JPMorgan Investment Funds - fdl.aastocks.comfdl.aastocks.com/fundpdf/1153/1153_3_2011-06_1.pdf · The accompanying notes form an integral part of these Financial Statements. 5

JPMorgan Investment FundsUnaudited Semi-Annual Report30 June 2011

This report is an abridged version of the unaudited semi-annual report established in conformity with the Luxembourg Law of 20 December 2002 on Undertakings for Collective Investment as amended. The complete version is available on request from the Company’s registered office in Luxembourg and from JPMorgan Funds (Asia) Limited.

This report does not constitute an offer of shares. Subscriptions are only valid if made on the basis of the current Hong Kong Offering Document which is available free of charge on request, supplemented by the most recent audited annual report of the Fund and any subsequent unaudited semi-annual report, from JPMorgan Funds (Asia) Limited.

Certain of the sub-funds of the Fund are not authorised for offer or distribution in or from Hong Kong. Accordingly, no reference is made to these sub-funds in this unaudited semi-annual report. The attention of the investors is drawn to the fact that certain figures in this unaudited semi-annual report are expressed on a consolidated basis and, thus, include the assets of those sub-funds which are not registered in Hong Kong.

JPMorgan Investment Funds

Unaudited Semi-Annual Report

As at 30 June 2011

Contents

Board of Directors 1

Management and Administration 2

Unaudited Financial Statements and Statistical InformationCombined Statement of Net Assets 5-7

Combined Statement of Operations and Changes in Net Assets 9-11

Statement of Changes in the Number of Shares 12-13

Statistical Information 14-16

Notes to the Unaudited Financial Statements 17-22

Schedule of InvestmentsJPMorgan Investment Funds - Europe Select Equity Fund 23JPMorgan Investment Funds - Global Balanced Fund (USD) 26JPMorgan Investment Funds - Global Bond Fund (USD) 33JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 38JPMorgan Investment Funds - Global Convertibles Fund (USD) 42JPMorgan Investment Funds - Global Dividend Fund 46JPMorgan Investment Funds - Global Enhanced Bond Fund 49JPMorgan Investment Funds - Global Financials Fund 54JPMorgan Investment Funds - Global High Yield Bond Fund 57JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 62JPMorgan Investment Funds - Japan 50 Equity Fund 66JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 68JPMorgan Investment Funds - JF Asia ex-Japan Fund 70JPMorgan Investment Funds - US Bond Fund 71JPMorgan Investment Funds - US Equity Fund 75

Appendix: Unaudited Additional DisclosuresFund Total Expense Ratios 78Summary of Investment Objectives of the Sub-Funds 81Performance and Volatility 82Interest Rate Received/(Charged) on Bank Accounts 84Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01% 84Portfolio Turnover Ratio 85Historical Statements of Changes in the Number of Shares 86

For additional information please consult www.jpmorganassetmanagement.com

No subscriptions can be received solely on the basis of this report. Subscriptions are only valid if made on the basis of the current prospectus, the current simplified prospectus,supplemented by the latest audited annual report and, if published thereafter, the latest unaudited semi-annual report.

The current prospectus, the current simplified prospectus, the unaudited semi-annual reports, as well as the audited annual report can be obtained free of charge from theregistered office of the SICAV and from local paying agent.

Following a review of the disclosure of Investment Manager(s) within the Prospectus and Simplified Prospectus, the details of the Investment Manager(s) for the individualSub-Funds will now be available from the Management Company at its registered office, or from www.jpmorganassetmanagement.com.


Board of Directors

As at 30 June 2011

Chairman

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

Directors

Jacques ElvingerPartnerElvinger, Hoss & Prussen2, place Winston ChurchillL-2014 LuxembourgBP 425Grand Duchy of Luxembourg

Jean FrijnsProfessor, Finance and InvestmentsAntigonelaan 2NL-5631 LR EindhovenThe Netherlands

Berndt MayManaging DirectorJPMorgan Asset Management (Europe) S.à r.l.Austrian BranchFührichgasse 8A-1010 ViennaAustria

Registered Office

European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Deputy Chairman

Pierre JaansEconomist3, rue de KahlerL-8356 GarnichGrand Duchy of Luxembourg

Andrea L. Hazen (until 31 March 2011)Managing DirectorJPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

James B. Broderick (from 31 March 2011)Managing DirectorJPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

Robert Van der MeerProfessor of Finance12 Lange VijverbergNL-2513 AC The HagueThe Netherlands

1

Changes to the Composition of the Board of DirectorsOn 31 March 2011, Ms Andrea L. Hazen resigned from the Board of Directors. In her place, Mr James B. Broderick was co-opted as a Director onthe same day.


Management and Administration

As at 30 June 2011

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

JPMorgan Asset Management (Europe) S.à r.l.European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Investment Managers

J.P. Morgan Investment Management Inc.245 Park AvenueNew York, NY 10167United States of America

JPMorgan Asset Management (Japan) LimitedTokyo Building 7-3Marunouchi 2-ChomeChiyoda-KuTokyo 100-6432, Japan

JPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

JF Asset Management Limited21st Floor, Chater House8 Connaught RoadCentral, Hong Kong

Highbridge Capital Management LLC9 West 57th StreetNew York, NY 10019United States of America

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

Custodian, Corporate and Administrative Agent

J.P. Morgan Bank Luxembourg S.A.European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Auditor

PricewaterhouseCoopers S.à r.l.400, Route d’EschBP 1443L-1014 LuxembourgGrand Duchy of Luxembourg

Legal Adviser

Elvinger, Hoss & Prussen2, place Winston ChurchillL-2014 LuxembourgGrand Duchy of Luxembourg

22

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3


4


Combined Statement of Net Assets

As at 30 June 2011

JPMorganInvestment Funds

CombinedUSD

Europe SelectEquity Fund

EUR

Global BalancedFund (USD)

USD

AssetsInvestments in Securities at Market Value 20,474,724,532 324,432,985 256,153,826Acquisition Cost: 19,902,520,915 319,644,448 229,443,758Investment in TBAs at Market Value (1) 336,877,062 - -Cash at Bank 765,967,166 - 19,191,358Time Deposits and Cash Equivalents 418,900,084 - -Amounts Receivable on Sale of Investments 94,418,142 1,439,838 301,265Amounts Receivable on Sale of TBAs (1) 617,659,428 - -Amounts Receivable on Subscriptions 74,797,778 1,752,102 432,645Interest and Dividends Receivable, Net 101,943,538 462,890 1,878,635Tax Reclaims Receivable 1,421,041 110,287 28,073Fee Waiver (2) 64,871 - -Other Receivables 128,724 8,422 -Unrealised Net Gain on Forward Foreign Exchange Contracts 36,358,791 345,554 -Unrealised Net Gain on Financial Futures Contracts 1,760,034 2,730 -Derivatives Instruments at Market Value 13,272,092 - -

Total Assets 22,938,293,283 328,554,808 277,985,802

LiabilitiesBank Overdraft 447,258 183,242 -Open Short Positions on TBAs (1) 390,826,571 - -Amounts Payable on Purchase of Investments 178,150,678 2,490,217 236,343Amounts Payable on Purchase of TBAs (1) 563,439,133 - -Amounts Payable on Redemptions 89,241,352 191,050 666,616Management and Advisory Fees Payable 20,343,032 212,505 312,975Performance Fees 10,100,052 - -Other Payables 5,769,638 37,960 37,414Unrealised Net Loss on Forward Foreign Exchange Contracts 77,299,767 - 1,218,254Unrealised Net Loss on Financial Futures Contracts 1,019,552 - 124,333Derivatives Instruments at Market Value 91,359,932 - -

Total Liabilities 1,427,996,965 3,114,974 2,595,935

Total Net Assets 21,510,296,318 325,439,834 275,389,867

Historical Total Net Assets31 December 2010 18,277,112,582 229,438,958 303,452,08131 December 2009 17,111,214,731 235,863,162 501,258,89131 December 2008 12,451,274,404 87,650,033 437,621,91531 December 2007 21,371,859,183 329,258,620 599,095,598

(1) Please refer to Note 2 i).(2) Please refer to Note 3 a).

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

5


Combined Statement of Net Assets (continued)

As at 30 June 2011

Global BondFund (USD)

USD

Global CapitalPreservation

Fund (USD)USD

GlobalConvertibles

Fund (USD)USD

GlobalDividend

FundUSD

GlobalEnhanced Bond

FundEUR

GlobalFinancials Fund

USD

55,396,344 57,680,811 539,453,023 99,629,068 19,498,207 175,341,37554,857,976 55,777,177 521,058,985 95,407,348 20,912,801 173,743,264

- - - - 4,922,894 -1,444,461 18,511,360 234,482 - 951,117 741,832

- - - - - -1,083,010 105,988 1,501,334 3,451,860 158,959 196,403

- - - - 14,332 -150 268,136 304,599 1,500,354 235,429 304,149

438,890 350,652 2,606,009 145,729 65,227 682,782- 3,381 - 25,319 - 34,394

5,228 5,228 - - 6,347 -- 13,367 - 4,006 - -- - 261,155 - 101,985 234,484- 18,408 - - - -- 421,536 - - - -

58,368,083 77,378,867 544,360,602 104,756,336 25,954,497 177,535,419

- - - 182,134 - -- - - - - -- 25,626 8,956,455 3,117,172 288,197 377,148- - - - 4,953,903 -- 472,222 1,963,874 8,638 41,651 330,442

18,753 84,600 664,320 118,634 14,794 240,466- - - - - -

462,368 17,861 70,510 23,443 9,551 34,147196,354 493,040 - 63,407 - -

9,118 - - - 7,383 -- - - - - -

686,593 1,093,349 11,655,159 3,513,428 5,315,479 982,203

57,681,490 76,285,518 532,705,443 101,242,908 20,639,018 176,553,216

59,153,879 73,808,677 511,603,002 52,512,474 24,060,097 185,870,70960,110,609 74,449,543 533,842,291 37,054,753 20,893,798 127,331,66771,738,748 67,565,801 150,459,822 2,053,246 31,694,955 115,313,948

398,540,721 56,022,839 204,045,393 2,994,964 172,270,768 173,591,902

6



As at 30 June 2011

GlobalHigh Yield Bond

FundUSD

Highbridge StatisticalMarket Neutral

FundEUR

Japan50 Equity Fund

JPY

Japan BehaviouralFinance Equity

FundUSD

JF Asiaex-Japan

FundUSD

US BondFundUSD

USEquity Fund

USD

1,468,714,212 788,816,471 18,922,137,345 5,413,641 1,247,825,073 37,177,058 217,306,1511,447,252,197 792,608,654 21,135,804,030 4,779,535 1,059,281,052 49,322,483 199,451,535

- - - - - 12,931,836 -113,858,470 53,752,241 203,761,499 244,506 23,444,485 2,706,081 8,069,966

- 70,000,000 - - - - -1,460,112 - 227,081,853 12,861 10,993,053 1,623,596 119,310

- - - - - - -13,662,952 237,804 1,415,704 140 1,279,165 50 2,926,98128,931,532 1,554,702 2,547,617 3,263 3,824,590 229,772 144,858

- - - - - - 62,848- 855 - 5,987 - 5,272 -- - - - - - -

13,018,518 - - - - - -- - - - - 7,520 125,025

1,435,620 - - - - - -

1,641,081,416 914,362,073 19,356,944,018 5,680,398 1,287,366,366 54,681,185 228,755,139

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

1,294,100 - 232,672,834 92,671 3,867,296 1,614,150 390,173- - - - - 12,976,815 -

21,741,919 1,342,657 2,418,379 - 7,437,445 8,324 5,008,0721,202,805 1,126,059 9,206,497 5,808 1,177,753 29,041 286,454

- - - - - - -194,548 163,899 2,490,861 7,537 153,249 374,443 33,442

- 2,741,175 913,244 - - 1,766 255,032- - - - - - -- 7,809,786 - - - - -

24,433,372 13,183,576 247,701,815 106,016 12,635,743 15,004,539 5,973,173

1,616,648,044 901,178,497 19,109,242,203 5,574,382 1,274,730,623 39,676,646 222,781,966

1,227,898,130 930,858,882 25,533,477,954 5,133,970 1,604,183,115 40,785,397 144,239,604450,507,539 2,437,426,403 13,989,659,304 5,261,171 1,595,870,962 45,776,146 94,195,327145,157,681 2,842,761,494 31,690,006,989 43,080,245 548,315,938 65,585,585 21,975,125

226,958,050 2,536,907,979 61,783,248,670 100,132,088 1,570,642,348 921,294,102 36,931,277

7


8


Combined Statement of Operations and Changes in Net Assets

For the Period from 1 January 2011 to 30 June 2011


CombinedUSD

Europe SelectEquity Fund

EUR

Global BalancedFund (USD)

USD

Net Assets at the Beginning of the Period * 18,742,942,113 229,438,958 303,452,081

IncomeDividend Income, Net 108,129,333 6,638,003 1,486,037Interest Income, Net 204,701,151 33,782 1,698,242Securities Lending Income 3,734,653 538,304 -Bank Interest 536,164 743 2,438Net Interest on Swap Transactions 31,014,075 - -Other Income 1,894 - -

Total Income 348,117,270 7,210,832 3,186,717

ExpensesManagement and Advisory Fees 117,817,094 1,149,774 1,763,020Custodian, Corporate, Administrative and Domiciliary Agency Fees 6,616,298 139,310 131,576Registrar and Transfer Agency Fees 2,148,725 43,828 30,103Taxe d’Abonnement 4,871,839 55,457 65,654Overdraft Interest 216,185 202 958Net Interest on Swap Transactions 11,121,787 - -Sundry Fees** 3,797,822 39,762 22,887

146,589,750 1,428,333 2,014,198Less: Fee Waiver (1) 739,345 9,883 4,955Total Expenses before Performance Fees 145,850,405 1,418,450 2,009,243

Performance Fees 10,100,043 - -

Total Expenses 155,950,448 1,418,450 2,009,243

Net Investment Income/(Loss) 192,166,822 5,792,382 1,177,474

Net Realised Gain/(Loss) on Sale of Investments 274,856,143 11,059,430 12,880,547Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts 579,117,278 719,429 172,595Net Realised Gain/(Loss) on Financial Futures Contracts (71,357,116) (966,895) (60,277)Net Realised Gain/(Loss) on Foreign Exchange (57,125,914) (178,717) 119,775Net Realised Gain/(Loss) on TBAs 1,445,100 - -Net Realised Gain/(Loss) on Derivatives Instruments 85,219,127 - -

Net Realised Gain/(Loss) for the Period 812,154,618 10,633,247 13,112,640

Net Change in Unrealised Gain/(Loss) on Investments (493,443,618) (17,762,868) (4,462,783)Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts (59,346,141) (147,242) (2,260,608)Net Change in Unrealised Gain/(Loss) on Financial Futures Contracts (15,916,365) 21,541 (129,606)Net Change in Unrealised Gain/(Loss) on Foreign Exchange 45,303,529 (12,226) 22,438Net Change in Unrealised Gain/(Loss) on TBAs (1,456,326) - -Net Change in Unrealised Gain/(Loss) on Derivatives Instruments (59,047,224) - -

Net Change in Unrealised Gain/(Loss) for the Period (583,906,145) (17,900,795) (6,830,559)

Increase/(Decrease) in Net Assets as a Result of Operations 420,415,295 (1,475,166) 7,459,555

Movements in Share CapitalSubscriptions 9,504,216,092 141,233,192 73,117,673Redemptions (7,120,222,447) (43,735,715) (108,632,960)

Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital 2,383,993,645 97,497,477 (35,515,287)

Dividend Distribution (37,054,735) (21,435) (6,482)

Total Net Assets at the End of the Period 21,510,296,318 325,439,834 275,389,867

* The opening balance was combined using the foreign exchange rate as at 30 June 2011. The same net assets when combined using the foreign exchange ruling as at 31 December 2010 reflecteda figure of USD 18,277,112,582**Sundry Fees are principally comprised of Directors’ fees, audit and tax related fees, registration, publication, mailing and printing fees, as well as legal and marketing expenses.(1) Please refer to Note 3a).


9


Combined Statement of Operations and Changes in Net Assets (continued)


Global BondFund (USD)

USD


Fund (USD)USD

GlobalConvertibles

Fund (USD)USD

GlobalDividend

FundUSD

GlobalEnhanced Bond

FundEUR

GlobalFinancials Fund

USD

59,153,879 73,808,677 511,603,002 52,512,474 24,060,097 185,870,709

- 397,861 471,161 2,140,480 - 2,330,587875,568 474,930 8,576,397 2,248 377,456 153,472

260 12,198 - 107,724 543 -5,663 4,431 408 2,720 824 692

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

881,491 889,420 9,047,966 2,253,172 378,823 2,484,751

116,215 517,993 4,000,244 585,955 90,318 1,619,36464,887 70,749 188,419 111,697 42,657 97,782

5,323 19,364 54,345 18,411 12,049 47,7048,281 18,890 137,967 22,447 5,074 47,535

219 572 290 - 177 670- 25,426 - - - -

4,094 5,614 37,053 11,034 1,454 15,281199,019 658,608 4,418,318 749,544 151,729 1,828,33640,344 37,900 - 14,880 41,524 1,818

158,675 620,708 4,418,318 734,664 110,205 1,826,518

- - - - - -

158,675 620,708 4,418,318 734,664 110,205 1,826,518

722,816 268,712 4,629,648 1,518,508 268,618 658,233

298,633 1,905,322 28,594,368 628,346 (170,929) 6,129,432(2,250,470) (1,090,791) (19,079,624) 599,327 1,320,924 945,397

(91,531) (1,752,858) (712,905) (78,336) (35,370) -52,588 (164,001) 83,490 46,513 529,017 95,29761,326 - - - (292,163) -

(422) 512,262 - - (549) -

(1,929,876) (590,066) 8,885,329 1,195,850 1,350,930 7,170,126

1,192,461 (827,996) (13,939,489) 1,052,899 (563,803) (5,029,736)734,856 (371,664) 4,515,593 (98,538) (367,851) (269,602)

(1,312) (509,802) - - (85,821) -(4,723) 154,436 432,800 34,956 (113,822) (6,009)14,049 - - - (3,250) -

(225) (233,311) - - (178) -

1,935,106 (1,788,337) (8,991,096) 989,317 (1,134,725) (5,305,347)

728,046 (2,109,691) 4,523,881 3,703,675 484,823 2,523,012

1,205,188 28,074,235 211,706,785 89,645,917 5,354,217 89,913,627(3,405,623) (23,487,703) (195,128,225) (44,516,407) (9,260,119) (101,716,998)

(2,200,435) 4,586,532 16,578,560 45,129,510 (3,905,902) (11,803,371)

- - - (102,751) - (37,134)

57,681,490 76,285,518 532,705,443 101,242,908 20,639,018 176,553,216

10





FundUSD


FundEUR

Japan50 Equity Fund

JPY


FundUSD

JF Asiaex-Japan

FundUSD

US BondFundUSD

USEquity Fund

USD

1,227,898,130 930,858,882 25,533,477,954 5,133,970 1,604,183,115 40,785,397 144,239,604

- - 255,467,585 59,440 12,526,490 - 1,156,77253,762,147 3,804,362 - 324 17,847 746,414 -

268,031 - - 399 - 1,140 1,692630 3,889 - - 5,307 2,527 134

3,096,528 352,316 - - - 827 -- - - - - - -

57,127,336 4,160,567 255,467,585 60,163 12,549,644 750,908 1,158,598

6,665,786 6,676,198 83,139,271 33,901 7,196,227 171,556 1,442,152360,507 420,021 8,854,535 44,488 628,590 37,195 83,088157,054 108,552 1,072,618 1,284 80,202 10,372 38,316370,882 214,984 3,232,145 1,186 210,697 9,470 51,531

1,106 255 11,176 - - - -- 2,136,748 - - - 28,425 -

276,875 241,263 3,359,618 353 96,369 2,688 24,3697,832,210 9,798,021 99,669,363 81,212 8,212,085 259,706 1,639,456

3,108 17,760 11,667 37,933 - 23,621 754

7,829,102 9,780,261 99,657,696 43,279 8,212,085 236,085 1,638,702

- - - - - - -

7,829,102 9,780,261 99,657,696 43,279 8,212,085 236,085 1,638,702

49,298,234 (5,619,694) 155,809,889 16,884 4,337,559 514,823 (480,104)

18,581,165 (3,170,825) (1,733,487,734) 65,565 98,139,345 171,169 11,998,90055,387,745 (10,007,217) (2,619,355) (496) 39,374 (3,319) 1,739,105

- - (1,922,775) - - 33,343 169,318(190,783) (281,710) 7,989,962 6,973 221,189 7,515 2,318

- - - - - 371,584 -2,858,681 20,860,678 - - - (210,294) -

76,636,808 7,400,926 (1,730,039,902) 72,042 98,399,908 369,998 13,909,641

(16,120,700) 65,772 (858,264,201) (141,499) (127,999,816) 68,968 755,8563,192,665 708,448 (913,244) - - (1,766) (393,159)

- - 1,441,000 - - 17,270 98,365(13,753) (2,374) 24,342 2,473 (319,072) 947 -

- - - - - (9,796) -(4,027,600) (3,369,926) - - - 180,459 -

(16,969,388) (2,598,080) (857,712,103) (139,026) (128,318,888) 256,082 461,062

108,965,654 (816,848) (2,431,942,116) (50,100) (25,581,421) 1,140,903 13,890,599

1,201,273,750 318,737,822 9,153,882,452 1,063,924 176,759,877 18,115,531 219,592,443(916,988,825) (347,601,359) (13,145,407,762) (573,054) (480,630,948) (20,365,185) (154,939,600)

284,284,925 (28,863,537) (3,991,525,310) 490,870 (303,871,071) (2,249,654) 64,652,843

(4,500,665) - (768,325) (358) - - (1,080)

1,616,648,044 901,178,497 19,109,242,203 5,574,382 1,274,730,623 39,676,646 222,781,966

11


Statement of Changes in the Number of Shares (continued)


Shares Outstandingat the Beginning

of the Period

Shares Subscribed Shares Redeemed Shares Outstandingat the End

of the Period

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - USD 2,946.509 5,847.604 - 8,794.113JPM Europe Select Equity A (acc) - EUR 35,837.563 83,483.439 15,748.369 103,572.633JPM Europe Select Equity A (dist) - EUR 1,854.279 50,923.945 1,192.666 51,585.558JPM Europe Select Equity B (acc) - EUR 48,588.236 63,895.404 47,715.162 64,768.478JPM Europe Select Equity C (acc) - EUR 733,990.819 753,399.495 314,670.116 1,172,720.198JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity D (acc) - EUR 68,608.549 15,715.150 13,908.861 70,414.838JPM Europe Select Equity I (acc) - EUR 330,128.348 - - 330,128.348JPM Europe Select Equity X (acc) - EUR 386,200.280 8,452.561 5,246.318 389,406.523JPM Europe Select Equity X (acc) - EUR (hedged) 659,537.598 - - 659,537.598

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 52,414.454 6,245.241 1,103.641 57,556.054JPM Global Balanced (USD) A (acc) - USD 831,734.550 333,270.910 192,399.112 972,606.348JPM Global Balanced (USD) A (dist) - USD 374.027 10,210.273 99.996 10,484.304JPM Global Balanced (USD) B (acc) - USD 72,992.370 23,671.197 9,589.763 87,073.804JPM Global Balanced (USD) C (acc) - USD 154,934.306 - 417.527 154,516.779JPM Global Balanced (USD) D (acc) - USD 203,401.764 36,827.932 24,828.514 215,401.182JPM Global Balanced (USD) X (acc) - USD 346,595.312 46.000 306,601.206 40,040.106

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 3,220.648 7,409.793 2,542.459 8,087.982JPM Global Bond (USD) A (acc) - USD 173,207.336 3,270.276 20,143.078 156,334.534JPM Global Bond (USD) C (acc) - USD 3,530.261 18.764 - 3,549.025JPM Global Bond (USD) D (acc) - USD 49,929.330 905.351 5,701.661 45,133.020JPM Global Bond (USD) X (acc) - USD 236,378.854 - - 236,378.854

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 460,185.662 211,268.229 154,333.832 517,120.059JPM Global Capital Preservation (USD) B (acc) - USD - 50.000 - 50.000JPM Global Capital Preservation (USD) D (acc) - USD 161,996.959 25,971.550 45,337.567 142,630.942

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 543.955 1,202.357 - 1,746.312JPM Global Convertibles (USD) A (acc) - USD 2,734,398.377 1,193,387.611 1,019,603.705 2,908,182.283JPM Global Convertibles (USD) B (acc) - USD 417,042.589 170,919.623 212,684.866 375,277.346JPM Global Convertibles (USD) C (acc) - USD 262,936.356 111,111.415 68,671.812 305,375.959JPM Global Convertibles (USD) D (acc) - USD 315,931.991 55,253.586 90,558.178 280,627.399JPM Global Convertibles (USD) I (acc) - USD 67,007.000 - 53,409.000 13,598.000

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 384,991.008 563,282.001 306,371.373 641,901.636JPM Global Dividend A (acc) - EUR 9,272.787 20,448.867 4,048.375 25,673.279JPM Global Dividend A (acc) - EUR (hedged) 109,129.512 62,859.202 35,604.857 136,383.857JPM Global Dividend A (inc) - USD 12,787.585 44,559.143 3,948.044 53,398.684JPM Global Dividend A (inc) - EUR (hedged) 7,957.487 5,184.591 1,491.959 11,650.119JPM Global Dividend C (acc) - EUR 35,320.180 86,168.884 42,381.677 79,107.387JPM Global Dividend D (acc) - USD 16,511.678 9,110.024 9,960.868 15,660.834JPM Global Dividend D (acc) - EUR (hedged) 27,360.705 37,874.772 14,758.218 50,477.259JPM Global Dividend X (acc) - USD - 100,956.979 51,656.896 49,300.083

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 130,026.136 18,229.013 33,781.202 114,473.947JPM Global Enhanced Bond A (inc) - EUR 49.539 7.518 0.403 56.654JPM Global Enhanced Bond B (acc) - EUR* 8,331.434 212.714 8,544.148 -JPM Global Enhanced Bond C (acc) - EUR 22,201.738 - 185.574 22,016.164JPM Global Enhanced Bond D (acc) - EUR 45,234.574 28,305.620 38,101.992 35,438.202JPM Global Enhanced Bond X (acc) - EUR 197.750 - 16.591 181.159

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 739,375.036 522,588.017 441,278.025 820,685.028JPM Global Financials A (acc) - EUR 595,497.628 107,416.832 99,854.380 603,060.080JPM Global Financials A (dist) - USD 702,599.309 78,823.100 34,749.322 746,673.087JPM Global Financials B (acc) - USD 338,420.592 816,687.404 544,713.842 610,394.154JPM Global Financials C (acc) - USD 233,331.952 149,763.956 370,944.037 12,151.871JPM Global Financials D (acc) - USD 66,587.334 8,133.601 18,842.358 55,878.577JPM Global Financials X (acc) - USD 10,185.237 113.915 1,050.000 9,249.152

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 3,282,610.566 3,573,093.285 2,544,111.617 4,311,592.234JPM Global High Yield Bond A (acc) - EUR (hedged) 963,313.231 585,540.902 566,374.269 982,479.864JPM Global High Yield Bond A (inc) - EUR (hedged) 59,764.926 365,009.850 36,590.313 388,184.463JPM Global High Yield Bond A (mth) - USD 567,386.801 970,653.957 487,358.227 1,050,682.531JPM Global High Yield Bond B (acc) - EUR (hedged) 154,700.504 109,255.996 163,966.949 99,989.551JPM Global High Yield Bond C (acc) - USD 768,659.698 1,389,519.706 1,329,752.560 828,426.844JPM Global High Yield Bond C (acc) - EUR (hedged) 967,852.030 603,566.616 174,368.748 1,397,049.898JPM Global High Yield Bond D (acc) - USD 823.395 - - 823.395JPM Global High Yield Bond D (acc) - EUR (hedged) 282,313.565 207,088.326 76,405.549 412,996.342JPM Global High Yield Bond I (acc) - USD 1,436,986.484 40,786.361 776,050.519 701,722.326JPM Global High Yield Bond I (inc) - EUR (hedged) 95,393.467 48,000.000 78,819.000 64,574.467JPM Global High Yield Bond X (acc) - USD - 712,689.073 405,015.559 307,673.514JPM Global High Yield Bond X (acc) - EUR (hedged) 54,365.617 275,960.753 168,967.807 161,358.563

12





of the Period


of the Period

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 2,251,943.725 234,614.015 549,981.802 1,936,575.938JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 231,393.599 1,422,083.462 120,832.786 1,532,644.275JPM Highbridge Statistical Market Neutral A (acc) - USD 113,803.078 10,996.034 93,624.946 31,174.166JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 144,380.393 91,651.462 130,649.308 105,382.547JPM Highbridge Statistical Market Neutral A (dist) - GBP 11,120.387 571.371 4,112.437 7,579.321JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 77,892.690 2,020.472 52,682.284 27,230.878JPM Highbridge Statistical Market Neutral A (inc) - EUR 56,653.230 80.051 5,083.308 51,649.973JPM Highbridge Statistical Market Neutral B (acc) - EUR 294,331.723 79,900.173 73,820.163 300,411.733JPM Highbridge Statistical Market Neutral C (acc) - EUR 1,291,469.436 789,525.539 442,368.827 1,638,626.148JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1,459,959.716 113,296.666 710,753.013 862,503.369JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 40,841.658 7,350.000 19,832.212 28,359.446JPM Highbridge Statistical Market Neutral D (acc) - EUR 2,518,568.924 51,421.223 738,860.871 1,831,129.276JPM Highbridge Statistical Market Neutral D (acc) - USD 20,391.513 470.294 13,459.544 7,402.263JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 8,699.862 592.943 4,431.792 4,861.013JPM Highbridge Statistical Market Neutral I (acc) - EUR* 197,067.662 - 197,067.662 -JPM Highbridge Statistical Market Neutral I (dist) - EUR 146,170.498 210,618.502 187,793.718 168,995.282JPM Highbridge Statistical Market Neutral T (acc) - EUR - 50.000 - 50.000JPM Highbridge Statistical Market Neutral X (acc) - EUR 103,965.721 8,634.000 16,304.001 96,295.720

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 233,995.803 15,167.484 138,947.542 110,215.745JPM Japan 50 Equity A (acc) - EUR (hedged) - 40.778 - 40.778JPM Japan 50 Equity A (acc) - JPY 744,772.621 844,335.035 1,204,873.783 384,233.873JPM Japan 50 Equity A (dist) - JPY 5,019.607 155.418 4,029.000 1,146.025JPM Japan 50 Equity C (acc) - EUR (hedged) - 13,346.794 - 13,346.794JPM Japan 50 Equity C (acc) - JPY 540,633.027 40,383.158 160,079.734 420,936.451JPM Japan 50 Equity D (acc) - JPY 9,351.429 145,346.906 125,269.316 29,429.019JPM Japan 50 Equity X (acc) - JPY 1,146,984.151 1,584.392 5,925.955 1,142,642.588

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 20,484.803 1,841.655 391.047 21,935.411JPM Japan Behavioural Finance Equity A (acc) - EUR 16,454.848 4,366.101 703.928 20,117.021JPM Japan Behavioural Finance Equity A (dist) - USD 17,905.103 402.000 402.000 17,905.103JPM Japan Behavioural Finance Equity D (acc) - EUR 3,658.540 8,015.651 6,643.528 5,030.663JPM Japan Behavioural Finance Equity X (acc) - USD 11,535.181 - - 11,535.181

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1,182,163.024 124,674.587 270,578.956 1,036,258.655JF Asia ex-Japan A (dist) - USD 164,052.942 114,913.672 22,683.156 256,283.458JF Asia ex-Japan B (acc) - USD 163,113.028 29,059.107 57,138.271 135,033.864JF Asia ex-Japan C (acc) - USD 791,161.316 258,618.838 238,743.351 811,036.803JF Asia ex-Japan D (acc) - USD 216,871.567 43,980.823 62,956.063 197,896.327JF Asia ex-Japan I (acc) - USD 3,883,035.608 2,834.306 1,468,147.787 2,417,722.127JF Asia ex-Japan X (acc) - USD 185,961.905 19,825.345 26,749.146 179,038.104JF Asia ex-Japan X (dist) - USD - 6,072.970 - 6,072.970

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 162,017.368 56,155.468 80,774.989 137,397.847JPM US Bond A (inc) - USD 1,082.226 - - 1,082.226JPM US Bond B (acc) - USD 4,639.043 - 2,080.883 2,558.160JPM US Bond C (acc) - USD 11,014.254 37,417.704 14,138.922 34,293.036JPM US Bond D (acc) - USD 85,139.661 14,775.577 29,052.770 70,862.468

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 1,031,179.167 1,574,631.763 997,527.481 1,608,283.449JPM US Equity A (acc) - EUR (hedged) 91,748.328 129,273.930 16,315.635 204,706.623JPM US Equity A (dist) - GBP 23,665.174 15,266.956 12,083.432 26,848.698JPM US Equity C (acc) - USD 281,261.930 452,654.572 415,858.148 318,058.354JPM US Equity D (acc) - USD 26,683.183 29,387.320 6,437.389 49,633.114JPM US Equity D (acc) - EUR (hedged) 35,382.806 64,055.927 21,373.575 78,065.158JPM US Equity X (acc) - USD 121,743.181 39,265.635 156,036.076 4,972.740

* Share Class inactive as at end of the period.


