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JPM1167 Multi-Strat Fund 6pp

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  • 1. For professional advisers only JPMorgan Progressive Multi-Strategy Fund Ltd A new company that invests in a broadly diversified range of asset classes, strategies and return streams, through JPMorgan Asset Management’s ‘Best of Breed’ products Better insight + Better process = Better results
  • 2. Maximum diversification in one fund, but with potential for equity-like returns A solution not a product JPMorgan Progressive Multi-Strategy Fund Ltd (the “Company”) has been designed to give investors equity-like returns but with much lower risk than is normally associated with investing in equities. The Company does this by investing into PM-S Fund, a sub-fund of an existing JPMorgan Asset Management (JPMAM) managed SICAV, which has the same investment objective. PM–S Fund seeks exposure to a diversified range of asset classes including amongst others, equities, fixed income and real estate, through a ‘Best of Breed’ approach utilising JPMorgan Chase & Companies’ best funds and ideas. By utilising JPMAM's expertise and by investing in a broad range of asset classes and strategies already managed within the JPMAM stable, the investor can gain maximum diversification but with potential for equity–like returns. Background to Investment Approach In modern portfolio theory, for every level of expected return, there is one portfolio that minimises expected risk. The combination of all these portfolios has been termed the “efficient frontier”. The Progressive Multi-Strategy Fund approach looks to avoid the need to carry out the asset allocation decision in the traditional approach by scaling up exposure to asset classes which have exhibited lower historic risk and/or return profiles so that all asset classes contribute similarly to the expected risk and/or return profile of the overall portfolio. The resulting portfolio should exhibit lower volatility than equities generally while delivering similar to equity-type returns. Traditional approach Traditional approach Return Clients have to take more equity risk to increase returns Results in significant losses in poor equity market conditions Clients forced to make asset allocation decisions Risk Progressive Multi-Strategy Progressive Multi-Strategy Approach Return Scales up each asset class to generate approximately the same returns and/or risk Reduces overall risk through maximum diversification Eliminates the need for asset allocation decisions Provides equity-type returns at a fraction of the risk Risk
  • 3. Investment Approach Investments within asset classes are categorised into alpha and beta categories. The objective is for each alpha and beta category to deliver an equal level of risk and/or return. In order to achieve this, scaling up is applied where necessary to alpha and beta categories to get them all to the same point. The different alpha and beta categories that the company currently invests in are outlined below, along with examples of the underlying funds or instruments that might be used. The investments within these alpha and beta categories could include Market Neutral Hedge Funds, Long Short Strategies, Long-only Equity strategies, Bond and Property exposure. Examples of underlying instruments Investment Investment Performance Category Fund Approach since inception* Pure Alpha JPM Europe Mkt Neutral Fund Style Driven 11.2% p.a. (USD) Hybrid Alpha JPM Japan Absolute Fund Manager Driven 17.9% p.a. (USD) Equity Beta JPM Europe Select Equity Fund Research Driven 25.0% p.a. (EUR) Bond Beta US Govt. Bond 10 Year Future n/a n/a Past performance is not a guide JPM Global REITThe value of investments and the incomeDiscount Model down asn/a as up. Property Beta