JPMorgan Funds. Audited Annual Report 30 June 2011

Transcription

1 JPMorgan Funds Audited Annual Report 30 June 2011

2 This report is an abridged version the audited annual report established in conformity with the Luxembourg Law 20 December 2002 on Undertakings for Collective Investment as amended. The full version is available on request from the Company s registered fice in Luxembourg or the Singapore Representative*. This report does not constitute an fer or sale or invitation for subscription or purchase shares, which must be accompanied with the relevant current Singapore prospectus (which is not valid without the relevant current Luxembourg prospectus) and the relevant product highlights sheets. These documents are available free charge on request from appointed Singapore distributors or the Singapore Representative. Certain the sub-funds the Fund are not authorised for fer or distribution in or to Singapore. Accordingly, no reference is made to these sub-funds in this audited annual report. The attention the investors is drawn to the fact that certain figures in this audited annual report are expressed on a consolidated basis and, thus, include the assets those sub-funds which are not authorised for fer or distribution in or to Singapore. * The Singapore Representative is JPMorgan Asset Management (Singapore) Limited, 168 Robinson Road, 17th Floor, Capital Tower, Singapore , telephone number: (65)

3 JPMorgan Funds Audited Annual Report Contents (continued) Board Directors 1 Management and Administration 2 Board Directors Report 3 Investment Managers Report 4 Audit Report 5 Financial Statements and Statistical Information Combined Statement 7 Combined Statement Operations and Changes in 12 Statement Changes in the Number 16 Statistical Information 20 Notes to the Financial Statements 24 Schedules Investment JPMorgan Funds - Africa Equity Fund 30 JPMorgan Funds - America Large Cap Fund 32 JPMorgan Funds - Asia Pacific Bond Fund 33 JPMorgan Funds - Brazil Alpha Plus Fund 36 JPMorgan Funds - Eastern Europe Equity Fund 38 JPMorgan Funds - Emerging Europe, Middle East and Africa Equity Fund 40 JPMorgan Funds - Emerging s Equity Fund 42 JPMorgan Funds - Emerging s Infrastructure Equity Fund 44 JPMorgan Funds - Emerging s Local Currency Debt Fund 46 JPMorgan Funds - Emerging Middle East Equity Fund 50 JPMorgan Funds - Global Consumer Trends Fund 51 JPMorgan Funds - Global Dynamic Fund 53 JPMorgan Funds - Global Mining Fund 57 JPMorgan Funds - Global Natural Resources Fund 58 JPMorgan Funds - JF ASEAN Equity Fund 61 JPMorgan Funds - JF Asia Pacific ex-japan Equity Fund 62 JPMorgan Funds - JF China Fund 65 JPMorgan Funds - JF Greater China Fund 66 JPMorgan Funds - JF India Fund 67 JPMorgan Funds - JF Korea Equity Fund 68 JPMorgan Funds - JF Pacific Technology Fund 70 JPMorgan Funds - JF Singapore Fund 71 JPMorgan Funds - Latin America Equity Fund 72 JPMorgan Funds - Russia Fund 73 JPMorgan Funds - US Small Cap Growth Fund 74 Appendix: Unaudited Additional Disclosures Fund Total Expense Ratios 76 Summary Investment Objectives the Sub-Funds 81 Performance and Volatility 83 Interest Rate Received/(Charged) on Bank Accounts 88 Sub-Fund Share Classes Subject to Taxe d abonnement Rate Portfolio Turnover Ratio 88 Historical Statements Changes in the Number 89

4 JPMorgan Funds Board Directors Chairman Iain O.S. Saunders Banker Duine, Ardfern Argyll PA31 8QN United Kingdom Directors Jacques Elvinger Partner Elvinger, Hoss & Prussen 2, place Winston Churchill L-2014 Luxembourg Grand Duchy Luxembourg Jean Frijns Pressor, Finance and Investments Antigonelaan 2 NL-5631 LR Eindhoven The herlands Deputy Chairman Pierre Jaans Economist 3, rue de Kahler L-8356 Garnich Grand Duchy Luxembourg James B. Broderick Managing Director JPMorgan Asset Management (UK) Limited 20 Finsbury Street London EC2Y 9AQ United Kingdom Robert Van der Meer Pressor Finance 12 Lange Vijverberg NL-2513 AC The Hague The herlands Berndt May Managing Director JPMorgan Asset Management (Europe) S.à r.l. Austrian Branch Führichgasse 8 A-1010 Vienna Austria Registered Office European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy Luxembourg 1

5 JPMorgan Funds Management and Administration 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 Luxembourg Investment Managers J.P. Morgan Investment Management Inc. 245 Park Avenue New York, NY United States America JPMorgan Asset Management (Japan) Limited Tokyo Building 7-3, Marunouchi 2 - Chome Chiyoda-ku Tokyo Japan JPMorgan Asset Management (UK) Limited 20 Finsbury Street London EC2Y 9AQ United Kingdom JPMorgan Asset Management (Taiwan) Limited 17th Floor, 65 Tun Hwa South Road Section 2, Taipei Taiwan JF Asset Management Limited 21st Floor, Chater House 8 Connaught Road, Central Hong Kong JPMorgan Asset Management (Singapore) Limited 168 Robinson Road 17th Floor, Capital Tower Singapore Highbridge Capital Management LLC 9 West 57th Street New York, NY United States America Custodian, Corporate, Administrative Agent & Paying Agent J.P. Morgan Bank Luxembourg S.A. European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy Luxembourg Auditor PricewaterhouseCoopers S.à r.l. 400, Route d Esch B.P L-1014 Luxembourg Grand Duchy Luxembourg Legal Adviser Elvinger, Hoss & Prussen 2, place Winston Churchill L-2014 Luxembourg Grand Duchy Luxembourg 2

