audited annual report jporgan funds funds [arp] [gb_en].pdf · audited annual report (r.c.s. no b 8...

JPMorgan FundsSocit dInvestissement Capital Variable, Luxembourg

Audited Annual Report

(R.C.S. No B 8 478)

30 June 2018

GB

JPMorgan Funds


As at 30 June 2018

Contents (continued)

Board of Directors 1Management and Administration 2Board of Directors Report 3Investment Managers Report 9Audit Report 10

Financial Statements and Statistical InformationCombined Statement of Net Assets 14

Combined Statement of Operations and Changes in Net Assets 36

Statement of Changes in the Number of Shares 58

Statistical Information 88

Notes to the Financial Statements 119

Schedule of InvestmentsJPMorgan Funds - Africa Equity Fund 147

JPMorgan Funds - Aggregate Bond Fund 149

JPMorgan Funds - America Equity Fund 160

JPMorgan Funds - ASEAN Equity Fund 162

JPMorgan Funds - Asia Growth Fund 164

JPMorgan Funds - Asia Pacific Equity Fund 166

JPMorgan Funds - Asia Pacific Income Fund 168

JPMorgan Funds - Asian Total Return Bond Fund 175

JPMorgan Funds - Brazil Equity Fund 179

JPMorgan Funds - China A-Share Opportunities Fund 180

JPMorgan Funds - China Bond Fund 182

JPMorgan Funds - China Fund 185

JPMorgan Funds - Diversified Risk Fund 187

JPMorgan Funds - Emerging Europe Equity Fund 199

JPMorgan Funds - Emerging Europe, Middle East and Africa Equity Fund 201

JPMorgan Funds - Emerging Markets Aggregate Bond Fund 203

JPMorgan Funds - Emerging Markets Bond Fund 215

JPMorgan Funds - Emerging Markets Corporate Bond Fund 222

JPMorgan Funds - Emerging Markets Debt Fund 229

JPMorgan Funds - Emerging Markets Diversified Equity Fund 237

JPMorgan Funds - Emerging Markets Dividend Fund 240

JPMorgan Funds - Emerging Markets Equity Fund 243

JPMorgan Funds - Emerging Markets Investment Grade Bond Fund 246

JPMorgan Funds - Emerging Markets Local Currency Debt Fund 253

JPMorgan Funds - Emerging Markets Opportunities Fund 260

JPMorgan Funds - Emerging Markets Small Cap Fund 263

JPMorgan Funds - Emerging Markets Strategic Bond Fund 267

JPMorgan Funds - Emerging Middle East Equity Fund 279

JPMorgan Funds - Equity Premium Income Fund 280

JPMorgan Funds - EU Government Bond Fund 282

JPMorgan Funds - Euro Aggregate Bond Fund 286

JPMorgan Funds - Euro Corporate Bond Fund 290

JPMorgan Funds - Euro Government Short Duration Bond Fund 296

JPMorgan Funds - Euro Money Market Fund 298

JPMorgan Funds - Euroland Dynamic Fund 300

JPMorgan Funds - Euroland Equity Fund 303

JPMorgan Funds - Europe Dynamic Fund 306

JPMorgan Funds - Europe Dynamic Small Cap Fund 310

JPMorgan Funds - Europe Dynamic Technologies Fund 312

JPMorgan Funds - Europe Equity Absolute Alpha Fund 315

JPMorgan Funds - Europe Equity Fund 319

JPMorgan Funds - Europe Equity Plus Fund 322

JPMorgan Funds - Europe High Yield Bond Fund 327

JPMorgan Funds - Europe High Yield Short Duration Bond Fund 331

JPMorgan Funds - Europe Small Cap Fund 335

JPMorgan Funds - Europe Strategic Growth Fund 338

JPMorgan Funds - Europe Strategic Value Fund 341

JPMorgan Funds - Europe Sustainable Equity Fund 345

JPMorgan Funds - Financials Bond Fund 348

JPMorgan Funds - Flexible Credit Fund 355

JPMorgan Funds - Global Absolute Return Bond Fund 371

JPMorgan Funds - Global Aggregate Bond Fund 380

JPMorgan Funds - Global Bond Opportunities Fund 390

JPMorgan Funds - Global Capital Structure Opportunities Fund 416

JPMorgan Funds - Global Convertibles Fund (EUR) 419

JPMorgan Funds - Global Corporate Bond Duration-Hedged Fund 423

JPMorgan Funds - Global Corporate Bond Fund 435

JPMorgan Funds - Global Dynamic Fund 449

JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund 454

JPMorgan Funds - Global Equity Plus Fund 458

JPMorgan Funds


As at 30 June 2018

Contents (continued)

JPMorgan Funds - Global Focus Fund 464

JPMorgan Funds - Global Government Bond Fund 468

JPMorgan Funds - Global Government Short Duration Bond Fund 474

JPMorgan Funds - Global Healthcare Fund 477

JPMorgan Funds - Global Multi Strategy Income Fund 480

JPMorgan Funds - Global Natural Resources Fund 482

JPMorgan Funds - Global Real Estate Securities Fund (USD) 484

JPMorgan Funds - Global Research Enhanced Index Equity Fund 487

JPMorgan Funds - Global Short Duration Bond Fund 494

JPMorgan Funds - Global Socially Responsible Fund 500

JPMorgan Funds - Global Strategic Bond Fund 503

JPMorgan Funds - Global Unconstrained Equity Fund 523

JPMorgan Funds - Greater China Fund 526

JPMorgan Funds - Highbridge US STEEP Fund 527

JPMorgan Funds - Hong Kong Fund 530

JPMorgan Funds - Income Fund 531

JPMorgan Funds - India Fund 544

JPMorgan Funds - Indonesia Equity Fund 545

JPMorgan Funds - Italy Flexible Bond Fund 546

JPMorgan Funds - Japan Equity Fund 548

JPMorgan Funds - Korea Equity Fund 551

JPMorgan Funds - Latin America Corporate Bond Fund 552

JPMorgan Funds - Latin America Equity Fund 555

JPMorgan Funds - Managed Reserves Fund 556

JPMorgan Funds - Multi-Asset Italy PIR Fund 562

JPMorgan Funds - Multi-Manager Alternatives Fund 563

JPMorgan Funds - Pacific Equity Fund 574

JPMorgan Funds - Russia Fund 576

JPMorgan Funds - Singapore Fund 577

JPMorgan Funds - Sterling Bond Fund 578

JPMorgan Funds - Sterling Managed Reserves Fund 582

JPMorgan Funds - Systematic Alpha Fund 586

JPMorgan Funds - Systematic Alpha Higher Volatility Fund 595

JPMorgan Funds - Taiwan Fund 601

JPMorgan Funds - Total Emerging Markets Income Fund 602

JPMorgan Funds - US Aggregate Bond Fund 610

JPMorgan Funds - US Corporate Bond Fund 638

JPMorgan Funds - US Dollar Money Market Fund 645

JPMorgan Funds - US Equity All Cap Fund 647

JPMorgan Funds - US Growth Fund 650

JPMorgan Funds - US Hedged Equity Fund 652

JPMorgan Funds - US High Yield Plus Bond Fund 655

JPMorgan Funds - US Opportunistic Long-Short Equity Fund 664

JPMorgan Funds - US Research Enhanced Index Equity Fund 667

JPMorgan Funds - US Select Equity Plus Fund 670

JPMorgan Funds - US Short Duration Bond Fund 674

JPMorgan Funds - US Small Cap Growth Fund 683

JPMorgan Funds - US Smaller Companies Fund 685

JPMorgan Funds - US Technology Fund 687

JPMorgan Funds - US Value Fund 688

Appendix - Unaudited Additional Disclosures1. Total Expense Ratios 691

2. Summary of Investment Objectives of the Sub-Funds 734

3. Performance and Volatility 741

4. Interest Rate Received/(Charged) on Bank Accounts 775

5. Sub-Fund Share Classes Subject to Taxe dAbonnement Rate of 0.01% 775

6. Portfolio Turnover Ratio 778

7. Calculation Method of the Risk Exposure 780

8. Collateral Received 784

9. Securities Financing Transactions 785

10. UCITS Remuneration Disclosures 797

11. Historical Statement of Changes in the Number of Shares 798

For additional information, please consult www.jpmorganassetmanagement.lu.

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 Key Investor Information Documents,supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report.

The current Prospectus, the current Key Investor Information Documents, the unaudited semi-annual report, as well as the audited annual report can be obtained free of charge from the registeredoffice of the SICAV and from local paying agents.

Details of the Investment Manager(s) for the individual Sub-Funds are available within the Prospectus and from the Management Company at its registered office, or fromwww.jpmorganassetmanagement.lu.

JPMorgan FundsBoard of Directors

Chairman

Iain O.S. SaundersDuine, ArdfernArgyll PA31 8QNUnited Kingdom

Directors

Jacques ElvingerElvinger Hoss Prussen, socit anonyme2, place Winston ChurchillB.P. 425, L-2014 LuxembourgGrand Duchy of Luxembourg

Massimo GrecoJPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

John Li How CheongThe Directors Office19, rue de BitbourgL-1273 LuxembourgGrand Duchy of Luxembourg

Registered Office

6, route de TrvesL-2633 SenningerbergGrand Duchy of Luxembourg

Peter Thomas SchwichtGuiollettstrae 64D-60325 Frankfurt am MainGermany

Susanne van Dootingh (from 15 December 2017)Vlierbeekberg 125B-3090 OverijseBelgium

Daniel WatkinsJPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

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JPMorgan FundsManagement and Administration

Management Company, Registrar and Transfer Agent,Global Distributor and Domiciliary Agent

JPMorgan Asset Management (Europe) S. r.l.6, route de TrvesL-2633 SenningerbergGrand Duchy of Luxembourg

Investment Managers

JPMorgan Asset Management (UK) Limited60 Victoria EmbankmentLondon EC4Y 0JPUnited Kingdom

J.P. Morgan Investment Management Inc.270 Park AvenueNew York, NY 10017United States of America

JF Asset Management Limited21st Floor, Chater House8 Connaught Road CentralHong Kong

JPMorgan Asset Management (Singapore) Limited168, Robinson Road17th Floor, Capital TowerSingapore 068912

JPMorgan Asset Management (Japan) LimitedTokyo Building 7 - 3, Marunouchi 2 - chome, Chiyoda-kuTokyo 100 - 6432Japan

JPMorgan Asset Management (Taiwan) Limited20F, 1, Songzhi Rd, Xinyi DistTaipei City 110Taiwan (R.O.C.)