to future returns. Fund Dividend from them can go well Source: JPM/JPMorgan Chase. All performance details are mid to mid based on accumulation shares. * Since inception of current investment process/policy Investment Committee The Investment Committee consists of Martin Porter, JPMAM’s Global Head of Equities & Balanced, and three Regional Heads covering Europe, US and Asia: Chris Complin, Chris Blum and James Elliot. The three Regional Heads will propose what they believe to be the best funds within each alpha and beta category (outlined earlier).These decisions will be based upon not only financial ratios but more importantly their insight and knowledge of the funds managed within their region. Funds will be selected from businesses within JPMorgan Chase & Co, which includes heritage organisations such as Robert Fleming, Jardine Fleming, JPMorgan, Highbridge and Bank One. The Investment Committee meet monthly, with quarterly reviews by an independent Investment Director, while compliance and risk management reports are produced weekly. PM-S Investment Approach Historic Returns To demonstrate whether the investment approach would deliver the risk and return required, we have used publicly available indices and financial instuments to represent each category and have applied the PM-S investment approach; the returns are outlined below. The period from April 2000 to March 2003 has been included to demonstrate how this strategy would have performed in a period when equities have fallen. 1 Year 3 Year 5 Year 04/2000-03/2003 01/01/1990-31/12/06 MSCI MSCI MSCI MSCI MSCI PMS World PMS World PMS World PMS World PMS World Annualised Return 13.5% 15.1% 12.0% 14.0% 10.0% 8.1% 2.3% -18.7% 10.6% 8.1% Volatility 4.3% 7.1% 5.0% 7.0% 5.1% 12.4% 4.7 16.2% 5.8% 13.6% Sharpe Ratio 2.0 1.4 1.4 1.3 1.0 0.3 -0.6 -1.5 1.0 0.2 Consistency 92% 92% 83% 78% 78% 67% 58% 31% 75% 63% Past performance is not a guide to future returns. The value of investments and the income from them can go down as well as up. Best Month 2.8% 3.6% 2.8% 4.3% 3.9% 8.3% 2.9% 7.4% 4.8% 10.2% Source: JPM/JPMorgan Chase. All performance details are mid to mid based on accumulation shares. Worst Month -1.7% -4.3% -3.9% -4.3% -3.9% -11.0% -2.8% -11.0% -5.1% -13.8% Source: JPMorgan Asset Management. As at 31/12/06, PMS refers to the Progressive Multi-Strategy Investment Approach. Past performance is not a guide to future returns.
  • 4. Structure Shareholders Board of Directors Fees • Nil bps annual mgmt fee JPMorgan Progressive Multi-Strategy • Nil bps performance fee Fund Limited (Guernsey) • Admin Costs (eg Audit/Directors) Manager JPMorgan Asset • 175 bps annual mgmt fee Mgmt (UK) Ltd Progressive Multi-Strategy • Nil bps performance fee Fund (Luxembourg SICAV sub-fund) • 15 bps admin fee • Nil bps annual mgmt fee • 600 bps performance fee Underlying Funds (based on existing portfolio allocation) Why should investors consider this strategy? The chart below highlights the different risk/return expectations of various asset classes that an investor might consider when making an investment decision. By recognising that returns from these sources have different characteristics, returns, risks and correlations, and by utilising JPMAM’s best of breed funds, returns can be significantly enhanced, while the risk levels are markedly reduced. 30 30 Return % Volatility 25 25 20 20 Volatility Return 15 15 10 10 5 5 0 0 UK Cash UK Bonds UK Equities Overseas Property Commodities Hedge Fund Progressive Multi-Strategy Five year performance to December 2006, in sterling. Source: JPMAM. Indices: 1 month GBP LIBOR, FTSE UK Gilts All Stocks, FTSE 100, MSCI World Ex-UK, GBR 250 All Countries REIT, Goldman Sachs Commodity Index TR, Credit Suisse/Tremont Hedge Fund Index. Past performance is not a guide to future returns.