6 JPMorgan Funds Board Directors Report The Board Directors is pleased to present the Audited Annual Report for the year ended 30 June The Fund The Fund is a variable capital investment company, organised as a Société Anonyme, under the laws the Grand Duchy Luxembourg. The Board Directors has appointed JPMorgan Asset Management (Europe) S.à r.l. as Management Company the Fund. The Fund is organized as an umbrella with a number Sub-Funds, each which has its own investment policy and restrictions. At present, the Fund has issued shares in 117 Sub-Funds. During the year, the following Sub-Fund was launched: - JPMorgan Funds - Global Mining Fund on 8 February During the year, the total net assets the Fund increased from USD 44.1 billion to USD 61.6 billion at year end. The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities under the amended EC Directive 85/ December 1985 and from 1 July2011 the Fund is subject to the law 17 December The Fund maytherefore be fered for sale in European Union Member States, subject to registration in countries other than the Grand Duchy Luxembourg. In addition, applications to register the Fund and its Sub-Funds maybe made in other countries. The Fund and the Sub-Funds are currently registered for fer and distribution in the Grand Duchy Luxembourg and in the following jurisdictions: Austria, Bahrain, Belgium, Chile, Cyprus, Denmark, Estonia, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Jersey, Korea, Macau, The herlands, Norway, Peru, Poland, Portugal, Singapore, Spain, Sweden, Switzerland, Taiwan and the United Kingdom. Responsibility the Directors The responsibility the Directors the Fund is governed exclusivelybyluxembourg law. With respect to the annual accounts the Fund, the duties the Directors are governed bygeneral corporate law and the law 19 December 2002 on, inter alia, the accounting and annual accounts undertakings and by the law 17 December 2010 relating to undertakings for collective investment. Change in the Board Directors Earlier this year Ms Andrea L. Hazen informed the Board her intention to retire from the Board Directors and it was agreed that this would be effective from 31 March Ms Hazen had been a Director the Companysince September 2005 and the Board would like to take this opportunityto record their thanks for her services. In addition, the Board would like to advise that with effect from 31 March 2011 Mr James B. Broderick was co-opted as a Director and his appointment will be approved by Shareholders at the forthcoming Annual General Meeting. ALFI Code Conduct Following its introduction the Board Directors has adopted the ALFI Code Conduct (the Code ) which sets out principles good governance. The Board Directors considers that the Fund has been in compliance with the Code in all material aspects throughout the financial year ended 30 June Annual General Meeting The next Annual General Meeting the Company will be held on 16 November Board Directors Luxembourg, 4 October

7 JPMorgan Funds Investment Managers Report For the Year Ended 30 June 2011 Review Global stock markets made strong gains over the 12 months to the end June 2011, with the MSCI World Index rising 10.8 in euro terms against a backdrop strong corporate prits growth (source: FactSet). In contrast, government bond investors experienced losses in euro terms, with the JPMorgan Global Bond Index down 6.9 in euro terms. Returns were negative in the period as the environment was poor for bonds, with developed markets experiencing a disappointinglyweak recovery, rising inflationary pressures and expectations for rising interest rates. Bond markets were also impacted byongoing eurozone sovereign debt concerns. In peripheral Europe, the JPMorgan Ireland Index fell 22.9 and the JPMorgan Portugal Index was down 21.5 as both countries required bailouts in the period from the European Union (EU) and the International Monetary Fund (IMF). Core European markets were also hurt, with the JPMorgan GermanyIndex losing 1.0 and the JPMorgan France Index down 0.4 (source for government bond indices: J.P. Morgan). The review period began well for equities with a strong second-quarter 2010 corporate earnings season. However, the positive market sentiment quickly faded over the summer as the macroeconomic outlook became increasinglyuncertain and investors waited to see if central banks would introduce more stimulus measures. With the US economic recoverylooking fragile, Ben Bernanke, chairman the US Federal Reserve ( Fed ), talked the need for a second round quantitative easing (QE2). In September and October markets rallied as investors changed allocation priorities towards equities in anticipation QE2. On 3 November, the Fed announced a larger-than-expected USD 600 billion asset purchase package, which was well received by the market. The global stock market rallyfaltered in late November, when eurozone sovereign debt and Chinese inflation concerns undermined investor confidence. A bailout for Ireland from the EU and IMF calmed nerves, helping global markets to regain their upward momentum towards the end Sentiment was further supported in early2011 bystrong leading economic indicators from the developed world and generallygood fourth-quarter 2010 corporate earnings results. Geopolitical instability in North Africa and the Middle East came to the fore in February, with political protests breaking out in Tunisia and Egypt. In March, violence escalated and civil unrest spread to Bahrain and Libya, resulting in disruption to oil production, which triggered a sharp rise in oil prices. Developed country bond investors feared that high oil prices would add to existing inflationary pressures, resulting in earlier-than-expected interest rate rises. In the eurozone, the European Central Bank raised interest rates by0.25 to 1.25 in April in an attempt to bring inflation back below its 2 target making it the first major developed market central bank to tighten policy. In emerging markets, central banks in China, Brazil, Korea, India and Thailand also raised their keylending rates over the review period in an effort to combat rising prices. However, despite inflation rising sharply, the Bank England and US Fed kept policy unchanged as economic growth remained weak. s succumbed to further uncertaintywhen a massive earthquake, measuring 9.0 in magnitude, hit Japan on 11 March. Concerns about the repercussions the earthquake, particularly on production lines and manufacturing supply chains, resulted in losses for markets globally. volatilitycontinued as the eurozone sovereign debt crisis re-emerged towards the end the review period. A swift rescue package from the EU and IMF for Portugal reassured investors, but in May investor concerns turned to Greece, where a debt default became increasingly likely. The Greek parliament eased investor concerns in late June byapproving a new five-year package additional spending cuts, tax increases and state asset sales, paving the wayfor the EU and IMF to release the next tranche bailout funds. However, markets remain volatile as European politicians search for a comprehensive solution to the crisis. Meanwhile, the impact higher oil prices, the Japanese earthquake and tighter monetarypolicystarted to come through in economic data. In China, investors began to worryabout a hard landing for the economyas industrial data stened. Meanwhile, US economic data pointed towards a slowdown, with manufacturing activity weakening in April and May, unemployment rising and the housing market continuing to struggle. The period drew to a close with reassurance from Fed ficials that the exit from QE2, starting on the 30 June, should be gradual and flexible. Outlook The recent weakness in global economic data has led investors to question whether we are experiencing a st patch or if this is the beginning renewed downturn. It seems most likely we are seeing a mid-cycle st patch and that growth will pick up again later in the year and into 2012 as Greece receives another tranche bailout money from the EU and IMF, oil prices stabilise and Japanese supply constraints ease. In the US, the Fed is expected to keep interest rate policyunchanged through 2011 and probably2012 in order to support economic growth. Monetary conditions also remain broadlyaccommodative in the eurozone and Japan, and interest rates in the UK look to staylower for longer as it is likelythe Bank England will want to delay a rate increase given the economy is just beginning to feel the full force the government s fiscal austerity measures. On global stock markets sentiment is likelyto remain subdued while uncertaintyremains over the course the global economy in particular the outlook for the US and China. Middle East and eurozone debt concerns will also continue to weigh on confidence. However, globally, valuations do not look stretched given expectations for firm corporate earnings growth in Investment Managers 4 October 2011 The information contained in this report is historical and not necessarily indicative future performance. 4