Highbridge Capital Management, LLC40 West 57th Street, 33 FloorNew York, NY 10019United States of America

J.P. Morgan Alternative Asset Management, Inc.270 Park AvenueNew York, NY 10017United States of America

Depositary, Corporate, Administrative and Listing Agent

J.P. Morgan Bank Luxembourg S.A.6, route de TrvesL-2633 SenningerbergGrand Duchy of Luxembourg

Independent Auditor

PricewaterhouseCoopers, Socit cooprative2, rue Gerhard MercatorB.P. 1443, L-1014 LuxembourgGrand Duchy of Luxembourg

Luxembourg Legal Adviser

Elvinger Hoss Prussen, socit anonyme2, place Winston ChurchillB.P. 425, L-2014 LuxembourgGrand Duchy of Luxembourg

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ChairmanIain O.S. SaundersChairman and Independent Non-Executive Director. A member of the Board since November 1996.

Mr Saunders graduated in Economics from Bristol University and joined Robert Fleming in 1970. He held several senior positions with the group in HongKong, Japan and the US, before returning to the UK in 1988. He was appointed Deputy Chairman of Fleming Asset Management and retired in 2001 followingthe merger of the Robert Fleming group with JP Morgan. Mr Saunders is currently Chairman of several JPMorgan managed Luxembourg-domiciledinvestment funds and MB Asia Select Fund.

Jacques ElvingerNon-Executive Director. A member of the Board since January 2009.

Mr Elvinger became a member of the Luxembourg Bar in 1984 and has been a partner of the Luxembourg law firm Elvinger Hoss Prussen since 1987. MrElvinger practices general corporate and banking law and specialises in the field of investment and pension funds. He is a member of the High Committee forthe Development of the Financial Sector instituted by the Luxembourg Government. He is also a member of the Advisory Committees to the LuxembourgCommission for the Supervision of the Financial Sector in the area of investment funds. He is a member of the Board of Directors of the Association of theLuxembourg Fund Industry (ALFI) and is currently chairman of ALFIs Regulatory Board. Mr Elvinger currently holds a number of board mandates withLuxembourg investment funds including several JPMorgan managed Luxembourg-domiciled investment funds.

Massimo GrecoExecutive Director. A member of the Board since November 2015.

Mr Greco, Managing Director, is responsible for JPMorgan Asset Managements Global Funds business in Europe, based in London. He took on his currentresponsibilities in 2012. Mr Greco has been a JPMorgan employee since 1992, initially with the Investment Banking unit, moving to Asset Management in1998. Before that, he worked for Goldman Sachs International in London. Mr Greco holds a degree in Economics from the University of Turin and an MBA(Major in Finance) from the Anderson Graduate School of Management at UCLA. Mr Greco is a Member of the Board of JPMorgan Asset Management (Europe)S. r.l. as well as other Luxembourg domiciled SICAVs and is on the Board of European Fund Asset Management Association (EFAMA).

John Li How CheongIndependent Non-Executive Director. A member of the Board since June 2012.

Mr Li is a fellow of the Institute of Chartered Accountants in England & Wales. Mr Li moved to Luxembourg in 1987 and has since been working in the financialsector. Mr Li was a Partner at KPMG Luxembourg for more than 20 years during which he was Managing Partner for 8 years before taking on the role ofChairman of the Supervisory Board for 3 years. Mr Li was also a member of the Global Investment Management Practice of KPMG. During these years Mr Lisexperience included auditing and advising clients such as banks, investment funds, insurance companies from Europe, US, Japan and Asia offering Mr Li anextensive experience in dealing with international companies. Mr Li is a board member of the Institut Luxembourgeois des Administrateurs. Mr Li currentlyholds a number of board mandates with financial institutions including several JPMorgan managed Luxembourg-domiciled investment funds.

Peter Thomas SchwichtIndependent Non-Executive Director. A member of the Board since June 2012.

Mr Schwicht obtained a Business Economics degree from the University of Mannheim in Germany after having studied business, tax and accounting inHamburg, Norway and the USA and was an employee of JPMorgan Asset Management from 1987 until October 2014. Prior to his retirement Mr Schwicht wasthe Chief Executive of Investment Management - EMEA, JPMorgan Asset Management. He had previously held positions as the Head of the ContinentalEurope Institutional business and the Investment Management Country Head for Institutional and Retail business in Germany where he first developed thebusiness and then went on to expand this throughout Continental Europe. Mr Schwicht is currently a Director of several JPMorgan managedLuxembourg-domiciled investment funds.

Susanne van DootinghIndependent Non-Executive Director. A member of the Board since December 2017.

Ms van Dootingh was at State Street Global Advisors from 2002 to 2017 with her final position being as Senior Managing Director, Head of EuropeanGovernance and Regulatory Strategy, EMEA. In addition she was the Chair of the SSGA Sicav and Management Company and has been a member of variousESMA consultative working groups since 2013. Prior to this she held positions within State Street Global Investors as the Global Head of Institutional ProductDevelopment and Research, Head of European Product Development and Management, EMEA, Head of Fixed Income Product Engineering, EMEA and SeniorFixed Income Strategist and Product Engineer. Before 2002 Ms van Dootingh worked at Fortis Investment Management as Senior Product Manager,European Fixed Income, at Barclays Global Investors as Product Manager, Fixed Income, and at ABN AMRO Asset Management as Portfolio Manager GlobalFixed Income. She graduated from Vrije Universiteit Amsterdam with a Master of Arts Financial Sector Management. Ms van Dootingh is currently a Directorof several JPMorgan managed Luxembourg-domiciled investment funds.

Daniel WatkinsExecutive Director. A member of the Board since December 2014.

Mr Watkins is the Deputy CEO of J.P. Morgan Asset Managements AM Europe and Global Head of AM Client Services and Business Platform. Mr Watkins hasbeen an employee since 1997 and oversees the business infrastructure of Investment Management globally including client services, fund administration,product development, and Request for Proposal. Mr Watkins also performs the role of Deputy CEO of AM EMEA, acting as a director of all the regulated legalentities across the region. Mr Watkins has held a number of positions at JPMorgan namely; Head of Europe COO and Global AM Operations, Head of theEuropean Operations Team, Head of the European Transfer Agency, Head of Luxembourg Operations, manager of European Transfer Agency and LondonInvestment Operations; and manager of the Flemings Investment Operations Teams. Mr Watkins obtained a BA in Economics and Politics from the Universityof York and is a qualified Financial Advisor. Mr Watkins is currently a Director of several JPMorgan managed Luxembourg and Irish domiciled investmentfunds and also several UK legal entities.

The Board of Directors (the Board) is pleased to present the Audited Annual Report of JPMorgan Funds (the Fund) for the year ended 30 June 2018, andconsiders that taken as a whole they are fair and balanced and provide the information necessary for shareholders to assess the Funds position andperformance.

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JPMorgan FundsBoard of Directors Report

Structure of the FundThe Fund is a variable capital open-ended investment company, organised as a Socit Anonyme, under the laws of the Grand Duchy of Luxembourg. TheBoard has appointed JPMorgan Asset Management (Europe) S. r.l. (JPMAME) as Management Company of the Fund. The Fund is organised as an umbrellawith a number of Sub-Funds each of which has its own investment objective, policies and restrictions.

The objective of the Fund is to place the money available to it in transferable securities and other permitted assets of any kind, in accordance with the FundsProspectus, with the purpose of spreading investment risks and affording shareholders the results of the management of their portfolios.

The Fund qualifies as an Undertaking for Collective Investment in Transferable Securities (UCITS) under the EC Directive 2009/65/EC of 13 July 2009 and issubject to the Luxembourg law of 17 December 2010, as amended, on undertakings for collective investment. The Fund may therefore be offered for sale inEuropean Union Member States, subject to notification in countries other than the Grand Duchy of Luxembourg. In addition, applications to register the Fundand its Sub-Funds may be made in other countries.

The Fund currently has 110 Sub-Funds. All of the Sub-Funds and Share Classes are registered for offer and distribution in the Grand Duchy of Luxembourgand a number of the Sub-Funds and Share Classes are registered for distribution in the following jurisdictions: Austria, Bahrain, Belgium, Chile, CzechRepublic, Croatia, Curacao and Sint Maarten, Denmark, Estonia, Finland, France, Germany, Greece, Hong Kong, Hungary, Iceland, Ireland, Italy, Japan,Jersey, Korea, Liechtenstein, Macau, The Netherlands, Norway, Peru, Poland, Portugal, Singapore, Slovakia, Spain, Sweden, Switzerland, Taiwan and theUnited Kingdom. During the year JPMorgan Funds was registered in Chile and there were no country de-registrations.

Role and Responsibility of the BoardThe responsibility of the Board is governed exclusively by Luxembourg law. With respect to the annual accounts of the Fund, the duties of the Directors aregoverned by the law of 10 December 2010 on, inter alia, the accounting and annual accounts of undertakings for collective investment and by the law of17 December 2010, as amended, relating to undertakings for collective investment.

A management agreement between the Fund and JPMorgan Asset Management (Europe) S. r.l sets out the matters over which the Management Companyhas authority under Chapter 15 of the Law of 17 December 2010. This includes management of the Funds assets and the provision of administration,registration, domiciliation agent and marketing services. All other matters are reserved for approval by the Board and a schedule setting out such mattersfor clarity is in place between the Board and the Management Company. The matters reserved for the Board include determination of each Sub-Fundsinvestment objective and policies, investment restrictions and powers, amendments to the Prospectus, reviewing and approving key investment andfinancial data, including the annual accounts, as well as the appointment of, and review of the services provided by, the Management Company, Auditor andDepositary.

Prior to each Board meeting the Directors receive detailed and timely information allowing them to be prepared for the items under discussion during themeeting. For each quarterly meeting the Board requests, and receives, reports from, amongst others, the Management Company, the investment managers,risk management as well as proposals for changes to existing Sub-Funds or proposals to launch new ones as appropriate. Senior representatives of each ofthese functions attend Board meetings by invitation to enable the Directors to question the reports presented to them.

The Directors take decisions in the interests of the Fund and its shareholders as a whole and refrain from taking part in any deliberation or decision whichcreates a conflict of interest between their personal interests and those of the Fund and its shareholders. The subject of conflicts of interest is documented inthe Prospectus and the Management Companys policy on conflicts of interest is available for inspection on the website:

http://www.jpmorganassetmanagement.lu/ENG/Document_Library

The Board can take independent professional advice if necessary and at the Funds expense.

Board CompositionThe Board is chaired by Mr. Saunders and consists of four Independent Non-Executive Directors, one Non-Executive Director and two Executive Directors.The Board defines an Executive Director as someone who is employed by JPMorgan Chase & Co or any of its affiliates, a Non-Executive Director as someonewho has a business, family or other relationship with the Fund or JPMorgan Chase & Co or any of its affiliates, and an Independent Non-Executive Director assomeone who is free of any business, family or other relationship with the Fund or JPMorgan Chase & Co or any of its affiliates. All Board meetings require amajority of Non-Executive Directors to be in attendance.

In appointing a Director the Board takes into account the relative mix and composition of the Board, which as a whole has a breadth of investmentknowledge, financial skills, as well as legal and other experience relevant to the Funds business.