13


Statistical Information (continued)

Net Asset Value per Share in Share Class Currency

30 June 2011 31 December 2010 31 December 2009 31 December 2008 31 December 2007

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 806.62 808.95 730.52 521.40 976.84JPM Europe Select Equity A (acc) - USD 120.97 112.31 108.78 76.43 148.73JPM Europe Select Equity A (dist) - EUR 55.54 56.27 51.29 58.41 110.63JPM Europe Select Equity B (acc) - EUR 75.34 75.28 67.47 47.79 88.87JPM Europe Select Equity C (acc) - EUR 79.65 79.47 71.01 50.15 92.97JPM Europe Select Equity D (acc) - EUR 74.31 74.80 68.05 48.94 92.38JPM Europe Select Equity D (acc) - USD 117.82 109.79 107.15 75.85 148.71JPM Europe Select Equity I (acc) - EUR 104.20 103.93 - - -JPM Europe Select Equity X (acc) - EUR 109.12 108.49 96.27 67.52 124.30JPM Europe Select Equity X (acc) - EUR (hedged) 87.76 86.08 79.52 57.97 98.70

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 174.90 170.85 157.48 134.47 165.13JPM Global Balanced (USD) A (acc) - USD 183.23 178.95 164.86 140.70 172.70JPM Global Balanced (USD) A (dist) - USD 113.91 112.52 104.55 91.32 116.85JPM Global Balanced (USD) B (acc) - USD 195.14 190.01 174.00 147.61 180.08JPM Global Balanced (USD) C (acc) - USD 172.78 168.12 153.72 130.21 158.62JPM Global Balanced (USD) D (acc) - USD 154.56 151.32 140.10 120.17 148.24JPM Global Balanced (USD) X (acc) - USD 223.31 216.42 196.31 165.00 199.38

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 94.22 93.36 88.26 87.87 113.11JPM Global Bond (USD) A (acc) - USD 130.16 128.83 121.55 120.78 155.15JPM Global Bond (USD) B (acc) - USD* - - - 124.84 159.89JPM Global Bond (USD) C (acc) - USD 131.36 129.73 121.85 120.53 154.16JPM Global Bond (USD) D (acc) - USD 99.71 98.89 93.68 93.45 120.54JPM Global Bond (USD) X (acc) - USD 133.70 131.75 123.19 121.31 154.43

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 116.23 119.31 115.79 106.87 115.19JPM Global Capital Preservation (USD) B (acc) - USD** 97.78 - - - -JPM Global Capital Preservation (USD) C (acc) - USD* - - - - -JPM Global Capital Preservation (USD) D (acc) - USD 113.43 116.70 113.74 105.45 114.18JPM Global Capital Preservation (USD) X (acc) - USD* - - - 108.97 115.87

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 115.38 114.25 108.14 - -JPM Global Convertibles (USD) A (acc) - USD 140.63 139.07 131.30 101.71 137.72JPM Global Convertibles (USD) B (acc) - USD 109.11 107.56 100.89 77.64 -JPM Global Convertibles (USD) C (acc) - USD 141.29 139.25 130.55 - -JPM Global Convertibles (USD) D (acc) - USD 135.04 133.88 127.03 98.89 134.58JPM Global Convertibles (USD) I (acc) - USD 113.44 111.72 104.65 80.45 108.12JPM Global Convertibles (USD) X (acc) - USD* - - 114.46 - 119.47

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 87.38 82.98 76.82 62.53 100.09JPM Global Dividend A (acc) - EUR 76.59 78.56 - - -JPM Global Dividend A (acc) - EUR (hedged) 57.88 57.24 52.66 45.03 68.35JPM Global Dividend A (inc) - USD 115.10 111.09 103.11 - -JPM Global Dividend A (inc) - EUR (hedged) 106.46 107.03 100.88 - -JPM Global Dividend C (acc) - EUR 109.27 111.48 95.18 - -JPM Global Dividend D (acc) - USD 85.06 81.08 75.63 62.02 100.03JPM Global Dividend D (acc) - EUR (hedged) 56.35 55.93 51.84 44.66 68.30JPM Global Dividend X (acc) - USD** 101.25 - - - -

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 119.02 116.24 104.30 95.22 125.09JPM Global Enhanced Bond A (inc) - EUR 87.37 85.35 77.05 71.38 97.83JPM Global Enhanced Bond B (acc) - EUR* - 117.61 105.16 95.68 125.25JPM Global Enhanced Bond C (acc) - EUR 133.69 130.23 116.27 105.63 138.06JPM Global Enhanced Bond D (acc) - EUR 114.01 111.50 100.35 91.90 121.09JPM Global Enhanced Bond X (acc) - EUR 141.26 137.27 121.89 110.18 143.35JPM Global Enhanced Bond X (inc) - EUR* - - - - -

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 100.49 99.05 96.33 69.22 157.72JPM Global Financials A (acc) - EUR 44.81 47.71 43.26 31.96 69.27JPM Global Financials A (dist) - USD 57.13 56.36 55.21 44.45 102.89JPM Global Financials B (acc) - USD 6.27 6.15 5.93 4.23 9.55JPM Global Financials C (acc) - USD 107.29 105.31 101.56 72.36 163.47JPM Global Financials D (acc) - USD 101.24 100.28 98.51 71.50 164.58JPM Global Financials X (acc) - USD 166.13 162.32 155.15 109.61 245.50

14





JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 118.36 114.52 100.43 66.67 -JPM Global High Yield Bond A (acc) - EUR (hedged) 162.11 156.44 137.96 91.70 145.19JPM Global High Yield Bond A (inc) - EUR (hedged) 81.56 83.00 78.42 59.60 101.43JPM Global High Yield Bond A (mth) - USD 102.18 101.97 95.01 67.12 -JPM Global High Yield Bond B (acc) - EUR (hedged) 168.86 162.67 142.94 94.68 149.39JPM Global High Yield Bond C (acc) - USD 120.51 116.22 101.26 66.79 -JPM Global High Yield Bond C (acc) - EUR (hedged) 175.35 168.67 147.78 97.59 153.51JPM Global High Yield Bond D (acc) - USD 107.62 104.33 - - -JPM Global High Yield Bond D (acc) - EUR (hedged) 154.73 149.62 132.47 88.40 140.54JPM Global High Yield Bond I (acc) - USD 123.05 118.62 103.29 - -JPM Global High Yield Bond I (inc) - EUR (hedged) 66.22 67.56 63.63 43.72 -JPM Global High Yield Bond X (acc) - USD 102.82 - - - -JPM Global High Yield Bond X (acc) - EUR (hedged) 116.87 112.14 97.76 64.24 100.53

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 108.11 107.21 110.40 113.66 100.82JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 932.64 920.48 946.19 980.43 -JPM Highbridge Statistical Market Neutral A (acc) - USD 156.33 143.53 158.52 158.71 148.02JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 153.94 153.05 157.32 162.87 -JPM Highbridge Statistical Market Neutral A (dist) - GBP 91.26 86.07 91.52 104.61 72.56JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 78.27 77.65 79.83 83.10 -JPM Highbridge Statistical Market Neutral A (inc) - EUR 100.17 99.34 102.29 107.62 96.63JPM Highbridge Statistical Market Neutral B (acc) - EUR 108.77 107.46 109.83 112.24 98.91JPM Highbridge Statistical Market Neutral C (acc) - EUR 110.26 108.85 111.08 113.35 100.00JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 79.67 78.69 80.38 83.21 -JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 130.24 128.90 131.76 - -JPM Highbridge Statistical Market Neutral D (acc) - EUR 104.72 104.24 108.15 112.18 99.90JPM Highbridge Statistical Market Neutral D (acc) - USD 151.47 139.57 155.32 156.68 146.73JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 140.55 140.25 145.25 151.48 -JPM Highbridge Statistical Market Neutral I (acc) - EUR* - 110.63 112.81 114.98 101.41JPM Highbridge Statistical Market Neutral I (dist) - EUR 98.47 - - - -JPM Highbridge Statistical Market Neutral T (acc) - EUR 99.95 97.19 - - -JPM Highbridge Statistical Market Neutral X (acc) - EUR 116.62 114.64 115.98 117.30 102.52JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - - 139.42 - -

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 8,080 8,714 8,405 7,366 13,055JPM Japan 50 Equity A (acc) - EUR 44.49 51.41 40.79 37.06 50.38JPM Japan 50 Equity A (acc) - EUR (hedged) 86.58 - - - -JPM Japan 50 Equity A (dist) - JPY 4,622 5,797 5,739 5,030 8,914JPM Japan 50 Equity C (acc) - JPY 11,045 11,856 11,327 - -JPM Japan 50 Equity C (acc) - EUR (hedged) 86.74 - - - -JPM Japan 50 Equity D (acc) - JPY 5,750 6,234 6,074 5,377 9,625JPM Japan 50 Equity I (acc) - JPY* - - - 5,302 9,300JPM Japan 50 Equity X (acc) - JPY 9,168 9,799 9,284 7,992 13,914

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 73.50 74.07 62.77 61.76 91.05JPM Japan Behavioural Finance Equity A (acc) - EUR 50.82 55.32 43.91 43.67 61.97JPM Japan Behavioural Finance Equity A (dist) - USD 68.65 69.21 58.68 58.30 85.99JPM Japan Behavioural Finance Equity C (acc) - USD* - - - 60.46 88.27JPM Japan Behavioural Finance Equity D (acc) - USD* - - - - 90.54JPM Japan Behavioural Finance Equity D (acc) - EUR 49.41 53.99 43.19 43.28 61.63JPM Japan Behavioural Finance Equity I (inc) - EUR* - - - - 61.21JPM Japan Behavioural Finance Equity X (acc) - USD 77.53 77.46 64.49 62.35 90.31

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 322.69 328.49 273.18 161.69 367.34JF Asia ex-Japan A (dist) - USD 133.29 135.69 112.84 71.49 164.02JF Asia ex-Japan B (acc) - USD 358.57 363.66 300.18 176.36 397.64JF Asia ex-Japan C (acc) - USD 339.14 343.70 283.28 166.17 374.09JF Asia ex-Japan D (acc) - USD 271.23 277.14 232.21 138.48 316.97JF Asia ex-Japan I (acc) - USD 177.65 179.92 148.10 86.80 195.26JF Asia ex-Japan X (acc) - USD 552.32 557.31 455.34 264.94 591.60JF Asia ex-Japan X (dist) - USD 102.05 - - - -

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 174.96 169.49 153.60 126.67 157.91JPM US Bond A (inc) - USD 105.36 102.07 92.51 76.29 97.87JPM US Bond B (acc) - USD 181.98 175.99 158.95 130.63 162.26JPM US Bond C (acc) - USD 175.66 169.76 153.07 125.62 155.78JPM US Bond D (acc) - USD 127.49 123.66 112.35 92.89 116.08JPM US Bond X (acc) - USD* - - - - 159.82

15





JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 95.92 88.95 80.70 63.00 102.55JPM US Equity A (acc) - EUR (hedged) 69.94 64.81 59.39 46.99 77.04JPM US Equity A (dist) - GBP 81.73 77.89 68.14 - -JPM US Equity C (acc) - USD 98.81 91.15 81.85 63.22 101.82JPM US Equity D (acc) - USD 93.79 87.19 79.50 62.37 102.03JPM US Equity D (acc) - EUR (hedged) 68.38 63.51 58.49 46.51 76.66JPM US Equity X (acc) - USD 95.67 87.94 78.41 60.14 96.18

* Share Class inactive as at end of the period.** Share Class reactivated as at end of the period.


16


Notes to the Unaudited Financial Statements

As at 30 June 2011

1. Organisation

JPMorgan Investment Funds (the “SICAV”) is a variable capital investment company with multiple Sub-Funds organised as a société anonyme under the lawsof the Grand Duchy of Luxembourg. The SICAV was incorporated in Luxembourg on 22 December 1994 for an unlimited period as J.P. Morgan InvestmentFunds. Its name was changed into JPMorgan Fleming Investment Funds on 19 November 2001 and into JPMorgan Investment Funds on 12 September 2005.

The SICAV has been authorised under Part I of the law of 20 December 2002 concerning undertakings for collective investment in transferable securitiesuntil 30 June 2011 and under Part I of the law of 17 December 2010 concerning undertakings for collective investment in transferable securities as from 1 July2011. The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg under number B 49 663.

The SICAV is designed as an Equity, Total Return, Balanced, Convertibles, Bond and Money Market Funds and has issued shares in 34 Sub-Funds, details ofwhich are shown in the Appendix.

2. Significant Accounting Policies

The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments.

a) Investment Valuation

Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latestavailable price prevailing at the time of calculating the net asset value.

If securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange ormarket will be applied.

Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Thosesecurities for which no price is available or for which the latest available price is not representative are valued on the basis of their reasonably foreseeablesales price determined with prudence and in good faith by the Board of Directors.

Shares or Units in UCITS or other UCIS are valued at the latest available price or net asset value, as reported or provided by such undertakings or their agents.

Liquid assets and money market instruments may be valued at nominal values plus any accrued interest or on an amortised cost basis.

The financial statements are presented on the basis of the net asset values of the Sub-Funds calculated on 30 June 2011. In accordance with the prospectus,the net asset values were calculated using the latest exchange rates known at the time of calculation. If the SICAV had calculated the net asset values solelywith a view to financial reporting, the market prices used to value the investment portfolio would have been the closing prices on 27 June 2011.

b) Swing Pricing

A Sub-Fund may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Sub-Fund at a price that does not reflect thedealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows.

In order to counter this impact, a Swing Pricing mechanism may be adopted to protect the interests of Shareholders of the Fund. If on any Valuation Day, theaggregate net transactions in Shares of a Sub-Fund exceed a pre-determined threshold, as determined and reviewed for each Sub-Fund on a periodic basisby the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net outflows respectively.The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of theNet Asset Value per Share. The Swing Pricing mechanism may be applied across all Sub-Funds with the exception of JPMorgan Investment Funds –Highbridge Statistical Market Neutral Fund and the money market Sub-Funds, as defined by the Prospectus. The extent of the price adjustment will be set bythe Management Company to reflect dealing and other costs. Such adjustment may vary from Sub-Fund to Sub-Fund and will not exceed 2% of the originalNet Asset Value per Share. The official Net Asset Value per Share as at period-end, disclosed in the Statistical Information section of this report maytherefore include a Swing Pricing adjustment, which would not be recognised in the Combined Statement of Net Assets and in the Combined Statement ofOperations and Changes in Net Assets.

No other Sub-Funds were swung as at 30 June 2011.

c) Realised and Unrealised Gains and Losses on Investments

Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed). For trades into other collective investmentschemes, transactions are accounted for on receipt of the trade confirmation from the underlying transfer agents.

Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date ofpurchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments arecalculated on the total book cost and include the associated unrealised gains and losses on foreign exchange.

d) Income Recognition

Interest income is accrued daily and includes the amortisation of premiums and accretion of discounts, where applicable. Bank interest income is recognisedon an accrual basis. Dividend income is accrued on the ex-dividend date. This income is shown net of any withholding taxes and adjusted accordingly whentax reclaims apply.

e) Conversion of Foreign Currencies

The books and records of each Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currenciesare translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currenciesare converted each business day into the base currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales offoreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of suchtransactions.

Net realised and unrealised gains or losses on foreign exchange represent: (i) foreign exchange gains and losses from the sale and holding of foreigncurrencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions; and (iii) gains and lossesarising from the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on translation are included in “Net Realised Gain/Loss on Foreign Exchange” in the Combined Statement of Operations andChanges in Net Assets.

The reference currency of the SICAV as reflected in the combined statements is USD.

17


Notes to the Unaudited Financial Statements (continued)

As at 30 June 2011

The principal exchange rates applied as at 30 June 2011 are as follows:

1 USD = 0.69115667 EUR1 USD = 80.59500000 JPY1 USD = 0.62484379 GBP

f) Forward Foreign Exchange Contracts

Unrealised gains or losses on outstanding forward foreign exchange contracts are valued on the basis of currency exchange rates prevailing at the relevantvaluation date. The changes in such amounts are included in the Combined Statement of Operations and Changes in Net Assets under “Net Change inUnrealised Gain/(Loss) on Forward Foreign Exchange Contracts”. When a contract is closed, the Realised Gain/(Loss) is recorded under “Net RealisedGain/(Loss) on Forward Foreign Exchange Contracts” in the Combined Statement of Operations and Changes in Net Assets. Unrealised Gains or Losses arerecorded under “Unrealised Gain/(Loss) on Forward Foreign Exchanges Contracts” in the Combined Statement of Net Assets.

g) Financial Futures Contracts on Securities and Indices

Regulated financial futures contracts are valued at the exchange quoted settlement price. Initial margin deposits are made upon entering into the contractsand can be either in cash or securities. During the period the contracts are open, changes in the value of the contracts are recognised as unrealised gains andlosses by “marking-to-market” on a daily basis to reflect the market value of the contracts at the end of each business day’s trading. Variation marginpayments are made or received on a daily basis, depending upon whether losses or gains are incurred. The frequency of those margin payments may differdepending on where the contract is traded. When a contract is closed, the SICAV records a realised gain or loss equal to the difference between the proceedsfrom, or cost of, the closing transaction and the initial cost of the contract in “Net Realised Gain/(Loss) on Financial Futures Contracts” in the CombinedStatement of Operations and Changes in Net Assets.

Unrealised gains or losses are recorded under “Unrealised Net Gain/(Loss) on Financial Futures Contracts” in the Combined Statement of Net Assets.

Daily margin calls are recorded under “Net Realised Gain/(Loss) on Financial Futures Contracts” in the Combined Statement of Operations and Changes inNet Assets.

h) Option Contracts

The SICAV writes options on securities, futures and interest rate swaps (“swaptions”). These options are settled in cash and subject the SICAV to unlimitedrisk of loss. The SICAV, however, is not subject to credit risk on written options as the counterparty has already performed its obligation by paying thepremium at the inception of the contract. As of 30 June 2011, the SICAV had written options contracts outstanding as listed on its Schedule of Investments.

Options purchased are recorded as investments; options written or sold are recorded as liabilities. When the exercise of an option results in a cashsettlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When securities are acquired ordelivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, thedifference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium isaccounted for as a realised gain for options written or as a realised loss for options purchased.

For options on futures, where the investment manager is based in the United Kingdom, variation margin payments are made or received daily, dependingupon whether losses or gains are incurred on the underlying futures contract.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets.

i) To Be Announced Securities (“TBAs”)

TBAs are related to mortgage backed securities issued by government sponsored agencies. These agencies usually pool mortgage loans and sell interests inthe pools created. TBAs relate to future pools of these agencies that are bought and sold for future settlement for which either the interest rate or thematurity date is not yet fixed. TBAs are separately disclosed in the Schedule of Investments.

Certain Sub-Funds may enter into Dollar Rolls, principally using To Be Announced (“TBA”) Securities, in which the Sub-Funds sell mortgage-backed securitiesfor delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. TheSub-Funds account for such Dollar Rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase.The Sub-Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such Dollar Rolls. The marketvalue of the securities that the Sub-Funds are required to purchase may decline below the agreed upon repurchase price of those securities.

Certain Sub-Funds had TBAs outstanding as of 30 June 2011, which are included in Amounts Receivable on Sale of TBAs and Amounts Payable on Purchase ofTBAs in the Combined Statement of Net Assets.

j) Interest Rate Swaps

An interest rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts arerecorded under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments” and the Realised under “Net Realised Gain/(Loss) on DerivativesInstruments” in the Combined Statement of Operations and Changes in Net Assets.

k) Inflation Rate Swaps

An inflation rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating on inflation indexes) based on a notional amount that serves as a computation basis and that is usually not exchanged.


18



As at 30 June 2011

l) Total Return Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the returnsgenerated by a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculated byreference to a specific security, index, or instruments and an agreed upon notional amount. Any such underlying security or instrument must be atransferable security and any such index must be an index of a regulated market.

A Total Return Swap will exchange the total performance on a specific basket of securities, selected by the Investment Manager against a reference rate plusa spread. The total performance will include interests, dividends, gains and losses on the underlying securities during the contract period according to thetype of underlying. The risk of this type of instrument will depend on the uncertain evolution, at the time of the contract conclusion, of the Performance of theunderlying. These underlying securities are listed on a primary exchange.

The value of the underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers.The relevant indices include, but are not limited to, currencies, interest rates, prices and total return on interest rates indices, fixed income indices and stockindices.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts areincluded in the Combined Statement of Operations and Changes in Net Assets under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments”.When a contract is closed, the Realised Gain/(Loss) is recorded under “Net Realised Gain/(Loss) on Derivatives Instruments” in the Combined Statement ofOperations and Changes in Net Assets.

The JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund has entered into Total Return Swaps (long/short, together “the Swaps”) on abasket of securities with selected prime brokers. The Swaps are comprised of positions in a diversified selection of stocks which is continuously monitoredand amended by the Investment Manager.

m) Credit Default Swaps

A Credit Default Swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party pays the other a periodic paymentfor the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset, occurs. If suchan event occurs, the party will then make a payment to the first party, and the swap will terminate. The value of the underlying securities shall be taken intoaccount for the calculation of the investment and borrowing powers applicable to individual issuers.


n) Price Lock Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the pricedifference generated on a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculatedby the price difference (current asset price and locked price) of a specific security, index, or other instruments and an agreed upon notional amount. Anysuch underlying security or instrument must be a transferable security and any such index must be an index of a regulated market. The value of theunderlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers. The relevantindices include, but are not limited to, currencies, interest rates, and other asset prices.


The changes in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments” and the Realised under “Net RealisedGain/(Loss) on Derivatives Instruments” in the Combined Statement of Operations and Changes in Net Assets.

o) Variance Swap

A variance swap is an instrument which allows the SICAV to trade future realized (or historical) volatility against current implied volatility.


3. Fees and Expenses

a) All Sub-Funds - Share Classes A, B, C, D and T

The fees and expenses charged to these Classes of shares are set at a fixed percentage of the total net assets of each Class of shares. This fixed percentagecovers all fees and expenses connected with the management of these Classes of shares, including Investment Management Fees, shareholder servicingfees and Other Operating and Administrative Expenses, which include but are not limited to Custody, Registrar and Transfer Agent Fees; it does not covertaxes paid on investment, brokerage’s expense, extraordinary costs or performance fee, if any. No other costs are charged to these Classes of shares, and theManagement Company absorbs any difference that may arise between the actual costs of the operations of these Classes of shares and the fixed percentage.To the extent that the actual operating costs are less than the fixed percentage, the excess is paid to the Management Company and included within“Investment Management Fees”. To the extent that actual operating costs exceed the fixed percentage, the amount borne by the Management Company willbe separately disclosed as a “Fee Waiver’’ in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets.

This fixed annual rate of fees and expenses is categorised as a Total Expense Ratio. The fixed annual rates of fees for each Class of shares are shown in theAppendix.

b) All Sub-Funds - Share Class I

The maximum total fees and expenses to be borne by Class I shareholders of any Sub-Fund will not exceed a capped percentage of the total net assetsattributable to that Class. These capped fees and expenses comprise Investment Management Fees plus other Operating and Administrative Expenses,limited to Custody, Fiduciary, Accounting, Transfer Agency Fees, Taxes and Sundry Expenses; it does not cover performance fees, if any.

This capped annual rate of fees and expenses is categorised as a Capped Expense Ratio. The capped annual rates of fees for each Class of shares are shown inthe Appendix.

19



As at 30 June 2011

c) All Sub-Funds - Share Class X

The Class X shares of each Sub-Fund are charged a pro-rata share of the Custody and Accounting Fees allocable to that Sub-Fund.

The Management Company pays all other Operating and Administrative Expenses allocable to such Class to the exclusion of performance fees, if any. Themaximum Operating and Administrative Expenses to be borne by the Class X shareholders of any Sub-Fund will not exceed a capped percentage of the totalnet assets attributable to that Class, as set out in the Appendix.

The Annual Management Fee that would normally be payable in respect of the X Share Class are administratively levied and collected by the GlobalDistributor directly from the shareholder or through the relevant J.P.Morgan Chase & Co entity.

Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase &Co. The avoidance of a double-charge of the Annual Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the netassets on which the Annual Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via classes that do not accrue an AnnualManagement and Advisory Fee or other equivalent fees payable to the relevant Investment Manager’s group; or c) the Annual Management and AdvisoryFee being netted off by a rebate to the SICAV or Sub-Fund of the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS orUCIs; or d) charging only the difference between the Annual Management and Advisory Fee of the SICAV or Sub-Fund and the Annual Management andAdvisory Fee (or equivalent) charged to the underlying UCITS or UCIs.

The Management Company may decide from time to time, in order to protect the interests of the SICAV’s shareholders, to reduce the fees payable to theManagement Company.

d) Performance Fees

Pursuant to the Investment Management Agreement, as set out in the Appendix to the Prospectus, the Investment Manager is entitled to receive from thenet assets of certain Sub-Funds or Classes, an annual performance-based incentive fee (the “Performance Fee”) if the performance of the Sub-Fund exceedsthe return from the benchmark, subject to the operation of a Claw-Back Mechanism or of a High Water Mark as defined in Appendix V and as specified inAppendix III for each Sub-Fund. On each Valuation Day, an accrual for the previous Valuation Day’s Performance Fee is made, when appropriate, and thefinal Performance Fee is payable annually. Pursuant to the provisions of the relevant Investment Management Agreement, the Investment Manager may beentitled to receive the performance Fee from the Management Company.

On each Valuation Day, the net asset value of each Class of each Sub-Fund for which a Performance Fee applies, which includes an accrual for all fees andexpenses (including the Annual Management and Advisory Fee, and the Operating and Administrative Expenses to be borne by the relevant Class at the rateset out in the Appendix to the Prospectus), is adjusted for any dividend distributions and for subscriptions and redemptions dealt with on that Valuation Day,if any, and any Performance Fee accrued through that day in respect of such Class is added back (the “Adjusted net asset value”). For purposes of calculatingthe Performance Fee, the “Share Class Return” is computed on each Valuation Day, as the difference between the net asset value (adjusted by adding backany accrued Performance Fee) on such day and the Adjusted net asset value on the previous Valuation Day, expressed as a return based on the previousValuation Day’s Adjusted net asset value for that Class.

High Water Mark Method

If the Share Class Return exceeds the Benchmark Return and the cumulative Share Class Return exceeds the High Water Mark Return (as set out in theAppendix to the Prospectus), the Performance Fee accrual is increased by the Performance Fee Rate multiplied by the Excess Return multiplied by theprevious Valuation Day’s Adjusted net asset value for that Class. If the Share Class Return does not exceed the Benchmark Return, the Performance Feeaccrual is reduced (but not below zero) by the Performance Fee Rate multiplied by the negative Excess Return multiplied by the previous Valuation Day’sAdjusted net asset value for that Class. Following a period of negative Excess Return whereby the Performance Fee accrual has been reduced to zero, no newPerformance Fee is accrued until such time as the cumulative Share Class Return exceeds the greater of the High Water Mark Return and the cumulativeBenchmark Return since the beginning of the SICAV accounting year. The Performance Fee accrued on any Valuation Day is reflected in the Net Asset Valueper Share on the basis of which subscriptions and redemptions may be accepted.

Claw-Back mechanism

The purpose of the Claw-Back Mechanism is to ensure that the Management Company will only become entitled to a Performance Fee when it outperformsthe cumulative Benchmark Return (as defined in Appendix V of the prospectus) accrued since the last Valuation Day of the last year in which a PerformanceFee was paid.

As at 30 June 2011, the Performance Fee rate and the benchmarks are as follows:

Sub-Fund or Share Class PerformanceFee Rate

Benchmark

High Water Mark Return methodJPMorgan Investment Funds - Global Capital Preservation Fund (USD) 10% British Bankers’ Association (BBA) LIBOR one-month US Dollar deposits

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 20% European Overnight Index Average (EONIA) (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (GBP hedged) 20% British Bankers’ Association (BBA) LIBOR GBP Overnight Index (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (SEK hedged) 20% British Bankers’ Association (BBA) LIBOR SEK Spot Next Index (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (USD hedged) 20% British Bankers’ Association (BBA) LIBOR USD Overnight Index (Total Return Gross)

4. Distribution Policy

It is intended that all those Share Classes with the suffix “(dist)” will pay dividends if appropriate so that these Share Classes of the Fund continue to qualify as“distributing Share Classes” for the purposes of United Kingdom tax legislation relating to offshore funds (the requirement for this is that an annualdistribution of at least 85% of the net investment income attributable to such Classes of Shares needs to be paid, computed broadly in accordance with thedefinition of net taxable income under United Kingdom corporation tax principles (subject to the application of any de minimis threshold)) for the periodending 30 June 2011. In subsequent years these Share Classes may pay dividends and may also seek to meet the conditions to qualify as “reporting ShareClasses” for the purposes of the United Kingdom tax legislation relating to offshore funds.

Classes of Shares with the suffix “(mth)” will normally distribute all, or substantially all, of the net investment income on a monthly basis, based on the netinvestment income earned over the course of the prior month for Shares in issue at the dividend record date.

Share Classes with the suffix “(inc)”, “(div)” or “(mth)” may pay dividends but will not qualify as “distributing” for the purposes of United Kingdom taxlegislation relating to offshore funds.

Those Classes of Shares with the suffix “(acc)” will not normally pay dividends.

20

During the period ended 30 June 2011, the SICAV paid dividends as follows:

Class name CurrencyDividend Amount

per Share Payment Date

JPM Global High Yield Bond A (mth) - USD USD 0.60 25 January 2011JPM Global High Yield Bond A (mth) - USD USD 0.41 22 February 2011JPM Global High Yield Bond A (mth) - USD USD 0.42 22 March 2011JPM Europe Select Equity A (dist) - EUR EUR 0.55 31 March 2011JPM Global Balanced (USD) A (dist) - USD USD 1.27 31 March 2011JPM Global Dividend A (inc) - EUR (hedged) EUR 1.71 31 March 2011JPM Global Dividend A (inc) - USD USD 1.77 31 March 2011JPM Global Enhanced Bond A (inc) - EUR EUR 0.02 31 March 2011JPM Global Financials A (dist) - USD USD 0.05 31 March 2011JPM Global High Yield Bond A (inc) - EUR (hedged) EUR 4.40 31 March 2011JPM Global High Yield Bond I (inc) - EUR (hedged) EUR 3.99 31 March 2011JPM Japan 50 Equity A (dist) - JPY JPY 700 31 March 2011JPM Japan Behavioural Finance Equity A (dist) - USD USD 0.02 31 March 2011JPM US Equity A (dist) - GBP GBP 0.03 31 March 2011JPM Global High Yield Bond A (mth) - USD USD 0.62 26 April 2011JPM Global High Yield Bond A (mth) - USD USD 0.58 25 May 2011JPM Global High Yield Bond A (mth) - USD USD 0.58 22 June 2011

5. Taxation

Under current law and practice in the Grand Duchy of Luxembourg, the SICAV is not liable to any income tax, nor are dividends distributed by the SICAV liable to anywithholding tax. However, the SICAV, with the exception of those share Classes identified in the Appendix, is liable to an asset based tax of 0.05% per annum, suchtax being payable quarterly and calculated on the total net assets of each Sub-Fund at the end of the relevant quarter. For those Sub-Funds’ share Classes identifiedin the Appendix, the rate is 0.01% per annum. No tax is payable on the portion of assets invested in other undertakings for collective investment already subject tothe Taxe d’abonnement.

All share Classes (except share Class A (acc)) of JPMorgan Investment Funds - Euro Liquid Market Fund are exempted from the Taxe d’abonnement.

No stamp duty or other tax is payable on the issue of shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealisedcapital appreciation of the assets of the SICAV in the Grand Duchy of Luxembourg. Although the SICAV’s realised capital gains, whether short or long-term,are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. Theregular income of the SICAV from some of its securities, as well as interest earned on cash deposits in certain countries, may be subject to withholding taxesat varying rates, which normally cannot be recovered.

Following recent case law precedent within Europe, the SICAV has instigated proceedings to reclaim tax witheld by certain Member States of the European Union ondividend payments it has received. The decision to initiate proceedings against any particular Member State is the result of an analysis of the likely costs andpotential benefits of doing so. The likelihood of successfully reclaiming such amounts together with the estimated time to complete proceedings varies acrossMember States. Any costs associated with this decision have been charged to the relevant Sub-Funds and have been included within total costs for the purposes ofdetermining the relevant expense cap or TER and no amount has been recorded in the SICAV for any possible amounts to be received under this action.

6. Statement of Changes in Investments

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtainedfree of charge upon request at the registered office of the SICAV. Additional information on investments within each Sub-Fund’s portfolio is available toshareholders at the registered office of the SICAV.

