrew 6,258, ,494 Topdanmark 2,383, ,678 Vestas Wind Systems 4,843, BELGIUM 82,670 Belgacom 2,692, ,519 Bpost 3,224, ,768 Delhaize Group 6,343, ,425 Ontex Group 7,756, ,017, FINLAND 221,106 Cramo Plc 3,674, ,206 Huhtamaki 4,261, ,858 UPM-Kymmene 7,281, ,262 Valmet 3,362, ,580, GREAT BRITAIN 1,740,488 Auto Trader Group 6,059, ,179 Crest Nicholson Holdings 1,060, ,986 Dialog Semiconductor 3,141, ,201,701 Lloyds Banking Group 1,300, ,290 TSB Banking Group Plc 1,555, ,118, ITALY 868,514 Anima Holding 5,992, ,731 Banca Ifis 1,648, ,072,827 Intesa Sanpaolo 3,396, ,037, LUXEMBOURG 195,807 Aperam 7,313, ,443 BRAAS Monier Building Group 3,311, ,625, AUSTRIA 187,323 AMS 8,381, ,381, JERSEY 340,866 Wizz Air Holdings Plc 6,547, ,547, NORWAY 413,874 Entra ASA 4,004, ,004, SWEDEN 304,728 Telefonaktiebolaget B 3,565, ,565, IRELAND 207,593 Ryanair Holdings Plc 2,310, ,310, ,007 Folli Follie 2,274, ,274, Total Shares 417,674, Total Transferable Securities Admitted to an Official Exchange Listing 417,674, ,382, SPAIN 292,534 Acerinox 4,570, ,276 Endesa 4,216, ,042 International Consolidated Airlines Group (MCE) 7,467, ,714 Mediaset Espana Comunicacion 4,450, ,486 Telefonica 2,128, ,486 Telefonica Rights (04/12/2015) 24, ,857,