The Board does not limit the number of years of Directors service and it does take into account the nature and requirements of the fund industry and of theFunds business when making recommendation to shareholders that Directors be elected. The terms of each Directors appointment are set out in a contractfor services and these are available at the Funds registered office for inspection.

Change to the Composition of the BoardAt the Board meeting held on 14 December 2017, Mr Frijns resigned from the Board with effect from the close of business on that day. The Board would like totake this opportunity to record its thanks for his service.

At the same Board meeting, the Board approved that Ms Susanne van Dootingh be co-opted as a Director with effect from 15 December 2017.

Induction and TrainingAll new Directors will receive an induction incorporating relevant information regarding the Fund and their duties and responsibilities as a Director. In addition,the Board takes active steps to keep up to date with developments relevant to the Fund and have ensured that a formal training programme is in place.

Board EvaluationThe Board carries out a biennial review of its performance.

Board RemunerationThe Board believes that the remuneration of its members should reflect the responsibilities and experience of the Board as a whole and be fair andappropriate given the size, complexity and investment objectives of the Fund. The remuneration is reviewed on an annual basis. The Chairman is paidEUR 82,488 per annum and the other Directors EUR 65,488 per annum pro rata apart from the Connected Directors who have agreed to waive theirremuneration. No element of the remuneration paid by the Fund to the Directors is performance related.

Board Meetings and CommitteesThe Board meets quarterly but if necessary additional meetings will be arranged. Given the scope and nature of the business of the Fund, the Board does notcurrently consider it necessary to have a formal Audit or Remuneration Committee or indeed any other standing committees. However, this is kept underreview. All Board related matters are therefore currently approved by the Board or, where there are specific matters that need further consideration, aSub-Committee of the Board could be formed for this specific purpose. Such circumstances could be where the Board requests some amendments to theProspectus and where it is not appropriate to wait till the next quarterly Board meeting for this to be approved. These Sub-Committee meetings are usuallyformed of a minimum of two Directors.

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JPMorgan FundsBoard of Directors Report (continued)

There were nine Board meetings held during the year. Four of these were quarterly Board meetings where, amongst other matters, the agenda includedthose items highlighted under the section above called Role and Responsibility of the Board and five were ad hoc Board meetings. In addition to the Boardmeeting where the Auditors present the report on the audit of the Fund accounts, the Non-Executive Directors also meet with them annually without theExecutive Directors being in attendance.

Internal ControlInvestment management and all administrative services are provided by the Management Company and custody of assets is provided by J.P. Morgan BankLuxembourg S.A. The Boards system of internal control therefore mainly comprises monitoring the services provided by the Management Company and theDepositary, including the operational and compliance controls established by them to meet the Funds obligations to shareholders as set out in theProspectus, Articles of Incorporation as well as all relevant regulations. The Management Company formally reports to the Board on a quarterly basis on thevarious activities it is responsible for and in addition shall inform the Board without delay of any material administrative or accounting matters.

Corporate Governance and ALFI Code of ConductThe Board is responsible for ensuring that a high level of corporate governance is met and considers that the Fund has complied with the best practices in theLuxembourg funds industry.

In particular the Board has adopted the ALFI Code of Conduct (the Code) which sets out principles of good governance. These principles are set out below:

1. The Board should ensure that high standards of corporate governance are applied at all times;

2. The Board should have good professional standing and appropriate experience and to ensure that it is collectively competent to fulfil its responsibilities;

3. The Board should act fairly and independently in the best interests of the investors;

4. The Board should act with due care and diligence in the performance of their duties;

5. The Board should ensure compliance with all applicable laws and regulations and with the Funds constitutional documents;

6. The Board should ensure that investors are properly informed, are fairly and equitably treated, and receive the benefits and services to which they areentitled;

7. The Board should ensure that an effective risk management process and appropriate internal controls are in place;

8. The Board should identify and manage fairly and effectively, to the best of its ability, any actual, potential or apparent conflict of interest and ensureappropriate disclosure;

9. The Board should ensure that shareholder rights are exercised in a considered way and in the best interests of the Fund;

10. The Board should ensure that the remuneration of the Board members is reasonable and fair and adequately disclosed.

The Board considers that the Fund has been in compliance with the principles of the Code in all material aspects throughout the financial year ended 30 June2018. The Board undertakes an annual review of ongoing compliance with the principles of the Code.

Proxy Voting PolicyThe Board delegates responsibility for proxy voting to the Management Company. The Management Company manages the voting rights of the sharesentrusted in a prudent and diligent manner, based exclusively on the reasonable judgement of what will best serve the financial interests of clients. So far asis practicable, the Management Company will vote at all of the meetings called by companies in which they are invested.

A copy of the proxy voting policy is available from the Funds registered office upon request or on the website:

https://am.jpmorgan.com/uk/institutional/corporate-governance

Environmental Social Governance (ESG)Certain Sub-Funds of JPMorgan Funds have included ESG as part of their investment policy. Details of these are included within the prospectus.

Directors and Officers Indemnity InsuranceThe Funds Articles of Incorporation indemnify the Directors against expenses reasonably incurred in connection with any claim against them arising in thecourse of their duties or responsibilities as long as they have not acted fraudulently or dishonestly. To protect shareholders against any such claim, the Boardhas taken out Directors and Officers Indemnity Insurance which indemnifies the Directors against certain liabilities arising in the course of their duties andresponsibilities but does not cover against any fraudulent or dishonest actions on their part.

Independent AuditorPricewaterhouseCoopers, Socit cooprative, has been the Funds Auditor since February 2006. The provision of audit services was last put to competitivetender in 2016. The Board reviewed the services of PwC in 2016 and decided that, subject to any other influencing factor, they should continue to be proposedto the Shareholders to be appointed as Auditor.

Annual General MeetingsThe next Annual General Meeting of the Fund will be held on 21 November 2018 at the Registered Office of the Fund to consider matters relating to the yearending on 30 June 2018. At this meeting shareholders will be requested to consider the usual matters at such meetings including:

1. The adoption of the financial statements and approval of the allocation of the results;

2. The approval of Directors fees;

3. The election of the Directors, all of whom wish to stand for election;

4. The election of the Auditor;

5. The discharge of Directors duties.

No special business is being proposed by the Board.

Discharge of DirectorsOne of the resolutions in the AGM is, as required under Luxembourg Law, for shareholders to vote on the discharge the directors of their duties for the fiscalyear in question. This discharge is only valid where the annual accounts contain no omission or false information concealing the real financial situation of theFund.

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6

Privacy PolicyThe Management Company complies with a privacy policy that has been issued by J.P. Morgan Asset Management which can be accessed atwww.jpmorgan.com/emea-privacy-policy. This policy will be updated by 25 May 2018 to comply with the General Data Protection Regulation.

Events during the YearThe Board agreed the following corporate actions relating to Sub-Funds which were notified to clients as appropriate:

a) Sub-Fund launchesJPMorgan Funds - Latin America Corporate Bond Fund on 10 July 2017;

JPMorgan Funds - Multi-Asset Italy PIR Fund on 12 July 2017;

JPMorgan Funds - Global Corporate Bond Duration-Hedged Fund on 31 July 2017;

JPMorgan Funds - Systematic Alpha Higher Volatility Fund on 18 April 2018;

JPMorgan Funds - Global Equity Plus Fund on 26 April 2018.

b) Sub-Fund liquidationsJPMorgan Funds - Global Allocation Fund on 17 July 2017;

JPMorgan Funds - Global Multi Asset Portfolios Fund on 25 October 2017;

JPMorgan Funds - Global Merger Arbitrage Fund on 17 November 2017;

JPMorgan Funds - Europe Dividend Alpha Fund on 28 November 2017;

JPMorgan Funds - Europe Research Enhanced Index Equity Fund became dormant on 10 January 2018.

c) Sub-Fund mergersJPMorgan Funds - Turkey Equity Fund merged into JPMorgan Funds - Emerging Europe Equity Fund on 14 July 2017;

JPMorgan Funds - US Select Long-Short Equity Fund merged into JPMorgan Funds - US Opportunistic Long-Short Equity Fund on 1 December 2017;

JPMorgan Funds - Euroland Select Equity Fund merged into JPMorgan Funds - Euroland Equity Fund on 9 February 2018;

JPMorgan Funds - France Equity Fund merged into JPMorgan Funds - Euroland Equity Fund on 9 February 2018;

JPMorgan Funds - Germany Equity Fund merged into JPMorgan Funds - Euroland Equity Fund on 9 February 2018;

JPMorgan Funds - Income Opportunity Plus Fund merged into JPMorgan Investment Funds - Income Opportunity Fund on 9 February 2018;

JPMorgan Funds - Euro Short Duration Bond Fund merged into JPMorgan Funds - Global Short Duration Bond Fund on 23 February 2018;

JPMorgan Funds - Europe Select Equity Plus Fund merged into JPMorgan Investment Funds - Europe Select Equity Fund on 23 February 2018;

JPMorgan Funds - Highbridge Europe STEEP Fund merged into JPMorgan Funds - Europe Dynamic Fund on 23 February 2018;

JPMorgan Funds - US Equity Plus Fund merged into JPMorgan Funds - US Select Equity Plus Fund on 23 February 2018.

d) Share Class transactions-in-kindThe Duration Hedged Share Classes of Sub-Fund JPMorgan Funds - Global Corporate Bond Fund redeemed-in-kind and consequently subscribed-in-kind intoJPMorgan Funds - Global Corporate Bond Duration-Hedged Fund on 31 July 2017.

e) Share Class merger and name changeWith effect from 29 September 2017, following Share Classes were renamed:Old Share Class Name New Share Class Name

JPM Europe High Yield Short Duration Bond S (acc) - EUR JPM Europe High Yield Short Duration Bond S1 (acc) - EUR

JPM Global Capital Structure Opportunities S (acc) - EUR JPM Global Capital Structure Opportunities S1 (acc) - EUR

JPM Highbridge Europe STEEP S (perf) (acc) - EUR JPM Highbridge Europe STEEP S1 (perf) (acc) - EUR

JPM Multi-Manager Alternatives S (acc) - CHF (hedged) JPM Multi-Manager Alternatives S1 (acc) - CHF (hedged)

JPM Multi-Manager Alternatives S (acc) - EUR (hedged) JPM Multi-Manager Alternatives S1 (acc) - EUR (hedged)

JPM Multi-Manager Alternatives S (acc) - SEK (hedged) JPM Multi-Manager Alternatives S1 (acc) - SEK (hedged)

JPM Multi-Manager Alternatives S (acc) - USD JPM Multi-Manager Alternatives S1 (acc) - USD

With effect from 10 November 2017, the (inc) Share Classes of the Sub-Funds were merged into the equivalent (dist) Share Classes within the sameSub-Fund or, where corresponding (dist) Share Classes within the same Sub-Fund had not been launched, the (inc) Share Classes were renamed to theequivalent (dist) Share Classes with Share Class identifiers retained.