  • 5. A solution for your core equity and alternatives asset allocation The JPMorgan Progressive Multi-Strategy Fund is a new, leading edge financial product suitable for most types of investors in a tax efficient structure. ‘Equity-like returns’ whilst taking ‘less than equity-like risk’ JPMAM’s ‘Best of Breed’ products Appealing fee structure – no double charging Key Features Closed ended investment company incorporated in Guernsey Unlimited life Listed on AIM & Channel Islands Stock Exchange No duplication of fees – No fee at company level – Fees on underlying SICAV are 175 bps (+15 bps admin charges) – Performance fees on underlying investments (expected to be around 6%) Discount protection (at boards discretion) – Active use of buyback and issuance powers – Semi-annual redemption facility PEP & ISA qualifying Launch date – late March 2007 For further information, contact the JPMorgan Investment Trust Sales team: James Glover – 0207 742 4917 james.m.glover@jpmorgan.com Alice St John Webster – 0207 742 3032 alice.v.stjohnwebster@jpmorgan.com Nicola Bruns – 0207 742 3410 nicola.e.bruns@jpmorgan.com
  • 6. Important notice This document sets out a brief overview of the investment opportunity in JPMorgan Progressive Multi-Strategy Fund Limited (the “Company”). The information in this document, which is for background purposes only, is preliminary in nature and is subject to change, verification and updating. Definitive investment decisions should be based solely on the AIM Admission Document expected to be issued in connection with the Company's admission to AIM and not on this document. Neither the Company nor any of its representatives make any representation or warranty as to the accuracy or completeness of the information contained in this document or give any representation or warranty, express or implied, as to the reasonableness of any opinions which may form part of this document or any representation. Delivery of this information does not imply it is correct at any time subsequent to the date hereof. This document is only directed to persons believed by the Company to be investment professionals as defined in Article 19 of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, high net worth companies, unincorporated associations and other persons as defined in Article 49 of that Order and to others to whom it can lawfully be distributed or given, inside the United Kingdom, without approval by an authorised person. Persons who do not have professional experience in matters relating to investments should not rely on it and any other person should not act on such information. The information in this document is confidential and must not be copied, reproduced or distributed to others at any time except for the purposes of analysis by certain employees of the recipient who have agreed to treat such information as confidential. While all reasonable care has been taken to ensure that the facts stated in this document are accurate and that any forecasts, opinions and expectations contained in the document are fair and reasonable, JPMorgan Asset Management has not independently verified the contents of the document and no reliance whatsoever should be placed on it. Accordingly, no representation or warranty expressed or implied is made to the fairness, accuracy, completeness or correctness of the document or opinions contained therein and each recipient of the document must make its own investigation and assessment of the matters contained therein. In particular, but without prejudice to the generality of the foregoing, no representation or warranty is given, and no responsibility or liability is accepted, as to the achievement or reasonableness of any future projections or the assumptions underlying them, forecasts, estimates, or statements as to prospects contained or referred to in this document. No responsibility or liability whatsoever is accepted by any person for any loss howsoever arising from any use of, or in connection with, the document or its contents or otherwise arising in connection therewith. The document is confidential and is being supplied to recipients for their own information. It may not directly or indirectly be reproduced, further distributed to any person or published, in whole or in part, for any purposes whatsoever. In particular, it directly or indirectly must not be distributed to persons in the United States of America, its territories or possessions, or Canada or Japan. Any such distribution could result in a violation of United States, Canadian or Japanese Law. The document does not constitute or form any part of any AIM Admission Document, offer for sale or subscription or any solicitation for any offer to buy or subscribe for securities of the Company. Nor does it form the basis of or act as any inducement to enter into or engage in any investment activity. This document is issued in the UK by JPMorgan Asset Management (UK) Limited and has been approved solely for the purposes of section 21(2)(b) of the Financial Services and Markets Act 2000 by JPMorgan Asset Management (UK) Limited which is authorised and regulated in the UK by the Financial Services Authority. This document does not constitute or form part of and should not be relied on in connection with any offer or invitation to sell, underwrite or solicit any other offer to purchase or subscribe shares or any other securities, nor may it or any part of it, nor the fact of its distribution, form the basis of, or be relied upon in connection with, any contract. No representation or warranty, express or implied, is made as to the fairness, accuracy or completeness of the information contained herein and no reliance should be placed upon it. Application for shares in the Company may be made only on the basis of the AIM Admission Document relating to the Company, which it is anticipated to be published during March 2007, and the risk factors set out in that document. Any forecasts or opinions expressed are JPMorgan Asset Management's own at the date of this document and may be subject to change. The value of investments and the income from them may fluctuate and your investment is not guaranteed and investors may not get back the full amount invested. Past performance is not a guide to future performance. Exchange rates may cause the value of underlying overseas investments to go down or up. Investments in smaller companies may involve a higher degree of risk as they are usually more sensitive to market movements. Investments in emerging markets may be more volatile than other markets and the risk to your capital is therefore greater. Also, the economic and political situations may be more volatile than in established economies and these may adversely influence the value of investments made. Telephone lines are recorded and may be monitored for security and training purposes. LV – JPM1167 03/07

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