8 Audit Report To the Shareholders JPMorgan Funds Following our appointment bythe General Meeting the Shareholders dated 17 November 2010, we have audited the accompanying financial statements JPMorgan Funds and each its Sub-Funds, which comprise the Combined Statement and the Schedule Investments as at 30 June 2011 and the Combined Statement Operations and Changes in for the year then ended, and a summary significant accounting policies and other explanatory notes to the financial statements. Responsibility the Board Directors the SICAV for the financial statements The Board Directors the SICAV is responsible for the preparation and fair presentation these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation the financial statements and for such internal control as the Board Directors the SICAV determines is necessaryto enable the preparation financial statements that are free from material misstatement, whether due to fraud or error. Responsibility the Réviseur d entreprises agréé Our responsibilityis to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg bythe Commission de Surveillance du Secteur Financier. Those standards require that we complywith ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment the Réviseur d entreprises agréé, including the assessment the risks material misstatement the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose expressing an opinion on the effectiveness the entity s internal control. An audit also includes evaluating the appropriateness accounting policies used and the reasonableness accounting estimates made bythe Board Directors the SICAV, as well as evaluating the overall presentation the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statementsgive a true and fair view the financial position JPMorganFunds and each its Sub-Funds as 30 June 2011, and the results their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation the financial statements. Other matters Supplementaryinformation included in the annual report has been reviewed in the context our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context the financial statements taken as a whole. PricewaterhouseCoopers S.à r.l. Luxembourg, 4 October 2011 Represented by Régis Malcourant PricewaterhouseCoopers S.à r.l., 400 Route d Esch, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. LuxembourgB Capital social EUR TVA LU

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10 JPMorgan Funds Combined Statement JPMorgan Funds Combined USD Africa Equity Fund USD Investments in Securities at 59,884,992, ,766,399 Acquisition Cost: 52,153,042, ,537,263 Investment in TBAs at (1) 111,956,009 - Cash at Bank 1,464,852,257 1,088,787 Time Deposits and Cash Equivalents 281,485,786 - Amounts Receivable on Sale Investments 439,281,897 72,082 Amounts Receivable on Sale TBAs (1) 35,822,116 - Amounts Receivable on Subscriptions 192,724, ,656 Interest and Dividends Receivable, 237,118, ,697 Tax Reclaims Receivable 5,945,184 - Fee Waiver (2) 1,143,690 17,681 Other Receivables 1,620,848 1,226 Unrealised Gain on Forward Foreign Exchange Contracts 69,387,481 - Unrealised Gain on Financial Futures Contracts 1,691,417 - Derivatives Instruments at 3,899,597 - Total 62,731,921, ,188,528 Liabilities Bank Overdraft 31,186,876 - Open Short Positions on TBAs (1) 5,197,656 - Amounts Payable on Purchase Investments 639,290,292 - Amounts Payable on Purchase TBAs (1) 143,075,403 - Amounts Payable on Redemptions 178,648, ,722 Management and Advisory Fees Payable 64,843, ,823 Performance Fees 4,589,491 - Other Payables 12,690, ,658 Unrealised Loss on Forward Foreign Exchange Contracts 24,855,034 - Unrealised Loss on Financial Futures Contracts 1,684,088 - Derivatives Instruments at 45,991,261 - Total Liabilities 1,152,052,398 1,685,203 Total 61,579,868, ,503,325 Historical Total 30 June ,088,150, ,314, June ,590,007,431 8,958, June ,591,091,920 4,761, June ,568,991,703 - (1) Please refer to Note 2l). (2) Please refer to Note 7a). The accompanying notes form an integral part these Financial Statements. 7

11 JPMorgan Funds Combined Statement (continued) America Large Cap Fund USD Asia Pacific Bond Fund USD Brazil Alpha Plus Fund USD Eastern Europe Equity Fund EUR Emerging Europe, Middle East and Africa Equity Fund USD Emerging s Equity Fund USD Emerging s Infrastructure Equity Fund USD Emerging s Local Currency Debt Fund EUR 175,154,868 25,409, ,291,566 1,009,993, ,051,043 8,950,285, ,190, ,272, ,992,297 24,685, ,694, ,533, ,807,538 6,283,865, ,997, ,537, ,817 1,241,643 60,355,324 5,692,219 1,568,587 91,209,916 4,139, ,842, ,546-78, ,775 1,851, ,141-2,337,184 1,248, ,178 6,108, ,641 6,581, , ,088 1,415,005 8,473,530 3,093,060 28,509, ,319 10,312,482 4, ,931 88,274-15, , , ,047-39,710-28, , , , ,948,926 26,997, ,861,286 1,025,601, ,754,952 9,077,038, ,081, ,003, ,414, ,000 7,374, ,432,549-31,040, ,979-1,415,036 5,079,835 2,566,695 7,206, ,734 7,250, ,166 16, ,474 1,328, ,971 7,961, , , ,410 80,393 33,360 12, , , ,125 1,363,091 54, , ,062, , ,988 9,839,622 6,618,837 3,697,791 19,963, ,554 54,452, ,237,421 26,568, ,021,664 1,018,982, ,057,161 9,057,075, ,489, ,551,145 84,456,730 9,675, ,795, ,639, ,492,702 6,562,754,178 66,178, ,595,650 67,845,478-57,567, ,438, ,101,960 4,671,128,410 10,052,996 86,488,839 29,801,575-54,611,582 1,583,655,705 1,093,563,689 6,604,690,449 4,801,840 5,351,918 43,630, ,411,797, ,428,235 6,821,647,