7. Value of Financial Instruments and Associated Risks

The SICAV entered into forward foreign exchange, financial futures contracts, options and swaps which, to varying degrees, represent a market risk in excessof the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAV’s participation in thesefinancial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and securityvalues underlying these instruments. Other market and credit risks include the possibility that there may be an illiquid market for the contracts, that achange in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities, or that thecounterparty to a contract defaults on its obligation to perform under the terms of the contract.

8. Securities Lending

The SICAV may lend portions of its securities portfolio to third parties for the purpose of generating additional capital or income or for reducing costs or risk,to the maximum extent allowed by and within the limits set forth in (i) article 11 of the Grand Ducal regulation of 8 February 2008 relating to certaindefinitions of the Luxembourg Law, (ii) CSSF Circular 08/356 relating to the rules applicable to undertakings for collective investments when they use certaintechniques and instruments relating to transferable securities and money market instruments (“CSSF Circular 08/356”) and (iii) any other applicable laws,regulations, circulars or CSSF positions. A significant proportion of the income generated from the securities lending program is credited to participatingSub-Funds, with a portion of the income shared between the Management Company for oversight of the program and JPMorgan Chase Bank, N.A. for its roleas securities lending agent for the Fund. Borrowers of securities lent by participating Sub-Funds are approved by the Management Company afterappropriate assessment of such borrowers’ status and financial standing. The income earned from the securities lending program is detailed in theCombined Statement of Operations and Changes in Net Assets. As at 30 June 2011, the SICAV valuation of securities on loan is USD 547,643,905 as detailedbelow and received collateral as security with a market value of USD 566,544,461.

21



As at 30 June 2011

The table below provides the USD valuation of securities on loan at a Sub-Fund level as at 30 June 2011:

USDJPMorgan Investment Funds - Europe Select Equity Fund 16,800,404

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 5,551,716

JPMorgan Investment Funds - Global Dividend Fund 272,602

JPMorgan Investment Funds - Global Enhanced Bond Fund 595,450

JPMorgan Investment Funds - Global High Yield Bond Fund 163,833,131

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 138,848

JPMorgan Investment Funds - US Bond Fund 1,336,027

JPMorgan Investment Funds - US Equity Fund 1,299,985

9. Transactions with Connected Parties

All transactions with connected parties were carried out on an arm’s length basis.

JPMorgan Chase & Co. and its affiliates are counterparties for all securities lending activity and for certain forward foreign exchange contracts, financialfutures contracts and swaps contracts. The Investment Managers, Custodian, Corporate, Administrative and Domiciliary Agent, Management Company andGlobal Distributor and other related Agents of the SICAV are considered as connected parties.

10. Soft Commission Arrangements

The Investment Managers of the SICAV may enter into soft commission arrangements with brokers in respect of services used to support investmentdecision-making for the benefit of the SICAV.

The investment related services received under soft commission arrangements comprise:

- research and advisory services;- economic and political analysis;- portfolio analysis, including valuation and performance measurement;- market analysis;- data and quotation services;- computer hardware and software incidental to the above goods and services; and- investment-related publications.

The Investment Managers do not make direct payments for these services, but transact an agreed amount of business with the brokers on behalf of theSICAV and commission is paid on these transactions.

11. Information for German Registered Shareholders

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the period under review, may be obtainedfree of charge upon request at the registered office of the SICAV and at the office of the German paying and information agent, J.P. Morgan Bank AG,Junghofstraße 14, D-60311 Frankfurt am Main. Additional information on investments within each Sub-Fund’s portfolio is available to shareholders at theregistered office of the SICAV and at the office of the German paying and information agent.

12. Information for Swiss Registered Shareholders

J.P. Morgan (Suisse) S.A. was authorised by the Swiss Financial Market Authority (FINMA) as Swiss representative of the SICAV and acts also as paying agent.The prospectus, the simplified prospectus, the articles, the annual and semi-annual reports of the SICAV, as well as the list of the purchases and sales whichthe SICAV has undertaken during the financial period may be obtained, on simple request and free of charge, at the head office of the Swiss Representative,J.P. Morgan (Suisse) S.A., 8 rue de la Confédération, CH-1211 Geneva, Switzerland.

Payments/compensations (trailer fees) can be paid out from the management fee for the distribution/marketing of the investment fund to distributors.Reimbursements/rebatescanbegrantedoutof themanagement fee to institutional investorswhohold theSub-Fundshares for theeconomicbenefitof thirdparties.

13. Authorization of Sub-Funds in Hong Kong

Certain share classes of the following Sub-Funds are authorized in Hong Kong and are available to Hong Kong residents:• JPMorgan Investment Funds - Europe Select Equity Fund

• JPMorgan Investment Funds - Global Balanced Fund (USD)

• JPMorgan Investment Funds - Global Bond Fund (USD)

• JPMorgan Investment Funds - Global Capital Preservation Fund (USD)

• JPMorgan Investment Funds - Global Convertibles Fund (USD)

• JPMorgan Investment Funds - Global Dividend Fund

• JPMorgan Investment Funds - Global Enhanced Bond Fund

• JPMorgan Investment Funds - Global Financials Fund

• JPMorgan Investments Fund - Global High Yield Bond Fund

• JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund

• JPMorgan Investment Funds - Japan 50 Equity Fund

• JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund

• JPMorgan Investment Funds - JF Asia ex-Japan Fund

• JPMorgan Investment Funds - US Bond Fund

• JPMorgan Investment Funds - US Equity Fund

22



As at 30 June 2011

Transferable Securities Admitted to an Official Exchange Listing

Shares

UNITED KINGDOM518,236 Aegis Group 916,889 0.28931,617 Afren 1,602,922 0.4961,203 ASOS 1,627,129 0.50

153,261 AstraZeneca 5,236,239 1.611,042,068 Barratt Developments 1,318,643 0.40

176,015 BG Group 2,747,633 0.851,414,303 BP 7,173,551 2.20

306,914 Brammer 1,098,237 0.34119,345 British American Tobacco 3,584,092 1.10

2,406,206 BT Group 5,344,432 1.64603,976 Cairn Energy 2,710,377 0.83522,843 Centrica 1,863,671 0.57320,877 Domino’s Pizza UK & IRL 1,429,839 0.44140,715 Greene King 769,216 0.24

453,482 HSBC Holdings 3,080,379 0.95245,012 Inchcape 1,132,434 0.35142,808 Intercontinental Hotels Group 2,013,249 0.62277,313 International Power 981,886 0.30

3,179,722 ITV 2,492,623 0.77336,289 J Sainsbury 1,221,019 0.38

6,394,214 Lloyds Banking Group 3,435,266 1.06289,635 Persimmon 1,541,635 0.47175,129 Petropavlovsk 1,412,182 0.43

592,247 Premier Farnell 1,627,270 0.50747,194 Prudential 5,886,686 1.8194,900 Rio Tinto 4,687,501 1.44

265,844 SABMiller 6,625,845 2.04551,780 Salamander Energy 1,706,812 0.53811,398 SIG 1,192,790 0.37133,744 Soco International 526,585 0.1690,497 Standard Chartered 1,627,145 0.50

465,780 Tate & Lyle 3,172,417 0.97216,083 Travis Perkins 2,361,471 0.72

4,014,255 Vodafone Group 7,313,135 2.2468,491 Weir Group 1,606,864 0.50

237,842 Xstrata 3,587,143 1.10

96,655,207 29.70

FRANCE343,776 Alcatel-Lucent 1,377,510 0.42

82,362 Atos Origin 3,180,820 0.98133,554 AXA 2,076,097 0.63113,202 BNP Paribas 5,982,726 1.8431,978 Cap Gemini 1,293,830 0.40

117,333 Crédit Agricole 1,203,250 0.3762,215 L’Oréal 5,543,356 1.7035,752 PPR 4,386,770 1.35

169,484 Sanofi-Aventis 9,311,451 2.8672,095 Schneider Electric 8,265,692 2.54

106,728 Société Télévision Française 1 1,327,963 0.41225,527 Suez Environnement 3,086,337 0.95222,820 Total 8,808,075 2.71

55,843,877 17.16

SWITZERLAND471,199 ABB Registered Shares 8,390,170 2.58112,338 Compagnie Financiere Richemont - Bearer A Shares 5,052,565 1.5532,765 Crédit Suisse Group Registered Shares 880,026 0.274,763 Georg Fischer Registered Shares 1,782,748 0.55

76,993 Nestlé Registered Shares 3,289,176 1.01123,309 Novartis Registered Shares 5,151,485 1.5877,640 Roche Holding - Genussschein 8,881,997 2.73521,767 UBS Registered Shares 6,508,331 2.0021,566 Zurich Financial Services 3,748,044 1.15

43,684,542 13.42

GERMANY41,543 Allianz Registered Shares 3,983,143 1.23

138,813 Bayer Registered Shares 7,670,112 2.3676,404 Bayerische Motoren Werke 5,211,517 1.6035,532 Brenntag 2,839,540 0.87

1,442,300 Commerzbank 4,269,929 1.3133,853 Continental 2,437,924 0.75

256,743 E.ON 4,104,975 1.2644,627 Hamburger Hafen und Logistik 1,330,554 0.41117,682 Henkel & Co. KGaA Non Voting Preference Shares 5,607,253 1.72

349,776 Infineon Technologies 2,707,966 0.83

40,162,913 12.34

NETHERLANDS97,827 EADS 2,252,467 0.69

728,853 ING Groep - CVA 6,113,254 1.88303,137 Koninklijke KPN 3,014,546 0.93237,677 Royal Dutch Shell - A Shares 5,766,733 1.77297,750 Vimetco Registered Shares GDR 550,390 0.17

17,697,390 5.44

SWEDEN128,025 Intrum Justitia 1,295,455 0.40759,911 Nordea Bank 5,601,507 1.72136,403 Tele2 - B Shares 1,855,953 0.57447,256 Telefonaktiebolaget LM Ericsson - B Shares 4,449,945 1.37

13,202,860 4.06

ITALY672,216 Enel 2,994,050 0.92

1,390,606 Snam Rete Gas 5,631,954 1.731,084,373 Telecom Italia 1,036,932 0.321,736,027 UniCredit 2,492,067 0.76

12,155,003 3.73

SPAIN112,757 Antena 3 de Television 647,789 0.20

330,767 BBVA 2,640,182 0.81549,622 BSCH 4,351,907 1.34176,394 Telefonica 2,956,363 0.91

10,596,241 3.26

FINLAND227,206 Nokia 1,005,841 0.31

47,741 Nokian Renkaat 1,628,684 0.50161,687 Outokumpu 1,456,396 0.45307,263 Stora Enso - R Shares 2,209,989 0.6876,303 Wartsila 1,780,149 0.54

8,081,059 2.48

JERSEY195,564 Glencore International 1,057,906 0.33696,258 Highland Gold Mining 1,373,793 0.42214,390 Shire 4,594,638 1.41

7,026,337 2.16

BELGIUM84,111 KBC Groep 2,245,553 0.69

38,939 Solvay 4,145,057 1.27

6,390,610 1.96

DENMARK63,543 Carlsberg - B Shares 4,742,879 1.46111,531 Danske Bank 1,418,231 0.43

6,161,110 1.89

IRELAND64,923 Paddy Power 2,419,031 0.74

2,419,031 0.74

NORWAY959,340 Norske Skogindustrier 1,093,848 0.34128,325 Petroleum Geo-Services 1,267,286 0.39

2,361,134 0.73

GUERNSEY517,376 Resolution 1,655,903 0.51

1,655,903 0.51

23

JPMorgan Investment Funds - Europe Select Equity Fund

Schedule of Investments (Market Value Expressed in EUR)

As at 30 June 2011

Quantity/Nominal

Value

Name of Securities MarketValue

%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

AUSTRIA13,659 Palfinger 339,768 0.11

339,768 0.11

Total Shares 324,432,985 99.69

Total Transferable Securities Admitted to anOfficial Exchange Listing

324,432,985 99.69

Total Investments 324,432,985 99.69

Bank Overdraft (183,242) (0.06)

Other Assets/(Liabilities) 1,190,091 0.37

Total Net Assets 325,439,834 100.00

Allocation of Portfolio as at 30 June 2011 (Unaudited) % ofNet Assets

SharesFinancials 21.26Consumer Discretionary 13.15Consumer Staples 10.38Health Care 10.19Energy 9.93Materials 9.69Industrials 7.94Telecommunication Services 6.61Utilities 5.73Information Technology 4.81Total Shares 99.69Bank Overdraft and Other Assets/(Liabilities) 0.31

Total 100.00

Allocation of Portfolio as at 31 December 2010 % ofNet Assets

SharesFinancials 20.03Consumer Discretionary 14.29Materials 11.26Consumer Staples 9.85Energy 9.18Telecommunication Services 7.61Health Care 7.56Industrials 7.54Information Technology 6.17Utilities 5.29Investment Companies 0.76Total Shares 99.54Cash and Other Assets/(Liabilities) 0.46

Total 100.00

24


Schedule of Investments (Market Value Expressed in EUR) (continued)

As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in EUR)

As at 30 June 2011

ExpirationDate

Number ofContracts Security Description Currency

NotionalValue

UnrealisedGain/(Loss)

Equity Futures

Sep-11 39 DJ Euro Stoxx 50 Index Future EUR 1,103,505 2,730

Total 2,730

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR)

SettlementDate Currency

AmountPurchased Currency Amount

Sold


11-Jul-11 CHF 978,921 EUR 820,759 (17,513)11-Jul-11 EUR 7,751,597 CHF 9,473,739 (22,002)11-Jul-11 EUR 755,294 DKK 5,633,708 1811-Jul-11 EUR 19,248,900 GBP 17,185,451 238,07211-Jul-11 EUR 983,906 NOK 7,719,501 (8,058)11-Jul-11 EUR 2,818,904 SEK 25,431,392 41,54211-Jul-11 GBP 823,216 EUR 924,808 (14,152)11-Jul-11 NOK 2,929,649 EUR 375,292 1,17122-Jul-11 EUR 4,317,949 CHF 5,337,193 (63,335)22-Jul-11 EUR 1,777,098 DKK 13,250,454 54822-Jul-11 EUR 14,946,759 GBP 13,090,471 462,85622-Jul-11 EUR 1,242,779 NOK 9,780,814 (13,621)22-Jul-11 EUR 2,457,996 SEK 22,618,849 (11,416)22-Jul-11 GBP 7,433,882 EUR 8,378,211 (153,021)22-Jul-11 NOK 19,255,407 EUR 2,444,743 28,72322-Jul-11 SEK 47,303,320 EUR 5,288,596 (124,258)

Total 345,554

25


Shares

UNITED STATES OF AMERICA725 1st Source 14,993 0.01

5,700 ACCO Brands 44,488 0.021,300 Achillion Pharmaceuticals 9,444 0.00

25 Acme Packet 1,746 0.001,675 Acorda Therapeutics 54,563 0.02900 Acuity Brands 50,044 0.02

17,732 Adobe Systems 553,327 0.201,850 Advance America Cash Advance Centers 12,709 0.002,293 Aegerion Pharmaceuticals 36,585 0.012,750 Affiliated Managers Group 277,612 0.103,425 Affymax 23,872 0.01

19,875 Affymetrix 156,714 0.0624,848 Aflac 1,152,078 0.42

1,000 AGCO 48,680 0.02900 Agilysys 7,474 0.00925 AGL Resources 37,726 0.01450 AK Steel Holding 7,022 0.00

1,625 Albemarle 111,938 0.04825 Alere 29,737 0.01425 Alexander & Baldwin 20,353 0.01

1,675 Alliance Data Systems 156,571 0.064,300 Alliance HealthCare Services 16,189 0.011,450 Alliant Energy 58,471 0.02

775 Alpha Natural Resources 35,851 0.018,020 Amazon.com 1,616,150 0.595,300 American Capital 51,701 0.021,700 American Dental Partners 22,066 0.015,500 American Eagle Outfitters 71,197 0.035,050 American Equity Investment Life Holding 63,706 0.02

19,501 American Express 993,283 0.365,475 American Financial Group 196,197 0.074,450 American Greetings - A Shares 107,045 0.042,950 American Reprographics 20,561 0.01

925 AMERIGROUP 65,532 0.022,875 Ameristar Casinos 66,384 0.02

675 Ametek 30,243 0.011,800 Amkor Technology 11,205 0.006,275 Amylin Pharmaceuticals 85,654 0.03

200 Ancestry.com 8,295 0.00425 Anixter International 28,005 0.01500 Ansys 27,507 0.01

4,925 Anworth Mortgage Asset 36,913 0.014,192 Apartment Investment & Management - A Shares 107,734 0.047,215 Apple 2,407,285 0.871,300 Applied Industrial Technologies 45,968 0.02

950 Applied Micro Circuits 8,374 0.00975 Aqua America 21,416 0.01

2,500 Arctic Cat 34,962 0.01225 Arden Group 20,872 0.01300 Argan 3,009 0.00

5,075 Ariad Pharmaceuticals 60,215 0.022,925 Arqule 18,544 0.011,274 Arris Group 14,479 0.011,275 Arrow Electronics 51,810 0.02

250 Arthur J Gallagher & Co. 7,165 0.002,600 Ashford Hospitality Trust 32,448 0.012,000 Ashland 128,470 0.056,650 Aspen Technology 114,679 0.042,275 Associated Banc-Corp 31,008 0.01

150 Associated Estates Realty 2,457 0.001,075 Astoria Financial 13,916 0.005,300 Atmel 73,590 0.03

600 ATMI 12,093 0.001,250 Atmos Energy 41,512 0.02

225 Atwood Oceanics 9,831 0.001,725 Autoliv 135,188 0.052,296 Autozone 671,878 0.24

725 Aviat Networks 2,788 0.001,050 Avnet 33,327 0.01

425 AVX 6,426 0.001,500 B&G Foods - A Shares 31,207 0.012,050 Ball 78,638 0.031,650 Bancfirst 63,566 0.021,175 Bank of Hawaii 54,496 0.02

1,800 BankUnited 47,655 0.02643 Barrett Business Services 9,288 0.00

25,071 BB&T 665,008 0.24625 BE Aerospace 25,597 0.01

7,842 Becton Dickinson & Co. 677,784 0.25775 Big Lots 25,238 0.01325 Biglari Holdings 129,171 0.05

4,550 BioCryst Pharmaceuticals 16,949 0.0111,703 Biogen Idec 1,276,856 0.464,925 BioMarin Pharmaceuticals 133,886 0.05

700 BioMed Realty Trust 13,342 0.003,425 BioMimetic Therapeutics 17,861 0.011,600 Black Box 48,848 0.021,100 Blyth 55,143 0.02

475 Boise 3,655 0.00275 BOK Financial 14,813 0.00725 Bon-Ton Stores 6,880 0.00

6,500 Brandywine Realty Trust 74,977 0.037,050 Brightpoint 56,823 0.023,500 Brinker International 86,135 0.0328,122 Broadcom - A Shares 931,963 0.34

1,525 Broadridge Financial Solutions 36,638 0.0112,975 Brocade Communications Systems 84,013 0.032,025 Brunswick 40,682 0.011,050 Buckeye Technologies 27,914 0.011,175 Cabot 46,383 0.02

9,625 Cadence Design Systems 101,688 0.042,544 Cadence Pharmaceuticals 23,125 0.0117,375 Cal Dive International 97,995 0.04

1,125 Camden Property Trust 71,319 0.031,925 CapitalSource 12,233 0.00

175 Capitol Federal Financial 2,045 0.006,100 Capstead Mortgage 81,648 0.033,775 Career Education 78,973 0.031,775 Carlisle 86,718 0.03

225 Carpenter Technology 12,921 0.00475 Cascade 22,722 0.01

1,500 Cathay General Bancorp 24,615 0.011,700 CBL & Associates Properties 30,583 0.01

27,170 CBS Non voting - B Shares 783,719 0.28475 Celadon Group 6,610 0.00

13,895 Celgene 843,149 0.31425 Central Garden and Pet - A Shares 4,258 0.00

1,400 Charles River Laboratories International 56,385 0.023,625 Checkpoint Systems 64,307 0.021,350 Cheesecake Factory 42,478 0.023,950 Chelsea Therapeutics International 21,014 0.01

19,103 Chevron 1,949,557 0.717,850 Chimera Investment 27,514 0.012,075 Ciber 11,485 0.001,275 Cirrus Logic 20,011 0.01

49,592 Citigroup 2,050,629 0.741,725 City Holding 56,295 0.02300 City National 16,206 0.01125 Clayton Williams Energy 7,513 0.0075 Clearwater Paper 4,928 0.00

2,775 Cloud Peak Energy 58,969 0.028,200 CMS Energy 161,417 0.067,000 CNO Financial Group 54,495 0.02

16,509 Cognizant Technology Solutions - A Shares 1,216,218 0.442,100 Coherent 114,502 0.04

362 Colonial Properties Trust 7,350 0.00775 Commerce Bancshares 33,100 0.01

2,918 CommonWealth REIT 74,876 0.03825 Community Health Systems 21,281 0.01950 Complete Production Services 31,559 0.01

6,075 Compuware 59,262 0.021,275 Comtech Telecommunications 35,859 0.013,957 Conn’s 35,376 0.013,200 Consolidated Communications Holdings 62,176 0.035,325 Constellation Brands - A Shares 110,760 0.041,275 Con-way 48,979 0.022,625 Cooper 203,359 0.07

150 CoreLogic 2,494 0.003,325 Corn Products International 185,086 0.071,300 Cornerstone OnDemand 23,803 0.01

650 Covanta Holding 10,754 0.00375 Coventry Health Care 13,830 0.00

1,600 Crane 79,488 0.03675 Credit Acceptance 55,259 0.02

9,925 Cross Country Healthcare 74,437 0.031,625 Crown Holdings 62,660 0.02900 CSG Systems International 16,708 0.01

1,070 CSS Industries 22,288 0.012,350 Cubic 119,333 0.041,000 Cullen/Frost Bankers 56,645 0.02

775 Cymer 38,095 0.013,350 Cypress Semiconductor 69,043 0.031,050 Dana 19,430 0.01

4,000 DCT Industrial Trust 20,860 0.014,475 Delek US Holdings 67,930 0.02

150 Delphi Financial Group - A Shares 4,335 0.001,925 Deluxe 47,403 0.02

26

JPMorgan Investment Funds - Global Balanced Fund (USD)

Schedule of Investments (Market Value Expressed in USD)

As at 30 June 2011

Quantity/Nominal

Value

Name of Securities Maturity/Coupon

MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

300 Demand Media 4,291 0.002,900 Developers Diversified Realty 40,730 0.01

700 DeVry 41,265 0.012,000 DiamondRock Hospitality 21,190 0.013,250 Digital Realty Trust 199,956 0.072,700 Dillard’s - A Shares 140,170 0.05

150 DineEquity 7,757 0.00900 Dole Food 12,226 0.01

4,841 Dollar Financial 103,864 0.041,650 Domtar 155,083 0.061,275 Douglas Dynamics 19,578 0.015,250 Douglas Emmett 103,635 0.043,700 DPL 111,851 0.04

775 DreamWorks Animation - A Shares 15,496 0.012,200 Dresser-Rand Group 117,843 0.041,750 Drew Industries 42,770 0.02

631 DSP Group 5,515 0.00875 DST Systems 45,767 0.02

3,100 Duke Realty 43,074 0.0211,475 Dynavax Technologies 31,614 0.013,675 East West Bancorp 73,739 0.03

700 EastGroup Properties 29,767 0.01275 EchoStar - A Shares 9,991 0.00

1,800 Education Realty Trust 15,255 0.0014,560 EI du Pont de Nemours & Co. 786,022 0.28

1,725 El Paso Electric 55,579 0.02500 Electro Rent 8,535 0.00

1,000 Electronics for Imaging 17,140 0.0143,123 EMC/Massachusetts 1,174,024 0.433,800 EMCOR Group 110,257 0.041,925 Emdeon - A Shares 25,785 0.01

50 Emeritus 1,065 0.002,025 Emulex 17,344 0.011,550 Endo Pharmaceuticals Holdings 61,884 0.023,300 Energen 186,252 0.071,325 Energizer Holdings 96,155 0.044,750 Energy Partners 70,680 0.032,825 Entercom Communications - A Shares 23,349 0.01

11,904 EOG Resources 1,243,194 0.45925 EPIQ Systems 13,084 0.00975 ePocrates 17,404 0.01972 Equifax 33,607 0.01175 Equity Lifestyle Properties 10,982 0.00275 Erie Indemnity - A Shares 19,299 0.01

5,850 EXCO Resources 103,399 0.04325 Factset Research Systems 33,233 0.01700 Fair Isaac 21,325 0.01

2,275 Fairchild Semiconductor International 38,982 0.012,950 Federated Investors - B Shares 71,257 0.033,725 FelCor Lodging Trust 20,059 0.011,375 Fidelity National Financial - A Shares 21,732 0.011,450 Financial Institutions 23,700 0.016,775 Finish Line - A Shares 147,221 0.05

10,775 First Commonwealth Financial 61,687 0.022,625 First Financial Bancorp 43,352 0.021,791 First Horizon National 16,826 0.01

675 First Interstate Bancsystem 9,895 0.00475 First Merchants 4,142 0.00

23,094 Fluor 1,488,639 0.542,500 FNB 25,712 0.012,150 Foot Locker 51,858 0.022,700 Forest City Enterprises - A Shares 50,476 0.021,300 Forest Oil 34,580 0.011,450 Fortinet 39,143 0.01

500 Fossil 58,372 0.021,600 Fresh Market 62,128 0.022,325 Fulton Financial 24,796 0.013,250 Furniture Brands International 13,406 0.01

750 Fusion-io 23,231 0.01700 G&K Services - A Shares 23,145 0.01

3,500 GameStop - A Shares 91,612 0.037,150 Gannett 102,030 0.041,500 Gardner Denver 125,182 0.05

675 Gartner 27,084 0.011,025 GATX 38,063 0.012,575 Georgia Gulf 60,989 0.02

100 Gevo 1,533 0.005,250 Gibraltar Industries 57,094 0.02

625 Gladstone Capital 5,834 0.001,275 Global Cash Access Holdings 3,946 0.001,125 Global Geophysical Services 19,980 0.011,625 Global Payments 82,574 0.03

8,908 Goldman Sachs Group 1,175,811 0.432,525 Goodyear Tire & Rubber 42,433 0.02

3,900 Graphic Packaging Holding 21,352 0.015,875 Greatbatch 157,215 0.06

1,925 GSI Technology 13,590 0.004,675 GT Solar International 75,104 0.03

325 Gulf Island Fabrication 10,450 0.01325 Hampton Roads Bankshares 3,343 0.00650 Harleysville Group 20,134 0.01

1,925 Harsco 62,813 0.027,700 Hawaiian Holdings 44,236 0.021,650 HCC Insurance Holdings 52,066 0.025,300 Health Management Associates - A Shares 57,584 0.024,725 Health Net 154,271 0.061,800 Heartland Express 29,466 0.01

700 Heartland Financial USA 10,042 0.00675 Heartland Payment Systems 13,929 0.01450 HeartWare International 34,144 0.01

1,175 Hecla Mining 8,936 0.001,100 Helmerich & Payne 72,138 0.032,650 Hercules Offshore 14,588 0.01

725 HollyFrontier 50,221 0.028,731 Hologic 174,402 0.06

700 Home Properties 42,189 0.018,025 Hospitality Properties Trust 195,730 0.07

600 HUB Group - A Shares 22,629 0.012,100 Hubbell - B Shares 136,153 0.058,775 Huntington Bancshares 57,169 0.021,450 Huntsman 27,209 0.01

675 Hurco Cos 21,789 0.011,300 Hypercom 12,863 0.004,150 IAC/InterActive 158,115 0.062,550 Imation 24,085 0.011,750 Immucor 35,752 0.011,200 Imperial Holdings 12,216 0.002,925 Incyte 56,248 0.021,850 Ingram Micro - A Shares 33,513 0.01

725 Innophos Holdings 35,365 0.011,275 Insteel Industries 15,676 0.011,275 Integrated Device Technology 9,977 0.001,150 Integrys Energy Group 59,518 0.02

50 Inter Parfums 1,127 0.002,275 InterDigital 93,161 0.03

4,800 Interpublic Group of Companies 59,016 0.022,500 Intersections 44,300 0.021,125 Intersil - A Shares 14,366 0.01

2,475 Invacare 82,207 0.031,225 ION Geophysical 11,411 0.00

1,000 Ironwood Pharmaceuticals 15,920 0.01775 Itron 37,367 0.01

1,025 ITT Educational Services 81,375 0.03300 J Crew Group 0 0.00

4,225 Jabil Circuit 84,479 0.037,150 Jakks Pacific 129,915 0.051,500 Janus Capital Group 13,928 0.00

175 JB Hunt Transport Services 8,251 0.00658 JDA Software Group 20,234 0.01

3,275 JDS Uniphase 54,545 0.02775 John Wiley & Sons - A Shares 40,308 0.01

600 Jones Lang LaSalle 57,537 0.022,225 Journal Communications - A Shares 11,348 0.00

16,756 Juniper Networks 523,374 0.19175 Kadant 5,292 0.00

6,250 KAR Auction Services 117,688 0.045,900 KBR 222,017 0.08

400 Key Energy Services 7,090 0.003,550 Kinetic Concepts 205,687 0.071,650 KiOR - A Shares 24,758 0.011,400 Kirby 79,681 0.036,100 Knoll 122,702 0.05

825 Kronos Worldwide 24,923 0.011,325 Kulicke & Soffa Industries 14,555 0.01

475 Laclede Group 17,931 0.0113,717 Lam Research 605,811 0.222,450 Lattice Semiconductor 15,913 0.01

350 Lear 18,888 0.015,975 Leggett & Platt 144,207 0.05

23,766 Lennar - A Shares 441,453 0.16600 Lennox International 25,983 0.01

6,394 Lexington Realty Trust 58,089 0.022,400 Lexmark International - A Shares 69,732 0.031,425 Liberty Media - Starz - A Shares 106,676 0.041,500 Liberty Property Trust 49,185 0.023,150 Lifetime Brands 35,973 0.011,375 Lincare Holdings 40,508 0.01

675 Lincoln Electric Holdings 24,013 0.01500 LinkedIn 44,528 0.02

7,900 Liz Claiborne 43,016 0.021,050 LKQ 27,531 0.012,000 Lodgenet Entertainment 6,310 0.00

27


Schedule of Investments (Market Value Expressed in USD) (continued)

As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

25,500 LSI 179,903 0.072,925 LTC Properties 80,379 0.032,075 LTX-Credence 18,644 0.01

525 Mack-Cali Realty 17,267 0.011,025 Magellan Health Services 55,299 0.02

675 MainSource Financial Group 5,636 0.004,125 Manhattan Associates 141,034 0.051,675 Marlin Business Services 21,448 0.015,425 Marshall & Ilsley 42,613 0.02

800 MBIA 6,944 0.0011,150 McClatchy - A Shares 30,997 0.011,250 McMoRan Exploration 23,588 0.011,700 MDU Resources Group 38,199 0.011,275 Meadowbrook Insurance Group 12,552 0.001,300 Medivation 28,100 0.01

875 Mednax 63,984 0.021,115 Metalico 6,517 0.00

2,450 Methode Electronics 27,403 0.0127,634 MetLife 1,205,257 0.449,800 MetroPCS Communications 170,667 0.06

500 Mettler Toledo International 83,793 0.036,750 MFA Financial 54,641 0.022,375 MGIC Investment 14,143 0.005,850 MGP Ingredients 49,433 0.024,850 Micrel 51,046 0.02

475 MicroStrategy - A Shares 77,938 0.03125 Mid-America Apartment Communities 8,395 0.00

3,875 Midas 24,509 0.012,150 Minerals Technologies 141,255 0.051,700 Mission West Properties 14,935 0.01

725 Molycorp 44,192 0.022,200 Momenta Pharmaceuticals 44,055 0.027,225 Monotype Imaging Holdings 102,667 0.041,000 Movado Group 16,820 0.018,000 MPG Office Trust 21,720 0.011,725 Mueller Industries 65,171 0.021,175 Myers Industries 12,132 0.00100 NACCO Industries - A Shares 9,532 0.00

1,282 Nara Bancorp 10,262 0.004,075 Nasdaq OMX Group 102,751 0.04

900 National Beverage 13,311 0.012,500 Nationwide Health Properties 104,713 0.04

375 Nature’s Sunshine Products 7,388 0.00600 Navigators Group 28,203 0.01

3,300 Navistar International 183,579 0.076,100 NCR 115,077 0.041,375 Neenah Paper 28,751 0.01200 NeoPhotonics 1,339 0.00975 NeuStar - A Shares 25,584 0.01525 New Jersey Resources 23,302 0.01750 Newport 13,406 0.00800 Nexstar Broadcasting Group 6,544 0.00879 NGP Capital Resources 7,208 0.00

1,150 Nicor 63,026 0.023,425 Noranda Aluminum Holding 50,827 0.024,975 Nordson 271,809 0.101,850 Northeast Utilities 65,083 0.023,625 NorthWestern 119,299 0.041,225 Novellus Systems 43,659 0.02

2,700 Nuance Communications 58,347 0.02175 NVR 127,671 0.05

14,506 Occidental Petroleum 1,515,442 0.551,100 Oceaneering International 44,462 0.021,200 OceanFirst Financial 15,474 0.011,675 O’Charleys 12,504 0.002,025 Ocwen Financial 25,829 0.016,350 OfficeMax 49,752 0.02