With effect from 1 July 2017, the performance fee charged on JPMorgan Funds - Europe Research Enhanced Index Equity Fund, JPMorgan Funds - GlobalEmerging Markets Research Enhanced Index Equity Fund, JPMorgan Funds - Global Research Enhanced Index Equity Fund and JPMorgan Funds - USResearch Enhanced Index Equity Fund, was removed. As a consequence, the suffixperf was removed from the Share Class names.

f) Changes to the ProspectusWith effect from 12 July 2017, the investment policy of JPMorgan Funds - Asia Pacific Income Fund was amended to hold up to a maximum of 10% of its assetsin contingent convertible securities (instead of 5% previously).

With effect from 29 September 2017, JPMorgan Funds - Asia Equity Fund changed its name to JPMorgan Funds - Asia Growth Fund. The investment objectiveand policy of the Sub-Fund was amended to clarify that the Sub-Fund will now invest primarily in a growth biased concentrated portfolio.

With effect from 29 September 2017, JPMorgan Funds - Europe Technology Fund changed its name to JPMorgan Funds - Europe Dynamic Technologies Fund.The investment objective and policy of the Sub-Fund was amended to clarify that the Sub-Fund also invests in companies related to technologies, includingbut not limited to technology, media and communications.

With effect from 27 December 2017 the investment objective of JPMorgan Funds Korea Equity Fund was amended to remove reference to financialderivative instruments being used for investment purposes.

With effect from 3 January 2018, the investment objective and policy of JPMorgan Funds - Quantitative Flexible Bond Fund was amended to remove theflexibility for use of financial derivative instruments for investment purposes.


Share Class Eligibility and Minimums - Change ProposalWith effect from September 2017, the Prospectus was amended to enhance Share Class eligibility transparency and understanding.

Currency Hedged Share Classes - Clarifications to Address Regulatory ChangesWith effect from June 2017, the Prospectus was amended to enhance the description of Currency Hedged Share Classes in connection with the ESMA OpinionPaper on UCITS Share Classes (ESMA Opinion) and European Market Infrastructure Regulation (EMIR).

Research Enhanced Index Funds - Operating and Adminstration (O&A) Fee Reduction ProposalWith effect from 30 September 2017, the O&A was reduced by/to 5 bps on all Share Classes for the following three Sub-Funds:

JPMorgan Funds - Europe Research Enhanced Index Equity Fund;

JPMorgan Funds - Global Research Enhanced Index Equity Fund;

JPMorgan Funds - US Research Enhanced Index Equity Fund.

JPMorgan Funds - Diversified Risk Fund - Addition of S1 Share ClassWith effect from 2 October 2017, the Prospectus was amended to incorporate the addition of an S1 Share Class.

Addition of ESG Language to various Sub-FundsWith effect from December 2017, the Prospectus was amended to reflect how Environmental, Social and Governance (ESG) factors are integrated into theinvestment process for some Sub-Funds.

Currency Hedged Share Classes - Update on the derivatives margin model to meet the European Market Infrastructure RegulationsWith effect from December 2017, the following statement was removed from the Prospectus As a result of currency hedging transactions, the Sub-Fund maybe required to transfer cash or other liquid assets as collateral to counterparties. Consequently, the Currency Hedged Share Classes may be allocated agreater proportion of cash or other liquid assets than the other Share Classes and therefore may have less market exposure which could have a positive ornegative impact on performance.

Regulatory update - MIFID II - Changes to Commission Sharing ArrangementsWith effect from 1 January 2018 J.P. Morgan Asset Management pays for external research services with the exception of the Sub-Funds listed below whichwill continue to use commission sharing/soft commission to pay for external research:

JPMorgan Funds - America Equity FundJPMorgan Funds - ASEAN Equity FundJPMorgan Funds - Asia Growth FundJPMorgan Funds - Asia Pacific Equity FundJPMorgan Funds - Asia Pacific Income FundJPMorgan Funds - China FundJPMorgan Funds - China A Share Opportunities FundJPMorgan Funds - Equity Premium Income FundJPMorgan Funds - Greater China FundJPMorgan Funds - Hong Kong FundJPMorgan Funds - Income Opportunity Plus FundJPMorgan Funds - India FundJPMorgan Funds - Indonesia Equity FundJPMorgan Funds - Japan Equity FundJPMorgan Funds - Korea Equity FundJPMorgan Funds - Multi-Manager Alternatives FundJPMorgan Funds - Pacific Equity FundJPMorgan Funds - Singapore FundJPMorgan Funds - Taiwan FundJPMorgan Funds - US Equity All Cap FundJPMorgan Funds - US Equity Plus FundJPMorgan Funds - US Growth FundJPMorgan Funds - US Hedged Equity FundJPMorgan Funds - US Opportunistic Long-Short Equity FundJPMorgan Funds - US Researched Enhanced Index Equity FundJPMorgan Funds - US Select Equity Plus FundJPMorgan Funds - US Select Long-Short Equity FundJPMorgan Funds - US Small Cap Growth FundJPMorgan Funds - US Smaller Companies FundJPMorgan Funds - US Technology FundJPMorgan Funds - US Value Fund

JPMorgan Funds - Europe Dividend Alpha Fund - full redemptionA full redemption was received for JPMorgan Funds - Europe Dividend Alpha Fund on 28 November 2017. The Sub-Fund became dormant and was removedfrom the Prospectus in December 2017.

EU Benchmark RegulationWith effect from 29 March 2018, the Prospectus was amended to meet EU Benchmark Regulations.

7


g) Change to the Sub-Fund benchmarkWith effect from 3 July 2017, the benchmark for JPMorgan Funds - Africa Equity Fund changed from MSCI Emerging and Frontier Markets Africa Index (TotalReturn Net) to Dow Jones Africa Titans 50 Index (Total Return Net).

With effect from 1 August 2017, the benchmark for JPMorgan Funds - Emerging Middle East Equity Fund changed from MSCI Middle East Index (Total ReturnNet) to S&P Pan Arab Composite Index (Total Return Net).

With effect from 2 October 2017, the benchmark for JPMorgan Funds - US Technology Fund changed from BofA Merrill Lynch 100 Technology Price Index toRussell 1000 Equal Weight Technology Index (Total Return Net).

With effect from 11 April 2018, the benchmark for JPMorgan Funds - Emerging Europe Equity Fund changed from MSCI Emerging Markets Europe Index (TotalReturn Net) to MSCI Emerging Markets Europe 10/40 Index (Total Return Net).

h) Removal of Performance Fee and reduction of Management and Advisory FeeWith effect from 1 July 2017, the performance fee of 10% was removed and the Management and Advisory Fee was reduced to 0.19% on the C and I ShareClasses, to 0.38% on the A Share Class and 0.10% on S Share Classes (JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fundonly) for the following Sub-Funds:

JPMorgan Funds - Europe Research Enhanced Index Equity Fund;

JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund;

JPMorgan Funds - Global Research Enhanced Index Equity Fund;

JPMorgan Funds - US Research Enhanced Index Equity Fund.

With effect from 1 September 2017 performance and non-performance fee Share Classes were merged or renamed.

With effect from 11 May 2018, the Management and Advisory Fee was reduced to 1.25% on the A Share Classes, to 0.60% on the C Share Class and 1.25% onD Share Classes for JPMorgan Funds - Multi-Manager Alternatives Fund.

i) Swing waiver mechanismWith effect from 26 September 2017, the swing waiver period for JPMorgan Funds - Europe High Yield Short Duration Bond Fund was extended to 31 March2018. Subsequently, the end of the swing waiver period was extended to 31 December 2018 effective 12 March 2018.

With effect from 26 September 2017, the swing waiver period for JPMorgan Funds - Income Fund was extended to 31 March 2018. Subsequently, with effectfrom 1 April 2018, JPMorgan Funds - Income Fund was removed from the swing waiver mechanism having reached the end of its waiver period.

With effect from 1 October 2017, JPMorgan Funds - Global Emerging Markets Research Enhanced Index Equity Fund was removed from the scope of the swingwaiver mechanism.

With effect from 6 December 2017, the swing waiver period for JPMorgan Funds - US Corporate Bond Fund was extended to 31 December 2018.

With effect from 17 May 2018, JPMorgan Funds - Diversified Risk Fund was included in the scope of the swing waiver mechanism with an AUM target ofUSD 400 million or by the end of waiver period on 15 August 2018, whichever comes first.

Events after the Year-EndThe Board agreed the following corporate actions relating to Sub-Funds which were notified to clients as appropriate:

a) Sub-Fund launchesSubsequent to the year-end JPMorgan Funds - Quantitative Flexible Bond Fund was launched on 17 September 2018.

b) Sub-Fund mergersSubsequent to the year, the following Sub-Fund was merged:

JPMorgan Funds - Highbridge US STEEP Fund merged into JPMorgan Funds - US Select Equity Plus Fund on 28 September 2018.

c) Sub-Fund registrationThe Management Company has submitted a request to deregister JPMorgan Funds - Singapore Fund with the SFC in Hong Kong. This request was made inanticipation of the prospective merger of the Sub-Fund with another Sub-Fund of JPMorgan Funds (the Fund) for which authorisation is currently not andwill not be sought from the SFC in Hong Kong. The deregistration was effective from 8 October 2018.

d) Changes to the Prospectus

JPMorgan Funds - Multi-Manager Alternatives Fund - Fee ReductionWith effect from July 2018, the Prospectus was amended to incorporate the reduction of the Annual Management Charge on A, C, D, I and I2 Share Class and areduction of the distribution fee on the D Share Class.

Change to Sub-Fund benchmarkWith effect from 15 September 2018 the equity components of the benchmark for JPMorgan Funds - Multi-Asset Italy PIR Fund changed from FTSE MIB Indexand FTSA Italia Mid Cap Index and replaced with the FTSA Italia PIR Benchmark.

Board of Directors

Luxembourg, 11 October 2018

8


JPMorgan FundsInvestment Managers Report

Market Review

Global equity markets produced positive returns for the 12 months ended 30 June 2018, despite increased market volatility and investor concerns overU.S.-driven trade tensions in the second half of the period. The MSCI All-Country World Index rose 11.7%, the Standard & Poors 500 was up 14.4%, the FTSEAll-World Developed Europe ex UK Index gained 4.6% and the FTSE All-Share ended 10.8% higher. Global bond markets generally underperformed equities.The Bloomberg Barclays Aggregate Multiverse Index returned 1.3% and the Bloomberg Barclays Global Aggregate Bond Index, U.S. dollar hedged, returned1.66%. (All performance in U.S. dollar terms, total return net, 1 July 2017 30 June 2018, source: J.P. Morgan Asset Management).