12 JPMorgan Funds Combined Statement (continued) Emerging Middle East Equity Fund USD Global Consumer Trends Fund EUR Global Dynamic Fund USD Global Mining Fund (3) EUR Global Natural Resources Fund EUR JF ASEAN Equity Fund USD JF Asia Pacific ex-japan Equity Fund USD JF China Fund USD 363,662, ,908,717 1,265,849,067 2,281,673 3,068,269, ,166, ,934,200 3,457,631, ,475, ,564,203 1,055,400,194 2,533,077 2,635,606, ,710, ,967,588 2,927,226, ,060,638 1,551,398 3,823, , ,075 15,308,460 6,378,438 72,550, ,197,431 12,152,929 1,933 9,976,030 2,703,955 2,487,581 25,317, ,335 2,156, ,077 57,603 8,952,832 89,101 31,643 14,413, , ,647 1,411, ,309, ,881 2,202,210 11,662,051-2, , ,402-2,486 2, ,415-19, ,072 1,805-1, , ,518, ,074,984 1,283,774,686 2,472,003 3,089,480, ,724, ,364,861 3,581,576, ,298-1, , , ,823 2,574,781 15,041,424 84,536 5,636,044 14,159,016 4,525,374 31,124, , ,282 1,264,031-12,000, , ,441 3,546, , , ,768 3,116 4,215, , ,588 5,027, ,937 43, ,489 3, ,045 78, , , , ,277,437 3,076,719 18,370,359 90,769 22,325,168 14,777,463 5,975,774 40,506, ,241, ,998,265 1,265,404,327 2,381,234 3,067,154, ,946, ,389,087 3,541,070, ,270,641 53,019,318 1,135,055,214-1,912,587,338 50,180, ,045,617 3,435,434, ,246,494 5,996,185 1,174,912,544-1,018,336, ,166,004 3,277,872, ,594,180 3,634,522 1,872,953,353-1,871,228, ,593,917 2,680,483, ,530,509-3,346,335,559-1,778,456, ,817,828 3,221,787,004 (3) This Sub-Fund was launched on 8 February

13 JPMorgan Funds Combined Statement (continued) JF Greater China Fund USD JF India Fund USD JF Korea Equity Fund USD JF Pacific Technology Fund USD JF Singapore Fund USD Latin America Equity Fund USD Russia Fund USD US Small Cap Growth Fund USD 851,229,493 2,647,458, ,083,247 28,771, ,937,007 1,481,985,114 2,587,641, ,568, ,997,472 1,655,452, ,145,575 27,138, ,192,505 1,197,556,818 2,158,707, ,267, ,732, ,640,228 15,962,483 1,470,097 8,290,552 47,791, ,239 1,387, ,463,295 2,249, , ,100 5,814,512 1,625,833 11,420,770 1,830, ,363,076 1,576,821 9,600,115 65,111 26,038 2,191,572 3,988, ,043 3,797,007 11,182, , , ,711 1,818,589 22,521,954 26, , ,576 8, , , ,585,281 2,769,106, ,531,957 30,989, ,443,820 1,535,412,637 2,626,212, ,012, ,447,854 1,512,542 10,953, , ,625 21,517,628-1,441, ,957,055 6,561, , ,686 3,609,999 5,587,337 2,057, ,884 1,190,038 4,089, ,889 39, ,826 1,881,544 2,963, , , ,015 59,423 17,876 48, , ,799 32, ,771,440 12,950,515 11,388,162 1,047,259 4,675,288 29,278,884 5,458,361 2,172, ,813,841 2,756,155, ,143,795 29,942, ,768,532 1,506,133,753 2,620,754, ,839, ,691,268 2,637,009,261 32,973,452 60,914, ,447,667 1,290,637,333 2,035,560,908 46,434, ,509,936 2,084,541,872 11,522,686 27,012, ,367, ,144, ,414,461 29,100, ,728,380 2,533,079,738 36,806,282 43,863, ,489,727 2,091,554,855 1,630,707,987 47,282, ,910,511 4,123,155,354-39,446, ,840,297 1,748,314, ,387,847 67,473,188 10