875 OGE Energy 43,986 0.022,625 Oil States International 205,905 0.084,475 Omnicare 142,305 0.057,275 ON Semiconductor 76,060 0.03

14,419 Oneok 1,070,971 0.39625 Onyx Pharmaceuticals 22,697 0.01

3,125 Oplink Communications 58,141 0.0250 Oppenheimer Holdings - A Shares 1,349 0.00

2,800 Oriental Financial Group 35,994 0.01700 Outdoor Channel Holdings 4,638 0.00

1,350 Oxford Industries 45,509 0.0215,082 Paccar 759,831 0.283,450 Pacer International 16,405 0.012,450 Pacific Biosciences of Californiaa 28,408 0.01

325 Pall 18,270 0.01450 Pandora Media 8,255 0.00525 Pantry 9,912 0.00325 Park-Ohio Holdings 6,768 0.00

1,550 Patterson-UTI Energy 47,732 0.02

2,275 Pennsylvania Real Estate Investment Trust 35,183 0.01850 Pentair 34,055 0.01600 PerkinElmer 16,233 0.01

1,050 PetMed Express 12,553 0.005,000 Petroquest Energy 35,150 0.011,175 PetSmart 53,721 0.02875 PH Glatfelter 13,466 0.00175 Pharmaceutical Product Development 4,672 0.00575 Pharmasset 63,745 0.02

7,850 PharMerica 100,598 0.041,850 PHH 37,472 0.011,125 Phillips-Van Heusen 73,868 0.03

1,700 Photronics 13,821 0.01950 Piedmont Natural Gas 28,533 0.01900 Pinnacle West Capital 39,951 0.01

1,650 Pioneer Drilling 24,849 0.01375 Piper Jaffray Companies 10,695 0.00650 Plantronics 23,927 0.01

1,575 PMC - Sierra 11,868 0.001,425 PolyOne 21,738 0.01

375 Portfolio Recovery Associates 31,549 0.011,600 Portland General Electric 40,312 0.011,800 Power-One 14,571 0.014,075 Powerwave Technologies 11,879 0.002,500 Prestige Brands Holdings 32,275 0.01

650 ProAssurance 45,386 0.023,250 Protective Life 74,701 0.031,050 Providence Service 13,046 0.00

700 PS Business Parks 38,434 0.013,925 Pulse Electronics 17,506 0.012,125 Pzena Investment Management - A Shares 11,645 0.002,875 QLogic 45,842 0.022,200 Quanex Building Products 35,519 0.013,425 Quantum 10,909 0.00

425 Quest Software 9,707 0.002,225 QuinStreet 28,903 0.01

575 Radisys 4,183 0.003,475 Ramco-Gershenson Properties Trust 42,656 0.023,225 Raymond James Financial 102,652 0.041,375 Red Robin Gourmet Burgers 50,545 0.02

875 Regal-Beloit 58,161 0.021,125 Regency Centers 49,208 0.02

1,500 Reinsurance Group of America 91,238 0.031,475 Reliance Steel & Aluminum 73,595 0.03

175 Rent-A-Center 5,342 0.00600 Republic Airways Holdings 3,237 0.00800 Responsys 13,596 0.00

4,400 RF Micro Devices 26,686 0.0128,700 Rite Aid 37,454 0.01

850 Rock-Tenn - A Shares 55,943 0.021,625 Rockwood Holdings 88,611 0.03

2,000 Rovi 114,810 0.04500 Rowan Companies 19,308 0.01275 Royal Gold 16,027 0.01425 RPM International 9,767 0.00775 Rudolph Technologies 8,254 0.00

1,450 Ryder System 80,780 0.03925 Saba Software 8,122 0.00975 Sagent Pharmaceuticals 27,012 0.01

4,575 Saia 78,438 0.031,025 SandRidge Energy 11,162 0.002,950 Sauer-Danfoss 146,143 0.051,125 Saul Centers 43,892 0.023,175 Savient Pharmaceuticals 23,574 0.01

975 SCANA 38,283 0.01300 Schnitzer Steel Industries - A Shares 16,739 0.01

1,575 Scholastic 41,580 0.025,050 School Specialty 71,281 0.03

300 SEACOR Holdings 29,547 0.011,925 Sealed Air 45,305 0.021,525 Seattle Genetics 32,002 0.01

14,181 Sempra Energy 741,454 0.27800 Semtech 21,576 0.01

7,350 Service Corp. International 85,922 0.03900 ServiceSource International 20,124 0.01

3,850 SFN Group 34,997 0.01450 Shiloh Industries 4,844 0.00800 Sierra Bancorp 9,068 0.00475 Silgan Holdings 19,359 0.01

1,675 Simmons First National - A Shares 42,378 0.028,125 Sinclair Broadcast Group - A Shares 90,716 0.03900 Sirona Dental Systems 47,921 0.02525 SM Energy 38,430 0.01

4,300 Smithfield Foods 95,804 0.031,325 Snap-On 82,945 0.03400 Solazyme 8,562 0.00

28



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

850 Solera Holdings 49,993 0.021,225 Sonoco Products 43,610 0.022,250 Southern Union 90,495 0.03

1 Southside Bancshares 20 0.004,275 Southwest Bancorp 42,087 0.02

700 Southwest Gas 26,968 0.016,900 Spartech 41,745 0.01

152,395 Sprint Nextel 800,836 0.2914,122 St Jude Medical 671,148 0.241,350 Stancorp Financial Group 56,862 0.02

475 Standard Parking 7,581 0.001,275 Standex International 38,626 0.01

23,100 State Street 1,040,309 0.381,275 Steel Dynamics 20,661 0.01

575 Steelcase - A Shares 6,526 0.001,825 Stone Energy 55,535 0.02

5,800 Strategic Hotels & Resorts 39,759 0.012,250 Suffolk Bancorp 31,748 0.013,400 Sunrise Senior Living 32,334 0.015,250 Sunstone Hotel Investors 47,854 0.021,925 Superior Industries International 42,417 0.026,825 Supervalu 64,940 0.022,400 Susquehanna Bancshares 18,996 0.01

275 SVB Financial Group 16,466 0.01900 Swift Energy 33,602 0.01

3,250 Synopsys 83,948 0.037,925 Synovus Financial 16,286 0.01

21,480 Sysco 669,102 0.241,350 TAL International Group 46,420 0.02

800 Targacept 17,036 0.012,150 Taubman Centers 127,130 0.057,075 TCF Financial 100,288 0.041,375 Team Health Holdings 31,089 0.011,150 Tech Data 55,827 0.022,575 TECO Energy 48,565 0.023,075 TeleNav 54,597 0.023,000 Tellabs 13,635 0.001,725 Temple-Inland 51,189 0.027,075 Teradyne 104,427 0.042,250 Tesoro 50,670 0.022,150 Thomas & Betts 115,745 0.04

850 Thor Industries 24,293 0.011,900 Thoratec 61,532 0.021,225 TIBCO Software 35,274 0.01

425 Timberland - A Shares 18,273 0.0143,398 Time Warner 1,565,583 0.57

2,250 Timken 112,118 0.04150 TNS 2,430 0.00

1,550 Toro 93,434 0.032,900 Towers Watson & Co. - A Shares 185,992 0.075,100 Town Sports International Holdings 38,174 0.01

500 TransDigm Group 44,870 0.021,700 Tredegar 30,872 0.011,600 Trimas 39,176 0.013,450 TRW Automotive Holdings 203,792 0.071,350 tw telecom 27,945 0.01

4,000 UGI 127,400 0.05475 UMB Financial 19,784 0.01

1,866 Unifi 25,611 0.0113,588 Union Pacific 1,423,615 0.52

700 Unisource Energy 26,040 0.01705 Unisys 18,073 0.01475 Unit 28,897 0.01

3,410 United Continental Holdings 78,123 0.0315,487 United Technologies 1,357,745 0.491,200 United Therapeutics 66,438 0.02

29,600 UnitedHealth Group 1,530,024 0.56675 Unitrin 20,199 0.01400 Universal Health Services - B Shares 20,806 0.01

2,775 USA Mobility 42,680 0.026,275 Vaalco Energy 36,646 0.011,460 Valley National Bancorp 19,871 0.01

250 Valmont Industries 24,190 0.014,675 Valspar 168,627 0.062,850 Vanguard Health Systems 49,633 0.02

500 Vectren 13,928 0.01125 Veeco Instruments 6,018 0.00675 VeriFone Systems 30,031 0.01

10,382 Vishay Intertechnology 156,561 0.0620,175 Vonage Holdings 93,713 0.034,350 W&T Offshore 113,252 0.04

325 Waddell & Reed Financial - A Shares 11,718 0.011,875 Washington Federal 30,909 0.01

2,800 Websense 72,478 0.031,775 WellCare Health Plans 93,445 0.03

79,746 Wells Fargo & Co. 2,231,692 0.81

925 WESCO International 48,868 0.021,050 West Bancorporation 8,909 0.001,125 Westar Energy 30,133 0.01

2,350 Westlake Chemical 122,893 0.052,850 Williams-Sonoma 105,536 0.044,650 Wilshire Bancorp 13,648 0.003,325 Winnebago Industries 31,903 0.011,450 World Acceptance 96,084 0.04

200 World Fuel Services 7,071 0.004,525 Worthington Industries 100,365 0.041,025 WR Berkley 33,195 0.013,350 Wyndham Worldwide 112,694 0.04

34,218 Xilinx 1,230,993 0.45750 Zebra Technologies - A Shares 31,616 0.01

1,850 Zions Bancorporation 44,280 0.02250 Zipcar 5,319 0.00

71,106,349 25.82

UNITED KINGDOM47,649 BG Group 1,076,183 0.3925,350 British American Tobacco 1,101,479 0.4081,445 Cairn Energy 528,808 0.19

140,594 Centrica 725,084 0.2660,054 GlaxoSmithKline 1,277,548 0.4734,828 Intercontinental Hotels Group 710,390 0.26

1,039,531 Lloyds Banking Group 808,042 0.2947,063 Prudential 536,464 0.2016,551 Rio Tinto 1,182,831 0.43

39,492 Standard Chartered 1,027,365 0.37484,253 Vodafone Group 1,276,423 0.46

10,250,617 3.72

JAPAN15,100 Bridgestone 346,141 0.13

368 Dai-ichi Life Insurance 512,995 0.1976,000 Fujitsu 431,416 0.16

228 Japan Tobacco 875,563 0.3283,700 JX Holdings 559,765 0.20

98 KDDI 702,823 0.2584,000 Marubeni 554,997 0.20

106,000 Mitsubishi Electric 1,221,838 0.44111,000 Mitsubishi Heavy Industries 519,226 0.1988,800 Nissan Motor 928,271 0.344,000 ORIX 386,624 0.14

7,039,659 2.56

FRANCE5,768 L’Oréal 743,578 0.278,699 Pernod-Ricard 856,802 0.313,107 PPR 551,581 0.20

15,498 Sanofi 1,231,935 0.457,558 Schneider Electric 1,253,731 0.46

12,539 Sodexho 976,224 0.3520,930 Suez Environnement 414,417 0.15

6,028,268 2.19

SWITZERLAND39,633 ABB Registered Shares 1,021,050 0.3719,484 ACE 1,282,437 0.47

1,150 Allied World Assurance Co Holdings 65,826 0.0212,226 Compagnie Financiere Richemont - Bearer A Shares 795,597 0.295,727 Holcim Registered Shares 430,120 0.16

17,295 Novartis Registered Shares 1,045,398 0.3828,244 TE Connectivity 1,047,005 0.38

5,687,433 2.07

NETHERLANDS750 Chicago Bridge & Iron 28,860 0.01450 Core Laboratories 49,865 0.02

80,406 ING Groep - CVA 975,763 0.3543,882 Koninklijke KPN 631,383 0.2373,713 Royal Dutch Shell - A Shares 2,588,169 0.94

26,398 Unilever - CVA 861,942 0.31

5,135,982 1.86

GERMANY6,085 Adidas 479,514 0.177,413 BASF 718,823 0.26

15,301 Bayer Registered Shares 1,223,249 0.4510,352 Daimler Registered Shares 775,101 0.285,437 Lanxess 442,531 0.166,511 Volkswagen Preference Shares 1,327,576 0.48

4,966,794 1.80

29



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

ITALY153,714 Enel 990,574 0.36123,596 Snam Rete Gas 724,241 0.27176,607 UniCredit 366,804 0.13

2,081,619 0.76

IRELAND11,929 Accenture - A Shares 715,800 0.2621,844 Covidien 1,173,132 0.43

1,888,932 0.69

JERSEY60,386 Experian 763,470 0.2861,462 Glencore International 481,048 0.1720,550 Shire 637,209 0.23

1,881,727 0.68

NETHERLANDS ANTILLES20,711 Schlumberger 1,787,256 0.65

1,787,256 0.65

CANADA8,042 First Quantum Minerals 1,156,875 0.42

39,436 Kinross Gold 613,980 0.22

1,770,855 0.64

FINLAND196,329 Ruukki Group 454,494 0.1646,433 Stora Enso - R Shares 483,204 0.1827,669 UPM-Kymmene 502,613 0.18

1,440,311 0.52

CAYMAN ISLANDS266,000 China Resources Land 478,864 0.18

74,500 Hengan International Group 667,478 0.244,900 Herbalife 283,563 0.10

1,429,905 0.52

SOUTH KOREA1,345 Samsung Electronics 1,039,799 0.38

1,039,799 0.38

SWEDEN63,126 Telefonaktiebolaget LM Ericsson - B Shares 908,720 0.33

908,720 0.33

ISRAEL17,441 Teva Pharmaceutical Industries ADR 835,686 0.30

835,686 0.30

PANAMA19,116 Carnival 715,607 0.261,325 Copa Holdings - A Shares 90,160 0.03

805,767 0.29

BELGIUM5,174 Solvay 796,885 0.29

796,885 0.29

TAIWAN103,327 Hon Hai Precision Industry Registered Shares GDR 702,882 0.26

702,882 0.26

DENMARK5,697 Carlsberg - B Shares 615,239 0.22

615,239 0.22

BERMUDA1,850 Aircastle 23,625 0.011,875 Arch Capital Group 59,991 0.02

275 Aspen Insurance Holdings 7,013 0.001,500 Axis Capital Holdings 46,688 0.021,325 Endurance Specialty Holdings 55,166 0.02600 Frontline 8,691 0.00

1,700 Genpact 29,181 0.012,100 Global Sources 19,268 0.011,225 Helen of Troy 42,256 0.02

875 Lazard - A Shares 32,410 0.011,775 Platinum Underwriters Holdings 58,788 0.02

850 RenaissanceRe Holdings 58,986 0.023,500 Signet Jewelers 162,890 0.06

604,953 0.22

HONG KONG258,000 China Overseas Land & Investment 551,983 0.20

551,983 0.20

SPAIN47,072 BBVA 543,623 0.20

543,623 0.20

CHINA184,000 China Merchants Bank - H Shares * 445,205 0.16

16,240 ZTE - H Shares * 58,847 0.02

504,052 0.18

PUERTO RICO7,900 Popular 21,133 0.01

21,133 0.01

Total Shares 130,426,429 47.36

Bonds

UNITED STATES OF AMERICA15,000,000 Goldman Sachs Group 15.06.12/3.250% 15,422,850 5.60

15,422,850 5.60

GERMANY4,000,000 Germany (Federal Republic of) 04.07.16/4.000% 6,257,736 2.271,500,000 Germany (Federal Republic of) 04.01.28/5.625% 2,711,383 0.981,865,000 Germany (Federal Republic of) 04.07.34/4.750% 3,105,690 1.14

12,074,809 4.39

NETHERLANDS6,550,000 Netherlands (Kingdom of) 15.07.17/4.500% 10,380,472 3.77

10,380,472 3.77

FRANCE3,000,000 France (Government of) 25.04.15/3.500% 4,526,091 1.64

4,526,091 1.64

Total Bonds 42,404,222 15.40


172,830,651 62.76

Transferable Securities Dealt in on Another Regulated Market

Bonds

UNITED STATES OF AMERICA100,000 US Treasury (i) 30.11.11/0.750% 100,277 0.04

4,000,000 US Treasury 30.04.13/3.125% 4,197,578 1.529,000,000 US Treasury 15.08.14/4.250% 9,958,008 3.619,000,000 US Treasury 15.11.16/7.500% 11,641,992 4.239,500,000 US Treasury 15.05.17/8.750% 13,070,664 4.758,850,000 US Treasury 15.02.19/8.875% 12,786,522 4.643,000,000 US Treasury 15.05.30/6.250% 3,873,047 1.419,400,000 US Treasury 15.02.31/5.375% 11,020,766 4.00

66,648,854 24.20

Total Bonds 66,648,854 24.20

30



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds

LUXEMBOURG819,773 JPMorgan Funds - Emerging Markets Equity Fund

(JPM Emerging Markets Equity X (dist) - USD) 16,674,190 6.050** JPMorgan Funds - Emerging Markets Value Fund

(JPM Emerging Markets Value X (acc) - USD) 131 0.00

16,674,321 6.05

Total Investment Funds 16,674,321 6.05

Total Transferable Securities Dealt in on AnotherRegulated Market

83,323,175 30.25


Cash 19,191,358 6.97

Other Assets/(Liabilities) 44,683 0.02


* Hong Kong Registered Shares.** Fractional shares rounded to 0.(i) Security partially or totally held as collateral against financial futures contracts by the broker.


Fixed Income SecuritiesUnited States of America 29.80Germany 4.39Netherlands 3.77France 1.64Total Fixed Income Securities 39.60SharesFinancials 8.77Information Technology 6.46Investment Companies 6.05Consumer Discretionary 6.02Industrials 5.61Health Care 5.58Energy 4.74Materials 4.14Consumer Staples 2.44Utilities 2.21Telecommunication Services 1.39Total Shares 53.41Cash and Other Assets/(Liabilities) 6.99

Total 100.00


Fixed Income SecuritiesUnited States of America 26.00Netherlands 3.22Germany 1.83France 1.41Total Fixed Income Securities 32.46SharesFinancials 11.91Information Technology 8.65Consumer Discretionary 7.92Industrials 6.38Health Care 5.71Energy 4.88Consumer Staples 4.45Investment Companies 3.86Materials 3.76Telecommunication Services 2.53Utilities 2.45Total Shares 62.50Cash and Other Assets/(Liabilities) 5.04

Total 100.00

31



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in USD)

As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 (22) Euro-Bobl Future EUR (3,719,895) 2,387Sep-11 (83) Euro-Bund Future EUR (15,110,141) 9,007Sep-11 (37) Euro-Schatz Future EUR (5,762,474) 2,008Sep-11 9 Japan 10 Year Bond Future JPY 15,749,860 (33,501)Sep-11 48 Long Gilt Future GBP 9,272,462 384Sep-11 (101) US 2 Year Note Future USD (22,160,820) (5,523)Sep-11 56 US 5 Year Note Future USD 6,690,031 (1,969)Sep-11 135 US 10 Year Note Future USD 16,557,539 (26,367)

Total Bond Futures(53,574)

Equity Futures

Jul-11 30 AMX Index Future EUR 2,934,212 22,137Jul-11 (12) Hang Seng Index Future HKD (1,729,155) (23,977)Sep-11 46 Dax Index Future EUR 12,257,369 73,627Sep-11 (488) DJ Euro Stoxx 50 Index Future EUR (19,978,046) (180,046)Sep-11 (51) FTSE 100 Index Future GBP (4,799,688) (42,851)Sep-11 (255) Russell 2000 Mini Future USD (21,006,145) (112,215)Sep-11 43 S&P 60 Index Future CAD 6,751,227 13,358Sep-11 2 S&P Midcap 400 Emini Future USD 195,260 5,190Sep-11 406 SP 500 Emini Future USD 26,637,660 160,370Sep-11 20 Topix Index Future JPY 2,108,071 13,648

Total Equity Futures(70,759)

Total (124,333)

Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD)


AmountPurchased Currency

AmountSold


26-Aug-11 AUD 6,679,177 USD 6,992,643 122,79626-Aug-11 EUR 10,037,483 USD 14,432,904 66,40726-Aug-11 GBP 1,493,560 AUD 2,316,876 (79,622)26-Aug-11 GBP 1,834,952 EUR 2,049,882 (26,532)26-Aug-11 GBP 3,395,171 SEK 35,002,520 (84,338)26-Aug-11 GBP 2,960,917 USD 4,803,296 (68,033)26-Aug-11 JPY 115,189,680 AUD 1,365,193 (24,698)26-Aug-11 JPY 229,306,556 NOK 15,906,772 (101,686)26-Aug-11 JPY 135,904,030 SEK 10,753,773 (7,326)26-Aug-11 JPY 134,020,885 USD 1,657,685 5,70126-Aug-11 NOK 5,897,828 AUD 1,026,000 (83)26-Aug-11 NOK 12,411,535 EUR 1,573,104 27,61926-Aug-11 NOK 12,497,977 SEK 14,666,876 5,48226-Aug-11 NOK 26,959,459 USD 4,813,695 182,18926-Aug-11 SEK 85,262,078 USD 13,461,156 (29,485)26-Aug-11 SGD 893,439 USD 725,865 1,72126-Aug-11 USD 1,111,450 CAD 1,089,116 (14,697)26-Aug-11 USD 2,946,530 CHF 2,544,093 (74,300)26-Aug-11 USD 42,035,654 EUR 29,896,397 (1,150,188)26-Aug-11 USD 19,716,532 GBP 12,203,458 200,08226-Aug-11 USD 2,975,931 HKD 23,127,898 3,00926-Aug-11 USD 7,589,676 JPY 619,971,809 (105,038)26-Aug-11 USD 2,605,029 SEK 16,963,096 (67,234)

Total (1,218,254)

32


Bonds

JAPAN590,000,000 Japan (Government of) 20.09.14/1.500% 7,608,266 13.19147,000,000 Japan (Government of) 20.03.20/1.300% 1,878,136 3.25140,000,000 Japan (Government of) 20.09.20/0.800% 1,704,679 2.95187,000,000 Japan (Government of) 20.06.25/1.900% 2,426,986 4.21105,000,000 Japan (Government of) 20.12.28/1.900% 1,325,369 2.3079,000,000 Japan (Government of) 20.09.35/2.500% 1,076,801 1.87

16,020,237 27.77

ITALY625,000 Italy (Republic of) 15.12.13/3.750% 911,777 1.58482,000 Italy (Republic of) 01.03.20/4.250% 679,871 1.18690,000 Italy (Republic of) 01.09.20/4.000% 951,031 1.65710,000 Italy (Republic of) 01.02.37/4.000% 819,835 1.42

3,362,514 5.83

UNITED KINGDOM300,000 Barclays Bank 13.04.16/3.625% 441,138 0.76150,000 Legal & General Group 08.06.25/4.000%* 199,357 0.35330,000 UK Treasury 07.09.15/4.750% 591,087 1.02145,000 UK Treasury 07.06.32/4.250% 234,802 0.41155,000 UK Treasury 07.09.34/4.500% 258,436 0.45510,000 UK Treasury 07.12.42/4.500% 857,375 1.49

2,582,195 4.48

UNITED STATES OF AMERICA145,000 AT&T 15.05.21/4.450% 147,472 0.26365,000 Bank of America 15.06.12/3.125% 374,848 0.64175,000 BMW US Capital 28.05.15/5.000% 270,470 0.47125,000 Citigroup 09.08.20/5.375% 130,519 0.23350,000 Citigroup Funding 10.12.12/2.250% 358,962 0.62350,000 General Electric Capital 28.09.12/2.000% 356,962 0.62160,000 Kraft Foods 10.02.20/5.375% 174,885 0.3080,000 Morgan Stanley 26.01.20/5.500% 81,209 0.14

100,000 Morgan Stanley 25.01.21/5.750% 103,284 0.18135,000 Tennessee Valley Authority 15.09.39/5.250% 142,668 0.25145,000 Verizon Communications 01.04.21/4.600% 149,522 0.26

2,290,801 3.97

SOUTH AFRICA9,700,000 South Africa (Republic of) 15.09.15/13.500% 1,737,122 3.01

100,000 South Africa (Republic of) 09.03.20/5.500% 109,460 0.19

1,846,582 3.20

NETHERLANDS500,000 LeasePlan 22.05.14/3.250% 744,004 1.29100,000 Linde Finance 01.06.21/3.875% 143,729 0.25610,000 Netherlands (Kingdom of) 15.07.18/4.000% 941,253 1.63

1,828,986 3.17

FRANCE249,000 France (Government of) 25.04.35/4.750% 393,987 0.68709,000 France (Government of) 25.04.60/4.000% 979,737 1.70200,000 Société des Autoroutes

Paris-Rhin-Rhone 12.01.17/5.000% 297,578 0.52

1,671,302 2.90

SPAIN395,000 Spain (Kingdom of) 31.01.14/4.250% 575,592 1.0050,000 Spain (Kingdom of) 30.07.19/4.600% 69,453 0.12

205,000 Spain (Kingdom of) 30.04.20/4.000% 270,689 0.47435,000 Spain (Kingdom of) 31.10.20/4.850% 605,230 1.05

70,000 Telefonica Emisiones 16.02.21/5.462% 70,975 0.12

1,591,939 2.76

MEXICO125,000 Mexico (United Mexican States) 05.12.24/10.000% 1,319,526 2.29

1,319,526 2.29

BELGIUM710,000 Belgium (Kingdom of) 28.03.18/4.000% 1,044,733 1.81

1,044,733 1.81

SOUTH KOREA1,023,000,000 Korea (Republic of) 10.06.12/4.000% 961,786 1.67

961,786 1.67

AUSTRIA255,000 Austria (Republic of) 15.03.19/4.350% 396,981 0.69108,000 Austria (Republic of) 15.03.26/4.850% 173,657 0.30

570,638 0.99

DENMARK2,600,000 Denmark (Kingdom of) 15.11.17/4.000% 543,713 0.94

543,713 0.94

POLAND1,200,000 Poland (Government of) 25.04.14/5.750% 445,009 0.77

445,009 0.77

SWEDEN2,530,000 Sweden (Kingdom of) 12.08.17/3.750% 422,762 0.73

422,762 0.73

CANADA180,000 Suncor Energy 01.06.18/6.100% 205,187 0.35100,000 Xstrata Canada Financial 27.05.20/7.375% 182,410 0.32

387,597 0.67

BRAZIL555 Brazil (Republic of) 01.01.13/10.000% 343,118 0.60

343,118 0.60

RUSSIA233,550 Russian Foreign Bond -

Eurobond 31.03.30/7.500%* 275,642 0.48

275,642 0.48

FINLAND160,000 Finland (Government of) 15.09.14/3.125% 239,278 0.41

239,278 0.41

GERMANY90,000 Germany (Federal Republic of) 04.01.31/5.500% 162,470 0.28

162,470 0.28

INTERNATIONAL AGENCIES100,000 Eurasian Development Bank

144A 29.09.14/7.375% 111,145 0.19

111,145 0.19

PERU45,000 Peru (Republic of) 21.11.33/8.750% 61,307 0.11

61,307 0.11

LUXEMBOURG50,000 Telecom Italia Capital 04.06.38/7.721% 49,381 0.09

49,381 0.09

Total Bonds 38,132,661 66.11


38,132,661 66.11


Bonds

UNITED STATES OF AMERICA112,987 ACE Securities 2005-HE4 M1 25.07.35/0.689%* 105,727 0.18282,711 Aegis Asset Backed Securities

Trust 2004-3 A1 25.09.34/0.546%* 251,193 0.448,769 Ally Auto Receivables Trust

2010-1 A2 15.04.12/0.750% 8,771 0.0249,101 Asset Backed Funding

Certificates 2005-HE2 M1 25.06.35/0.666%* 48,333 0.08675,000 Citibank Omni Master Trust

2009-A8 A8 16.05.16/2.287%* 683,300 1.18863,529 Countrywide Alternative Loan

Trust 2005-J14 A3 25.12.35/5.500% 680,634 1.18122,010 Credit Suisse First Boston

Mortgage Securities 2004-3 2A1 25.04.19/5.000% 127,451 0.22166,962 Credit Suisse First Boston

Mortgage Securities2005-C2 AAB 15.04.37/4.681% 171,116 0.30

136,527 Daimler Chrysler Auto Trust2007-A A4 08.03.13/5.280% 138,669 0.24

768,057 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 91,142 0.16

33

JPMorgan Investment Funds - Global Bond Fund (USD)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

256,187 First Union National BankCommercial Mortgage2002-C1 A2 12.02.34/6.141% 260,239 0.45

265,000 Freddie Mac 30.07.14/1.000% 264,974 0.46625,000 Freddie Mac REMICS 3800 KE 15.02.26/3.500% 615,543 1.07320,000 Greenwich Capital Commercial

Funding 2005-GG3 A4 10.08.42/4.799%* 342,495 0.591,177,860 Harborview Mortgage Loan

Trust 2005-11 2A1A 19.08.45/0.496%* 845,459 1.47738,251 Indymac Index Mortgage Loan

Trust 2004-AR14 2A1A 25.01.35/0.546%* 436,549 0.76177,400 JP Morgan Mortgage Trust

2005-S2 1A1 25.08.20/4.500% 178,895 0.31475,000 LB-UBS Commercial Mortgage

Trust 2006-C6 A4 15.09.39/5.372% 519,560 0.9096,225 Morgan Stanley ABS Capital I

2004-SD2 A 25.04.34/0.639%* 78,945 0.14220,000 Morgan Stanley Capital I

2005-HQ7 A4 14.11.42/5.374%* 238,759 0.41160,000 Morgan Stanley Capital I

2006-IQ12 A4 15.12.43/5.332% 173,553 0.30170,000 NBC Universal Media 144A 01.04.21/4.375% 168,317 0.2980,000 Park Place Securities

2005-WHQ3 M1 25.06.35/0.606%* 72,278 0.13282,728 Residential Asset Mortgage

Products 2004-RS11 M1 25.11.34/0.806%* 230,021 0.4076,919 Residential Funding Mortgage

Securities I 2006-S12 2A2 25.12.36/6.000% 75,596 0.13139,653 Structured Asset Securities

2005-WF4 A4 25.11.35/0.545%* 124,368 0.22160,000 US Treasury 21.07.11/0.000% 159,984 0.28185,000 US Treasury (i) 15.02.14/4.000% 201,072 0.3580,000 US Treasury 31.12.14/2.625% 84,438 0.15

560,000 US Treasury 31.10.15/1.250% 556,587 0.96545,000 US Treasury 30.04.16/2.000% 554,601 0.96190,000 US Treasury 31.05.16/1.750% 190,713 0.33370,000 US Treasury 31.12.17/2.750% 380,955 0.66515,000 US Treasury 15.08.19/3.625% 550,225 0.95185,000 US Treasury 15.05.20/3.500% 193,629 0.33320,000 US Treasury 15.02.21/3.625% 334,450 0.58720,000 US Treasury 15.05.21/3.125% 719,494 1.25468,000 US Treasury 15.02.31/5.375% 548,693 0.95775,000 US Treasury (i) 15.02.36/4.500% 799,703 1.39224,000 US Treasury 15.08.39/4.500% 228,410 0.40275,000 US Treasury 15.11.40/4.250% 268,189 0.46265,000 US Treasury 15.02.41/4.750% 280,962 0.49255,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.380%* 278,658 0.481,039,324 WaMu Mortgage Pass Through

Certificates 2005-AR9 A1A 25.07.45/0.506%* 856,096 1.48145,000 Wells Fargo Home Equity Trust

2004-2 AI6 25.05.34/5.000%* 148,496 0.2696,575 Wells Fargo Mortgage Backed

Securities Trust 2005-2 2A1 25.04.20/4.750% 100,504 0.17

14,367,746 24.91

CANADA900,000 Canada (Government of) 01.06.12/3.750% 953,113 1.65144,000 Canada (Government of) 01.06.33/5.750% 199,615 0.3590,000 Canada (Government of) 01.06.37/5.000% 115,740 0.20

1,268,468 2.20

UNITED KINGDOM187,902 Themeleion Mortgage

Finance 2 A 12.01.40/1.454%* 212,457 0.37

212,457 0.37

Total Bonds 15,848,671 27.48

Investment Funds

LUXEMBOURG64 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (acc)) 900,012 1.56

900,012 1.56

Total Investment Funds 900,012 1.56


16,748,683 29.04

Other Transferable Securities

Bonds

UNITED STATES OF AMERICA2,000,000 Lehman Brothers Holdings

(Defaulted) 03.04.09/0.000% 515,000 0.89

515,000 0.89

Total Bonds 515,000 0.89

Total Other Transferable Securities 515,000 0.89


Cash 1,444,461 2.50



* Variable coupon rates are those quoted as at 30 June 2011.(i) Security partially or totally held as collateral against financial futures contracts by the broker.