Through the latter half of 2017, global equity prices rose and bond prices remained relatively stable amid synchronised global economic growth, strongcorporate earnings and support from leading central banks. U.S. equity markets generally outperformed other developed markets and emerging marketsequities benefitted from rising petroleum prices and a positive environment for global investors. In January 2018, the S&P 500 ended four separate tradingsessions at record highs but would not reach those levels again for the remainder of the reporting period.

In early February 2018, both equity and bond prices fell sharply in the U.S. and the sell off spread to other financial markets. The S&P 500 lost more than 10%of its value over nine trading sessions, and yields on 10-year U.S. Treasury bonds, which serve as a benchmark for a broad range of financial assets, spikedhigher. Equity markets rebounded somewhat in subsequent weeks but financial market volatility remained elevated through to 30 June 2018.

Meanwhile, the European Central Bank reduced its monthly purchases of assets by half in January 2018, but declined to raise interest rates. Responding toweaker-than-expected economic data and below-target core inflation during the first half of 2018, the ECB said it would not raise interest rates untilmid-2019, though it confirmed it would end all asset purchases under its quantitative easing program by the end of 2018. In November 2017, the Bank ofEngland raised interest rates for the first time in a decade but did not raise rates further during the reporting period, despite improved retail sales data andthe lowest U.K. jobless rate since 1975. In the U.S., the Federal Reserve Bank raised interest rates in December 2017 and again in March 2018 and June 2018.

Trade tensions weighed on equity markets in 2018 as investors braced for higher U.S. tariffs on a range of agricultural, industrial and consumer products. Thepotential for a trade war with China, as well as with long-term U.S. allies and trading partners, rose during latter part of the reporting period as details of theTrump administrations policies were revealed.

Rising interest rates in the U.S. and a strengthening U.S. dollar also put pressure on emerging market equities and currencies, particularly in nations relianton external financing, notably Argentina and Turkey.

Outlook

Overall, the global economy remains on track for further growth supported by corporate earnings and accommodative policies at leading central banks.However, there are a number of potential political risks that may impact financial markets in the second half of the 2018. Protectionist trade policies enactedby the U.S. and reciprocated by China and other leading trading partners are expected to drive consumer prices higher and may hurt investor sentiment.While global energy prices have risen over the past year to the benefit of petroleum exporting nations, increasing global demand and other factors couldpush prices high enough to become a drag on economic growth in developed and emerging market nations.

While the outlook for financial markets appears positive, we believe investors should keep their focus on central banks public statements and economicindicators that may signal changes in economic and financial market fundamentals.

Investment Managers

11 October 2018

The information contained in this report is historical and not necessarily indicative of future performance.

9

Audit Report

To the Shareholders of

JPMorgan Funds

Our opinionIn our opinion, the accompanying Financial Statements give a true and fair view of the financial position of JPMorgan Funds and of each of its Sub-Funds (theFund) as at 30 June 2018, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourglegal and regulatory requirements relating to the preparation and presentation of the Financial Statements.

What we have auditedThe Funds Financial Statements comprise :

- the Combined Statement of Net Assets as at 30 June 2018;

- the Schedule of Investments as at 30 June 2018;

- the Combined Statement of Operations and Changes in Net Assets for the year then ended; and

- the Notes to the Financial Statements, which include a summary of significant accounting policies.

Basis for opinionWe conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing(ISAs) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (CSSF). Our responsibilities under those Law and standards arefurther described in the Responsibilities of the Rviseur dentreprises agr for the audit of the Financial Statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

We are independent of the Fund in accordance with the International Ethics Standards Board for Accountants Code of Ethics for Professional Accountants (IESBACode) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the Financial Statements. We have fulfilledour other ethical responsibilities under those ethical requirements.

Other informationThe Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report butdoes not include the Financial Statements and our audit report thereon.

Our opinion on the Financial Statements does not cover the other information and we do not express any form of assurance conclusion thereon.

In connection with our audit of the Financial Statements, our responsibility is to read the other information identified above and, in doing so, considerwhether the other information is materially inconsistent with the Financial Statements or our knowledge obtained in the audit, or otherwise appears to bematerially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are requiredto report that fact. We have nothing to report in this regard.

Responsibilities of the Board of Directors of the Fund and those charged with governance for the Financial StatementsThe Board of Directors of the Fund is responsible for the preparation and fair presentation of the Financial Statements in accordance with Luxembourg legaland regulatory requirements relating to the preparation and presentation of the Financial Statements, and for such internal control as the Board of Directorsof the Fund determines is necessary to enable the preparation of Financial Statements that are free from material misstatement, whether due to fraud orerror.

In preparing the Financial Statements, the Board of Directors of the Fund is responsible for assessing the Funds ability to continue as a going concern,disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund eitherintends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the Funds financial reporting process.

PricewaterhouseCoopers, Socit cooprative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 LuxembourgT: +352 494848 1, F: +352 494848 2900, www.pwc.lu

Cabinet de rvision agr. Expert-comptable (autorisation gouvernementale n 10028256)R.C.S. Luxembourg B 65 477 - TVA LU25482518

10

Responsibilities of the Rviseur dentreprises agr for the audit of the Financial StatementsThe objectives of our audit are to obtain reasonable assurance about whether the Financial Statements as a whole are free from material misstatement,whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guaranteethat an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a materialmisstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they couldreasonably be expected to influence the economic decisions of users taken on the basis of these Financial Statements.

As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment andmaintain professional scepticism throughout the audit.

We also:

identify and assess the risks of material misstatement of the Financial Statements, whether due to fraud or error, design and perform audit proceduresresponsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a materialmisstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions,misrepresentations, or the override of internal control;

obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not forthe purpose of expressing an opinion on the effectiveness of the Funds internal control;

evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board ofDirectors of the Fund;

conclude on the appropriateness of the Board of Directors of the Funds use of the going concern basis of accounting and, based on the audit evidenceobtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Funds ability to continue as a goingconcern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the FinancialStatements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of ouraudit report. However, future events or conditions may cause the Fund to cease to continue as a going concern;

evaluate the overall presentation, structure and content of the Financial Statements, including the disclosures, and whether the Financial Statementsrepresent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant auditfindings, including any significant deficiencies in internal control that we identify during our audit.

PricewaterhouseCoopers, Socit cooprative Luxembourg, 24 October 2018

Represented by

Rgis Malcourant

11

12

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13

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JPMorgan FundsCombined Statement of Net Assets

As at 30 June 2018

JPMorganFunds

CombinedUSD

AfricaEquity

FundUSD

AggregateBondFundUSD

AssetsInvestments in Securities at Market Value 107,048,560,624 210,775,646 3,043,561,450Acquisition Cost: 99,346,489,533 182,854,323 3,093,387,303Investment in TBAs at Market Value* 22,976,434 - -Cash at Bank and at Brokers 1,217,007,827 816,335 28,522,687Time Deposits 283,464,788 - 82,000,000Amounts Receivable on Sale of Investments 469,493,785 797,132 14,364,775Amounts Receivable on Sale of TBAs* 12,805,650 - -Amounts Receivable on Subscriptions 371,512,852 176,834 10,588,692Interest and Dividends Receivable, Net 533,162,362 252,118 17,607,028Tax Reclaims Receivable 54,482,343 - 41,099Fee Waiver** 3,210,911 23,555 151,545Other Receivables 705,313 - 23,544Net Unrealised Gain on Forward Currency Exchange Contracts 78,992,917 - 9,172,817Net Unrealised Gain on Financial Futures Contracts 6,484,397 - 1,198,482Other Derivative Instruments at Market Value 49,136,489 - -

Total Assets 110,151,996,692 212,841,620 3,207,232,119

LiabilitiesBank and Broker Overdraft 15,606,517 - -Open Short Positions on TBAs* 12,844,788 - -Amounts Payable on Purchase of Investments 697,389,472 1,694,025 13,780,838Amounts Payable on Purchase of TBAs* 22,926,578 - -Amounts Payable on Redemptions 341,441,793 812,487 1,956,430Management and Advisory Fees Payable 73,486,687 254,250 500,020Fund Servicing Fees Payable 8,883,955 17,977 260,209Distribution Fees Payable 5,854,787 33,389 3,928Performance Fees Payable 7,206,416 - -Other Payables*** 12,762,256 54,731 159,002Net Unrealised Loss on Forward Currency Exchange Contracts 187,118,539 - -Net Unrealised Loss on Financial Futures Contracts 5,596,112 - -Other Derivative Instruments at Market Value 23,278,617 - 81,969

Total Liabilities 1,414,396,517 2,866,859 16,742,396

Total Net Assets 108,737,600,175 209,974,761 3,190,489,723

Historical Total Net Assets30 June 2017 101,379,377,996 188,128,113 3,238,067,77630 June 2016 89,615,749,740 201,325,725 3,203,184,855

* Please refer to Note 2i).** Please refer to Note 3a), 3b), 3c) and 3d). To the extent that actual operating costs exceed the capped percentage, the amount borne by the Management Company will be separately disclosed as aFee Waiver in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets.*** Other Payables are principally comprised of Directors fees, audit and tax related fees and expenses, registration, publication, mailing, printing, legal and marketing expenses.

The accompanying notes form an integral part of these Financial Statements.

14

JPMorgan FundsCombined Statement of Net Assets (continued)

As at 30 June 2018

AmericaEquity

FundUSD

ASEANEquity

FundUSD

AsiaGrowth

Fund (1)USD

Asia PacificEquity

FundUSD

Asia PacificIncome

FundUSD

AsianTotal Return

Bond FundUSD

1,899,436,184 479,179,966 102,560,306 1,055,861,206 2,721,821,205 17,726,8731,593,390,388 467,537,225 95,525,775 889,884,150 2,816,988,053 18,805,591

- - - - - -1,062,919 3,679,608 2,287,670 18,600,537 20,700,076 1,493,934

- - 1,200,194 10,009,720 - -8,783 2,229,372 516,789 13,418,012 1,701,463 63,543

- - - - - -23,447,908 12,415,106 8,014 1,960,959 11,369,486 -

646,251 692,790 465,110 6,313,173 26,412,401 208,228- - 28,080 40,792 - -- 26,563 6,101 11,692 13,154 11,132

11,806 2,596 - - 14,862 -- 178 - - - 28,720- - - - - -- - - - - -

1,924,613,851 498,226,179 107,072,264 1,106,216,091 2,782,032,647 19,532,430

- - - - - -- - - - - -

26,947,973 11,185,761 620,958 19,656,826 11,325,412 -- - - - - -

3,754,258 588,737 1,627,095 7,121,043 4,789,733 -1,646,270 411,798 102,391 778,032 3,241,241 16,167

154,300 39,533 8,898 90,546 228,892 1,61739,770 36,152 7,591 11,498 14,394 -

- - - - - -83,757 61,683 24,033 205,895 378,268 13,991

3,128,000 - - - 12,975,632 -- - - - - 13,586- - - - - -

35,754,328 12,323,664 2,390,966 27,863,840 32,953,572 45,361

1,888,859,523 485,902,515 104,681,298 1,078,352,251 2,749,079,075 19,487,069

1,307,437,537 494,224,851 70,916,110 697,698,175 2,453,909,081 20,233,6691,188,361,357 508,893,310 58,409,123 423,529,345 2,007,198,980 20,179,911

(1) This Sub-Fund was renamed from JPMorgan Funds - Asia Equity Fund to JPMorgan Funds - Asia Growth Fund on 29 September 2017.