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15 JPMorgan Funds Combined Statement Operations and Changes in For the Year Ended 30 June 2011 JPMorgan Funds Combined USD Africa Equity Fund USD at the Beginning the Year * 46,888,368, ,314,359 Income Dividend Income, 888,784,789 10,761,554 Interest Income, 373,085,264 19,339 Securities Lending Income 17,087,568 - Bank Interest 1,244,302 11,704 Interest on Swap Transactions 20,642,948 - Other Income 23,492 - Total Income 1,300,868,363 10,792,597 Expenses Management and Advisory Fees 760,204,144 6,546,614 Custodian, Corporate, Administration and Domiciliary Agency Fees 59,981,193 1,258,265 Registrar and Transfer Agency Fees 42,886, ,798 Taxe d abonnement 26,160, ,219 Overdraft Interest 706,970 15,025 Interest on Swap Transactions 9,743,523 - Sundry Fees** 37,559,498 87, ,242,881 8,687,854 Less: Fee Waiver (1) 15,422, ,078 Total Expenses before Performance Fees 921,820,784 8,036,776 Performance Fees 4,589,490 - Total Expenses 926,410,274 8,036,776 Investment Income/(Loss) 374,458,089 2,755,821 Realised Gain/(Loss) on Sale Investments 3,260,363,454 9,449,237 Realised Gain/(Loss) on Forward Foreign Exchange Contracts 472,278,373 (287,265) Realised Gain/(Loss) on Financial Futures Contracts 12,836,471 - Realised Gain/(Loss) on Foreign Exchange (25,125,999) (1,645,611) Realised Gain/(Loss) on TBAs 2,820,205 - Realised Gain/(Loss) on Derivatives Instruments 202,520,600 - Realised Gain/(Loss) for the Year 3,925,693,104 7,516,361 Change in Unrealised Gain/(Loss) on Investments 4,100,056,524 30,796,427 Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 46,871,370 - Change in Unrealised Gain/(Loss) on Financial Futures Contracts 6,356,573 - Change in Unrealised Gain/(Loss) on Foreign Exchange 1,891,944 1,540 Change in Unrealised Gain/(Loss) on TBAs (463,273) - Change in Unrealised Gain/(Loss) on Derivatives Instruments 12,393,215 - Change in Unrealised Gain/(Loss) for the Year 4,167,106,353 30,797,967 Increase/(Decrease) in as a Result Operations 8,467,257,546 41,070,149 Movements in Share Capital Subscriptions 47,103,861, ,478,757 Redemptions (40,719,232,170) (418,355,578) Increase/(Decrease) in as a Result Movements in Share Capital 6,384,629, ,123,179 Dividend Distribution (160,386,773) (4,362) at the End the Year 61,579,868, ,503,325 (1) Please refer to Note 7a). * The opening balance was combined using the foreign exchange rates as at 30 June The same net assets when combined using the foreign exchange rate ruling as at 30 June 2010 reflected a figure USD 44,088,150,386. ** Sundry Fees are principally comprised Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses. The accompanying notes form an integral part these Financial Statements. 12

16 JPMorgan Funds Combined Statement Operations and Changes in (continued) For the Year Ended 30 June 2011 America Large Cap Fund USD Asia Pacific Bond Fund USD Brazil Alpha Plus Fund USD Eastern Europe Equity Fund EUR Emerging Europe, Middle East and Africa Equity Fund USD Emerging s Equity Fund USD Emerging s Infrastructure Equity Fund USD Emerging s Local Currency Debt Fund EUR 84,456,730 9,675, ,795, ,639, ,492,702 6,562,754,178 66,178, ,595,650 2,139,399-14,392,317 21,985,300 19,329, ,090,440 3,543,717-4,169 1,003,817 42, ,959 27, ,497 5,253 41,622,576 1, , ,101 42,636 47,939 1,658 58, ,144,992 1,004,669 14,434,592 22,209,360 19,400, ,482,876 3,550,628 41,705,724 1,962, ,755 7,919,717 17,238,009 11,999,053 94,906,729 2,387,736 4,265, , , ,459 1,397,483 1,257,480 6,813, , , ,524 49, , , ,266 4,711, , ,588 74,390 13, , , ,665 3,295,966 85, , ,757 1,686 2,210 7,869 1,903 7, ,902 30,866 5,086 4,789, , ,559 3,425, , ,154 2,373, ,748 14,143,963 20,577,791 14,787, ,162,077 3,714,784 6,033,618 28, ,600 28,128 62,050 63, , ,030 2,345, ,148 14,115,835 20,515,741 14,723, ,161,822 3,642,473 5,874, ,410 80,392 2,345, ,148 14,116,302 20,515,741 14,723, ,161,822 3,681,883 5,954,980 (200,379) 783, ,290 1,693,619 4,676,287 55,321,054 (131,255) 35,750,744 12,493, ,389 21,033,759 33,753,813 48,687, ,687,214 9,362,621 12,335,013 12,134 65,388 (406,367) (79,876) (10,979) 1,929,466 15,321 9,432,313-18, (130,520) 12,342 (72,472) 736, ,307 (459,728) 2,306,212 (60,414) (6,117,004) , (1,278,059) 12,518, ,969 21,533,388 34,517,244 48,217, ,922,892 9,317,528 14,241,743 19,082, ,965 46,833,896 44,713, ,287,422 1,394,324,796 12,221,351 (40,303,665) - 384, (1,911,610) - 1, ,940 - (616) 15,349 (14,165) 35, ,654 47,029 (580,169) (355,377) ,447 19,082,849 1,193,713 46,493,868 44,699, ,323,336 1,394,825,450 12,268,380 (42,395,057) 31,400,627 2,510,203 68,345,546 80,910, ,216,752 1,614,069,396 21,454,653 7,597, ,193,965 25,831, ,555, ,246, ,919,048 4,371,701, ,371, ,471,302 (140,813,901) (11,449,048) (472,674,683) (655,814,425) (505,740,806) (3,477,553,692) (94,515,512) (624,147,610) 59,380,064 14,382, ,880,416 (3,567,435) (821,758) 894,147, ,856, ,323, (155) - (830,535) (13,896,033) - (3,965,627) 175,237,421 26,568, ,021,664 1,018,982, ,057,161 9,057,075, ,489, ,551,145 13