34



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Allocation of Portfolio as at 30 June 2011 % ofNet Assets

Fixed Income SecuritiesUnited States of America 29.77Japan 27.77Italy 5.83United Kingdom 4.85South Africa 3.20Netherlands 3.17France 2.90Canada 2.87Spain 2.76Mexico 2.29Belgium 1.81South Korea 1.67Austria 0.99Denmark 0.94Poland 0.77Sweden 0.73Brazil 0.60Russia 0.48Finland 0.41Germany 0.28International Agencies 0.19Peru 0.11Luxembourg 0.09Total Fixed Income Securities 94.48Investment FundsLuxembourg 1.56Total Investment Funds 1.56Cash and Other Assets/(Liabilities) 3.96

Total 100.00


Fixed Income SecuritiesUnited States of America 31.11Japan 23.69Italy 5.36United Kingdom 4.85France 3.11Germany 3.04Netherlands 2.92Canada 2.88Spain 2.37Mexico 1.91South Africa 1.72Belgium 1.64South Korea 1.56Austria 1.15Israel 1.12Denmark 0.86Bermuda 0.72Poland 0.70Sweden 0.67Brazil 0.57Cayman Islands 0.47Russia 0.47Jersey 0.41Australia 0.41Finland 0.38Switzerland 0.33International Agencies 0.18Total Fixed Income Securities 94.60Investment FundsLuxembourg 1.86Total Investment Funds 1.86Cash and Other Assets/(Liabilities) 3.54

Total 100.00

35



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 1 Australia 10 Year Bond Future AUD 113,815 (172)Sep-11 4 Canada 10 Year Bond Future CAD 514,818 373Sep-11 4 Euro-Bobl Future EUR 676,316 (463)Sep-11 9 Euro-Bund Future EUR 1,638,384 (1,042)Sep-11 13 Euro-Schatz Future EUR 2,024,606 (752)Sep-11 2 Japan 10 Year Bond Future JPY 3,499,969 (7,445)Sep-11 5 Long Gilt Future GBP 965,921 992Sep-11 (33) US 2 Year Note Future USD (7,240,407) (5,156)Sep-11 (16) US 5 Year Note Future USD (1,911,500) (13,936)Sep-11 24 US 10 Year Note Future USD 2,943,750 10,421Sep-11 (5) US Long Bond Future USD (615,781) 6,289Sep-11 (1) US Ultra Bond Future USD (125,875) 1,773

Total (9,118)


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD) (continued)

As at 30 June 2011



AmountSold


05-Jul-11 AUD 666,649 USD 706,172 8,97105-Jul-11 CAD 61,677 AUD 59,946 (445)05-Jul-11 CAD 73,448 SEK 475,944 83505-Jul-11 CAD 1,113,432 USD 1,127,487 25,39105-Jul-11 CHF 168,842 NZD 248,578 (5,544)05-Jul-11 CHF 834,851 USD 1,003,813 (12,892)05-Jul-11 DKK 2,898,361 USD 559,580 2,58105-Jul-11 EUR 62,971 CHF 77,145 (462)05-Jul-11 EUR 137,393 NOK 1,079,675 (1,994)05-Jul-11 EUR 285,458 SEK 2,595,337 2,84005-Jul-11 EUR 9,192,295 USD 13,233,861 65,22305-Jul-11 GBP 2,511,939 USD 4,026,364 (6,422)05-Jul-11 JPY 8,312,355 AUD 98,353 (2,369)05-Jul-11 JPY 1,411,832,580 USD 17,397,228 120,61505-Jul-11 MXN 8,127,650 USD 689,117 3,25705-Jul-11 NOK 1,084,275 AUD 187,729 24005-Jul-11 NOK 2,375,125 SEK 2,773,538 3,35105-Jul-11 NOK 6,378,794 USD 1,164,453 21,70605-Jul-11 NZD 513,192 USD 418,810 6,37605-Jul-11 PLN 1,189,180 USD 426,843 5,21805-Jul-11 SEK 965,104 JPY 12,052,329 2,97505-Jul-11 SEK 7,724,256 USD 1,220,115 57605-Jul-11 USD 340,186 AUD 320,621 (3,758)05-Jul-11 USD 1,280,979 CAD 1,248,557 (11,810)05-Jul-11 USD 1,095,576 CHF 926,547 (4,183)05-Jul-11 USD 553,028 DKK 2,898,361 (9,133)05-Jul-11 USD 13,914,037 EUR 9,678,118 (87,918)05-Jul-11 USD 4,141,823 GBP 2,511,939 121,88105-Jul-11 USD 17,268,795 JPY 1,408,092,606 (202,643)05-Jul-11 USD 700,112 MXN 8,127,650 7,73905-Jul-11 USD 1,620,305 NOK 8,758,519 (8,373)05-Jul-11 USD 217,131 NZD 264,614 (2,105)05-Jul-11 USD 431,585 PLN 1,189,180 (477)05-Jul-11 USD 437,869 SEK 2,844,541 (11,664)05-Jul-11 USD 1,710,383 ZAR 11,813,389 (32,157)05-Jul-11 ZAR 11,813,389 USD 1,726,005 16,53503-Aug-11 AUD 70,323 NZD 90,901 (12)03-Aug-11 CAD 66,781 USD 69,103 (8)03-Aug-11 EUR 96,473 CHF 115,853 1,91603-Aug-11 EUR 316,463 JPY 36,840,908 26703-Aug-11 EUR 782,091 USD 1,114,213 16,31003-Aug-11 GBP 39,728 AUD 60,845 (1,465)03-Aug-11 GBP 381,483 EUR 427,169 (7,205)03-Aug-11 GBP 240,192 USD 382,696 1,54803-Aug-11 JPY 7,959,417 CHF 82,420 92703-Aug-11 JPY 6,491,005 USD 80,921 (370)03-Aug-11 NOK 9,105,909 USD 1,681,041 9,10403-Aug-11 USD 612,229 AUD 579,504 (7,037)03-Aug-11 USD 1,115,178 CAD 1,102,378 (25,406)03-Aug-11 USD 1,003,982 CHF 834,851 12,86903-Aug-11 USD 559,213 DKK 2,898,361 (2,555)03-Aug-11 USD 12,463,020 EUR 8,662,415 (58,617)03-Aug-11 USD 4,006,663 GBP 2,502,301 3,63503-Aug-11 USD 16,717,048 JPY 1,356,715,527 (119,399)03-Aug-11 USD 797,036 MXN 9,440,903 (5,076)

36


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in USD) (continued)

As at 30 June 2011



AmountSold


03-Aug-11 USD 168,743 NZD 206,146 (1,704)03-Aug-11 USD 425,579 PLN 1,189,180 (5,146)03-Aug-11 USD 404,482 SEK 2,593,481 (4,659)03-Aug-11 USD 1,718,820 ZAR 11,813,389 (16,232)

Total (196,354)

37


Shares

UNITED KINGDOM11,648 BG Group 263,078 0.3510,363 BHP Billiton 404,631 0.53

105,760 BP 776,134 1.0213,130 British American Tobacco 570,510 0.75

73,039 Centrica 376,683 0.4954,580 HSBC Holdings 536,415 0.7018,658 Intercontinental Hotels Group 380,569 0.5039,653 National Grid 385,999 0.5171,929 Northumbrian Water Group 477,440 0.6320,659 Standard Chartered 537,434 0.70

6,266 Unilever 200,512 0.26261,274 Vodafone Group 688,681 0.90

5,598,086 7.34

UNITED STATES OF AMERICA1,162 Apple 387,701 0.51

7,706 Chevron 786,436 1.035,842 Coca-Cola 393,313 0.52

10,555 Dow Chemical 373,911 0.498,284 EI du Pont de Nemours & Co. 447,212 0.59

12,144 General Motors Preference Shares 589,227 0.774,640 Newmont Mining 248,402 0.337,638 Union Pacific 800,233 1.056,767 United Technologies 593,263 0.77

72 Wells Fargo & Co Preference Shares 76,070 0.10

4,695,768 6.16

GERMANY2,273 Allianz Registered Shares 315,320 0.42

67,808 Commerzbank 290,449 0.3811,094 Deutsche Wohnen - Bearer Shares 190,088 0.25

5,172 Fresenius Medical Care & Co. KGaA 384,594 0.5015,812 ThyssenKrupp 816,902 1.072,037 Volkswagen Preference Shares 415,339 0.54

2,412,692 3.16

FRANCE21,121 Total 1,207,994 1.58

1,207,994 1.58

SINGAPORE306,000 Singapore Telecommunications 786,181 1.03

786,181 1.03

SPAIN32,154 Telefonica 779,709 1.02

779,709 1.02

CANADA16,836 Barrick Gold 758,293 0.99

758,293 0.99

NETHERLANDS51,890 Koninklijke KPN 746,604 0.98

746,604 0.98

JERSEY58,402 WPP 728,805 0.96

728,805 0.96

HONG KONG105,000 Hang Lung Properties 431,074 0.57

431,074 0.57

NETHERLANDS ANTILLES4,541 Schlumberger 391,866 0.51

391,866 0.51

GUERNSEY80,783 Resolution 374,086 0.49

374,086 0.49

JAPAN10,500 Komatsu 325,181 0.43

325,181 0.43

SOUTH AFRICA8,955 Impala Platinum Holdings 239,802 0.31

239,802 0.31

AUSTRALIA33,815 Fortescue Metals Group 230,070 0.30

230,070 0.30


205,227 0.27

TAIWAN70 MediaTek 761 0.00

761 0.00

Total Shares 19,912,199 26.10

Bonds

INTERNATIONAL AGENCIES1,040,000 European Investment Bank 14.08.13/6.000% 1,134,887 1.49

600,000 European Investment Bank 20.05.14/5.375% 644,818 0.841,500,000 European Investment Bank 15.01.21/3.625% 2,181,864 2.863,500,000 Inter-American Development

Bank 15.08.17/2.375% 3,501,628 4.59

7,463,197 9.78

UNITED KINGDOM700,000 RBS 11.04.16/0.990% 610,575 0.80

1,250,000 UK Treasury 16.08.13/2.500% 5,742,385 7.53

6,352,960 8.33

ITALY4,200,000 Italy (Republic of) 01.11.15/3.000% 5,839,235 7.65

5,839,235 7.65


600,000 Verizon Wireless Capital 01.02.14/5.550% 661,425 0.87

3,745,995 4.91

LUXEMBOURG1,500,000 European Financial Stability

facility 05.07.21/3.375% 2,132,176 2.79

2,132,176 2.79

AUSTRALIA1,000,000 Australia (Commonwealth of) 20.08.20/4.000% 1,805,623 2.37

1,805,623 2.37

FRANCE48,000 Sanofi 17.05.13/3.500% 71,255 0.09

1,000,000 Société Financement del’Economie Francaise 22.09.14/2.875% 1,049,050 1.38

1,120,305 1.47

CAYMAN ISLANDS500,000 Hutchison Whampoa

International 10 28.10.15/6.000% 512,485 0.67

512,485 0.67

Total Bonds 28,971,976 37.97

Convertible Bonds

NETHERLANDS1,200,000 Portugal Telecom International

Finance 28.08.14/4.125% 1,621,334 2.13500,000 Wereldhave 16.09.14/4.375% 770,853 1.01

2,392,187 3.14

38

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

SINGAPORE500,000 CapitaLand 03.09.16/2.875% 401,110 0.53500,000 CapitaLand 05.03.18/3.125% 429,377 0.56

830,487 1.09

UNITED STATES OF AMERICA580,000 Swiss Re America Holding 21.11.21/3.250% 578,736 0.76

578,736 0.76

SWITZERLAND275,000 Swiss Prime Site 20.01.15/1.875% 341,108 0.45

341,108 0.45

Total Convertible Bonds 4,142,518 5.44

Total Transferable Securities Admitted to an OfficialExchange Listing

53,026,693 69.51


Bonds

UNITED STATES OF AMERICA3,600,000 US Treasury 28.02.15/2.375% 3,766,500 4.94

3,766,500 4.94

Total Bonds 3,766,500 4.94

Convertible Bonds

UNITED STATES OF AMERICA742,000 Liberty Media 30.03.23/3.125% 887,618 1.16

887,618 1.16

Total Convertible Bonds 887,618 1.16


4,654,118 6.10


Cash 18,511,360 24.27



* Variable coupon rates are those quoted as at 30 June 2011.


Fixed Income SecuritiesUnited States of America 11.77International Agencies 9.78United Kingdom 8.33Italy 7.65Netherlands 3.14Luxembourg 2.79Australia 2.37France 1.47Singapore 1.09Cayman Islands 0.67Switzerland 0.45Total Fixed Income Securities 49.51SharesMaterials 4.61Energy 4.49Telecommunication Services 3.93Financials 3.88Consumer Discretionary 2.77Industrials 2.25Utilities 1.63Consumer Staples 1.53Information Technology 0.51Health Care 0.50Total Shares 26.10Cash and Other Assets/(Liabilities) 24.39

Total 100.00


Fixed Income SecuritiesUnited States of America 14.88Japan 5.75International Agencies 4.61United Kingdom 3.99Australia 2.24France 1.49Netherlands 1.47Singapore 1.09Germany 0.94Cayman Islands 0.67Netherlands Antilles 0.32Total Fixed Income Securities 37.45SharesIndustrials 9.02Materials 6.40Consumer Discretionary 5.31Consumer Staples 4.98Health Care 3.12Information Technology 3.05Energy 2.06Financials 1.82Telecommunication Services 0.67Investment Companies 0.00Total Shares 36.43Cash and Other Assets/(Liabilities) 26.12

Total 100.00

39



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Bond Futures

Sep-11 (38) Australia 3 Year Bond Future AUD (4,215,493) 10,388Sep-11 (24) Euro Buxl 30 Year Bond Future EUR (3,585,641) 11,806Sep-11 (58) Euro-Bund Future EUR (10,558,894) 6,294Sep-11 (306) Euro-Schatz Future EUR (47,657,219) 16,603Sep-11 (6) Japan 10 Year Bond Future JPY (10,499,907) 22,334Sep-11 176 Long Gilt Future GBP 33,999,026 1,408

Total Bond Futures68,833

Equity Futures

Sep-11 (79) DJ Euro Stoxx 50 Index Future EUR (3,234,151) (22,860)Sep-11 (29) FTSE 100 Index Future GBP (2,729,234) (3,301)Sep-11 (47) Russell 2000 Mini Future USD (3,871,625) (22,795)Dec-12 (29) DJ Euro Stoxx 50 Index Dividend Future EUR (514,623) (1,469)

Total Equity Futures(50,425)

Total 18,408




AmountSold


22-Jul-11 EUR 58,928 AUD 80,625 (1,082)22-Jul-11 EUR 3,359,006 USD 4,822,486 34,82622-Jul-11 GBP 900,000 USD 1,446,622 (6,637)22-Jul-11 HKD 2,000,000 USD 256,988 3822-Jul-11 JPY 447,513,311 NOK 30,526,940 (117,347)22-Jul-11 NOK 20,120,000 JPY 301,606,848 (5,243)22-Jul-11 NOK 30,412,872 USD 5,457,838 191,47922-Jul-11 USD 3,630,050 AUD 3,460,157 (73,475)22-Jul-11 USD 726,608 CAD 714,514 (12,894)22-Jul-11 USD 344,641 CHF 290,713 (454)22-Jul-11 USD 26,800,367 EUR 18,923,158 (563,588)22-Jul-11 USD 14,549,850 GBP 9,037,123 90,60222-Jul-11 USD 862,112 HKD 6,721,972 (1,747)22-Jul-11 USD 6,100,814 JPY 492,267,120 (7,691)22-Jul-11 USD 1,786,466 SGD 2,218,076 (19,827)

Total (493,040)

Schedule of Investments - Outstanding Credit Default Swaps (Expressed in USD)

TerminationDate Counterparty Referenced Obligation

ProtectionBuyer/Seller Currency Nominal

MarketValue


20-Jun-16 Credit Suisse iTraxx Europe Series 15 Version 1 Buyer EUR 7,000,000 46,480 46,480

Total 46,480 46,480

40


Schedule of Investments - Outstanding Financial Option Contracts (Expressed in USD)

As at 30 June 2011

ExpirationDate


MarketValue


20-Jul-11 1,260 VIX Index, Call Option, Strike Price 25 USD 47,250 (136,672)20-Jul-11 1,212 VIX Index, Call Option, Strike Price 27.5 USD 30,300 (131,769)20-Jul-11 (1,260) VIX Index, Call Option, Strike Price 30 USD (18,900) 76,51820-Jul-11 840 VIX Index, Put Option, Strike Price 17 USD 56,700 (19,925)17-Aug-11 550 VIX Index, Put Option, Strike Price 17 USD 52,250 4,82908-Sep-11 438 KOSPI 200 Index, Put Option, Strike Price 245 USD 79,605 (38,763)08-Sep-11 (219) KOSPI 200 Index, Put Option, Strike Price 260 USD (88,238) 28,91417-Sep-11 24 S&P 500 Index, Call Option, Strike Price 1,325 USD 71,040 25,87329-Sep-11 94 H-Shares Index, Put Option, Strike Price 11,600 HKD (20,534) (7,787)16-Dec-11 2,392 BBVA, Call Option, Strike Price 10.57 EUR 24,226 (47,924)16-Dec-11 115 FTSE 100 Index, Call Option, Strike Price 6,800 GBP 14,264 (71,419)16-Dec-11 358 Société Générale, Call Option, Strike Price 64 EUR 1,554 (27,888)16-Dec-11 1,067 UniCredit, Call Option, Strike Price 2.4 EUR 6,561 (65,143)

Total 256,078 (411,156)

Schedule of Investments - Outstanding Variance Swaps (Expressed in USD)

TerminationDate Counterparty Description Currency

VarianceAmount

MarketValue


08-Dec-11 BNP Paribas KOSPI 200 Index,Volatility Strike 25.60 KRW 254,952 (63,922) (63,922)08-Dec-11 BNP Paribas KOSPI 200 Index,Volatility Strike 23.80 KRW 499,922 (41,164) (41,164)16-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.45 USD 163 96,600 96,60016-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.80 USD 158 96,808 96,80816-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 24.50 USD 433 110,885 110,88529-Dec-11 BNP Paribas Hang Sang China Enterprises Index,Volatility Strike 33.95 HKD 951 (74,275) (74,275)16-Mar-12 Merrill Lynch DJ Euro Stoxx 50, Volatility Strike 0.25 EUR 163 282 28216-Mar-12 Merrill Lynch DJ Euro Stoxx 50, Volatility Strike 0.26 EUR 161 (3,674) (3,674)16-Mar-12 Merrill Lynch S&P 500 Index,Volatility Strike 0.22 USD 290 (3,465) (3,465)16-Mar-12 Merrill Lynch S&P 500 Index,Volatility Strike 0.23 USD 281 903 903

Total 118,978 118,978

41


Shares

UNITED STATES OF AMERICA25,100 Apache Preference Shares 1,649,321 0.314,474 Bank of America Preference Shares 4,439,326 0.83

18,242 Citigroup Preference Shares 2,175,906 0.41104,147 General Motors Preference Shares 5,053,212 0.9549,300 Goodyear Tire & Rubber Preference Shares 2,726,290 0.5137,150 Health Care REIT Preference Shares 1,922,327 0.3613,350 MetLife Preference Shares 1,093,432 0.21

84,800 NextEra Energy Preference Shares 4,388,400 0.8254,950 PPL Preference Shares 3,012,084 0.57

2,272 Wells Fargo & Co Preference Shares 2,400,425 0.45

28,860,723 5.42

NETHERLANDS23,350 Nielsen Holdings Preference Shares 1,414,134 0.27

1,414,134 0.27

ISLE OF MAN27,050 AngloGold Ashanti Holdings Finance Preference

Shares 1,347,766 0.25

1,347,766 0.25

BERMUDA11,000 Bunge Preference Shares 1,124,200 0.21

1,124,200 0.21

Total Shares 32,746,823 6.15

Convertible Bonds

FRANCE37,832,400 Air France-KLM 01.04.15/4.970% 7,650,430 1.4493,125,296 Alcatel-Lucent 01.01.15/5.000% 6,276,785 1.181,388,900 AXA 01.01.17/3.750% 4,733,297 0.896,497,300 Cap Gemini 01.01.14/3.500% 4,275,965 0.806,561,300 Club Mediterranee 01.11.15/6.110% 1,973,782 0.376,874,800 Eurazeo 10.06.14/6.250% 5,887,464 1.114,950,000 Foncière Des Régions 01.01.17/3.340% 6,141,443 1.151,732,400 Iliad 01.01.12/2.200% 2,405,272 0.453,498,700 Misarte 01.01.16/3.250% 8,149,490 1.531,173,100 Nexans 01.01.13/1.500% 1,461,859 0.27

2,637,200 Nexans 01.01.16/4.000% 2,660,393 0.5017,961,200 Peugeot 01.01.16/4.450% 9,134,617 1.711,019,300 Pierre & Vacances 01.10.15/4.000% 1,193,623 0.22

764,800 Unibail-Rodamco 01.01.15/3.500% 2,377,314 0.45

64,321,734 12.07

JAPAN683,000,000 Aeon 22.11.12/0.000% 9,540,136 1.79463,000,000 Asahi Group Holdings 26.05.28/0.000% 5,895,574 1.11275,000,000 Asahi Glass 14.11.12/0.000% 3,538,371 0.67350,000,000 Asahi Glass 14.11.14/0.000% 4,679,261 0.88319,000,000 Hitachi 12.12.14/0.100% 6,000,422 1.13305,000,000 Nidec 18.09.15/0.000% 3,908,291 0.73246,000,000 Nippon Meat Packers 03.03.14/0.000% 3,325,034 0.62483,000,000 ORIX 31.03.14/1.000% 7,504,254 1.41

61,000,000 Sawai Pharmaceutical 17.09.15/0.000% 834,261 0.16450,000,000 Sekisui House 05.07.16/0.000% 5,772,462 1.08152,000,000 Softbank 31.03.13/1.500% 2,703,071 0.51

1,000,000 Takashimaya 14.11.14/0.000% 12,718 0.00410,000,000 Unicharm 24.09.13/0.000% 5,450,896 1.02110,000,000 Unicharm 24.09.15/0.000% 1,493,657 0.28

60,658,408 11.39

NETHERLANDS1,900,000 Celesio Finance 07.04.18/2.500% 2,584,967 0.486,500,000 Lukoil International Finance 16.06.15/2.625% 7,549,847 1.42

500,000 MTU Aero Engines Finance 01.02.12/2.750% 830,112 0.163,475,000 Pargesa Netherlands 15.06.14/1.750% 4,082,228 0.771,200,000 Portugal Telecom International

Finance 28.08.14/4.125% 1,621,334 0.302,200,000 Q-Cells International Finance 26.05.14/5.750% 1,720,513 0.321,700,000 Salzgitter Finance 08.11.17/2.000% 2,764,936 0.521,400,000 Wereldhave 16.09.14/4.375% 2,158,388 0.41

23,312,325 4.38

CAYMAN ISLANDS5,200,000 China Overseas Finance

Investment Cayman 14.05.14/0.000% 6,848,842 1.294,300,000 EFG Ora Funding III 29.10.14/1.700% 3,305,677 0.62

10,000,000 Hengdeli Holdings 20.10.15/2.500% 1,464,310 0.2715,000,000 Intime Department Store Group 27.10.13/1.750% 2,276,127 0.4319,800,000 Soho China 02.07.14/3.750% 3,408,346 0.64

2,200,000 Subsea 7 11.10.13/2.250% 2,690,523 0.511,700,000 TPK Holding 20.04.14/0.000% 1,832,489 0.34

21,826,314 4.10

UNITED KINGDOM500,000 Aberdeen Asset Management 17.12.14/3.500% 1,010,813 0.19900,000 Anglo American 07.05.14/4.000% 1,666,237 0.31

1,000,000 Misys 22.11.15/2.500% 2,182,545 0.413,400,000 TUI Travel 05.10.14/6.000% 5,483,231 1.035,800,000 Vedanta Resources Jersey 13.07.16/5.500% 6,622,962 1.243,800,000 Vedanta Resources Jersey II 30.03.17/4.000% 3,857,988 0.73

20,823,776 3.91

SINGAPORE10,500,000 CapitaLand 03.09.16/2.875% 8,423,300 1.584,900,000 Olam International 15.10.16/6.000% 6,305,638 1.18

800,000 OSIM International 05.07.16/2.750% 625,098 0.124,250,000 Yanlord Land Group 13.07.14/5.850% 3,520,035 0.66

18,874,071 3.54

BRITISH VIRGIN ISLANDS6,100,000 Billion Express Investments 18.10.15/0.750% 7,136,054 1.345,700,000 Newford Capital 12.05.16/0.000% 5,576,595 1.05

14,720,000 Power Regal Group 02.06.14/2.250% 2,194,485 0.4122,150,000 Sherson 04.06.14/0.000% 3,216,009 0.60

18,123,143 3.40

LUXEMBOURG1,945,000 Actelion Finance 22.11.11/0.000% 2,308,132 0.432,250,000 Ageasfinlux 31.12.49/2.774%* 1,736,079 0.32

900,000 Controlinveste InternationalFinance 28.01.15/3.000% 1,152,032 0.22

5,550,000 Espirito Santo Financial Group 15.11.25/5.050% 5,363,971 1.01700,000 Intralot Luxembourg 20.12.13/2.250% 956,939 0.18

2,450,000 Kloeckner & Co. FinancialServices 22.12.17/2.500% 4,047,947 0.76

1,500,000 TMK Bonds 11.02.15/5.250% 1,634,782 0.31

17,199,882 3.23

INDIA1,200,000 JSW Steel 28.06.12/0.000% 1,615,638 0.302,200,000 Larsen & Toubro 22.10.14/3.500% 2,616,922 0.49

262,000 Suzlon Energy 12.06.12/7.500% 366,800 0.07560,000 Suzlon Energy 11.10.12/7.500% 761,600 0.15

2,100,000 Tata Motors 12.07.12/0.000% 2,744,217 0.523,566,000 Tata Steel 21.11.14/4.500% 4,123,455 0.77

12,228,632 2.30

TAIWAN9,400,000 Hon Hai Precision Industry 12.10.13/0.000% 9,454,097 1.77

9,454,097 1.77

UNITED STATES OF AMERICA1,822,000 Chesapeake Energy 15.11.35/2.750% 2,011,032 0.384,195,000 Chesapeake Energy 15.05.37/2.500% 4,436,212 0.831,012,000 DR Horton 15.05.14/2.000% 1,120,790 0.21

7,568,034 1.42

JERSEY2,550,000 International Power Finance

Jersey III 05.06.15/4.750% 3,940,960 0.74600,000 London Mining Jersey 15.02.16/8.000% 653,802 0.12

2,000,000 Shire 09.05.14/2.750% 2,328,360 0.44

6,923,122 1.30

GERMANY4,100,000 KfW - Kreditanstalt für

Wiederaufbau 30.07.14/1.500% 6,707,557 1.26

6,707,557 1.26

42

JPMorgan Investment Funds - Global Convertibles Fund (USD)


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

AUSTRIA1,100,000 Immofinanz 19.11.17/1.250% 1,698,987 0.321,000,000 Steinhoff Finance Holding 22.05.16/5.000% 1,531,852 0.292,450,000 Steinhoff Finance Holding 31.03.18/4.500% 3,369,635 0.63

6,600,474 1.24

SOUTH KOREA2,400,000 Hynix Semiconductor 14.05.15/2.650% 2,563,104 0.483,400,000 SK Telecom 07.04.14/1.750% 3,999,148 0.75

6,562,252 1.23

PORTUGAL4,000,000 Parpublica - Participaçes

Publicas 28.09.17/5.250% 5,847,994 1.10

5,847,994 1.10

SWEDEN3,200,000 Industrivarden 27.02.15/2.500% 5,563,613 1.04

5,563,613 1.04

ISLE OF MAN4,700,000 AngloGold Ashanti Holdings

Finance 22.05.14/3.500% 5,439,357 1.02

5,439,357 1.02

SWITZERLAND3,175,000 Swiss Prime Site 20.01.15/1.875% 3,938,244 0.74

3,938,244 0.74

UNITED ARAB EMIRATES2,600,000 Aabar Investments 27.05.16/4.000% 3,787,146 0.71

3,787,146 0.71

MALAYSIA3,000,000 YTL Finance Labuan 18.03.15/1.875% 3,172,230 0.60

3,172,230 0.60

BERMUDA1,200,000 Aquarius Platinum 18.12.15/4.000% 1,282,848 0.24

11,800,000 Yue Yuen Industrial Holdings 17.11.11/0.000% 1,719,994 0.32

3,002,842 0.56

SPAIN1,150,000 Abengoa 03.02.17/4.500% 1,635,725 0.31

550,000 Fomento de Construcciones yContratas 30.10.14/6.500% 753,158 0.14

2,388,883 0.45

BELGIUM2,250,000 Fortis Bank 19.12.49/3.494%* 1,847,447 0.35

1,847,447 0.35



368,918,400 69.26


Convertible Bonds

UNITED STATES OF AMERICA1,000 Archer-Daniels-Midland 15.02.14/0.875% 1,069 0.00

1,973,000 Boston Properties 15.05.36/3.750% 2,325,674 0.441,796,000 Ciena 15.06.17/0.875% 1,523,116 0.29

708,000 Ciena 144A 15.03.15/4.000% 847,561 0.164,190,000 Dendreon 15.01.16/2.875% 4,671,557 0.881,598,000 Developers Diversified Realty 15.11.40/1.750% 1,659,922 0.31

1,000 EMC/Massachusetts 01.12.13/1.750% 1,731 0.002,018,000 Equinix 15.10.14/3.000% 2,257,637 0.42

550,000 General Cable 15.11.13/0.875% 592,625 0.116,550,000 Gilead Sciences 01.05.13/0.625% 7,843,625 1.476,438,000 Gilead Sciences 144A 01.05.14/1.000% 7,186,418 1.351,000,000 Gilead Sciences 144A 01.05.16/1.625% 1,163,750 0.22

452,000 Health Care REIT 01.12.26/4.750% 515,845 0.103,841,000 Health Care REIT 01.12.29/3.000% 4,321,125 0.81

924,000 Hologic 15.12.37/2.000% 1,056,825 0.201,580,000 Iconix Brand Group 144A 01.06.16/2.500% 1,664,356 0.315,668,000 Illumina 144A 15.03.16/0.250% 6,061,756 1.143,394,000 Intel 15.12.35/2.950% 3,504,305 0.667,656,000 Intel 01.08.39/3.250% 9,101,070 1.71

2,510,000 International Game Technology 01.05.14/3.250% 2,991,267 0.56850,000 James River Coal 144A 15.03.18/3.125% 847,875 0.16

2,857,000 Lam Research 144A 15.05.16/0.500% 2,842,772 0.532,219,000 Lam Research 144A 15.05.18/1.250% 2,201,536 0.41

438,000 Lennar 144A 15.12.20/2.750% 473,962 0.093,621,000 Liberty Media 30.03.23/3.125% 4,331,621 0.811,004,000 Life Technologies 15.02.24/1.500% 1,157,110 0.222,701,000 MGM Resorts International 15.04.15/4.250% 2,886,694 0.543,465,000 Micron Technology 01.06.14/1.875% 3,387,037 0.642,237,000 Micron Technology 01.06.27/1.875% 2,292,925 0.435,171,000 Microsoft 144A 15.06.13/0.000% 5,288,252 0.992,155,000 Mylan 15.03.12/1.250% 2,370,500 0.44949,000 National Retail Properties 15.06.28/5.125% 1,058,135 0.20677,000 NetApp 01.06.13/1.750% 1,098,432 0.21962,000 Newmont Mining 15.02.12/3.000% 1,173,640 0.22

4,466,000 Newmont Mining 15.07.14/1.250% 5,794,635 1.09837,000 Novellus Systems 144A 15.05.41/2.625% 887,894 0.17

1,180,000 ON Semiconductor 15.12.26/2.625% 1,416,000 0.262,081,000 Peabody Energy 15.12.41/4.750% 2,538,820 0.481,399,000 ProLogis 15.03.15/3.250% 1,613,327 0.30

436,000 Rayonier TRS Holdings 15.10.12/3.750% 534,645 0.107,560,000 SanDisk 15.08.17/1.500% 7,947,450 1.491,202,000 SBA Communications 01.05.13/1.875% 1,326,707 0.252,228,000 SESI 15.12.26/1.500% 2,272,560 0.431,896,000 Stanley Black & Decker 17.05.12/0.000%* 2,179,215 0.413,837,000 Symantec 15.06.13/1.000% 4,633,178 0.873,288,000 Teva Pharmaceutical Finance 01.02.26/0.250% 3,678,450 0.69

883,000 Tyson Foods 15.10.13/3.250% 1,140,174 0.211,362,000 VeriSign 15.08.37/3.250% 1,581,623 0.302,983,000 Vornado Realty 15.04.25/3.875% 3,374,519 0.634,774,000 Xilinx 15.03.37/3.125% 5,913,793 1.11

137,534,715 25.82

BERMUDA4,300,000 Seadrill 27.10.17/3.375% 5,104,208 0.96

5,104,208 0.96

CANADA1,753,000 Goldcorp 01.08.14/2.000% 2,204,398 0.41

2,000,000 Petrominerales 25.08.16/2.625% 2,281,410 0.43

4,485,808 0.84

MEXICO1,700,000 Cemex SAB de 15.03.15/4.875% 1,666,000 0.312,000,000 Cemex SAB de 144A 15.03.16/3.250% 1,955,000 0.37