15


As at 30 June 2018

BrazilEquity

FundUSD

China A-ShareOpportunities

FundCNH

ChinaBondFundCNH

ChinaFund

USD

DiversifiedRisk

FundUSD

Emerging EuropeEquity

FundEUR

206,608,550 702,864,783 79,463,977 1,438,157,869 300,080,292 382,503,789223,238,237 702,691,881 81,722,590 1,117,279,173 301,612,223 378,204,037

- - - - - -578,792 6,492,204 3,000,088 10,311,730 22,017,792 775,805

- - - 5,000,000 30,000,000 -- 5,316,263 - 7,241,627 75,225 29,275- - - - - -

1,733,277 1,825,383 - 4,034,910 3,433,355 47,042570,583 232,776 1,175,342 5,102,459 980,074 2,120,557

- - - - 372 328,94210,541 217,203 95,155 - 62,409 91,442

177 - - - 2,034 -- - - - - -- - - - 38,037 -- - - - - -

209,501,920 716,948,612 83,734,562 1,469,848,595 356,689,590 385,896,852

- - - - 100,221 -- - - - - -- - - 725,104 363,487 -- - - - - -

942,982 12,780,849 - 11,047,639 - 609,928239,833 830,498 68,164 1,966,255 13,377 352,902

17,136 59,727 6,858 127,963 28,617 32,53316,517 3,319 - 92,952 4,521 13,353

- - - - - -32,083 366,928 112,168 2,885,718 76,412 118,540

- - 652,713 - 4,802,665 -- 45,128 - - - -- - - - 5,793,750 -

1,248,551 14,086,449 839,903 16,845,631 11,183,050 1,127,256

208,253,369 702,862,163 82,894,659 1,453,002,964 345,506,540 384,769,596

232,064,859 112,711,505 82,186,959 1,240,419,082 25,395,585 463,040,496205,693,028 34,477,693 79,214,456 1,104,369,993 23,847,385 441,855,694

16


As at 30 June 2018

Emerging Europe,Middle East and Africa

Equity FundUSD

Emerging MarketsAggregate Bond

FundUSD

Emerging MarketsBondFundUSD

Emerging MarketsCorporate Bond

FundUSD

Emerging MarketsDebtFundUSD

Emerging MarketsDiversified Equity

FundUSD

310,425,788 515,739,696 441,350,421 2,338,333,115 2,078,873,274 297,959,515285,335,449 542,128,287 459,782,560 2,511,815,152 2,179,413,807 267,914,346

- - - - - -1,231,134 2,521,903 27,773,639 14,880,808 18,773,448 3,520,891

- - - - - -18,742 1,475,413 1,684,238 8,334,553 7,734,216 1,996,143

- - - - - -57,284 - 831,573 1,247,979 2,803,272 43,835

1,309,472 7,487,495 6,941,818 34,242,456 31,991,956 1,879,492152,134 - - - - 16,44573,478 53,895 23,569 5,723 48,742 -

- - - - - -- - - - - -- 8,106 - 120,126 - -- 1,882,909 161,657 5,410,726 771,038 -

313,268,032 529,169,417 478,766,915 2,402,575,486 2,140,995,946 305,416,321

- 1,609,068 - - - -- - - - - -- 1,602,986 1,311,781 10,153,926 6,242,302 422,902- - - - - -

872,891 - 730,342 7,482,376 3,114,998 -248,040 - 208,117 1,346,508 1,147,049 76,471

25,884 43,063 39,154 198,370 175,264 26,0319,708 - 25,060 76,525 14,916 -

- - - - - -94,590 45,813 54,061 177,494 190,815 1,558

- 9,631,796 2,300,609 20,550,465 18,682,175 -- - - - - -- - - - - -

1,251,113 12,932,726 4,669,124 39,985,664 29,567,519 526,962

312,016,919 516,236,691 474,097,791 2,362,589,822 2,111,428,427 304,889,359

336,189,555 200,870,288 394,818,847 2,467,970,931 1,909,213,297 502,038,034299,245,118 154,250,581 425,799,886 1,965,308,360 1,598,669,678 467,441,966

17


As at 30 June 2018

Emerging MarketsDividend

FundUSD

Emerging MarketsEquity

FundUSD

Emerging MarketsInvestment Grade

Bond FundUSD

Emerging MarketsLocal Currency

Debt FundUSD

Emerging MarketsOpportunities

FundUSD

Emerging MarketsSmall Cap

FundUSD

517,689,673 6,822,181,189 484,040,679 2,096,441,342 2,896,227,526 1,789,983,591510,182,984 5,482,589,451 505,730,213 2,377,111,806 2,512,449,854 1,652,032,750

- - - - - -4,206,474 13,802,041 28,805,296 27,375,442 7,897,089 21,041,163

- - - - - -- 1,285,500 1,672,000 5,647,113 13,056,394 26,174,640- - - - - -

247,929 7,914,419 448,630 5,127,274 5,930,326 2,640,9273,788,964 33,921,409 5,830,996 34,790,715 17,463,488 3,213,299

262,797 987,644 - 1,943,236 307,256 369,36447,247 43,746 21,970 99,669 53,201 13,013

- - - 14,739 - -- - - 1,214,273 - -- - 61,723 - - 330,782- - 102,060 - - -

526,243,084 6,880,135,948 520,983,354 2,172,653,803 2,940,935,280 1,843,766,779

- - 65,281 597,051 - -- - - - - -- - 1,939,500 - 2,456,497 -- - - - - -

1,146,289 15,544,138 265,865 11,747,403 3,909,724 17,450,699297,770 3,316,443 193,532 1,108,055 1,630,006 1,542,82844,303 519,008 42,396 182,685 246,302 157,73919,516 83,006 820 105,195 20,943 52,761

- - - - - 1,445,116165,291 878,268 51,514 194,691 226,488 155,257645,161 3,033,747 4,702,877 - 189,883 -

- - - - - -- - - 7,168,723 - -

2,318,330 23,374,610 7,261,785 21,103,803 8,679,843 20,804,400

523,924,754 6,856,761,338 513,721,569 2,151,550,000 2,932,255,437 1,822,962,379

410,465,654 5,305,118,830 589,044,097 2,402,486,192 2,211,347,680 1,968,506,802195,265,193 3,543,323,304 297,179,434 2,467,475,648 1,803,781,838 758,444,181

18


As at 30 June 2018

Emerging MarketsStrategic Bond

FundUSD

EmergingMiddle EastEquity Fund

USD

EquityPremium Income

FundUSD

EUGovernment Bond

FundEUR

EuroAggregate Bond

FundEUR

EuroCorporate Bond

FundEUR

1,056,855,437 132,011,568 4,870,082 816,738,992 39,067,728 105,043,7921,126,312,523 118,570,090 4,599,514 814,446,204 39,586,021 105,707,794

- - - - - -102,133,535 421,870 18,241 6,877,640 624,150 314,240

- - - - - -2,738,872 1,337,252 - 19,139,055 707,273 1,356,366

- - - - - -7,280,993 481,948 - 1,411,348 20,075 372,106

14,742,774 48,316 3,726 6,638,613 355,901 838,247169,426 - - - - -

11,893 50,294 12,481 49,862 7,829 13,43913,065 - - - - -

- - - - - -12,697 - - 335,243 8,066 3,474

2,829,559 - - - - -

1,186,788,251 134,351,248 4,904,530 851,190,753 40,791,022 107,941,664

3,355,755 - - 3,979 - -- - - - - -

821,056 - 2,138 17,965,730 157,158 -- - - - - -

1,461,131 2,723,401 - 1,005,917 7,985 51,844742,266 155,378 2,865 201,276 22,422 54,881

96,381 11,166 398 67,917 3,288 8,806218,542 8,540 - 19,854 1,739 18,65675,044 - - - - -61,864 58,774 12,987 79,383 10,401 15,861

13,426,869 - - - - 1,025- - - - - -- - - - - 9,963

20,258,908 2,957,259 18,388 19,344,056 202,993 161,036

1,166,529,343 131,393,989 4,886,142 831,846,697 40,588,029 107,780,628

1,016,673,446 105,984,509 5,043,115 772,222,826 88,510,964 91,317,676447,655,897 108,972,302 - 1,373,866,983 100,056,582 52,328,785

19


As at 30 June 2018

Euro GovernmentShort Duration

Bond FundEUR

EuroMoney Market

FundEUR

EurolandDynamic

FundEUR

EurolandEquity

FundEUR

EuropeDynamic

FundEUR

Europe DynamicSmall Cap

FundEUR

151,078,304 164,401,542 641,182,028 752,235,108 1,555,917,501 950,197,840152,937,794 164,401,542 618,262,987 714,545,235 1,496,948,200 834,635,015

- - - - - -1,139,489 429,870 917,485 173,920 335,760 50,947

- 68,500,000 - - - -- - 252,227 20,635 - 8,070,193- - - - - -

253,194 458,711 200,261 467,605 2,011,679 4,822,5721,102,922 - 113,287 356,947 2,182,339 2,152,007

- - 1,613,786 1,877,757 3,114,251 847,45014,497 - 1,966 1,624 1,239 -

- 47,864 - - - 2,263- - 4,831 - 1,843,487 -

27,705 - - - - -- - - - - -

153,616,111 233,837,987 644,285,871 755,133,596 1,565,406,256 966,143,272

- - - - - -- - - - - -- 32,000,930 285,874 - 692,113 9,829,559- - - - - -

752,924 728,080 391,903 767,684 13,634,263 26,605,68940,426 52,122 687,570 648,823 1,274,013 948,26612,595 17,135 54,071 64,007 130,735 78,585

854 3,518 32,542 48,728 37,451 40,571- - - - - 4,424,321

18,744 - 44,910 48,308 92,530 51,254- - - 36,379 - -- - - - - -- - - - - -

825,543 32,801,785 1,496,870 1,613,929 15,861,105 41,978,245

152,790,568 201,036,202 642,789,001 753,519,667 1,549,545,151 924,165,027

188,673,844 351,961,109 670,983,883 417,289,814 1,218,980,412 631,808,066155,862,436 569,462,593 618,461,982 278,591,499 1,332,238,255 305,280,277