17 JPMorgan Funds Combined Statement Operations and Changes in (continued) For the Year Ended 30 June 2011 Emerging Middle East Equity Fund USD Global Consumer Trends Fund EUR Global Dynamic Fund USD Global Mining Fund (2) EUR Global Natural Resources Fund EUR JF ASEAN Equity Fund USD JF Asia Pacific ex-japan Equity Fund USD JF China Fund USD 316,270,641 53,019,318 1,135,055,214-1,912,587,338 50,180, ,045,617 3,435,434,476 13,430,751 2,322,019 21,779,139 11,429 21,454,034 4,096,299 10,211,972 58,455,877 11,057 5,262 13, ,306 10,853 2,053 18, , , , ,782 14, ,448,984 2,327,698 22,713,816 11,547 22,110,712 4,107,825 10,332,807 58,488,499 6,123,457 1,293,646 12,849,791 15,850 47,246,689 2,408,400 6,091,956 62,423,973 1,399, , ,880-1,284, , ,285 2,123, , , ,310 11,491 2,045, , ,490 2,047, ,953 56, , ,476,249 92, ,748 1,777,970 4,332-3, ,234 21, ,720 35, , ,363,187 33,905 41,536 2,690,524 8,462,171 1,682,251 15,542,784 28,134 53,416,755 3,156,482 7,298,249 71,084, ,593 45, ,473 8, ,869 43,280 4,377 7,821,578 1,637,067 15,362,311 19,289 53,416,559 3,016,613 7,254,969 71,080, ,821,578 1,637,067 15,362,311 19,289 53,416,559 3,016,613 7,254,969 71,080,127 5,627, ,631 7,351,505 (7,742) (31,305,847) 1,091,212 3,077,838 (12,591,628) (3,098,991) 2,714, ,157,466 (23,732) 92,157,469 11,978,573 62,400, ,003,938 (58,706) 27,481 2,012,928 3,686 (797,338) 123, ,220 (166,153) ,446 (737,564) 767,499 (683) (7,471,138) (18,439) 609,667 2,581, (3,151,251) 2,004, ,937,893 (20,729) 83,888,993 12,083,808 63,704, ,419,599 24,031,799 (3,768,993) 200,555,580 (251,404) 156,393,452 12,733,101 37,556, ,736, , , ,608 (43,057) (9,358) (356) (116,250) (79,973) 135, , ,038,407 (3,812,050) 200,672,416 (251,760) 156,277,202 12,653,128 38,023, ,539,117 26,514,562 (1,116,829) 340,961,814 (280,231) 208,860,348 25,828, ,805, ,367, ,863, ,268, ,115,863 3,103,497 3,848,233, ,054, ,125,476 1,913,294,894 (395,016,105) (62,172,856) (462,029,276) (442,032) (2,902,526,341) (96,115,827) (316,170,676) (2,322,026,431) 27,847, ,095,776 (209,913,413) 2,661, ,707, ,938,395 (154,045,200) (408,731,537) (2,391,297) - (699,288) (1,417,266) - 368,241, ,998,265 1,265,404,327 2,381,234 3,067,154, ,946, ,389,087 3,541,070,027 (2) This Sub-Fund was launched on 8 February

18 JPMorgan Funds Combined Statement Operations and Changes in (continued) For the Year Ended 30 June 2011 JF Greater China Fund USD JF India Fund USD JF Korea Equity Fund USD JF Pacific Technology Fund USD JF Singapore Fund USD Latin America Equity Fund USD Russia Fund USD US Small Cap Growth Fund USD 684,691,268 2,637,009,261 32,973,452 60,914, ,447,667 1,290,637,333 2,035,560,908 46,434,212 21,884,301 36,414,967 1,170, ,176 5,794,639 33,346,682 46,491, ,980 2,234 74,894 35, ,469 46, ,294 1, ,945 1,577-2, ,888,112 36,489,861 1,208, ,107 5,801,108 33,393,514 46,601, ,616 13,765,184 54,232,318 1,447, ,190 3,735,152 23,065,956 34,607,287 1,277, ,730 5,575, , , ,633 1,473,847 4,241, , ,452 2,015, , , ,659 1,084,567 1,525, , ,131 1,518,748 61,267 18, , , ,511 46, ,869 5, ,199 1,511,405 23,103 10,475 97,791 5,509,898 1,477,337 17,666 16,077,271 64,853,922 1,982, ,737 4,488,348 31,861,475 42,720,827 1,624,615 4,604 2, , ,217 5,637 2, ,851 37,264 16,072,667 64,851,163 1,831, ,520 4,482,711 31,859,433 41,840,976 1,587, ,072,667 64,851,163 1,831, ,520 4,482,711 31,859,433 41,840,976 1,587,351 5,815,445 (28,361,302) (622,724) 220,587 1,318,397 1,534,081 4,760,892 (1,291,735) 97,516, ,570,833 17,399,785 4,094,265 35,544, ,728, ,121,479 10,599,362 4,063 12, ,221 (9,721) (27,430) 67,485 (3,821) 1,473-1,663,856 2,116, ,309 15, , , ,572 (56,709) 360,277 1, (141,964) , ,650, ,262,125 19,954,137 4,215,736 35,927, ,276, ,477,935 10,602,511 76,460, ,926,062 2,368,527 4,105,488 7,770,308 79,858, ,150,919 12,987, , , , ,971 (7,604) 20,214 1,620,120 76,437 (305) (745,230) ,461, ,373,373 3,256,868 4,097,884 7,790,522 80,733, ,227,356 12,987, ,926, ,274,196 22,588,281 8,534,207 45,036, ,544, ,466,183 22,297, ,414,879 1,185,999, ,384,171 32,485, ,472, ,522,565 2,121,482, ,382,092 (434,450,699) (1,344,922,527) (94,800,208) (71,976,818) (216,069,847) (973,036,245) (2,240,755,012) (88,274,248) (5,035,820) (158,923,498) 163,583,963 (39,491,343) (31,597,211) (71,513,680) (119,272,555) 48,107,844 (1,768,507) (10,204,098) (1,901) (15,300) (2,117,942) (2,534,290) - (243) 857,813,841 2,756,155, ,143,795 29,942, ,768,532 1,506,133,753 2,620,754, ,839,654 15