3,621,000 0.68

LUXEMBOURG2,458,000 ArcelorMittal 15.05.14/5.000% 3,361,315 0.63

3,361,315 0.63

SOUTH KOREA2,000,000 Lotte Shopping 05.07.16/0.000% 2,039,300 0.38

2,039,300 0.38

SWEDEN9,000,000 SAS 01.04.15/7.500% 1,289,179 0.25

1,289,179 0.25

CAYMAN ISLANDS1,200,000 Polarcus 27.04.16/2.875% 1,083,966 0.20

1,083,966 0.20

FINLAND500,000 Talvivaara Mining 16.12.15/4.000% 754,214 0.14

754,214 0.14

NORWAY400,000 Marine Harvest 23.02.15/4.500% 640,599 0.12

640,599 0.12


43



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds

LUXEMBOURG10,620,319 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (dist)) 10,620,319 1.99

10,620,319 1.99



170,534,623 32.01


Cash 234,482 0.04

Other Assets/(Liabilities) (6,982,062) (1.31)




Fixed Income SecuritiesUnited States of America 27.24France 12.07Japan 11.39Netherlands 4.38Cayman Islands 4.30United Kingdom 3.91Luxembourg 3.86Singapore 3.54British Virgin Islands 3.40India 2.30Taiwan 1.77South Korea 1.61Bermuda 1.52Jersey 1.30Sweden 1.29Germany 1.26Austria 1.24Portugal 1.10Isle of Man 1.02Canada 0.84Switzerland 0.74United Arab Emirates 0.71Mexico 0.68Malaysia 0.60Spain 0.45Belgium 0.35Finland 0.14Norway 0.12Total Fixed Income Securities 93.13SharesFinancials 2.26Investment Companies 1.99Consumer Discretionary 1.73Utilities 1.39Energy 0.31Materials 0.25Consumer Staples 0.21Total Shares 8.14Cash and Other Assets/(Liabilities) (1.27)

Total 100.00


Fixed Income SecuritiesUnited States of America 26.36Japan 12.33France 11.34Luxembourg 5.01United Kingdom 4.53Singapore 4.38Cayman Islands 4.10Netherlands 3.21Jersey 2.95Germany 2.41India 2.19Bermuda 2.13Portugal 2.02Canada 1.95South Korea 1.34Malaysia 1.18Isle of Man 1.14Spain 1.06British Virgin Islands 0.86Australia 0.76Norway 0.74Switzerland 0.66Belgium 0.55Taiwan 0.51Bahamas 0.33Mexico 0.28Sweden 0.24Netherlands Antilles 0.22Austria 0.21Italy 0.14Finland 0.08Total Fixed Income Securities 95.21SharesInvestment Companies 2.02Financials 1.66Consumer Discretionary 0.85Energy 0.63Total Shares 5.16Cash and Other Assets/(Liabilities) (0.37)

Total 100.00

44



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


22-Jul-11 AUD 1,841,484 USD 1,941,219 29,78522-Jul-11 CHF 2,939,376 USD 3,490,681 (1,456)22-Jul-11 EUR 9,083,386 USD 13,019,112 115,97722-Jul-11 GBP 748,098 USD 1,211,739 (14,795)22-Jul-11 HKD 10,879,346 USD 1,396,494 1,64122-Jul-11 JPY 782,620,172 USD 9,755,220 (43,747)22-Jul-11 SGD 2,716,510 USD 2,203,237 8,95522-Jul-11 USD 1,953,115 AUD 1,841,484 (17,889)22-Jul-11 USD 12,790,615 CHF 10,739,768 41,83322-Jul-11 USD 141,944,610 EUR 98,328,872 (244,493)22-Jul-11 USD 9,061,533 GBP 5,531,092 211,87622-Jul-11 USD 14,342,814 HKD 111,617,698 (1,485)22-Jul-11 USD 63,428,249 JPY 5,093,847,519 219,09322-Jul-11 USD 13,362,826 SGD 16,463,375 (44,140)

Total 261,155

45


Shares

UNITED STATES OF AMERICA28,584 Abbott Laboratories 1,502,232 1.4838,687 Bristol-Myers Squibb 1,115,153 1.1013,785 Chevron 1,406,828 1.3833,032 Coca-Cola 2,223,879 2.2017,864 ConocoPhillips 1,338,639 1.3248,335 EI du Pont de Nemours & Co. 2,609,365 2.5892,276 Frontier Communications 745,129 0.749,707 International Business Machines 1,667,663 1.65

40,091 Mattel 1,099,496 1.0914,521 McDonald’s 1,228,114 1.2141,154 Merck & Co. 1,447,180 1.4322,737 Oneok 1,688,791 1.6725,453 Paychex 774,535 0.7680,719 Pfizer 1,661,601 1.6531,766 Sysco 989,511 0.9867,521 Time Warner 2,435,820 2.4043,763 Verizon Communications 1,614,198 1.6059,426 Wells Fargo & Co. 1,663,037 1.6468,978 Xcel Energy 1,671,682 1.65

28,882,853 28.53

FRANCE19,314 BNP Paribas 1,476,865 1.4621,741 Bouygues 946,667 0.93

23,899 Compagnie de Saint-Gobain 1,537,695 1.5233,020 GDF Suez 1,196,405 1.18

8,757 PPR 1,554,617 1.5322,015 Sanofi 1,749,971 1.7312,854 Schneider Electric 2,132,239 2.1017,835 Sodexho 1,388,544 1.3750,558 Suez Environnement 1,001,056 0.9921,112 Total 1,207,479 1.205,332 Unibail-Rodamco 1,221,607 1.21

15,413,145 15.22

GERMANY12,440 Allianz Registered Shares 1,725,726 1.7024,842 BASF 2,408,876 2.3821,300 Daimler Registered Shares 1,594,827 1.5818,321 Deutsche Boerse 1,387,017 1.37

80,426 Deutsche Telekom Registered Shares 1,248,299 1.2311,269 Siemens Registered Shares 1,544,204 1.53

9,908,949 9.79

UNITED KINGDOM44,384 British American Tobacco 1,928,523 1.90111,653 Cairn Energy 724,943 0.72272,772 Centrica 1,406,764 1.3974,128 GlaxoSmithKline 1,576,948 1.5637,841 Standard Chartered 984,415 0.97

692,522 Vodafone Group 1,825,390 1.80

8,446,983 8.34

JAPAN18,300 Daito Trust Construction 1,546,287 1.5330,600 Nippon Telegraph & Telephone 1,468,397 1.44

149,500 Sumitomo 2,021,900 2.00

5,036,584 4.97

NETHERLANDS64,996 Koninklijke KPN 935,175 0.9367,752 Royal Dutch Shell - A Shares 2,378,419 2.3536,280 Unilever - CVA 1,184,607 1.17

4,498,201 4.45

ITALY295,355 Enel 1,903,347 1.8862,865 ENI 1,467,579 1.45

448,152 UniCredit 930,791 0.92

4,301,717 4.25

SWITZERLAND19,202 Novartis Registered Shares 1,160,667 1.147,923 Zurich Financial Services 1,992,270 1.97

3,152,937 3.11

SINGAPORE139,000 Singapore Airlines 1,606,197 1.59556,000 Singapore Telecommunications 1,428,485 1.41

3,034,682 3.00

AUSTRALIA97,172 QBE Insurance Group 1,795,182 1.77

330,702 Tatts Group 853,517 0.85

2,648,699 2.62

CHINA750,000 Angang Steel - H Shares * 820,130 0.81

1,710,000 China Construction Bank - H Shares * 1,418,353 1.40

2,238,483 2.21

HONG KONG160,000 Hutchison Whampoa 1,728,024 1.71

1,728,024 1.71

FINLAND81,975 UPM-Kymmene 1,489,092 1.47

1,489,092 1.47

NORWAY100,626 DnB NOR 1,392,879 1.38

1,392,879 1.38

SWEDEN96,618 Telefonaktiebolaget LM Ericsson - B Shares 1,390,849 1.37

1,390,849 1.37

PANAMA34,406 Carnival 1,287,989 1.27

1,287,989 1.27

SOUTH KOREA52,816 KT ADR 1,020,933 1.01

1,020,933 1.01

THAILAND74,500 Siam Cement Registered Shares 981,670 0.97

981,670 0.97

SOUTH AFRICA153,285 African Bank Investments 774,399 0.76

774,399 0.76

Total Shares 97,629,068 96.43


97,629,068 96.43


Investment Funds



2,000,000 1.98



2,000,000 1.98


Bank Overdraft (182,134) (0.18)



* Hong Kong Registered Shares.

46

JPMorgan Investment Funds - Global Dividend Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 20.76Industrials 10.28Telecommunication Services 10.16Health Care 10.09Consumer Discretionary 9.93Utilities 8.76Materials 8.76Energy 8.42Consumer Staples 6.25Information Technology 3.02Investment Companies 1.98Total Shares 98.41Bank Overdraft and Other Assets/(Liabilities) 1.59

Total 100.00


SharesFinancials 17.10Consumer Discretionary 10.95Industrials 9.90Telecommunication Services 9.82Consumer Staples 9.70Health Care 9.42Energy 8.61Utilities 8.11Information Technology 7.31Materials 6.01Investment Companies 1.43Total Shares 98.36Cash and Other Assets/(Liabilities) 1.64

Total 100.00

47



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011



AmountSold


11-Jul-11 EUR 65,056 HKD 729,538 35911-Jul-11 EUR 7,507,185 USD 10,985,124 (125,540)11-Jul-11 GBP 53,046 EUR 59,567 (1,282)11-Jul-11 GBP 87,670 USD 142,694 (2,403)11-Jul-11 USD 402,664 AUD 377,482 (1,964)11-Jul-11 USD 570,942 CHF 475,996 5,95311-Jul-11 USD 565,942 EUR 393,435 (3,185)11-Jul-11 USD 2,136,960 GBP 1,301,158 54,83911-Jul-11 USD 274,165 HKD 2,132,333 15111-Jul-11 USD 615,354 JPY 49,328,203 3,27911-Jul-11 USD 271,787 NOK 1,455,356 1,25911-Jul-11 USD 194,836 SEK 1,199,085 5,40611-Jul-11 USD 496,011 SGD 609,442 (279)

Total (63,407)

48


Bonds

UNITED STATES OF AMERICA60,000 Altria Group 05.05.21/4.750% 41,494 0.2050,000 American Express Credit 25.08.14/5.125% 37,713 0.1890,000 American International Group 15.12.20/6.400% 66,249 0.32

135,000 Anheuser-Busch InBevWorldwide 15.01.19/7.750% 117,713 0.57

50,000 Apache 01.02.42/5.250% 33,872 0.1665,000 AT&T 15.05.21/4.450% 45,691 0.2260,000 AT&T 15.05.36/6.800% 45,762 0.22

320,000 BA Credit Card Trust 18.09.13/5.450%* 365,939 1.77150,000 Bank of America 04.12.19/5.500% 167,059 0.8175,000 BMW US Capital 28.05.15/5.000% 80,116 0.39

125,000 Citigroup 04.09.19/7.375% 143,390 0.6930,000 Citigroup 09.08.20/5.375% 21,650 0.1035,000 ConocoPhillips 01.02.39/6.500% 28,168 0.14

100,000 Crédit Suisse/New York 15.05.13/5.000% 73,762 0.36140,000 Crédit Suisse/New York 15.02.18/6.000% 104,678 0.5150,000 Darden Restaurants 15.10.37/6.800% 38,196 0.1925,000 Energy Transfer Partners 01.06.41/6.050% 16,756 0.0890,000 Entergy Arkansas 15.02.21/3.750% 59,376 0.2950,000 Enterprise Products Operating 15.04.38/7.550% 41,690 0.20

120,000 General Electric Capital 14.01.38/5.875% 82,620 0.4025,000 Georgia Power 01.03.37/5.650% 17,918 0.0960,000 Goldman Sachs Group 18.01.18/5.950% 44,709 0.2225,000 Goldman Sachs Group 01.02.41/6.250% 17,179 0.0840,000 HCP 01.02.21/5.375% 28,567 0.1440,000 Home Depot 01.04.41/5.950% 28,270 0.1455,000 Kinder Morgan Energy Partners 01.03.41/6.375% 39,043 0.19

115,000 Kraft Foods 10.02.20/5.375% 86,877 0.4250,000 MetLife 15.02.19/7.717% 41,727 0.20

190,000 Morgan Stanley 13.05.14/6.000% 143,150 0.69100,000 Morgan Stanley 26.01.20/5.500% 70,160 0.34

55,000 Nevada Power 15.03.19/7.125% 45,912 0.2235,000 Nisource Finance 15.06.41/5.950% 23,800 0.12

145,000 Philip Morris International 17.03.14/6.875% 114,989 0.5635,000 Philip Morris International 16.05.18/5.650% 27,326 0.1395,000 Plains All American Pipeline 01.05.18/6.500% 74,800 0.36

180,000 Prudential Financial 15.06.19/7.375% 147,245 0.71150,000 SES Global Americas Holdings 09.07.14/4.875% 158,040 0.7770,000 Tennessee Valley Authority 15.09.39/5.250% 51,129 0.2555,000 Time Warner 29.03.41/6.250% 39,128 0.1920,000 Time Warner Entertainment 15.07.33/8.375% 17,563 0.0965,000 UnitedHealth Group 15.10.40/5.700% 44,602 0.2230,000 Verizon Communications 01.11.18/8.750% 27,084 0.13115,000 Verizon Communications 01.04.21/4.600% 81,962 0.4060,000 Wal-Mart Stores 15.04.41/5.625% 42,618 0.2145,000 Watson Pharmaceuticals 15.08.19/6.125% 35,099 0.1775,000 Williams Partners 15.11.20/4.125% 50,063 0.2450,000 Xcel Energy 15.05.20/4.700% 36,188 0.17

3,147,042 15.25

UNITED KINGDOM100,000 Abbey National Treasury

Services 18.03.13/2.500% 99,856 0.48199,000 Abbey National Treasury

Services 30.06.14/3.125% 198,681 0.96100,000 Abbey National Treasury

Services 08.06.15/3.375% 99,435 0.4850,000 Anglo American Capital 01.05.18/6.875% 62,650 0.30

100,000 Bank of Scotland 15.01.14/3.875% 102,299 0.50175,000 Barclays Bank 20.01.17/4.000% 173,069 0.8450,000 Barclays Bank 07.10.19/4.000% 50,397 0.24

100,000 BAT International Finance 12.12.19/6.375% 125,087 0.6175,000 British Telecommunications 07.12.16/8.750% 100,680 0.49

110,000 HSBC Holdings 10.06.19/6.000% 116,383 0.5650,000 Legal & General Group 08.06.25/4.000%* 45,929 0.22

200,000 Lloyds TSB Bank 17.03.15/3.375% 200,200 0.9775,000 Lloyds TSB Bank 21.01.21/6.375% 53,657 0.26

235,000 Nationwide Building Society 14.09.15/2.875% 230,511 1.12350,000 Network Rail Infrastructure

Finance 17.06.13/3.500% 255,025 1.24150,000 RBS 15.03.16/4.000% 151,682 0.74100,000 Standard Chartered Bank 28.03.18/1.828%* 96,680 0.47100,000 UBS/London 06.10.14/3.000% 101,172 0.49125,000 UK Treasury 07.09.39/4.250% 138,992 0.67100,000 Vodafone Group 15.01.16/6.250% 112,460 0.55189,000 West Bromwich Building Society 05.04.12/2.000% 210,664 1.02

2,725,509 13.21

JAPAN55,000,000 Japan (Government of) 20.09.14/1.500% 490,199 2.3770,000,000 Japan (Government of) 20.09.20/0.800% 589,100 2.8544,800,000 Japan (Government of) 20.03.20/1.300% 395,607 1.92

5,000,000 Japan (Government of) 20.09.35/2.500% 47,104 0.23

1,522,010 7.37

FRANCE150,000 BNP Paribas Home Loan Covered

Bonds 12.01.17/3.375% 150,307 0.73200,000 Caisse d’Amortissement de la

Dette Sociale 25.04.15/3.625% 207,681 1.01100,000 Caisse Refinancement de

l’Habitat 08.04.19/5.000% 108,570 0.5350,000 Casino Guichard Perrachon 12.11.18/4.481% 50,121 0.24

100,000 Cie de St-Gobain 15.12.16/5.625% 119,495 0.58200,000 Credit Agricole Home Loan 21.07.14/3.500% 204,565 0.99150,000 RCI Banque 27.01.15/4.375% 151,510 0.74200,000 Société des Autoroutes

Paris-Rhin-Rhone 12.01.17/5.000% 205,673 0.99

1,197,922 5.81

NETHERLANDS100,000 Adecco International Financial

Services 13.04.18/4.750% 101,556 0.49100,000 Allianz Finance II 08.07.41/5.750%* 96,190 0.4740,000 Deutsche Telekom International

Finance 31.05.16/4.750% 42,456 0.21100,000 ING Bank 30.09.14/3.000% 100,953 0.49450,000 LeasePlan 22.05.14/3.250% 462,801 2.24

50,000 Linde Finance 01.06.21/3.875% 49,670 0.24

853,626 4.14

GERMANY46,000 Deutsche Pfandbriefbank 15.09.14/3.125% 46,625 0.22191,000 Eurohypo 26.05.14/2.750% 191,435 0.93120,000 Germany (Federal Republic of) 04.07.42/3.250% 109,361 0.53160,000 KfW - Kreditanstalt fuer

Wiederaufbau 21.01.19/3.875% 166,536 0.8160,000 Merck Financial Services 24.03.20/4.500% 61,112 0.30

575,069 2.79

SOUTH AFRICA4,600,000 South Africa (Republic of) 15.09.15/13.500% 569,368 2.76

569,368 2.76

MEXICO100,000 America Movil 30.03.20/5.000% 72,480 0.3540,000 Mexico (United Mexican States) 05.12.24/10.000% 291,840 1.42

364,320 1.77

SOUTH KOREA503,000,000 Korea (Republic of) 10.06.12/4.000% 326,849 1.58

326,849 1.58

SPAIN100,000 BBVA Senior Finance 15.04.16/4.875% 99,492 0.48150,000 Fund for Ordered Bank

Restructuring 19.11.14/3.000% 142,012 0.6980,000 Telefonica Emisiones 16.02.21/5.462% 56,063 0.27

297,567 1.44

FINLAND200,000 Nordea Bank Finland 16.11.15/2.250% 194,102 0.94100,000 OP Mortgage Bank 19.11.14/3.125% 101,375 0.49

295,477 1.43

SWEDEN90,000 Vattenfall 19.05.14/4.250% 93,835 0.45

100,000 Volvo Treasury 31.05.17/5.000% 105,136 0.51

198,971 0.96

BRAZIL275 Brazil (Republic of) 01.01.13/10.000% 117,506 0.57

100,000 Brazil (Republic of) 17.01.17/6.000% 80,848 0.39

198,354 0.96

49

JPMorgan Investment Funds - Global Enhanced Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

CANADA95,000 Canadian Natural Resources 01.12.14/4.900% 72,415 0.3555,000 Encana 15.08.37/6.625% 41,432 0.2050,000 Suncor Energy 15.06.38/6.500% 37,708 0.18

151,555 0.73

DENMARK80,000 Carlsberg Breweries 13.10.17/3.375% 77,871 0.3850,000 DONG Energy 07.05.14/4.875% 52,882 0.25

130,753 0.63

RUSSIA121,100 Russian (Republic of) 31.03.30/7.500%* 98,784 0.48

98,784 0.48

ITALY100,000 Intesa Sanpaolo 02.03.20/3.750%* 95,379 0.46

95,379 0.46

CAYMAN ISLANDS120,000 Vale Overseas 15.09.19/5.625% 88,456 0.43

88,456 0.43


144A 29.09.14/7.375% 76,819 0.37

76,819 0.37

LUXEMBOURG55,000 ArcelorMittal 01.03.41/6.750% 37,087 0.18

37,087 0.18


23,540 0.11

ISLE OF MAN20,000 AngloGold Ashanti Holdings 15.04.20/5.375% 13,721 0.07

13,721 0.07

Total Bonds 12,988,178 62.93


12,988,178 62.93


Bonds

UNITED STATES OF AMERICA56,494 ACE Securities 2005-HE4 M1 25.07.35/0.686%* 36,537 0.18

4,385 Ally Auto Receivables Trust2010-1 A2 15.04.12/0.750% 3,031 0.02

24,550 Asset Backed FundingCertificates 2005-HE2 M1 25.06.35/0.666%* 16,703 0.08

38,200 Banc of America MortgageSecurities 2004-5 3A2 25.06.19/4.750% 27,122 0.13

45,000 Barrick North AmericaFinance 144A 30.05.41/5.700% 30,403 0.15

55,000 Cisco Systems 15.01.40/5.500% 38,008 0.18380,000 Citibank Omni Master Trust

2009-A8 A8 16.05.16/2.287%* 265,869 1.2950,000 Comcast 15.11.17/6.300% 40,123 0.1954,444 CSFB Mortgage Securities

2005-C2 AAB 15.04.37/4.681% 38,566 0.1958,745 CSFB Mortgage Securities Corp

2004-3 2A1 25.04.19/5.000% 42,413 0.2145,000 DCP Midstream 144A 15.03.19/9.750% 40,828 0.20115,000 Fannie Mae 22.02.13/1.750% 81,170 0.39254,284 Fannie Mae Pool No: 889183 01.09.21/5.500% 190,606 0.92160,766 Fannie Mae Pool No: AC6082 01.11.24/4.500% 118,404 0.57113,810 Fannie Mae REMICS 2006-78 BC 25.01.34/6.500% 80,499 0.39

432,032 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 35,434 0.17130,000 Federal Home Loan Banks 11.07.11/0.090%* 89,851 0.44121,994 First Union National Bank

Commercial Mortgage2002-C1 A2 12.02.34/6.141% 85,650 0.41

140,000 Freddie Mac 30.07.14/1.000% 96,752 0.47115,000 Freddie Mac 18.10.16/5.125% 91,620 0.4475,000 Gilead Sciences 01.04.21/4.500% 52,154 0.25

160,000 Greenwich Capital CommercialFunding 2005-GG3 A4 10.08.42/4.799%* 118,359 0.57

685,527 Harborview Mortgage Loan Trust2005-11 2A1A 19.08.45/0.496%* 340,095 1.65

410,139 Indymac Index Mortgage LoanTrust 2004-AR14 2A1A 25.01.35/0.546%* 167,624 0.81

88,001 JP Morgan Mortgage Trust2005-S2 1A1 25.08.20/4.500% 61,335 0.30

260,000 LB-UBS Commercial MortgageTrust 2005-C1 A4 15.02.30/4.742% 191,145 0.93

235,000 LB-UBS Commercial MortgageTrust 2006-C6 A4 15.09.39/5.372% 177,659 0.86

100,000 LG&E and KU Energy 144A 15.11.15/2.125% 67,423 0.33230,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 169,203 0.8247,181 Morgan Stanley ABS Capital I

2004-SD2 A 25.04.34/0.636%* 26,754 0.13110,000 Morgan Stanley Capital I

2005-HQ7 A4 14.11.42/5.374%* 82,510 0.4080,000 NBC Universal 144A 30.04.20/5.150% 58,441 0.2855,000 NBC Universal 144A 01.04.21/4.375% 37,637 0.18

412,889 New Century Home Equity LoanTrust 2005-4 A2B 25.09.35/0.456%* 273,813 1.33

35,000 Oracle 08.07.39/6.125% 26,835 0.1340,000 Oracle 144A 15.07.40/5.375% 27,820 0.1440,000 Park Place Securities

2005-WHQ3 M1 25.06.35/0.606%* 24,978 0.12137,544 Residential Asset Mortgage


Securities I 2006-S12 2A2 25.12.36/6.000% 26,124 0.1335,000 State of California 01.04.39/7.550% 27,742 0.1320,000 State of Illinois 01.06.33/5.100% 11,760 0.0662,068 Structured Asset Securities

2005-WF4 A4 25.11.35/0.546%* 38,203 0.1991,000 US Treasury (i) 21.07.11/0.000% 62,889 0.3035,000 US Treasury 31.07.11/4.875% 24,290 0.12

105,000 US Treasury (i) 31.01.12/4.750% 74,530 0.36125,000 US Treasury 31.03.16/2.250% 89,051 0.43235,000 US Treasury 30.04.16/2.000% 165,283 0.8095,000 US Treasury 31.05.16/1.750% 65,906 0.32

100,000 US Treasury (i) 15.02.17/4.625% 79,070 0.3835,000 US Treasury 15.11.20/2.625% 23,344 0.11

275,000 US Treasury 15.05.21/3.125% 189,934 0.9240,000 US Treasury 15.08.25/6.875% 37,227 0.1894,000 US Treasury 15.02.31/5.375% 76,171 0.3765,000 US Treasury 15.08.39/4.500% 45,810 0.2250,000 US Treasury 15.11.40/4.250% 33,702 0.1640,000 US Treasury 15.02.41/4.750% 29,312 0.14

325,000 Wachovia Bank CommercialMortgage Trust 2005-C21 A4 15.10.44/5.380%* 245,466 1.19

160,000 Wells Fargo & Co. 15.06.16/3.676% 114,364 0.5575,000 Wells Fargo Home Equity Trust

2004-2 AI6 25.05.34/5.000%* 53,086 0.2650,533 Wells Fargo Mortgage Backed

Securities Trust 2005-2 2A1 25.04.20/4.750% 36,348 0.18

4,980,328 24.13

FRANCE110,000 BNP Paribas 23.02.16/3.600% 76,988 0.37

360,000 Dexia Credit Local 23.09.11/2.375% 249,710 1.21

326,698 1.58

UNITED KINGDOM200,000 AWG Parent 21.08.23/6.875%* 261,637 1.26

35,000 PPL WEM Holdings 144A 01.05.21/5.375% 25,108 0.12

286,745 1.38

CANADA127,000 Canada (Government of) 01.06.33/5.750% 121,678 0.5966,000 Canada (Government of) 01.06.37/5.000% 58,663 0.29

180,341 0.88

SWEDEN115,000 Svenska Handelsbanken 144A 10.06.14/4.875% 86,060 0.42

86,060 0.42

BELGIUM25,000 Delhaize Group 01.10.40/5.700% 16,157 0.08

16,157 0.08

Total Bonds 5,876,329 28.47

50



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds

LUXEMBOURG36 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (acc)) 500,004 2.42

500,004 2.42



6,376,333 30.89


Bonds

UNITED STATES OF AMERICA750,000 Lehman Brothers Holdings

(Defaulted) 03.04.09/0.000% 133,480 0.65520,000 Lehman Brothers Holdings

Capital Trust VII (Defaulted) 31.12.49/5.857% 216 0.00

133,696 0.65




Cash 951,117 4.61



* Variable coupon rates are those quoted as at 30 June 2011.(i) Security partially or totally held as collateral against financial futures contracts by the broker.


Fixed Income SecuritiesUnited States of America 40.03United Kingdom 14.59France 7.39Japan 7.37Netherlands 4.14Germany 2.79South Africa 2.76Mexico 1.77Canada 1.61South Korea 1.58Spain 1.44Finland 1.43Sweden 1.38Brazil 0.96Denmark 0.63Russia 0.48Italy 0.46Cayman Islands 0.43International Agencies 0.37Luxembourg 0.18Peru 0.11Belgium 0.08Isle of Man 0.07Total Fixed Income Securities 92.05Investment FundsLuxembourg 2.42Total Investment Funds 2.42Cash and Other Assets/(Liabilities) 5.53

Total 100.00


Fixed Income SecuritiesUnited States of America 43.69United Kingdom 13.24France 4.78Japan 4.55Netherlands 4.18Canada 2.40Mexico 1.97Sweden 1.84Germany 1.83South Korea 1.41South Africa 1.27Cayman Islands 1.26Finland 1.24Israel 1.00Brazil 0.87Luxembourg 0.85Spain 0.81Denmark 0.55Russia 0.45International Agencies 0.34Bermuda 0.28Isle of Man 0.26Belgium 0.22Total Fixed Income Securities 89.29Investment FundsLuxembourg 2.58Total Investment Funds 2.58Cash and Other Assets/(Liabilities) 8.13

Total 100.00

51



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding To be Announced Securities (Expressed in EUR)

As at 30 June 2011

MaturityDate Name of Securities Coupon

NominalValue

MarketValue


To be Announced Securities - Long Positions

UNITED STATES OF AMERICA

25-Jul-26 Fannie Mae 3.500% 180,000 126,721 (464)25-Jul-26 Fannie Mae 4.000% 520,000 374,395 (780)15-Jul-39 Freddie Mac 4.500% 490,000 350,044 (1,840)15-Jul-39 Freddie Mac 5.000% 460,000 337,356 (509)15-Jul-39 Freddie Mac 5.500% 400,000 298,537 (875)15-Jul-39 Freddie Mac 6.000% 200,000 151,817 2215-Jul-39 Ginnie Mae 4.500% 480,000 350,157 (104)15-Jul-39 Ginnie Mae 5.000% 420,000 314,234 (317)15-Jul-39 Ginnie Mae 5.500% 210,000 159,680 (295)15-Jul-39 Ginnie Mae 6.000% 135,000 104,051 (11)25-Jul-39 Fannie Mae 4.500% 690,000 493,813 (2,728)25-Jul-39 Fannie Mae 5.000% 510,000 374,576 (1,220)25-Jul-39 Fannie Mae 5.500% 455,000 340,028 (1,672)25-Jul-39 Fannie Mae 6.000% 600,000 455,580 (2,024)15-Jul-41 Freddie Mac 4.000% 140,000 96,807 (862)15-Jul-41 Ginnie Mae 4.000% 180,000 126,838 (485)25-Jul-41 Fannie Mae 4.000% 655,000 453,981 (2,442)25-Aug-41 Fannie Mae 4.500% 20,000 14,279 (10)

Total 4,922,894 (16,616)


ExpirationDate


NotionalValue


Bond Futures

Sep-11 2 Australia 10 Year Bond Future AUD 157,328 (238)Sep-11 4 Canada 10 Year Bond Future CAD 355,820 258Sep-11 (11) Euro-Bobl Future EUR (1,285,460) 880Sep-11 5 Euro-Bund Future EUR 629,100 (400)Sep-11 (22) US 2 Year Note Future USD (3,336,170) (2,527)Sep-11 (19) US 5 Year Note Future USD (1,568,860) (5,291)Sep-11 14 US 10 Year Note Future USD 1,186,846 (1,123)Sep-11 2 US Long Bond Future USD 170,241 (2,619)Sep-11 (3) US Ultra Bond Future USD (260,998) 3,677

Total (7,383)


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR) (continued)

As at 30 June 2011



AmountSold


05-Jul-11 AUD 54,504 CAD 56,375 6705-Jul-11 CAD 30,990 AUD 30,120 (155)05-Jul-11 CAD 160,418 EUR 113,852 95605-Jul-11 CAD 31,169 NOK 176,582 (389)05-Jul-11 CAD 37,043 SEK 240,039 29105-Jul-11 CHF 77,107 NZD 113,521 (1,750)05-Jul-11 EUR 123,824 AUD 168,103 (821)05-Jul-11 EUR 120,410 CAD 169,786 (1,103)05-Jul-11 EUR 319,782 CHF 388,440 1,10105-Jul-11 EUR 1,980,694 GBP 1,726,908 70,48005-Jul-11 EUR 1,953,154 JPY 228,261,529 (4,484)05-Jul-11 EUR 90,735 MXN 1,516,233 1,45705-Jul-11 EUR 62,917 NOK 494,422 (631)05-Jul-11 EUR 74,622 NZD 130,866 (321)05-Jul-11 EUR 153,237 SEK 1,393,207 1,05405-Jul-11 EUR 9,580,522 USD 13,775,413 58,98905-Jul-11 EUR 561,236 ZAR 5,578,102 (7,482)05-Jul-11 GBP 33,265 USD 54,670 (992)05-Jul-11 JPY 5,429,044 AUD 64,237 (1,070)

52


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in EUR) (continued)

As at 30 June 2011



AmountSold


05-Jul-11 JPY 5,809,442 CHF 61,070 (279)05-Jul-11 JPY 4,019,119 EUR 34,399 7005-Jul-11 JPY 15,287,942 USD 188,696 68805-Jul-11 NOK 537,720 AUD 93,100 8205-Jul-11 NOK 3,052,665 EUR 390,654 1,70705-Jul-11 NOK 1,191,697 SEK 1,391,598 1,16205-Jul-11 NOK 265,353 USD 49,236 7405-Jul-11 NZD 127,247 EUR 71,420 1,45005-Jul-11 SEK 341,808 CHF 46,419 (746)05-Jul-11 SEK 2,398,238 EUR 268,982 (7,017)05-Jul-11 SEK 538,611 JPY 6,726,231 1,14805-Jul-11 SEK 1,315,405 USD 207,999 (84)05-Jul-11 USD 34,415 CAD 33,459 (158)05-Jul-11 USD 14,041,599 EUR 9,748,044 (42,525)05-Jul-11 USD 200,000 SEK 1,301,602 (3,938)03-Aug-11 AUD 32,594 GBP 21,447 36103-Aug-11 AUD 33,509 NZD 43,314 (4)03-Aug-11 EUR 48,156 AUD 66,049 (671)03-Aug-11 EUR 113,855 CAD 160,418 (967)03-Aug-11 EUR 43,363 CHF 52,356 36403-Aug-11 EUR 176,287 JPY 20,521,729 10903-Aug-11 EUR 9,405,959 USD 13,536,806 41,25303-Aug-11 GBP 28,724 CHF 38,330 30903-Aug-11 GBP 210,995 EUR 236,263 (2,757)03-Aug-11 JPY 4,618,660 EUR 40,372 (721)03-Aug-11 JPY 4,380,547 SEK 352,823 (899)03-Aug-11 NOK 192,565 CHF 29,385 59303-Aug-11 USD 247,775 EUR 173,226 (1,816)