20


As at 30 June 2018

EuropeDynamic Technologies

Fund (2)EUR

Europe EquityAbsolute Alpha

FundEUR

EuropeEquity

FundEUR

EuropeEquity Plus

FundEUR

EuropeHigh Yield

Bond FundEUR

Europe High YieldShort Duration

Bond FundEUR

621,219,556 164,172,805 886,105,467 4,128,734,727 814,041,042 202,953,201554,143,161 142,078,088 839,797,172 3,595,912,264 827,753,307 207,943,239

- - - - - -1,150,617 32,517,442 6,410,562 17,639,361 51,002 49,991

- - - - - -13,354 80,631 19,253,573 2,242,613 8,007,018 467,453

- - - - - -5,830,058 197,248 345,496 8,502,289 1,100,888 218,270

148,554 75,582 1,043,187 2,889,266 10,779,861 3,134,901874,061 1,276,803 1,361,559 13,916,236 - -

- 16,297 1,498 - 43,794 21,746- - - - - -

346,764 - 316,730 1,418,780 223,222 30,319120,730 - 49,526 - - -

- - - 19,707,805 - -

629,703,694 198,336,808 914,887,598 4,195,051,077 834,246,827 206,875,881

- - 83,421 - - -- - - - - -

474,136 1,395,600 83,890,582 2,035,198 5,945,315 3,439,474- - - - - -

11,175,098 62,675 320,900 8,974,972 675,607 228,850721,084 170,009 401,347 4,169,983 356,168 74,688

52,263 16,500 64,749 316,988 68,649 16,29967,290 8,290 30,689 266,484 118,992 22,816

- 2,454 - - - -39,449 30,361 80,039 141,506 66,944 25,067

- 402,244 - - - -- - - 2,167,609 - -- 114,788 - - - -

12,529,320 2,202,921 84,871,727 18,072,740 7,231,675 3,807,194

617,174,374 196,133,887 830,015,871 4,176,978,337 827,015,152 203,068,687

278,735,735 207,679,601 447,778,063 4,596,415,414 844,755,114 75,073,613148,537,641 663,533,003 396,466,241 3,903,376,788 776,487,454 -

(2) This Sub-Fund was renamed from JPMorgan Funds - Europe Technology Fund to JPMorgan Funds - Europe Dynamic Technologies Fund on 29 September 2017.

21


As at 30 June 2018

EuropeSmall Cap

FundEUR

EuropeStrategic Growth

FundEUR

EuropeStrategic Value

FundEUR

EuropeSustainableEquity Fund

EUR

FinancialsBondFundEUR

FlexibleCreditFundUSD

961,368,026 1,067,704,922 2,489,156,476 256,247,423 367,446,711 543,111,568833,198,705 936,102,482 2,337,340,484 257,905,981 378,427,206 556,869,382

- - - - - -125,686 3,135,411 3,304,071 4,858,888 1,909,701 26,575,198

- - - - - -5,349,256 503,792 - 6,605,808 1,465,076 2,145,015

- - - - - -3,191,432 1,114,170 5,792,786 2,036 410,147 952,2041,895,922 643,623 3,026,315 280,564 4,354,191 6,198,3451,607,175 1,411,690 6,267,197 249,039 - -

1,311 - 938 7,177 13,574 35,6992,830 - - 19,648 - -

193,004 - 576,737 - - -- - 220,477 65,320 17,614 18,796- - - - - -

973,734,642 1,074,513,608 2,508,344,997 268,335,903 375,617,014 579,036,825

- - - - 22,121 10,327- - - - - -

3,496,015 2,186,120 6,030,560 5,327,736 - 1,060,493- - - - - -

1,501,103 1,479,012 4,676,205 1,774,080 369,764 1,232,1431,002,156 1,002,308 2,235,039 43,773 246,322 364,093

81,468 89,774 211,470 20,586 30,790 47,31568,768 79,209 27,426 - 113,530 153,535

- - - - - -69,926 64,830 104,230 18,477 30,394 64,356

- - - - 1,233,552 5,101,831- - - - - -- - - - - 377,763

6,219,436 4,901,253 13,284,930 7,184,652 2,046,473 8,411,856

967,515,206 1,069,612,355 2,495,060,067 261,151,251 373,570,541 570,624,969

708,685,364 929,749,006 2,479,864,281 25,725,998 243,726,474 361,171,035450,311,698 461,313,132 1,042,010,895 - 139,371,617 195,297,499

22


As at 30 June 2018

GlobalAbsolute Return

Bond FundUSD

GlobalAggregate Bond

FundUSD

Global BondOpportunities

FundUSD

GlobalCapital Structure

Opportunities FundEUR

GlobalConvertibles

Fund (EUR)EUR

Global Corporate BondDuration-Hedged

Fund (3)USD

85,862,478 152,597,772 5,356,739,782 20,276,827 1,727,428,259 226,865,88786,267,363 154,582,418 5,509,855,379 20,105,035 1,710,518,022 235,102,55518,855,469 4,120,965 - - - -5,654,653 7,812,687 69,387,544 512,748 49,388 3,599,445

- - - - - -- 983,304 26,763,284 220,602 18,392,482 1,734,273

12,805,650 - - - - -23,322 59,785 8,932,623 397 4,395,829 1,461,967

137,147 812,997 63,289,009 87,031 3,681,351 2,392,431- 1,607 - 6,337 213,194 -

22,515 22,928 138,171 20,658 18,058 32,310- - - - 129,358 4,068

176,134 74,200 27,936,956 39,854 6,244,975 -171,984 125,670 - - - -

- - 1,820 405,575 - 182,752

123,709,352 166,611,915 5,553,189,189 21,570,029 1,760,552,894 236,273,133

225,581 - 643,299 - - 28,70212,844,788 - - - - -

- 685,604 69,981,155 - 6,001,787 1,101,78318,819,203 4,107,375 - - - -

354,162 94,741 6,518,969 1,696 3,391,929 2152,770 17,512 3,536,075 5,560 1,402,934 100,1047,493 13,307 455,099 1,781 147,164 19,247

719 2,475 941,375 - 29,594 1,893- - - - - -

22,342 23,953 315,196 20,624 113,958 39,419- - - - - 709,493- - 422,875 37,082 - 11,500

381,893 3,640 - - - -

32,658,951 4,948,607 82,814,043 66,743 11,087,366 2,012,356

91,050,401 161,663,308 5,470,375,146 21,503,286 1,749,465,528 234,260,777

29,911,665 167,808,212 4,246,979,624 53,269,699 1,568,683,417 -39,712,103 48,203,273 1,225,775,027 23,556,428 1,548,378,613 -

(3) This Sub-Fund was launched on 31 July 2017.

23


As at 30 June 2018

GlobalCorporate Bond

FundUSD

GlobalDynamic

FundUSD

Global Emerging MarketsResearch Enhanced

Index Equity FundUSD

GlobalEquity Plus

Fund (4)USD

GlobalFocusFundEUR

GlobalGovernment Bond

FundEUR

4,916,042,967 388,319,129 19,358,669 24,213,505 1,719,167,771 691,593,3505,028,435,492 326,926,079 18,291,189 24,337,271 1,558,660,690 693,281,883

- - - - - -16,926,237 284,634 140,277 615,085 101,482 9,563,560

- - - - - -40,675,249 - - 395,142 1,088,872 4,641,270

- - - - - -9,830,384 314,516 - - 3,336,799 2,929,989

51,294,025 437,223 87,199 47,662 2,174,305 3,785,463- 710,551 - - 2,605,826 -

133,560 6,331 1,100 22,603 414 53,83627,687 229 - 127 - -

- - - - 14,117,922 4,570,773107,966 - 1,480 - - 193,971

3,995,894 - - - - 791,267

5,039,033,969 390,072,613 19,588,725 25,294,124 1,742,593,391 718,123,479

12,620 - - - - 169,571- - - - - -

25,957,784 - 21,655 411,696 - 8,791,877- - - - - -

7,564,890 350,107 - - 3,832,926 1,465,0371,728,677 290,298 2,585 19,129 1,459,247 111,010370,206 33,390 829 2,064 145,459 58,079241,086 22,976 - - 135,039 2,240

- - - - - -281,444 37,471 4,022 24,317 69,701 78,450

17,025,452 483,979 - 175,790 - -- 2,257 - 755 - -- - - 44,891 - -

53,182,159 1,220,478 29,091 678,642 5,642,372 10,676,264

4,985,851,810 388,852,135 19,559,634 24,615,482 1,736,951,019 707,447,215

5,225,412,063 381,821,844 11,666,369 - 1,879,819,844 334,280,1285,149,376,096 423,931,684 - - 1,551,352,219 718,282,343

(4) This Sub-Fund was launched on 26 April 2018.

24


As at 30 June 2018

Global GovernmentShort Duration

Bond FundEUR

GlobalHealthcare

FundUSD

GlobalMulti Strategy

Income FundEUR

GlobalNatural Resources

FundEUR

GlobalReal Estate

Securities Fund (USD)USD

Global ResearchEnhanced Index

Equity FundEUR

74,245,293 2,581,722,812 827,169,271 801,346,347 93,703,643 460,864,15875,523,091 2,237,656,150 741,666,792 683,157,612 88,690,041 403,959,493

- - - - - -1,390,654 1,106,629 5,889,929 777,214 215,882 7,869,676

- - - - - -- 21,684,682 17,180 2,159,733 4,520 3,374,469- - - - - -

504,051 3,089,395 779,028 2,114,353 2,329,340 401,880519,858 1,345,063 - 374,425 350,069 540,750

- 698,328 - 535,403 28,195 350,96919,410 260 23,700 - 22,507 24,801

- 10,817 - - - -197,371 - 134,278 - - -

4,416 - 20,869 - - 77,147- - - - - -

76,881,053 2,609,657,986 834,034,255 807,307,475 96,654,156 473,503,850

2,099 - - - - -- - - - - -- 3,035,990 - - 2,795,042 2,600,370- - - - - -

16,583 12,520,350 952,497 5,199,474 23,011 436,54015,554 2,517,461 1,034,568 1,005,952 47,603 43,1196,200 215,930 68,971 68,397 7,432 19,254

203 210,534 563,725 76,037 6,274 -- - - - - -

21,407 105,587 35,740 68,658 28,728 45,472- 4,382,769 - - 247,572 119,449- - - - - -- - - - - -

62,046 22,988,621 2,655,501 6,418,518 3,155,662 3,264,204

76,819,007 2,586,669,365 831,378,754 800,888,957 93,498,494 470,239,646

78,125,281 2,931,092,094 837,192,248 754,168,043 120,527,083 440,696,06782,172,247 3,578,255,630 861,530,691 625,353,241 121,028,238 619,649,673

