Jpmorgan Investment Funds Société D’Investissement À Capital Variable, Luxembourg
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270281_JPM_Inv_FULL_SW-EN_cov 15/3/07 15:00 Page 1 JPMorgan Investment Funds Société d’Investissement à Capital Variable, Luxembourg audited annual report – 31 december 2006 report for the attention of swiss investors Certain of the sub-funds of the Fund are not authorised for offer or distribution in or from Switzerland. Accordingly, no reference is made to these subfunds in this semi-annual report. The attention of the investors is drawn to the fact that certain figures in this semi-annual report are expressed on a consolidated basis and, thus, include the assets of those sub-funds which are not registered in Switzerland. JPMorgan Investment Funds Audited Annual Report As at 31 December 2006 Contents Board of Directors 1 Management and Administration 2 Board of Directors’ Report 3-4 Investment Managers’ Report 5 Independent Auditor’s Report 6 Financial Statements and Statistical Information Combined Statement of Net Assets 7-11 Combined Statement of Operations and Changes in Net Assets 12-16 Statement of Changes in the Number of Shares 17-20 Statistical Information 21-24 Notes to the Financial Statements 25-28 Schedule of Investments JPMorgan Investment Funds - Blue and Green Fund 29 JPMorgan Investment Funds - Euro Liquid Market Fund 33 JPMorgan Investment Funds - Europe Bond Fund 35 JPMorgan Investment Funds - Europe Corporate Bond Fund 38 JPMorgan Investment Funds - Europe Recovery Fund 41 JPMorgan Investment Funds - Europe Select Equity Fund 42 JPMorgan Investment Funds - Europe Select Large Cap Fund 45 JPMorgan Investment Funds - Europe Short Duration Fund 48 JPMorgan Investment Funds - Europe Strategic Dividend Fund 52 JPMorgan Investment Funds - Global 50 Equity Fund 57 JPMorgan Investment Funds - Global Balanced Fund (EUR) 60 JPMorgan Investment Funds - Global Balanced Fund (USD) 64 JPMorgan Investment Funds - Global Bond Fund (EUR) 74 JPMorgan Investment Funds - Global Bond Fund (USD) 79 JPMorgan Investment Funds - Global Capital Appreciation Fund 84 JPMorgan Investment Funds - Global Capital Preservation Fund (EUR) 90 JPMorgan Investment Funds - Global Convertibles Fund (USD) 94 JPMorgan Investment Funds - Global Enhanced Bond Fund 98 JPMorgan Investment Funds - Global ex-US Bond Fund 104 JPMorgan Investment Funds - Global ex-US Select Small Cap Fund 109 JPMorgan Investment Funds - Global Financials Fund 111 JPMorgan Investment Funds - Global Healthtech Fund 114 JPMorgan Investment Funds - Global High Yield Bond Fund 116 JPMorgan Investment Funds - Global Select Equity Fund 120 JPMorgan Investment Funds - Global Short Duration Fund 123 JPMorgan Investment Funds - Global Teletech Fund 127 JPMorgan Investment Funds - Global Total Return Fund (EUR) 130 JPMorgan Investment Funds - Global Total Return Fund (USD) 132 JPMorgan Investment Funds - Japan 50 Equity Fund 134 JPMorgan Investment Funds - Japan Select Equity Fund 135 JPMorgan Investment Funds - JF Asia Diversified Fund 138 JPMorgan Investment Funds - US Bond Fund 139 JPMorgan Investment Funds - US Disciplined Equity Fund 145 JPMorgan Investment Funds - US Dollar Enhanced Yield Fund 148 JPMorgan Investment Funds - US Dynamic Small Cap Fund 153 JPMorgan Investment Funds - US Select Equity Fund 157 Appendix: Unaudited Additional Disclosures Fund Expense Ratios and Capped Expense Ratios 160 Summary of Investment Objectives of the Sub-Funds 165 Performance and Volatility 167 Interest Rate Received/(Charged) on Bank Accounts 173 Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01% 173 Historical Statements of Changes in the Number of Shares 174 Portfolio Turnover Ratio 192 For additional information please consult www.jpmorganassetmanagement.com 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, the current simplified prospectus, supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current prospectus, the current simplified prospectus, the unaudited semi-annual reports, as well as the audited annual reports can be obtained free of charge from the registered office of the Fund and from the principal local paying agents/representatives as listed in this report. JPMorgan Investment Funds Board of Directors Board of Directors: Chairman: Iain O.S. Saunders Banker Duine, Ardfern Argyll PA31 8QN United Kingdom Directors: James B. Broderick (until 1 October 2006) Andrea L. Hazen Managing Director Managing Director JPMorgan Asset Management (UK) Limited JPMorgan Asset Management (UK) Limited 20 Finsbury Street 20 Finsbury Street London EC2Y 9AQ London EC2Y 9AQ United Kingdom United Kingdom Berndt May (since 1 October 2006) Pierre Jaans Vice President Economist JPMorgan Asset Management (Europe) S.