Total 101,985

53


Shares

UNITED STATES OF AMERICA53,042 Aflac 2,459,292 1.3937,394 American Express 1,904,663 1.0833,257 Ameriprise Financial 1,909,451 1.08

556,414 Bank of America 6,095,515 3.4520,979 Capital One Financial 1,096,782 0.62170,174 Citigroup 7,036,695 3.9931,700 Goldman Sachs Group 4,184,242 2.3773,226 Hartford Financial Services Group 1,918,887 1.096,693 Mastercard - A Shares 2,029,217 1.15

116,226 MetLife 5,069,197 2.87167,889 Morgan Stanley 3,850,534 2.1833,063 PNC Financial Services Group 1,951,048 1.1063,540 Prudential Financial 4,017,952 2.2875,238 State Street 3,388,343 1.92

127,766 US Bancorp 3,233,119 1.83275,869 Wells Fargo & Co. 7,720,194 4.37

57,865,131 32.77

UNITED KINGDOM831,064 Barclays 3,355,013 1.90646,001 HSBC Holdings 6,348,934 3.60

3,260,492 Lloyds Banking Group 2,534,427 1.44321,356 Prudential 3,663,089 2.07

2,185,827 RBS Group 1,325,117 0.7564,066 Standard Chartered 1,666,645 0.94

18,893,225 10.70

SWITZERLAND58,857 ACE 3,873,968 2.1998,216 Crédit Suisse Group Registered Shares 3,816,726 2.16

139,008 UBS Registered Shares 2,508,744 1.4213,739 Zurich Financial Services 3,454,727 1.96

13,654,165 7.73

FRANCE154,515 AXA 3,475,241 1.9752,537 BNP Paribas 4,017,295 2.2773,053 Société Générale 4,289,173 2.43

11,781,709 6.67

AUSTRALIA89,150 ANZ Banking Group 2,104,769 1.1968,134 Macquarie Group 2,282,378 1.2966,829 National Australia Bank 1,836,328 1.04116,108 Westpac Banking 2,769,887 1.57

8,993,362 5.09

CHINA4,234,450 China Construction Bank - H Shares * 3,512,249 1.991,698,550 China Merchants Bank - H Shares * 4,109,800 2.33

7,622,049 4.32

INDIA102,033 Housing Development Finance 1,603,498 0.91771,634 Infrastructure Development Finance 2,257,578 1.28515,807 Yes Bank 3,602,223 2.04

7,463,299 4.23


640,429 Commerzbank 2,743,213 1.55

7,235,511 4.10

HONG KONG638,400 AIA Group 2,212,821 1.25251,000 Henderson Land Development 1,616,665 0.92115,000 Sun Hung Kai Properties 1,674,987 0.95

5,504,473 3.12

SPAIN161,342 BBVA 1,863,299 1.06271,600 BSCH 3,111,492 1.76

4,974,791 2.82

CANADA62,384 Manulife Financial 1,068,157 0.61

67,608 RBC 3,838,961 2.17

4,907,118 2.78

JAPAN306 Advance Residence Investment 638,236 0.36347 Japan Retail Fund Investment 532,803 0.30148 Kenedix Realty Investment 568,348 0.32

289,100 Mitsubishi UFJ Financial Group 1,402,545 0.7939,500 Sumitomo Mitsui Financial Group 1,209,089 0.69

4,351,021 2.46

NETHERLANDS314,370 ING Groep - CVA 3,815,023 2.16

3,815,023 2.16

BELGIUM63,674 KBC Groep 2,459,553 1.39

2,459,553 1.39


2,063,396 1.17

ITALY989,238 UniCredit 2,054,601 1.16

2,054,601 1.16

BERMUDA37,900 Invesco 883,260 0.5013,866 Everest Re Group 1,133,268 0.64

2,016,528 1.14

SOUTH KOREA7,531 Samsung Fire & Marine Insurance 1,745,573 1.00

1,745,573 1.00

SOUTH AFRICA344,147 African Bank Investments 1,738,637 0.98

1,738,637 0.98

CAYMAN ISLANDS940,000 China Resources Land 1,692,225 0.96

1,692,225 0.96

MEXICO319,448 Grupo Financiero Banorte - O Shares 1,459,985 0.84

1,459,985 0.84

Total Shares 172,291,375 97.59


172,291,375 97.59


Investment Funds



3,050,000 1.72



3,050,000 1.72


Cash 741,832 0.42




54

JPMorgan Investment Funds - Global Financials Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 96.44Investment Companies 1.72Industrials 1.15Total Shares 99.31Cash and Other Assets/(Liabilities) 0.69

Total 100.00



Total 100.00

55



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011



AmountSold


19-Aug-11 AUD 5,479,899 USD 5,791,464 51,86119-Aug-11 CAD 11,353,858 USD 11,639,014 103,16019-Aug-11 CHF 824,704 EUR 680,994 (4,723)19-Aug-11 CHF 324,677 JPY 30,838,244 2,76719-Aug-11 EUR 961,884 USD 1,366,082 23,66719-Aug-11 GBP 668,665 USD 1,088,410 (18,945)19-Aug-11 JPY 715,458,962 USD 8,918,155 (38,678)19-Aug-11 NOK 4,259,825 USD 784,456 5,32419-Aug-11 SEK 21,993,510 USD 3,476,873 (10,651)19-Aug-11 SGD 3,978,729 USD 3,230,904 9,23519-Aug-11 USD 931,507 CAD 913,823 (13,570)19-Aug-11 USD 4,199,023 CHF 3,525,205 13,46119-Aug-11 USD 3,663,104 EUR 2,543,029 (11,115)19-Aug-11 USD 5,286,217 GBP 3,228,003 123,34119-Aug-11 USD 5,140,491 HKD 39,997,509 (650)

Total 234,484

56


Shares

UNITED STATES OF AMERICA71,806 Dex One 187,414 0.01

187,414 0.01

Total Shares 187,414 0.01

Bonds

UNITED STATES OF AMERICA4,788,000 ACCO Brands 15.03.15/10.625% 5,368,545 0.332,420,000 ACCO Brands 15.08.15/7.625% 2,407,900 0.153,170,000 AES 15.10.17/8.000% 3,391,900 0.218,430,000 Alcatel-Lucent USA 15.03.29/6.450% 7,502,700 0.466,470,000 American Axle & Manufacturing 01.03.17/7.875% 6,474,076 0.404,365,000 Arch Coal 01.08.16/8.750% 4,752,394 0.294,260,000 Ashtead Capital 144A 15.08.16/9.000% 4,462,350 0.284,975,000 Avaya 01.11.15/9.750% 5,037,188 0.311,850,000 B&G Foods 15.01.18/7.625% 1,956,375 0.121,560,000 Belden 15.03.17/7.000% 1,600,950 0.101,495,000 Cablevision Systems 15.09.17/8.625% 1,618,337 0.10

295,000 Chesapeake Energy 15.12.18/7.250% 320,075 0.023,860,000 Chesapeake Energy 15.08.20/6.625% 4,033,700 0.253,495,000 Chiquita Brands International 01.12.15/8.875% 3,593,035 0.227,135,000 Cincinnati Bell 15.10.20/8.375% 7,099,325 0.44

316,651 CIT Group 01.05.15/7.000% 317,443 0.0218,046,192 CIT Group 01.05.16/7.000% 18,001,076 1.117,427,069 CIT Group 01.05.17/7.000% 7,389,934 0.462,536,000 Clean Harbors 15.08.16/7.625% 2,707,180 0.177,730,000 Community Health Systems 15.07.15/8.875% 7,932,912 0.494,955,000 Constellation Brands 01.09.16/7.250% 5,407,144 0.331,960,000 Constellation Brands 15.05.17/7.250% 2,138,850 0.132,520,000 Corrections Corp. of Amercia 01.06.17/7.750% 2,753,100 0.172,135,000 Crown Castle International 15.01.15/9.000% 2,319,144 0.143,170,000 Dana Holding 15.02.19/6.500% 3,154,150 0.20800,000 Dana Holding 15.02.21/6.750% 793,000 0.05

2,050,000 DaVita 01.11.18/6.375% 2,052,562 0.13380,000 DaVita 01.11.20/6.625% 383,800 0.02

1,025,000 Denbury Resources 01.03.16/9.750% 1,144,156 0.074,210,000 Denbury Resources 15.02.20/8.250% 4,583,616 0.28

530,000 El Paso 15.06.17/7.000% 602,308 0.041,710,000 El Paso 01.06.28/6.950% 1,813,429 0.11

835,000 El Paso 15.01.32/7.750% 973,602 0.061,940,000 Encore Acquisition 01.05.16/9.500% 2,165,525 0.134,215,000 Energy Future Intermediate

Holding 01.12.20/10.000% 4,492,790 0.281,285,000 EXCO Resources 15.09.18/7.500% 1,249,662 0.082,390,000 Fidelity National Information

Services 15.07.17/7.625% 2,539,375 0.166,100,000 Ford Motor Credit 15.04.15/7.000% 6,578,966 0.417,355,000 Ford Motor Credit 15.08.17/6.625% 7,835,855 0.48

11,205,000 Ford Motor Credit 15.05.18/5.000% 11,077,465 0.69370,000 Forest Oil 15.02.14/8.500% 401,450 0.02

3,657,000 Forest Oil 15.06.19/7.250% 3,730,140 0.231,795,000 Frontier Communications 15.03.15/6.625% 1,871,287 0.121,990,000 Frontier Communications 15.04.20/8.500% 2,174,075 0.131,796,000 General Cable 01.04.17/7.125% 1,845,390 0.114,135,000 Geo Group 15.10.17/7.750% 4,403,775 0.271,504,000 Glatfelter 01.05.16/7.125% 1,558,520 0.10

267,000 Goodyear Tire & Rubber 15.05.16/10.500% 300,436 0.024,430,000 Goodyear Tire & Rubber 15.08.20/8.250% 4,784,400 0.302,930,000 Goodyear Tire & Rubber 15.08.20/8.750% 3,229,548 0.201,030,000 Graphic Packaging International 01.10.18/7.875% 1,096,950 0.078,055,000 Hanesbrands 15.12.16/8.000% 8,601,089 0.53

15,350,000 HCA 15.11.16/9.250% 16,366,937 1.0110,817,000 HCA 15.11.16/9.625% 11,520,105 0.71

162,000 HCA 15.02.17/9.875% 180,630 0.017,132,000 Health Management Associates 15.04.16/6.125% 7,417,280 0.461,865,000 Healthsouth 01.10.18/7.250% 1,939,600 0.123,290,000 Healthsouth 15.09.22/7.750% 3,470,950 0.22

500,000 Hertz 01.01.14/7.875% 732,468 0.051,635,000 Host Hotels & Resorts 15.03.15/6.375% 1,675,875 0.104,635,000 Huntsman International 30.06.16/5.500% 4,571,269 0.28

826,000 Inergy & Inergy Finance 01.03.15/8.750% 883,836 0.061,080,000 International Lease Finance 15.05.16/5.750% 1,049,034 0.06

865,000 International Lease Finance 15.05.19/6.250% 823,567 0.051,580,000 International Lease Finance 15.12.20/8.250% 1,694,550 0.117,145,000 Iron Mountain 15.07.18/8.750% 7,448,662 0.462,410,000 Iron Mountain 15.08.21/8.375% 2,533,512 0.161,175,000 Jarden 01.05.16/8.000% 1,280,750 0.08

5,490,000 Jarden 01.05.17/7.500% 5,730,187 0.352,945,000 Jarden 15.01.20/7.500% 3,077,525 0.193,490,000 JC Penney 01.04.17/7.950% 3,948,499 0.24

845,000 JC Penney 15.02.18/5.750% 857,840 0.051,105,000 Key Energy Services 01.03.21/6.750% 1,093,950 0.07

775,000 Lear 15.03.18/7.875% 836,899 0.05590,000 Lear 15.03.20/8.125% 639,306 0.04

2,565,000 Ltd Brands 01.04.21/6.625% 2,618,903 0.162,120,000 Manitowoc 15.02.18/9.500% 2,302,850 0.14

3,900,000 Manitowoc 01.11.20/8.500% 4,138,875 0.262,840,000 MarkWest Energy Partners 15.04.18/8.750% 3,109,800 0.193,800,000 Masco 03.10.16/6.125% 3,890,052 0.241,470,000 Masco 15.03.20/7.125% 1,512,043 0.096,360,000 MetroPCS Wireless 01.09.18/7.875% 6,765,450 0.421,990,000 MGM Resorts International 01.04.13/6.750% 1,999,950 0.12

80,000 MGM Resorts International 01.04.16/6.875% 75,400 0.009,365,000 MGM Resorts International 01.06.16/7.500% 8,955,281 0.552,495,000 MGM Resorts International 15.11.17/11.125% 2,844,300 0.183,145,000 Mueller Water Products 01.09.20/8.750% 3,412,325 0.212,135,000 Parker Drilling 01.04.18/9.125% 2,241,750 0.14

765,000 PetroHawk Energy 01.08.14/10.500% 854,187 0.053,095,000 PetroHawk Energy 01.06.15/7.875% 3,243,947 0.203,570,000 Petrohawk Energy 15.08.18/7.250% 3,659,250 0.231,025,000 Plains Exploration & Production 15.06.15/7.750% 1,067,281 0.071,615,000 Plains Exploration & Production 15.03.17/7.000% 1,659,412 0.101,915,000 PolyOne 15.09.20/7.375% 2,003,569 0.121,720,000 Qwest Communications

International 15.02.14/7.500% 1,747,950 0.113,250,000 Qwest Communications

International 01.10.15/8.000% 3,534,375 0.223,852,000 RailAmerica 01.07.17/9.250% 4,242,015 0.263,950,000 Regions Bank 15.05.18/7.500% 4,048,541 0.25

875,000 Regions Financial 15.06.15/5.750% 862,624 0.052,210,000 Rite Aid 01.03.17/7.500% 2,186,629 0.141,390,000 Rite Aid 15.06.17/9.500% 1,247,525 0.081,630,000 Rite Aid 15.10.19/10.250% 1,790,962 0.113,920,000 Rite Aid 15.08.20/8.000% 4,223,800 0.261,812,000 RSC Equipment Rental 01.12.14/9.500% 1,875,420 0.121,200,000 Service Corp. International 01.04.16/6.750% 1,293,000 0.081,230,000 Service Corp. International 15.06.17/7.000% 1,331,475 0.081,031,000 Scotts Miracle-Gro 15.01.18/7.250% 1,100,592 0.07

11,251,000 Sealy Mattress 15.06.14/8.250% 11,307,255 0.70815,000 Service Corp. International 01.10.18/7.625% 892,425 0.06

2,775,000 Service Corp. International 15.05.19/7.000% 2,934,562 0.184,045,000 Spirit Aerosystems 01.10.17/7.500% 4,287,700 0.271,110,000 Sprint Capital 01.05.19/6.900% 1,147,462 0.07

19,675,000 Sprint Capital 15.03.32/8.750% 21,249,000 1.317,295,000 Supervalu 01.05.16/8.000% 7,440,900 0.464,509,000 Tenet Healthcare 01.02.15/9.250% 4,954,264 0.31

795,000 Tenet Healthcare 01.05.18/10.000% 902,325 0.06970,000 Tenet Healthcare 01.07.19/8.875% 1,071,850 0.07

5,800,000 Tenet Healthcare 01.08.20/8.000% 5,843,500 0.364,720,000 Terex 15.11.17/8.000% 4,779,000 0.301,500,000 Unit 15.05.21/6.625% 1,507,500 0.092,430,000 United Rentals North America 15.12.19/9.250% 2,654,775 0.165,120,000 United Rentals North America 15.09.20/8.375% 5,107,200 0.321,385,000 Vulcan Materials 01.12.16/6.500% 1,382,173 0.09

437,097,609 27.03

LUXEMBOURG5,438,000 MagnaChip Semiconductor

Finance 15.04.18/10.500% 5,968,205 0.372,300,000 Wind Acquisition Finance 144A 15.02.18/7.250% 2,386,250 0.15

8,354,455 0.52

BERMUDA3,120,000 Aircastle 01.08.18/9.750% 3,455,400 0.21

3,455,400 0.21

LIBERIA2,330,000 Royal Caribbean Cruises 15.06.16/7.250% 2,516,400 0.16

2,516,400 0.16

GERMANY1,415,000 Kinove German Bondco 144A 15.06.18/9.625% 1,464,525 0.09

1,464,525 0.09

CANADA1,290,000 Nova Chemicals 01.11.19/8.625% 1,444,800 0.09

1,444,800 0.09

Total Bonds 454,333,189 28.10


454,520,603 28.11

57

JPMorgan Investment Funds - Global High Yield Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds

UNITED STATES OF AMERICA2,880,000 Accellent 01.02.17/8.375% 2,991,600 0.194,575,000 Accellent 01.11.17/10.000% 4,483,500 0.283,470,000 AES 15.04.16/9.750% 3,912,425 0.241,285,000 Aleris International 144A 15.02.18/7.625% 1,291,425 0.085,010,000 Allison Transmission 144A 15.05.19/7.125% 4,884,750 0.308,945,000 Ally Financial 01.12.14/6.750% 9,258,075 0.57

15,430,000 Ally Financial 144A 01.12.17/6.250% 15,347,372 0.951,445,000 AMC Entertainment 01.06.19/8.750% 1,520,862 0.094,105,000 AMC Entertainment 144A 01.12.20/9.750% 4,166,575 0.26

558,000 American Axle & ManufacturingHoldings 144A 15.01.17/9.250% 609,615 0.04

1,560,000 American Tire Distributors 01.06.17/9.750% 1,684,800 0.103,580,000 Amkor Technology 01.05.18/7.375% 3,651,600 0.232,720,000 Amsted Industries 144A 15.03.18/8.125% 2,883,200 0.182,515,000 Arch Coal 144A 15.06.19/7.000% 2,521,287 0.161,370,000 Arch Coal 144A 15.06.21/7.250% 1,378,562 0.091,405,000 Ashland 01.06.17/9.125% 1,587,650 0.102,825,000 Aspect Software 15.05.17/10.625% 3,051,000 0.196,736,000 Associated Materials 144A 01.11.17/9.125% 6,651,800 0.413,405,000 Atkore International 144A 01.01.18/9.875% 3,558,225 0.223,635,000 Audatex North America 144A 15.06.18/6.750% 3,671,350 0.232,932,084 Avaya 01.11.15/10.125% 2,990,726 0.184,685,000 Avaya 144A 01.04.19/7.000% 4,544,450 0.282,140,000 Avis Budget Car Rental 15.05.16/7.750% 2,184,576 0.142,735,000 Avis Budget Car Rental 15.03.18/9.625% 2,926,450 0.184,370,000 Avis Budget Car Rental 15.01.19/8.250% 4,419,162 0.276,450,000 Bank of America 31.12.18/8.000%* 6,622,144 0.41

155,000 Bausch & Lomb 01.11.15/9.875% 164,687 0.012,166,000 Belden 15.06.19/9.250% 2,417,797 0.153,020,000 Berry Plastics 15.01.21/9.750% 2,940,725 0.18

19,385,000 Biomet 15.10.17/10.375% 21,323,500 1.322,645,000 Bon-Ton Department Stores 15.03.14/10.250% 2,621,856 0.165,030,000 BreitBurn Energy Partners 15.10.20/8.625% 5,344,375 0.334,000,000 Brigham Exploration 01.10.18/8.750% 4,320,000 0.271,045,000 Brigham Exploration 144A 01.06.19/6.875% 1,037,162 0.061,625,000 Buccaneer Merger Sub 144A 15.01.19/9.125% 1,677,812 0.103,615,000 Building Materials Corp of

America 144A 15.08.18/6.875% 3,687,300 0.233,110,000 Building Materials of

America 144A 01.05.21/6.750% 3,110,000 0.196,865,000 Bumble Bee Acquisition 144A 15.12.17/9.000% 6,933,650 0.433,875,000 BWAY Holding 15.06.18/10.000% 4,247,969 0.26

14,515,000 Caesars EntertainmentOperating 01.06.17/11.250% 15,984,644 0.99

3,358,000 Caesars EntertainmentOperating 15.12.18/10.000% 3,005,410 0.19

4,165,000 Calpine 144A 15.10.17/7.250% 4,227,475 0.263,345,000 Calpine 144A 31.07.20/7.875% 3,462,075 0.213,130,000 Calpine 144A 15.02.21/7.500% 3,169,125 0.201,555,000 Calumet Finance 144A 01.05.19/9.375% 1,589,987 0.104,910,000 Case New Holland 144A 01.12.17/7.875% 5,401,000 0.33

580,000 CCH II Capital 30.11.16/13.500% 685,850 0.044,790,000 CCO Holdings Capital 30.10.17/7.250% 4,933,700 0.317,275,000 CCO Holdings Capital 30.04.18/7.875% 7,675,125 0.471,520,000 CCO Holdings Capital 15.01.19/7.000% 1,550,400 0.101,360,000 CCO Holdings Capital 144A 15.01.19/7.000% 1,383,800 0.095,035,000 Central Garden and Pet 01.03.18/8.250% 5,223,812 0.325,585,000 Cequel Communications

Holdings I and CequelCapital 144A 15.11.17/8.625% 5,836,325 0.36

700,000 Chemtura 144A 01.09.18/7.875% 735,000 0.054,870,000 Chrysler Group 144A 15.06.19/8.000% 4,748,250 0.294,195,000 Chrysler Group 144A 15.06.21/8.250% 4,079,637 0.25

735,000 Cinemark USA 144A 15.06.21/7.375% 731,325 0.051,550,000 CIT Group 144A 01.04.18/6.625% 1,611,039 0.103,555,000 Citigroup Capital XXI 21.12.57/8.300%* 3,643,875 0.234,775,000 CityCenter Finance 144A 15.01.16/7.625% 4,942,125 0.314,215,000 Claire’s Stores 144A 15.03.19/8.875% 3,951,562 0.241,810,000 Clean Harbors 144A 15.08.16/7.625% 1,932,175 0.127,655,000 Clear Channel

Communications 144A 01.03.21/9.000% 7,367,937 0.4612,295,000 Clear Channel Worldwide

Holdings 15.12.17/9.250% 13,278,600 0.821,490,000 Clearwater Paper 15.06.16/10.625% 1,681,837 0.101,425,000 Clearwater Paper 01.11.18/7.125% 1,467,750 0.09

8,640,000 Clearwire Communications 144A 01.12.15/12.000% 9,255,600 0.571,810,000 Clearwire Communications 144A 01.12.17/12.000% 1,895,975 0.125,155,000 Cloud Peak Energy Resources 15.12.17/8.250% 5,541,625 0.342,843,000 Cogent Communications

Group 144A 15.02.18/8.375% 2,921,182 0.184,834,000 CommScope 144A 15.01.19/8.250% 4,954,850 0.312,400,000 Consol Energy 01.04.17/8.000% 2,604,000 0.16

150,000 Consol Energy 01.04.20/8.250% 163,875 0.01

2,515,000 Cricket Communications 15.10.20/7.750% 2,452,125 0.15630,000 Cricket Communications 144A 15.10.20/7.750% 614,250 0.04

3,940,000 Crosstex Energy 15.02.18/8.875% 4,205,950 0.26745,000 Crown Americas 15.05.17/7.625% 799,012 0.05

3,600,000 Crown Americas 144A 01.02.21/6.250% 3,627,000 0.225,931,000 Del Monte Foods 144A 15.02.19/7.625% 6,019,965 0.373,945,000 DineEquity 144A 30.10.18/9.500% 4,280,325 0.26

11,920,000 DISH DBS 01.02.16/7.125% 12,635,200 0.7813,220,000 DISH DBS 01.09.19/7.875% 14,310,650 0.895,405,000 DISH DBS 144A 01.06.21/6.750% 5,553,637 0.345,195,000 Diversey 15.11.19/8.250% 6,117,112 0.381,994,000 DJO Finance 15.11.14/10.875% 2,133,580 0.134,095,000 DJO Finance 144A 15.04.18/7.750% 4,089,881 0.251,875,000 Dole Food 144A 01.10.16/8.000% 1,971,094 0.12

575,000 Ducommun 144A 15.07.18/9.750% 592,969 0.041,505,000 Dunkin Finance 144A 01.12.18/9.625% 1,525,679 0.093,855,000 Eagle Parent 144A 01.05.19/8.625% 3,734,531 0.233,805,000 Eagle Rock Energy

Partners 144A 01.06.19/8.375% 3,809,756 0.245,405,000 Easton-Bell Sports 01.12.16/9.750% 5,999,550 0.373,005,000 EH Holding 144A 15.06.19/6.500% 3,057,587 0.191,505,000 EH Holding 144A 15.06.21/7.625% 1,531,337 0.091,715,000 Endo Pharmaceuticals

Holdings 144A 15.07.19/7.000% 1,745,012 0.111,375,000 Energy Future Holdings 15.01.20/10.000% 1,458,744 0.094,295,000 EV Energy Partners 144A 15.04.19/8.000% 4,332,581 0.273,125,000 First Data 144A 15.06.19/7.375% 3,144,531 0.198,615,000 First Data 144A 15.08.20/8.875% 9,174,975 0.574,219,000 First Data 144A 15.01.21/8.250% 4,092,430 0.258,795,000 First Data 144A 15.01.21/12.625% 9,256,738 0.575,934,000 First Data 144A 15.01.22/8.750% 5,748,563 0.363,570,000 Freescale Semiconductor 144A 15.03.18/10.125% 3,944,850 0.245,660,000 Freescale Semiconductor 144A 15.04.18/9.250% 6,070,350 0.383,590,000 Freescale Semiconductor 144A 01.02.20/8.050% 3,545,125 0.222,890,000 GCI 15.11.19/8.625% 3,171,775 0.202,365,000 Geo Group 144A 15.02.21/6.625% 2,341,350 0.145,241,000 Giraffe Acquisition 144A 01.12.18/9.125% 4,939,643 0.312,585,000 GMX Resources 144A 15.02.19/11.375% 2,339,425 0.141,485,000 Graham Packaging 15.10.14/9.875% 1,533,263 0.093,625,000 Graham Packaging 01.01.17/8.250% 4,032,813 0.251,755,000 Graham Packaging 01.10.18/8.250% 1,961,213 0.123,710,000 Great Lakes Dredge

& Dock 144A 01.02.19/7.375% 3,672,900 0.233,410,000 Griffon 144A 01.04.18/7.125% 3,427,050 0.213,730,000 GWR Operating Partnership 01.04.17/10.875% 4,037,725 0.254,925,000 GXS Worldwide 15.06.15/9.750% 4,998,875 0.31

455,000 Hanesbrands 15.12.20/6.375% 440,213 0.0312,870,000 HCA Holding 144A 15.05.21/7.750% 13,320,450 0.825,860,000 Hertz 144A 15.10.18/7.500% 5,918,600 0.371,905,000 Hertz 144A 15.04.19/6.750% 1,876,425 0.123,150,000 Hexion US Finance 15.11.20/9.000% 3,216,938 0.203,080,000 Hillman Group 01.06.18/10.875% 3,337,950 0.21

1,115,000 Hillman Group 144A 01.06.18/10.875% 1,208,381 0.073,052,000 Host Hotels & Resorts 15.05.17/9.000% 3,448,760 0.211,645,000 Huntsman International 15.03.20/8.625% 1,784,825 0.11

755,000 Huntsman International 15.03.21/8.625% 824,838 0.054,180,000 iGate 144A 01.05.16/9.000% 4,200,900 0.261,965,000 Inergy & Inergy Finance 01.10.18/7.000% 1,973,587 0.122,920,000 Inergy & Inergy Finance 144A 01.08.21/6.875% 2,923,650 0.181,587,000 Integra Telecom Holdings 144A 15.04.16/10.750% 1,606,838 0.106,510,000 Interactive Data 144A 01.08.18/10.250% 7,112,175 0.444,160,000 Interline Brands 15.11.18/7.000% 4,232,800 0.265,865,000 International Lease Finance 15.09.15/8.625% 6,312,206 0.3911,915,000 International Lease Finance 15.03.17/8.750% 12,942,669 0.80

930,000 International LeaseFinance 144A 01.09.18/7.125% 990,450 0.06

2,000,000 ITC Deltacom 01.04.16/10.500% 2,100,000 0.134,470,000 J Crew Group 144A 01.03.19/8.125% 4,310,354 0.274,480,000 James River Escrow 144A 01.04.19/7.875% 4,457,600 0.28

675,000 JDA Software Group 15.12.14/8.000% 742,500 0.051,110,000 Level 3 Communications 144A 01.02.19/11.875% 1,198,800 0.07

2,270,000 Level 3 Escrow 144A 01.07.19/8.125% 2,281,350 0.145,535,000 Level 3 Financing 144A 01.04.19/9.375% 5,694,131 0.354,753,000 Libbey Glass 15.02.15/10.000% 5,168,888 0.322,695,000 Linn Energy 15.04.20/8.625% 2,907,231 0.181,505,000 Linn Energy 144A 15.05.19/6.500% 1,478,663 0.092,840,000 Linn Energy 144A 01.02.21/7.750% 2,946,500 0.181,050,000 Longview Fibre Paper &

Packaging 144A 01.06.16/8.000% 1,055,250 0.073,559,043 Lyondell Chemical 01.05.18/11.000% 3,972,782 0.25

2,400,000 Mantech International 15.04.18/7.250% 2,520,000 0.161,715,000 Marina District Finance 144A 15.10.15/9.500% 1,777,169 0.11

6,460,000 Marina District Finance 144A 15.08.18/9.875% 6,653,800 0.413,845,000 MEMC Electronic Materials 144A 01.04.19/7.750% 3,806,550 0.247,815,000 MGM Resorts International 15.03.20/9.000% 8,596,500 0.53

4,200,000 Michael Foods 144A 15.07.18/9.750% 4,494,000 0.28

58



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

870,000 Michaels Stores 01.11.16/0.000% 901,538 0.065,480,000 Michaels Stores 144A 01.11.18/7.750% 5,475,452 0.343,935,000 Mission Broadcasting 15.04.17/8.875% 4,161,263 0.261,290,000 Mylan 144A 15.07.17/7.625% 1,401,263 0.093,110,000 Mylan 144A 15.07.20/7.875% 3,389,900 0.21650,000 Nalco 144A 15.01.19/6.625% 667,875 0.04

2,085,000 NewPage 31.12.14/11.375% 1,923,413 0.123,540,000 Nexeo Solutions 144A 01.03.18/8.375% 3,601,950 0.225,702,242 Noranda Aluminium Acquisition 15.05.15/4.417% 5,445,641 0.341,770,000 NRG Energy 01.09.20/8.250% 1,800,975 0.116,410,000 NRG Energy 144A 15.01.18/7.625% 6,401,988 0.403,825,000 Oshkosh 01.03.17/8.250% 4,102,313 0.25

455,000 Oshkosh 01.03.20/8.500% 491,969 0.033,865,000 Packaging Dynamics 144A 01.02.16/8.750% 3,942,300 0.241,251,000 PAETEC Holding 15.07.15/9.500% 1,302,604 0.08

3,090,000 PAETEC Holding 30.06.17/8.875% 3,252,225 0.204,980,000 PAETEC Holding 144A 01.12.18/9.875% 5,154,300 0.325,251,000 Petco Animal Supplies 144A 01.12.18/9.250% 5,605,443 0.35

55,000 Petrohawk Energy 144A 01.06.19/6.250% 53,419 0.001,225,000 PH Glatfelter 01.05.16/7.125% 1,269,406 0.08

4,870,000 Pinafore 144A 01.10.18/9.000% 5,271,775 0.334,180,000 Ply Gem Industries 144A 15.02.18/8.250% 3,950,100 0.246,026,000 Polymer Group 144A 01.02.19/7.750% 6,071,195 0.384,575,000 Polypore International 15.11.17/7.500% 4,866,656 0.301,605,000 Quebecor Printing 01.08.27/6.500% 80,250 0.004,700,000 Radiation Therapy Services 15.04.17/9.875% 4,711,750 0.291,350,000 Rain CII Carbon 144A 01.12.18/8.000% 1,444,500 0.096,185,000 RBS Global/Rexnord 01.05.18/8.500% 6,563,831 0.41

6,090,000 Realogy 144A 15.02.19/7.875% 5,998,650 0.375,380,000 Reichhold Industries 144A 15.08.14/9.000% 4,855,450 0.303,050,000 Reynolds Group Issuer 144A 15.05.18/8.500% 2,996,625 0.199,355,000 Reynolds Group Issuer 144A 15.04.19/9.000% 9,214,675 0.571,150,000 Reynolds Group Issuer 144A 15.02.21/6.875% 1,121,250 0.07