19 JPMorgan Funds Statement Changes in the Number (continued) For the Year Ended 30 June 2011 Outstanding at the Beginning the Year Subscribed Redeemed Outstanding at the End the Year JPMorgan Funds - Africa Equity Fund JPM Africa Equity A (acc) - USD 5,015, ,008, ,165, ,859, JPM Africa Equity A (acc) - EUR 3,189, ,707, ,579, ,316, JPM Africa Equity A (dist) - GBP 176, , , , JPM Africa Equity A (inc) - EUR - 3, , JPM Africa Equity B (acc) - USD 567, ,344, ,177, , JPM Africa Equity C (acc) - USD 811, ,157, ,615, ,353, JPM Africa Equity D (acc) - USD 5,966, ,038, ,095, ,909, JPM Africa Equity D (acc) - EUR , , , JPM Africa Equity I (acc) - USD - 458, , , JPMorgan Funds - America Large Cap Fund JPM America Large Cap A (acc) - USD 1,989, ,240, ,714, ,515, JPM America Large Cap A (acc) - EUR 352, , , , JPM America Large Cap A (dist) - USD 3,352, ,903, ,172, ,083, JPM America Large Cap B (acc) - USD 174, , , , JPM America Large Cap C (acc) - USD 2,229, ,177, ,946, ,460, JPM America Large Cap D (acc) - USD 1,506, ,496, , ,061, JPM America Large Cap X (acc) - USD 5, ,298, , ,188, JPMorgan Funds - Asia Pacific Bond Fund JPM Asia Pacific Bond A (acc) - USD 1,000, ,450, , ,100, JPM Asia Pacific Bond C (acc) - USD - 97, , , JPMorgan Funds - Brazil Alpha Plus Fund JPM Brazil Alpha Plus A (acc) - USD 13,839, ,407, ,030, ,216, JPM Brazil Alpha Plus A (acc) - SGD - 8, , JPM Brazil Alpha Plus A (dist) - USD 15, , , , JPM Brazil Alpha Plus A (acc) - EUR - 1, , JPM Brazil Alpha Plus B (acc) - USD 837, ,594, ,580, ,851, JPM Brazil Alpha Plus C (acc) - USD 2,821, ,979, ,592, ,207, JPM Brazil Alpha Plus D (acc) - USD 7,207, ,061, ,552, ,715, JPM Brazil Alpha Plus D (acc) - EUR - 126, , , JPM Brazil Alpha Plus I (acc) - USD ,325, , ,933, JPM Brazil Alpha Plus I (acc) - EUR 268, , , , JPM Brazil Alpha Plus T (acc) - EUR - 5, , JPMorgan Funds - Eastern Europe Equity Fund JPM Eastern Europe Equity A (acc) - EUR 7,196, ,458, ,888, ,765, JPM Eastern Europe Equity A (acc) - USD JPM Eastern Europe Equity A (dist) - EUR 10,330, ,456, ,886, ,901, JF Eastern Europe Equity A (dist) - EUR 5,694, ,108, ,713, ,089, JPM Eastern Europe Equity B (acc) - EUR 2,088, ,197, ,569, ,715, JPM Eastern Europe Equity C (acc) - EUR 1,713, ,015, ,057, ,671, JPM Eastern Europe Equity D (acc) - EUR 2,089, , ,116, ,899, JPM Eastern Europe Equity I (acc) - EUR 1,796, ,940, ,794, , JPM Eastern Europe Equity X (acc) - EUR 2,620, , ,783, JPMorgan Funds - Emerging Europe, Middle East and Africa Equity Fund JPM Emerging Europe, Middle East and Africa Equity A (acc) - USD 4,230, ,987, ,202, ,014, JPM Emerging Europe, Middle East and Africa Equity A (acc) - EUR 210, , , , JPM Emerging Europe, Middle East and Africa Equity A (acc) - SGD JPM Emerging Europe, Middle East and Africa Equity A (dist) - USD 7,849, ,658, ,737, ,771, JPM Emerging Europe, Middle East and Africa Equity B (acc) - USD 754, , , , JPM Emerging Europe, Middle East and Africa Equity C (acc) - USD 1,813, ,122, ,176, ,759, JPM Emerging Europe, Middle East and Africa Equity D (acc) - USD 1,925, , ,108, ,630, JPM Emerging Europe, Middle East and Africa Equity D (acc) - EUR - 40, , , JPM Emerging Europe, Middle East and Africa Equity T (acc) - EUR JPM Emerging Europe, Middle East and Africa Equity X (acc) - USD 5,000, ,226, , ,789, JPMorgan Funds - Emerging s Equity Fund JPM Emerging s Equity A (acc) - USD 20,121, ,457, ,389, ,189, JPM Emerging s Equity A (acc) - EUR 48,460, ,808, ,819, ,448, JPM Emerging s Equity A (acc) - SGD 1, , , , JPM Emerging s Equity A (dist) - USD 83,592, ,248, ,590, ,250, JPM Emerging s Equity A (dist) - GBP 1,695, ,095, , ,876, JPM Emerging s Equity B (acc) - USD 2,159, ,807, ,133, ,833, JPM Emerging s Equity C (acc) - USD 54,752, ,465, ,467, ,749, JPM Emerging s Equity C (dist) - USD JPM Emerging s Equity D (acc) - USD 3,876, ,386, ,544, ,718, JPM Emerging s Equity D (acc) - EUR 2,395, ,180, ,364, ,210, JPM Emerging s Equity I (acc) - USD 8,494, ,368, ,060, ,803, JPM Emerging s Equity I (acc) - EUR 1,942, ,942, JPM Emerging s Equity I (inc) - EUR 2,270, , , ,663, JPM Emerging s Equity X (acc) - USD 42,148, ,806, ,486, ,468, JPM Emerging s Equity X (acc) - EUR - 50, , JPM Emerging s Equity X (dist) - USD 983, , , ,549, JPM Emerging s Equity X (inc) - EUR 45,085, ,905, , ,096, JPMorgan Funds - Emerging s Infrastructure Equity Fund JPM Emerging s Infrastructure Equity A (acc) - USD 2,896, ,460, ,818, ,537, JPM Emerging s Infrastructure Equity A (acc) - EUR 1,220, ,601, ,188, ,632, JPM Emerging s Infrastructure Equity B (acc) - USD 866, ,275, ,980, ,161, JPM Emerging s Infrastructure Equity B (acc) - EUR JPM Emerging s Infrastructure Equity C (acc) - USD 277, ,852, ,056, ,073, JPM Emerging s Infrastructure Equity D (acc) - USD 2,052, ,211, , ,503, JPM Emerging s Infrastructure Equity D (acc) - EUR , , ,