à r.l. 3, rue de Kahler Austrian Branch L-8356 Garnich Führichgasse 8 Grand Duchy of Luxembourg A-1010 Vienna Austria Robert van der Meer Professor of Finance André Elvinger 9A Lange Vijverberg Partner NL-2513 AC The Hague Elvinger, Hoss & Prussen 2, Place Winston Churchill The Netherlands L-2014 Luxembourg Grand Duchy of Luxembourg Jean Frijns Professor, Finance and Investments Antigonelaan 2 NL-5631 LR Eindhoven The Netherlands Changes to the Composition of the Board of Directors On 1 October 2006, Mr James B. Broderick resigned from the Board of Directors. In his place, Mr Berndt May was co-opted as a Director on the same day. Registered Office: European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1 JPMorgan Investment Funds Management and Administration As at 31 December 2006 Management Company, Registrar and Transfer Agent, Belgium: Global Distributor and Domiciliary Agent: JPMorgan Chase Bank, N.A., Brussels Branch JPMorgan Asset Management (Europe) S.à r.l. 1, Bouvelard du Roi Albert II European Bank & Business Centre B-1210 Brussels 6, route de Trèves Belgium L-2633 Senningerberg Grand Duchy of Luxembourg France: BNP Paribas Securities Services Investment Managers: 66, rue de la Victoire J.P. Morgan Investment Management Inc. F-75009 Paris 522 Fifth Avenue France NewYork, NY 10036 United States of America Germany: J.P. Morgan Bank AG JPMorgan Asset Management (UK) Limited Junghofstrasse 14 Its principal place of business being D-60311 Frankfurt am Main 20 Finsbury Street Germany London EC2Y 9AQ United Kingdom Hong Kong: JF Funds Limited JF Asset Management Limited 21st Floor, Charter House 21st floor, Chater House 8 Connaught Road 8 Connaught Road Central, Hong Kong Central, Hong Kong China Highbridge Capital Management, LLC, Ireland: 9 West 57th Street AIB/BNY Fund Management (Ireland) Limited NewYork, NY 10019 Guild House United States of America Guild Street American Century Global Investment Management, Inc. P.O. Box 4935 666 Third Avenue IFSC NewYork, NY 10017 Dublin 1 United States of America Ireland Custodian, Corporate and Administrative Agent: Italy: J.P. Morgan Bank Luxembourg S.A. JPMorgan Asset Management (Europe) S.à r.l. European Bank & Business Centre Italian Branch 6, route de Trèves Via Catena 4 L-2633 Senningerberg I-20121 Milan Grand Duchy of Luxembourg Italy Independent Auditors: The Netherlands: PricewaterhouseCoopers S.à r.l. JPMorgan Asset Management (Europe) S.à r.l. Réviseur d’entreprises Netherlands Branch 400, route d’Esch Atrium Building, 1st Floor BP1443 Strawinskylaan 3035 L-1014 Luxembourg NL-1077 ZX Amsterdam Grand Duchy of Luxembourg The Netherlands Legal Advisers in Luxembourg: Spain: Elvinger, Hoss & Prussen JPMorgan Sociedad de Valores S.A. 2, Place Winston Churchill 29 José Ortega y Gasset L-2014 Luxembourg E-28006 Madrid Grand Duchy of Luxembourg Spain Paying Agents/Representatives: Switzerland: Principal Paying Agent: J.P. Morgan (Suisse) S.A. J.P. Morgan Bank Luxembourg S.A. 8, rue de la Confédération European Bank & Business Centre CH-1204 Geneva 6, route de Trèves Switzerland L-2633 Senningerberg United Kingdom: Grand Duchy of Luxembourg JPMorgan Asset Management (UK) Limited Austria: Its principal place of business being Bank Austria Creditanstalt AG 20 Finsbury Street Am Hof 2 London EC2Y 9AQ A-1010 Vienna United Kingdom Austria 2 JPMorgan Investment Funds Board of Directors’ Report As at 31 December 2006 The Board of Directors submits its report for the year ended 31 December 2006. Board of Directors Earlier this year Mr James B. Broderick informed the Board of his decision to retire from the Board of Directors and it was agreed that this would be effective from 1 October 2006. Mr Broderick had been a Director of the Company since 17 March 1998 and the Board wish to record their thanks for his service. The Board welcomed Mr Berndt May as a Director with effect from 1 October 2006. Mr May is a Country Head of JPMorgan Asset Management (Europe) S.à r.l. in Austria. UCITS III UCITS III is a regulatory framework for European investment funds, allowing investment in an expanded range of financial instruments. All existing investment funds domiciled in European Union Member States, which were established under the previous regulatory framework, known as UCITS I, were expected to be compliant with the new UCITS III legislation by 13 February 2007, if they wished to remain recognised by EU Member States. Shareholders approved changes to the Articles of Incorporation to take account of this requirement, as well as some additional changes to update the Articles in accordance with usual practice, at an Extraordinary General Meeting held on 12 September 2005. Moreover, in order to satisfy UCITS III requirements, as to