25


As at 30 June 2018

GlobalShort Duration

Bond FundUSD

GlobalSocially Responsible

FundUSD

GlobalStrategic Bond

FundUSD

GlobalUnconstrained Equity

FundUSD

GreaterChinaFundUSD

HighbridgeUS STEEP

FundUSD

610,309,585 106,466,680 1,627,174,743 447,254,890 620,136,950 536,823,103620,375,586 89,859,771 1,646,620,544 405,781,447 468,747,180 548,710,540

- - - - - -12,785,259 145,040 53,717,339 241,227 359,939 5,268,668

- - - - - -- - 4,930,878 9,620,368 2,085,567 50,661,444- - - - - -

1,745,038 116,907 1,898,275 63,449 8,179,868 216,8802,696,127 193,703 12,176,685 1,054,268 2,872,718 541,694

- 32,464 - 147,875 - -48,193 14,895 79,690 12,584 - 15,870

- - - 3,713 269 23,355657,833 - - 766,737 - 44,377

- - 2,577,100 - - -- - - - - -

628,242,035 106,969,689 1,702,554,710 459,165,111 633,635,311 593,595,391

9,635 - 2,320,218 - - -- - - - - -- - 4,592,373 8,952,753 6,078,237 29,314,303- - - - - -

4,626,531 5,641 3,076,437 1,470,940 2,008,565 20,109,609156,637 36,286 1,094,363 264,000 731,801 610,073

51,019 8,649 138,687 37,425 54,317 48,3653,565 5,031 243,836 7,360 66,511 37,066

- - 93,342 - - -82,189 20,225 132,132 40,593 352,741 69,095

- 42,500 19,277,637 - - -209,438 - - - - -

- - 6,937,792 - - -

5,139,014 118,332 37,906,817 10,773,071 9,292,172 50,188,511

623,103,021 106,851,357 1,664,647,893 448,392,040 624,343,139 543,406,880

659,677,451 83,147,917 1,568,058,756 454,584,344 493,619,116 1,212,313,9282,240,474,835 93,963,015 982,108,644 460,900,674 599,499,845 2,046,917,411

26


As at 30 June 2018

HongKongFundUSD

IncomeFund

USD

IndiaFund

USD

IndonesiaEquity

FundUSD

ItalyFlexible Bond

FundEUR

JapanEquity

FundJPY

70,716,924 150,186,324 995,571,454 41,069,960 182,593,000 481,749,974,07560,959,415 153,361,639 596,440,586 43,972,493 187,922,089 381,863,914,845

- - - - - -2,218,946 1,844,267 3,110,960 264,737 509,813 4,312,280,773

- - 17,045,861 1,601,214 - -105,977 291,744 1,161,352 465,194 - 626,623,562

- - - - - -141,897 475,080 348,943 29,085 595,312 4,775,179,454353,633 1,404,710 1,437,838 58,690 1,227,761 395,925,640

- - - - - -10,368 25,450 10,484 17,378 7,488 152,896

- 2,001 - - - 4,332,270- - - - - -- 45,995 - - 3,352 -- 164,844 - - 3,719,858 -

73,547,745 154,440,415 1,018,686,892 43,506,258 188,656,584 491,864,468,670

- 71,306 - - 1,265,584 -- - - - - -

1,814,965 185,950 - 656,515 - 5,054,770,640- - - - - -

59,096 141,104 1,185,644 9,910 280,243 481,240,38889,243 115,997 1,191,678 19,836 153,634 328,785,819

6,126 12,386 85,626 3,709 15,365 39,488,7695,896 26,554 152,426 4,473 146,309 3,181,147

- - - - - -18,652 31,449 385,684 20,165 8,013 17,752,737

- 972,625 - - 12,323 389,181,013- - - - - -- - - - - -

1,993,978 1,557,371 3,001,058 714,608 1,881,471 6,314,400,513

71,553,767 152,883,044 1,015,685,834 42,791,650 186,775,113 485,550,068,157

96,259,234 28,193,845 1,085,522,831 51,675,650 189,481,447 279,368,960,542111,206,377 26,311,345 1,094,663,464 53,247,065 201,121,537 274,915,549,821

27


As at 30 June 2018

KoreaEquity

FundUSD

Latin AmericaCorporate Bond

Fund (5)USD

Latin AmericaEquity

FundUSD

ManagedReserves

FundUSD

Multi-AssetItaly PIRFund (6)

EUR

Multi-ManagerAlternatives

FundUSD

259,756,819 42,937,344 674,896,820 2,192,710,082 26,097,250 245,221,659272,458,171 45,447,499 656,774,987 2,198,522,887 26,256,232 239,594,256

- - - - - -962,127 322,977 885,147 26,293,309 2,066,005 50,631,133

4,412,568 - - - - -2,509,827 - 8,611,856 - - 701,815

- - - - - -282,152 100,000 773,458 5,124,764 48,813 159,449406,781 701,126 1,254,321 10,675,022 71,998 822,029

- - 68,497 - - 18,37039,280 8,417 18,310 164,073 8,991 219,595

- - 13,712 - - 4,823- - - - - -- 2,237 - - - 303,483- - - - - 2,130,442

268,369,554 44,072,101 686,522,121 2,234,967,250 28,293,057 300,212,798

- - - - - 880,617- - - - - -

1,310,069 - 8,379,228 34,064,027 - 3,408,877- - - - - -

519,731 - 546,980 1,686,721 - 200,417208,746 23,738 579,261 399,295 24,481 138,807

22,702 3,577 58,614 184,745 2,303 23,0817,608 668 19,158 - 3,442 3,339

- - - - - -56,983 12,172 66,718 141,240 9,885 434,840

- - - 5,320,116 - 1,374,191- - - - - -- - - - - -

2,125,839 40,155 9,649,959 41,796,144 40,111 6,464,169

266,243,715 44,031,946 676,872,162 2,193,171,106 28,252,946 293,748,629

179,541,563 - 945,270,489 3,243,127,039 - 190,873,156141,752,681 - 799,977,215 5,550,006,002 - 146,738,553



28


As at 30 June 2018

PacificEquity

FundUSD

RussiaFund

USD

SingaporeFund

USD

SterlingBondFundGBP

SterlingManaged Reserves

FundGBP

SystematicAlphaFundEUR

775,848,842 634,799,944 52,742,814 59,581,283 137,305,433 803,716,624645,131,391 580,945,908 54,225,673 58,087,988 138,583,548 774,324,686

- - - - - -10,539,754 1,558,757 703,057 702,444 2,143,435 44,137,6694,700,813 - - - 15,000,000 24,048,372

- 115,898 - - - 1,438,183- - - - - -

945,254 1,637,646 682 39,423 - 214,0962,454,712 6,359,269 - 933,182 1,191,512 149,005

- - - - - 309,582- 237,019 10,975 9,131 18,639 36,770

22,088 - - - - 28,313- - - - - 3,084,483- - - - - -- - - - - 2,196,482

794,511,463 644,708,533 53,457,528 61,265,463 155,659,019 879,359,579

- - - 12,054 - 75,830- - - - - -

512,252 36,792 - - - 2,840,729- - - - - -

4,246,400 1,559,946 48,549 45,632 2 19,960,546917,129 659,754 68,399 45,020 26,243 607,19267,254 52,964 4,638 5,045 13,100 73,31541,311 41,786 11,269 12,318 - -

- - - - - -51,777 298,585 17,043 11,882 12,404 88,112

- - - 12,911 78,690 -- - - 22,109 - 1,469,878- - - - - -

5,836,123 2,649,827 149,898 166,971 130,439 25,115,602

788,675,340 642,058,706 53,307,630 61,098,492 155,528,580 854,243,977

630,808,816 663,077,256 61,184,224 74,957,804 97,615,386 2,283,243,180523,845,087 494,382,484 53,785,651 46,164,631 - 2,011,370,835

29


As at 30 June 2018

Systematic AlphaHigher Volatility

Fund (7)EUR

TaiwanFund

USD

TotalEmerging Markets

Income FundUSD

USAggregate Bond

FundUSD

USCorporate Bond

FundUSD

US DollarMoney Market

FundUSD

103,279,267 154,378,274 194,302,183 3,073,421,996 44,947,064 362,136,311100,649,371 127,684,032 199,181,784 3,120,625,402 46,308,859 362,136,311

- - - - - -26,877,324 692,742 5,001,953 - 1,476,465 92,247,082

- - - - - -- - 590,045 4,336,977 - -- - - - - -- 26,843 265,077 13,509,146 107,452 4,714,796

53,917 956,899 1,739,019 15,958,038 445,976 572,2637,759 - 66,566 - - -9,632 8,034 21,231 109,356 15,338 7,996

- - - 6,091 337 -- - - - - -- - - - 23,198 -- - - - - -

130,227,899 156,062,792 201,986,074 3,107,341,604 47,015,830 459,678,448

21,905 - - 3,723,812 22,426 -- - - - - -

779,404 - 185,750 6,173,565 136,290 -- - - - - -- 111,893 466,087 4,371,431 4,442 1,233,843

56,266 159,930 202,470 1,388,416 17,809 92,6649,852 13,292 16,927 249,503 3,816 37,066

- 4,095 71,436 10,680 151 -- - - - - -

12,945 21,977 44,137 171,481 16,766 50,7121,802,730 - 295,474 6,689,689 344,074 -

326,699 - - - - -1,260,262 - - - - -

4,270,063 311,187 1,282,281 22,778,577 545,774 1,414,285

125,957,836 155,751,605 200,703,793 3,084,563,027 46,470,056 458,264,163

- 170,862,328 152,172,401 3,765,956,833 33,515,585 376,994,175- 169,397,561 72,315,659 2,442,643,007 - 437,971,653

(7) This Sub-Fund was launched on 18 April 2018.

30


As at 30 June 2018

US EquityAll Cap

FundUSD

USGrowth

FundUSD

USHedged Equity

FundUSD

USHigh Yield Plus

Bond FundUSD

US OpportunisticLong-Short

Equity FundUSD

USResearch Enhanced

Index Equity FundUSD

1,812,510,139 444,031,279 35,349,705 191,607,746 320,835,363 554,402,1321,486,168,854 312,126,007 34,270,720 198,668,673 312,963,429 475,794,339

- - - - - -1,833,404 2,580,223 247,605 1,358,472 58,009,842 5,053,635

- - - - - -8,062,638 1,038,170 285,667 57,629 1,516,517 4,853,872

- - - - - -1,877,578 5,035,516 - 269,277 17,396,874 1,571694,435 21,806 18,044 2,939,965 34,722 309,130

- - - - - 234,7641,731 6,183 12,564 26,024 21,983 7,439

- 1,778 - - 106,805 -- 44,899 - - - 53,255- - - - - -- - - - 274,577 -

1,824,979,925 452,759,854 35,913,585 196,259,113 398,196,683 564,915,798

- - - - - -- - - - - -

1,327,713 - 273,289 854,277 18,144,939 4,488,115- - - - - -

3,282,201 602,949 - 344,737 922