20 JPMorgan Funds Statement Changes in the Number (continued) For the Year Ended 30 June 2011 Outstanding at the Beginning the Year Subscribed Redeemed Outstanding at the End the Year JPMorgan Funds - Emerging s Local Currency Debt Fund JPM Emerging s Local Currency Debt A (acc) - EUR 7,461, ,219, ,087, ,594, JPM Emerging s Local Currency Debt A (acc) - USD 5,525, ,817, ,936, ,406, JPM Emerging s Local Currency Debt A (dist) - GBP - 1, , JPM Emerging s Local Currency Debt A (mth) - USD 4,997, ,995, ,683, ,309, JPM Emerging s Local Currency Debt A (inc) - EUR - 12, , JPM Emerging s Local Currency Debt B (acc) - EUR - 10, , JPM Emerging s Local Currency Debt B (acc) - USD 493, ,953, ,382, ,063, JPM Emerging s Local Currency Debt C (acc) - EUR - 185, , , JPM Emerging s Local Currency Debt C (acc) - USD 744, ,606, ,790, ,559, JPM Emerging s Local Currency Debt D (acc) - EUR 3,033, ,258, ,062, ,229, JPM Emerging s Local Currency Debt D (acc) - USD 2, , , , JPM Emerging s Local Currency Debt D (inc) - EUR 40, ,055, , ,786, JPM Emerging s Local Currency Debt I (acc) - EUR - 244, , , JPM Emerging s Local Currency Debt T (acc) - EUR JPM Emerging s Local Currency Debt T (inc) - EUR - 21, , JPM Emerging s Local Currency Debt X (acc) - EUR - 536, , , JPM Emerging s Local Currency Debt X (acc) - USD 14,338, ,236, , ,366, JPMorgan Funds - Emerging Middle East Equity Fund JPM Emerging Middle East Equity A (acc) - USD 2,164, ,864, ,205, ,823, JPM Emerging Middle East Equity A (acc) - EUR 148, ,598, ,208, , JPM Emerging Middle East Equity A (acc) - SGD - 1, , JPM Emerging Middle East Equity A (dist) - USD 10,266, ,814, ,671, ,409, JPM Emerging Middle East Equity B (acc) - USD 248, , , , JPM Emerging Middle East Equity C (acc) - USD 3,611, ,013, ,038, ,586, JPM Emerging Middle East Equity D (acc) - USD 1,939, , ,055, ,785, JPM Emerging Middle East Equity D (acc) - EUR - 178, , , JPM Emerging Middle East Equity I (acc) - USD - 123, , , JPMorgan Funds - Global Consumer Trends Fund JPM Global Consumer Trends A (acc) - USD 91, ,561, , ,618, JPM Global Consumer Trends A (acc) - EUR 2,038, ,563, ,845, ,756, JPM Global Consumer Trends B (acc) - USD JPM Global Consumer Trends B (acc) - EUR JPM Global Consumer Trends C (acc) - EUR 1,488, ,538, ,980, ,047, JPM Global Consumer Trends D (acc) - USD JPM Global Consumer Trends D (acc) - EUR 246, , , , JPM Global Consumer Trends T (acc) - EUR - 12, , JPMorgan Funds - Global Dynamic Fund JF Global Dynamic A (dist) - USD 630, , , , JPM Global Dynamic A (acc) - CHF (hedged) - 8, , JPM Global Dynamic A (acc) - EUR 1,094, , , ,205, JPM Global Dynamic A (acc) - EUR (hedged) 3,292, , ,103, , JPM Global Dynamic A (acc) - SGD , , JPM Global Dynamic A (acc) - SGD (hedged) - 50, , JPM Global Dynamic A (acc) - USD 7,271, ,115, ,234, ,152, JPM Global Dynamic A (dist) - GBP 657, , , , JPM Global Dynamic A (dist) - USD 34,441, ,757, ,276, ,922, JPM Global Dynamic A (inc) - EUR 974, , , , JPM Global Dynamic B (acc) - USD 1,221, ,125, , ,729, JPM Global Dynamic C (acc) - EUR 4,836, , , ,663, JPM Global Dynamic C (acc) - EUR (hedged) 1,109, , , ,087, JPM Global Dynamic C (acc) - USD 15,501, ,271, ,198, ,574, JPM Global Dynamic D (acc) - EUR 246, , , , JPM Global Dynamic D (acc) - EUR (hedged) 226, , , , JPM Global Dynamic D (acc) - USD 4,552, , ,518, ,342, JPM Global Dynamic I (acc) - EUR (hedged) - 330, , , JPM Global Dynamic I (acc) - USD 152, ,589, , ,731, JPM Global Dynamic I (inc) - EUR 4,269, , ,321, JPM Global Dynamic T (acc) - EUR (hedged) - 1, , JPM Global Dynamic X (acc) - EUR 26,377, ,654, ,032, JPM Global Dynamic X (acc) - USD 6,149, , ,126, ,056, JPMorgan Funds - Global Mining Fund (1) JPM Global Mining A (acc) - EUR - 15, , , JPM Global Mining A (acc) - USD - 3, , JPM Global Mining B (acc) - EUR - 1, , JPM Global Mining D (acc) - EUR - 11, , JPM Global Mining T (acc) - EUR JPMorgan Funds - Global Natural Resources Fund JPM Global Natural Resources A (acc) - USD 26,451, ,717, ,375, ,793, JPM Global Natural Resources A (acc) - EUR 37,814, ,378, ,981, ,211, JPM Global Natural Resources A (acc) - SGD 16, , , , JPM Global Natural Resources A (dist) - EUR 23,287, ,700, ,275, ,712, JPM Global Natural Resources B (acc) - EUR 1,626, ,611, ,190, ,046, JPM Global Natural Resources C (acc) - USD 5,551, ,743, ,963, ,331, JPM Global Natural Resources C (acc) - EUR 6,011, ,539, ,243, ,306, JPM Global Natural Resources D (acc) - USD 1,136, ,054, ,363, , JPM Global Natural Resources D (acc) - EUR 14,691, ,932, ,254, ,368, JPM Global Natural Resources X (acc) - USD* - 17, , JPM Global Natural Resources X (acc) - EUR 5,089, ,689, ,594, ,184, (1) This Sub-Fund was launched on 8 February