2,490,000 Reynolds Group Issuer 144A 15.02.21/8.250% 2,328,150 0.142,528,000 RSC Equipment Rental 01.02.21/8.250% 2,496,400 0.151,195,000 Sally Holdings 15.11.14/9.250% 1,249,833 0.08

2,560,000 SandRidge Energy 144A 01.06.18/8.000% 2,598,400 0.162,430,000 SandRidge Energy 144A 15.03.21/7.500% 2,445,188 0.151,625,000 SBA Telecommunications 15.08.16/8.000% 1,736,719 0.111,535,000 SBA Telecommunications 15.08.19/8.250% 1,650,125 0.10

597,000 Sealy Mattress 144A 15.04.16/10.875% 662,670 0.043,335,000 Sequa 144A 01.12.15/11.750% 3,635,150 0.23

623,000 Sequa 144A 01.12.15/13.500% 685,300 0.04775,000 ServiceMaster 144A 15.07.15/10.750% 821,500 0.05

9,973,000 Simmons Bedding 144A 15.07.15/11.250% 10,648,770 0.662,065,000 Sinclair Television Group 15.10.18/8.375% 2,168,250 0.132,310,000 Sinclair Television Group 144A 01.11.17/9.250% 2,541,000 0.162,510,000 Solo Cup Operating 01.11.13/10.500% 2,616,675 0.164,539,014 Spectrum Brands 28.08.19/12.000% 5,015,610 0.315,225,000 Spectrum Brands 144A 15.06.18/9.500% 5,747,500 0.364,650,000 SSI Investments II 01.06.18/11.125% 5,161,500 0.322,930,000 Stewart Enterprises 144A 15.04.19/6.500% 2,940,988 0.18

12,265,000 Sungard Data Systems 15.08.15/10.250% 12,724,938 0.794,025,000 SunGard Data Systems 15.11.18/7.375% 4,030,031 0.253,857,626 Surgical Care Affiliates 144A 15.07.15/8.875% 3,982,999 0.255,250,000 Texas Competitive Electric

Holdings 144A 01.10.20/11.500% 5,171,250 0.321,095,000 Travelport 01.09.14/4.879%* 938,963 0.06

510,000 Travelport 01.09.14/9.875% 473,025 0.031,730,000 Travelport 01.03.16/9.000% 1,552,675 0.10

275,000 Trilogy InternationalPartnerse 144A 15.08.16/10.250% 280,500 0.02

2,995,000 Uncle Acquisition 2010 15.02.19/8.625% 3,092,338 0.193,690,000 United Surgical Partners

International 01.05.17/8.875% 3,874,500 0.243,440,000 United Surgical Partners

International 01.05.17/9.250% 3,612,000 0.224,940,000 US Oncology 15.08.17/9.125% 111,150 0.014,493,000 Vail Resorts 144A 01.05.19/6.500% 4,515,465 0.28

915,000 Valeant PharmaceuticalsInternational 144A 15.07.16/6.500% 903,563 0.06

1,555,000 Valeant PharmaceuticalsInternational 144A 01.10.17/6.750% 1,523,900 0.09




1,145,000 Venoco 144A 15.02.19/8.875% 1,143,569 0.073,045,000 Vertellus Specialties 144A 01.10.15/9.375% 3,159,188 0.206,830,000 Visant 01.10.17/10.000% 7,000,750 0.431,555,000 Visteon 144A 15.04.19/6.750% 1,488,913 0.091,385,000 Vulcan Materials 15.06.21/7.500% 1,374,117 0.086,275,000 Windstream 01.09.18/8.125% 6,698,563 0.414,205,000 Windstream 01.10.21/7.750% 4,404,738 0.271,545,000 Windstream 01.04.23/7.500% 1,552,725 0.10

3,555,000 WMG Acquisition 15.06.16/9.500% 3,768,300 0.23660,000 Wynn Las Vegas Capital 01.11.17/7.875% 721,050 0.04355,000 Wynn Las Vegas Capital 01.05.20/7.875% 388,725 0.02

1,440,000 Wynn Las Vegas Capital 15.08.20/7.750% 1,564,200 0.104,499,000 Yankee Candle 15.02.17/9.750% 4,743,791 0.29

775,000 YCC Holdings 144A 15.02.16/10.250% 780,813 0.052,935,000 Zayo Group 15.03.17/10.250% 3,243,175 0.20

901,597,604 55.77

LUXEMBOURG820,000 Aguila 3 144A 31.01.18/7.875% 828,200 0.05

4,804,000 Intelsat Jackson Holdings 15.06.16/11.250% 5,098,245 0.313,050,000 Intelsat Jackson Holdings 144A 01.04.19/7.250% 3,008,063 0.193,395,000 Intelsat Jackson Holdings 144A 15.10.20/7.250% 3,352,563 0.213,420,000 Intelsat Luxembourg 04.02.17/11.250% 3,642,300 0.223,455,000 Intelsat Luxembourg 04.02.17/11.500% 3,696,850 0.233,880,000 Intelsat Luxembourg 144A 04.02.17/11.500% 4,151,600 0.266,130,000 Wind Acquisition Finance 144A 15.07.17/11.750% 6,934,563 0.43

30,712,384 1.90

CANADA2,525,000 Novelis 15.12.17/8.375% 2,689,125 0.173,235,000 Novelis 15.12.20/8.750% 3,485,713 0.229,995,000 Quebecor Media 15.03.16/7.750% 10,394,800 0.64

861,000 Quebecor Media 15.03.16/7.750% 895,440 0.053,500,000 Trinidad Drilling 144A 15.01.19/7.875% 3,640,000 0.221,400,000 Videotron Ltee 15.12.15/6.375% 1,449,000 0.09

22,554,078 1.39

UNITED KINGDOM8,410,000 Ineos Finance 144A 15.05.15/9.000% 8,872,550 0.555,763,000 Ineos Group Holdings 144A 15.02.16/8.500% 5,690,963 0.351,225,000 Virgin Media Finance 15.10.19/8.375% 1,366,261 0.09

15,929,774 0.99

NETHERLANDS278,000 NXP Funding 144A 15.07.13/10.000% 312,750 0.02

7,280,000 NXP Funding 144A 01.08.18/9.750% 8,126,300 0.505,200,000 Sensata Technologies 144A 15.05.19/6.500% 5,213,000 0.32

13,652,050 0.84

IRELAND905,000 Ardagh Packaging Finance 144A 15.10.17/7.375% 932,150 0.06

6,875,000 Ardagh Packaging Finance 144A 15.10.20/9.125% 7,218,750 0.453,298,680 AWAS Aviation Capital 144A 15.10.16/7.000% 3,397,640 0.21

11,548,540 0.72

CAYMAN ISLANDS7,005,000 UPCB Finance III 144A 01.07.20/6.625% 6,934,950 0.43

6,934,950 0.43

BERMUDA1,805,000 Digicel 144A 01.09.17/8.250% 1,881,713 0.122,505,000 Digicel Group 144A 15.04.18/10.500% 2,818,125 0.17

4,699,838 0.29

AUSTRALIA2,793,000 FMG Resources August 2006 Pty

144A 01.11.15/7.000% 2,855,843 0.18755,000 FMG Resources August 2006 Pty

144A 01.02.16/6.375% 756,888 0.051,005,000 FMG Resources August 2006 Pty

144A 01.02.18/6.875% 1,025,100 0.06

4,637,831 0.29

Total Bonds 1,012,267,049 62.62


1,012,267,049 62.62

59



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds

UNITED STATES OF AMERICA507,101 iPCS 01.05.14/3.523% 488,085 0.03

1,412,000 Steinway MusicalInstruments 144A 01.03.14/7.000% 1,438,475 0.09

1,926,560 0.12

Total Bonds 1,926,560 0.12

Total Other Transferable Securities 1,926,560 0.12

Total Investments 1,468,714,212 90.85

Cash 113,858,470 7.04


Total Net Assets 1,616,648,044 100.00



Fixed Income SecuritiesUnited States of America 82.92Luxembourg 2.42Canada 1.48United Kingdom 0.99Netherlands 0.84Ireland 0.72Bermuda 0.50Cayman Islands 0.43Australia 0.29Liberia 0.16Germany 0.09Total Fixed Income Securities 90.84SharesConsumer Discretionary 0.01Total Shares 0.01Cash and Other Assets/(Liabilities) 9.15

Total 100.00


Fixed Income SecuritiesUnited States of America 74.42Luxembourg 2.44Canada 1.96United Kingdom 1.18Netherlands 0.79Bermuda 0.64Ireland 0.59Liberia 0.23Total Fixed Income Securities 82.25SharesConsumer Discretionary 0.04Total Shares 0.04Cash and Other Assets/(Liabilities) 17.71

Total 100.00

60



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


27-Jul-11 EUR 554,772,833 USD 788,847,773 13,258,44427-Jul-11 USD 23,300,652 EUR 16,281,726 (239,926)

Total 13,018,518




MarketValue


20-Dec-15 Credit Suisse CDX.NA.HY_S15.V1 Seller USD 25,000,000 608,358 (353,448)20-Dec-15 Deutsche Bank CDX.NA.HY_S15.V1 Seller USD 25,000,000 608,358 (402,059)20-Jun-16 Barclays Bank CDX.NA.HY_S16.V1 Seller USD 25,000,000 218,904 (425,193)

Total 1,435,620 (1,180,700)

61


Bonds

NETHERLANDS13,000,000 Dutch Treasury Bill 29.07.11/0.000% 12,990,086 1.4430,000,000 Dutch Treasury Bill 31.08.11/0.000% 29,948,834 3.3250,000,000 Dutch Treasury Bill 31.10.11/0.000% 49,793,747 5.53

92,732,667 10.29

GERMANY10,000,000 German Treasury Bill 13.07.11/0.000% 9,998,008 1.1110,000,000 German Treasury Bill 14.09.11/0.000% 9,984,798 1.1110,000,000 German Treasury Bill 07.12.11/0.000% 9,947,669 1.1020,000,000 Germany (Federal Republic of) 04.07.11/5.000% 20,007,000 2.22

8,500,000 NRW Bank 15.08.11/1.420%* 8,500,892 0.94

58,438,367 6.48

BELGIUM10,000,000 Belgium Treasury Bill 14.07.11/0.000% 9,996,285 1.1120,000,000 Belgium Treasury Bill 18.08.11/0.000% 19,968,222 2.22

29,964,507 3.33

UNITED KINGDOM2,530,000 Bank of Scotland 05.07.11/1.299%* 2,529,987 0.28

20,000,000 HSBC Bank 05.05.12/1.502%* 19,968,960 2.21

22,498,947 2.49

IRELAND6,000,000 GE Capital European Funding 06.09.11/2.136%* 6,007,230 0.67

6,007,230 0.67

AUSTRALIA4,180,000 Commonwealth Bank of

Australia 29.07.11/5.875% 4,191,934 0.47

4,191,934 0.47

UNITED STATES OF AMERICA4,000,000 Wells Fargo & Co. 01.08.11/1.485%* 4,000,300 0.44

4,000,300 0.44

Total Bonds 217,833,952 24.17


217,833,952 24.17


Bonds

FRANCE10,000,000 BT Cades 17.11.11/1.073% 10,000,000 1.1160,000,000 French Treasury Bill 07.07.11/0.000% 59,989,698 6.6630,000,000 French Treasury Bill 21.07.11/0.000% 29,983,546 3.3330,000,000 French Treasury Bill 18.08.11/0.000% 29,958,831 3.3230,000,000 French Treasury Bill 15.09.11/0.000% 29,926,756 3.32

159,858,831 17.74

NETHERLANDS15,000,000 Rabobank Nederland 18.01.12/1.432%* 15,000,510 1.66

15,000,510 1.66

Total Bonds 174,859,341 19.40

Commercial Papers

FRANCE7,000,000 Banque Fédérative du Crédit

Mutuel 18.08.11/0.000% 6,987,507 0.786,000,000 Banque Fédérative du Crédit

Mutuel 07.09.11/0.000% 5,985,228 0.6611,000,000 BPCE 01.08.11/0.000% 10,987,297 1.225,000,000 BPCE 11.08.11/0.000% 4,992,179 0.555,500,000 BPCE 01.09.11/0.000% 5,486,779 0.615,000,000 Caisse des Dépôts et

Consignations 20.07.11/0.000% 4,997,599 0.5615,000,000 Électricité de France 07.07.11/0.000% 14,996,939 1.6617,000,000 Société Générale 15.08.11/0.000% 16,971,726 1.88

71,405,254 7.92

SWEDEN8,000,000 Bank of America Securities 24.08.11/0.000% 7,984,087 0.898,000,000 Nordea Bank 15.08.11/0.000% 7,986,996 0.89

8,000,000 Svenska Handelsbanken 17.08.11/0.000% 7,986,616 0.8910,000,000 Svenska Handelsbanken 28.10.11/0.000% 9,952,118 1.105,000,000 Svenska Handelsbanken 09.11.11/0.000% 4,972,048 0.551,500,000 Svenska Handelsbanken 30.11.11/0.000% 1,490,436 0.16

40,372,301 4.48

NETHERLANDS7,000,000 ING Groep 01.08.11/0.000% 6,992,031 0.785,000,000 Paccar 06.07.11/0.000% 4,999,155 0.556,000,000 Paccar 29.08.11/0.000% 5,987,403 0.666,000,000 Unilever 11.07.11/0.000% 5,997,939 0.67

23,976,528 2.66

UNITED KINGDOM10,000,000 Lloyds Banking Group 02.08.11/0.000% 9,987,923 1.1110,000,000 Lloyds Banking Group 17.08.11/0.000% 9,982,124 1.11

19,970,047 2.22

FINLAND5,000,000 Pohjola Bank 28.07.11/0.000% 4,995,448 0.555,000,000 Pohjola Bank 16.08.11/0.000% 4,991,495 0.559,000,000 Pohjola Bank 31.08.11/0.000% 8,980,311 1.00

18,967,254 2.10

AUSTRALIA5,000,000 Commonwealth Bank of

Australia 05.07.11/0.000% 4,999,344 0.557,000,000 Macquarie Bank 17.08.11/0.000% 6,987,840 0.78

11,987,184 1.33

DENMARK9,000,000 Danske Bank 13.07.11/0.000% 8,996,675 1.00

8,996,675 1.00

HONG KONG8,000,000 BCA Interest 11.07.11/0.000% 7,997,088 0.89

7,997,088 0.89

NETHERLANDS ANTILLES7,000,000 Schlumberger 10.08.11/0.000% 6,989,978 0.78

6,989,978 0.78

GERMANY5,000,000 FMS Wertmanagement 26.07.11/0.000% 4,996,140 0.55

4,996,140 0.55

Total Commercial Papers 215,658,449 23.93

Certificates of Deposit

FRANCE4,000,000 BNP Paribas 09.08.11/0.000% 3,993,910 0.448,000,000 BNP Paribas 15.09.11/0.000% 7,975,540 0.89

10,000,000 BNP Paribas 26.09.11/1.353% 10,002,000 1.118,000,000 Crédit Agricole 01.09.11/0.000% 7,981,107 0.888,000,000 HSBC France 07.11.11/1.113% 7,997,600 0.89

37,950,157 4.21

UNITED KINGDOM5,000,000 Barclays Bank 25.07.11/0.000% 4,995,584 0.568,000,000 Barclays Bank 15.08.11/1.373% 8,000,000 0.898,000,000 Barclays Bank 14.10.11/0.000% 7,963,279 0.885,000,000 Barclays Bank 05.12.11/0.000% 4,965,792 0.55

25,924,655 2.88

NETHERLANDS8,000,000 ING Groep 07.09.11/0.000% 7,978,991 0.895,000,000 Rabobank Nederland 06.09.11/0.000% 4,990,960 0.559,000,000 Rabobank Nederland 17.11.11/1.363% 9,051,374 1.01

22,021,325 2.45

SWEDEN10,000,000 Nordea Bank 17.08.11/0.000% 9,983,270 1.11

9,983,270 1.11

JAPAN5,000,000 Bank of Tokyo-Mitsubishi 25.08.11/0.000% 4,991,538 0.55

4,991,538 0.55

62

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

CANADA8,500,000 Bank of Montreal 29.07.11/1.280% 8,500,034 0.94

8,500,034 0.94

Total Certificates of Deposit 109,370,979 12.14

Investment Funds

LUXEMBOURG69,900,000 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (dist)) 69,900,000 7.76

69,900,000 7.76



569,788,769 63.23


Bonds


(Defaulted) 05.04.11/0.000% 1,193,750 0.13

1,193,750 0.13

Total Bonds 1,193,750 0.13



Cash Equivalents

Time Deposits

BELGIUM70,000,000 KBC Groep 01.07.11/1.450% 70,000,000 7.77

70,000,000 7.77

Total Time Deposits 70,000,000 7.77

Total Cash Equivalents 70,000,000 7.77

Total Investments plus Total Cash Equivalents 858,816,471 95.30

Cash 53,752,241 5.96





Fixed Income SecuritiesFrance 29.87Netherlands 17.06Luxembourg 7.76United Kingdom 7.59Germany 7.03Sweden 5.59Belgium 3.33Finland 2.10Australia 1.80Denmark 1.00Canada 0.94Hong Kong 0.89Netherlands Antilles 0.78Ireland 0.67United States of America 0.57Japan 0.55Total Fixed Income Securities 87.53Cash Equivalents, Cash and Other Assets/(Liabilities) 12.47

Total 100.00


Fixed Income SecuritiesNetherlands 23.51France 21.73United Kingdom 11.83Belgium 4.29Sweden 4.29Australia 3.97Germany 3.86United States of America 3.45Japan 2.04Denmark 1.61Finland 1.29Spain 1.02Ireland 0.64Total Fixed Income Securities 83.53Cash Equivalents, Cash and Other Assets/(Liabilities) 16.47

Total 100.00

63



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets



As at 30 June 2011



AmountSold


12-Jul-11 EUR 2,396,962 GBP 2,099,528 74,38912-Jul-11 EUR 2,451,272 USD 3,545,005 54712-Jul-11 GBP 842,850 EUR 954,314 (21,922)12-Jul-11 GBP 73,096,783 EUR 81,924,792 (1,062,407)12-Jul-11 USD 13,394,709 EUR 9,350,065 (90,066)14-Jul-11 EUR 2,467,431 SEK 22,545,883 5,41014-Jul-11 SEK 1,455,174,316 EUR 160,341,874 (1,436,194)27-Jul-11 EUR 655,198 USD 938,213 6,28727-Jul-11 USD 21,560,488 EUR 15,129,403 (217,196)11-Aug-11 EUR 2,763 GBP 2,478 2015-Aug-11 EUR 24,983 SEK 229,394 (43)

Total (2,741,175)

64


Schedule of Investments - Outstanding Total Return Swaps (Expressed in EUR) (Please refer to note 2l)

As at 30 June 2011

EconomicExposure(in contract

currency) Currency Sub-Fund Receives Sub-Fund Pays Counterparty


4,394,429 CHF Performance of the underlying basket CHF-1M-LIBOR +0.40% Merrill Lynch3,896

(3,097,083) CHF CHF-1M-LIBOR -0.35% Performance of the underlying basket Merrill Lynch20,776,497 CHF Performance of the underlying basket CHF-1M-LIBOR +0.40% Morgan Stanley

205,684(17,289,449) CHF CHF-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

13,499,496 DKK Performance of the underlying basket DKK-1M-CIBOR-DKNA13 +0.45% Merrill Lynch139,781

(10,915,899) DKK DKK-1M-CIBOR-DKNA13 -0.35% Performance of the underlying basket Merrill Lynch40,695,943 DKK Performance of the underlying basket DKK-1M-CIBOR-DKNA13 +0.40% Morgan Stanley

781,071(53,714,663) DKK DKK-1M-CIBOR-DKNA13 - variable spread Performance of the underlying basket Morgan Stanley

28,778,665 EUR Performance of the underlying basket EUR-1M-EURIBOR + 0.45% Merrill Lynch(201,611)

(29,290,020) EUR EUR-1M-EURIBOR - 0.35% Performance of the underlying basket Merrill Lynch109,485,040 EUR Performance of the underlying basket EUR-1M-EURIBOR + 0.40% Morgan Stanley

(729,034)(112,823,617) EUR EUR-1M-EURIBOR - variable spread Performance of the underlying basket Morgan Stanley

15,650,992 GBP Performance of the underlying basket GBP-1M-LIBOR +0.45% Merrill Lynch(577,260)

(16,238,993) GBP GBP-1M-LIBOR -0.35% Performance of the underlying basket Merrill Lynch50,482,944 GBP Performance of the underlying basket GBP-1M-LIBOR +0.40% Morgan Stanley

(890,906)(47,803,956) GBP GBP-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

12,296,205 NOK Performance of the underlying basket NOK-1M-NIBOR-NIBR + 0.45% Merrill Lynch(59,459)

(15,745,939) NOK NOK-1M-NIBOR-NIBR - 0.35% Performance of the underlying basket Merrill Lynch26,774,894 NOK Performance of the underlying basket NOK-1M-NIBOR-NIBR + 0.40% Morgan Stanley

(166,979)(18,272,522) NOK NOK-1M-NIBOR-NIBR - variable spread Performance of the underlying basket Morgan Stanley31,698,417 SEK Performance of the underlying basket SEK-1M-STIBOR-SIDE +0.45% Merrill Lynch

(109,572)(34,130,059) SEK SEK-1M-STIBOR-SIDE -0.35% Performance of the underlying basket Merrill Lynch

81,829,822 SEK Performance of the underlying basket SEK-1M-STIBOR-SIDE +0.40% Morgan Stanley194,383

(74,697,494) SEK SEK-1M-STIBOR-SIDE - variable spread Performance of the underlying basket Morgan Stanley711,332,525 USD Performance of the underlying basket USD-1M-LIBOR +0.35% Morgan Stanley

(5,343,464)(709,508,218) USD USD-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

168,766,212 USD Performance of the underlying basket USD-LIBOR + 0.30% Merrill Lynch(1,056,316)

(168,869,080) USD USD-1M-LIBOR Performance of the underlying basket Merrill Lynch

Total (7,809,786)

Net Geographic Distribution based on Economic Exposure of Swap Portfolio % of Total(expressed in Sub-Fund Currency) Net Assets

Austria 0.16%Switzerland 0.44%Italy 0.27%Ireland 0.20%United Kingdom 0.18%United States of America 0.13%Norway 0.13%Guernsey 0.12%Germany 0.07%Netherlands 0.06%France 0.06%Sweden 0.06%Germany 0.00%Cyprus (0.01%)Bermuda (0.04%)Jersey (0.05%)Denmark (0.16%)Belgium (0.16%)Luxembourg (0.21%)Portugal (0.25%)Finland (0.29%)Spain (0.36%)

65


Shares

JAPAN705,000 Amada 433,575,000 2.27165,000 Astellas Pharma 513,975,000 2.6985,500 Benesse Holdings 294,975,000 1.5487,600 Capcom 162,147,600 0.85

416,800 Citizen Holdings 199,855,600 1.053,737 Dai-ichi Life Insurance 419,851,950 2.20

34,300 Daito Trust Construction 233,583,000 1.22341,000 Denki Kagaku Kogyo 131,626,000 0.69

1,563,000 DIC 297,751,500 1.5626,100 East Japan Railway 119,929,500 0.63

128,100 Electric Power Development 279,001,800 1.4685,300 Elpida Memory 80,096,700 0.42

128,000 FUJIFILM Holdings 320,192,000 1.68407,000 Fujitsu 186,202,500 0.98429,000 Fukuoka Financial Group 143,286,000 0.75636,000 Hitachi 300,828,000 1.58

1,254,000 Hokuhoku Financial Group 198,759,000 1.041,689 Japan Tobacco 522,745,500 2.73

213,200 JFE Holdings 470,319,200 2.46123,100 JSR 190,989,650 1.00

350,300 JX Holdings 188,811,700 0.991,289,000 Kawasaki Kisen Kaisha 360,275,500 1.89

712 KDDI 411,536,000 2.15665,000 Marubeni 354,112,500 1.85

1,031,000 Minebea 440,237,000 2.30396,000 Mitsubishi Electric 367,884,000 1.93

1,665,500 Mitsubishi UFJ Financial Group 651,210,500 3.4116,700 Nintendo 250,917,500 1.31

745,000 Nippon Sheet Glass 185,877,500 0.971,709,000 Nippon Steel 443,485,500 2.32

110,200 Nippon Telegraph & Telephone 426,198,500 2.231,146,000 Nippon Yusen 340,935,000 1.78

855,000 Nishi-Nippon City Bank 201,780,000 1.05761,900 Nissan Motor 641,900,750 3.36

20,250 Nitori Holdings 154,710,000 0.81727,700 Nomura Holdings 288,533,050 1.51211,500 Nomura Real Estate Holdings 282,141,000 1.48

236,000 Obayashi 82,364,000 0.4316,150 ORIX 125,808,500 0.66

206,500 Otsuka Holdings 439,535,250 2.30459,200 Panasonic 450,016,000 2.34443,000 Ricoh 394,491,500 2.06278,000 Seiko Epson 385,586,000 2.02147,400 Shiseido 220,878,900 1.1667,300 Sony 142,541,400 0.75

490,600 Sumitomo 534,754,000 2.80741,000 Sumitomo Chemical 296,029,500 1.55543,000 Sumitomo Heavy Industries 302,722,500 1.58238,000 Sumitomo Mitsui Financial Group 587,146,000 3.07130,000 Sumitomo Realty & Development 232,635,000 1.22342,400 Sumitomo Rubber Industries 332,641,600 1.74133,200 Sundrug 339,393,600 1.7860,500 Suzuken 111,925,000 0.59

671,000 Tokyo Gas 243,908,500 1.28945,000 Toshiba 398,317,500 2.08339,000 Toto 211,197,000 1.10334,300 Toyota Motor 1,101,518,500 5.76

6,493 Yahoo! Japan 179,304,195 0.9448,880 Yamada Denki 319,186,400 1.67

18,922,137,345 99.02

Total Shares 18,922,137,345 99.02


18,922,137,345 99.02


Cash 203,761,499 1.07


Total Net Assets 19,109,242,203 100.00


SharesConsumer Discretionary 20.47Industrials 19.25Financials 17.61Information Technology 11.65Materials 10.68Consumer Staples 5.67Health Care 5.58Telecommunication Services 4.38Utilities 2.74Energy 0.99Total Shares 99.02Cash and Other Assets/(Liabilities) 0.98

Total 100.00


SharesConsumer Discretionary 19.99Industrials 19.96Financials 17.21Materials 11.64Information Technology 10.63Consumer Staples 5.78Health Care 4.80Utilities 4.54Telecommunication Services 3.85Total Shares 98.40Cash and Other Assets/(Liabilities) 1.60

Total 100.00

66

JPMorgan Investment Funds - Japan 50 Equity Fund

Schedule of Investments (Market Value Expressed in JPY)

As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Schedule of Investments - Outstanding Forward Foreign Exchange Contracts (Expressed in JPY)

As at 30 June 2011



AmountSold


14-Jul-11 EUR 1,194,913 JPY 140,171,038 (882,566)14-Jul-11 JPY 6,370,819 EUR 54,916 (30,678)

Total (913,244)

67


Shares

JAPAN3,000 Aichi 14,852 0.276,000 Aichi Machine Industry 24,530 0.443,000 Aichi Steel 20,417 0.37

600 Aisin Seiki 23,041 0.413,000 Ajinomoto 35,511 0.644,000 Amada 30,523 0.551,300 AOKI Holdings 20,154 0.36

13,000 Aozora Bank 29,921 0.541,300 Arcs 20,308 0.36

900 Asahi 16,739 0.305,000 Asahi Kasei 33,501 0.60

500 Autobacs Seven 20,985 0.384,000 Bando Chemical Industries 16,180 0.293,000 Belluna 19,505 0.352,100 Bridgestone 48,139 0.86

4,000 Calsonic Kansei 23,947 0.431,600 Canon 75,637 1.36

900 Cawachi 17,621 0.321,400 Century Tokyo Leasing 25,101 0.452,000 Chugoku Marine Paints 15,572 0.281,200 Circle K Sunkus 18,619 0.331,000 Cocokara Fine 25,243 0.45

500 Cosmos Pharmaceutical 21,078 0.381,500 Credit Saison 25,088 0.45

11 CyberAgent 38,311 0.692,000 Daihatsu Motor 33,811 0.611,500 Daiichikosho 24,214 0.443,000 Dainippon Screen Manufacturing 25,405 0.463,400 DCM Holdings 22,991 0.41

800 Dena 34,320 0.62700 Don Quijote 24,237 0.44

2,000 Eagle Industry 24,964 0.452,200 EDION 20,677 0.37

500 Exedy 17,045 0.31700 Fanuc 116,384 2.09800 FCC 19,103 0.34600 Ferrotec 13,482 0.24

6,000 Fuji Heavy Industries 46,380 0.83900 Fuji Machine Manufacturing 19,129 0.34700 Fukuda Denshi 20,619 0.37

5,000 Fukuoka Financial Group 20,721 0.374,000 Fukuyama Transporting 21,168 0.38

700 Fuyo General Lease 23,581 0.42900 HIS 22,138 0.40

19,000 Hitachi 111,508 2.001,400 Hitachi Capital 18,847 0.343,000 Hokuetsu Kishu Paper 18,258 0.333,700 Honda Motor 141,743 2.54

300 Idemitsu Kosan 31,863 0.572,500 Iida Home Max 21,744 0.39

7 Inpex 51,331 0.925,000 ITOCHU 51,678 0.932,800 Itochu Enex 15,512 0.28

500 Japan Petroleum Exploration 23,327 0.425,000 JFE Shoji Holdings 24,226 0.431,000 JGC 27,229 0.496,000 J-Oil Mills 17,607 0.322,100 JSP 35,006 0.639,500 JX Holdings 63,534 1.14

600 K’s Holdings 25,870 0.4610,000 Kajima 28,538 0.51

4 Kakaku.com 28,017 0.502,000 Kaken Pharmaceutical 27,955 0.502,600 Kanto Auto Works 23,695 0.43

14 KDDI 100,403 1.80800 Keihin 16,785 0.30200 Keyence 56,381 1.01

1,000 Komatsu 30,970 0.56600 Kyocera 60,748 1.09

1,000 KYORIN Holdings 19,803 0.351,000 Lintec 28,023 0.50

600 Macnica 13,612 0.242,000 Makino Milling Machine 18,463 0.336,000 Marubeni 39,643 0.716,000 Marudai Food 18,425 0.331,500 Megmilk Snow Brand 27,582 0.49

1,800 Meiko Network Japan 15,879 0.281,100 Ministop 19,736 0.35

3,000 Mitsuba 27,527 0.493,400 Mitsubishi 84,415 1.517,000 Mitsubishi Chemical Holdings 49,333 0.883,000 Mitsubishi Electric 34,580 0.624,000 Mitsubishi Gas Chemical 29,109 0.52

39,700 Mitsubishi UFJ Financial Group 192,601 3.46620 Mitsubishi UFJ Lease & Finance 23,809 0.43

4,500 Mitsui & Co. 77,219 1.397,000 Mitsui Chemicals 25,318 0.46

57,900 Mizuho Financial Group 94,470 1.695,000 Morinaga Milk Industry 21,217 0.381,200 Nabtesco 28,848 0.522,000 Nagase & Co. 24,480 0.441,000 NEC Capital Solutions 13,208 0.24

800 NEC Networks and System Integration 11,132 0.202,000 NGK Spark Plug 27,433 0.493,000 Nippo 24,121 0.43

10,000 Nippon Light Metal 20,411 0.371,000 Nippon Paper Group 22,104 0.408,000 Nippon Road 23,972 0.439,000 Nippon Sheet Glass 27,862 0.502,000 Nippon Shokubai 24,245 0.446,000 Nippon Soda 26,354 0.472,400 Nippon Telegraph & Telephone 115,168 2.07

16,000 Nishimatsu Construction 23,525 0.426,800 Nissan Motor 71,084 1.282,000 Nissin Electric 18,872 0.343,000 Nittetsu Mining 13,475 0.24

700 Nitto Denko 35,263 0.633,000 NSK 29,704 0.53

54 NTT DoCoMo 95,812 1.721,000 Oiles 19,703 0.355,000 Okumura 18,115 0.32

900 Omron 24,835 0.45410 ORIX 39,629 0.71

1,100 Osaka Steel 21,742 0.393,000 Press Kogyo 15,094 0.273,000 Ricoh 33,147 0.59

800 Ricoh Leasing 17,768 0.324,000 Ryobi 17,842 0.324,000 Sakai Chemical Industry 18,041 0.323,000 Sakata INX 13,921 0.254,000 Sanden 20,547 0.373,000 Sanyo Special Steel 18,965 0.343,800 Sapporo Hokuyo Holdings 15,819 0.283,000 Seino Holdings 21,441 0.382,000 Sekisui Jushi 20,262 0.36

900 Shimachu 21,882 0.3917,000 Shinsei Bank 16,980 0.301,000 Ship Healthcare Holdings 18,370 0.33

46 SKY Perfect JSAT Holdings 18,892 0.34200 SMC 35,809 0.64

3,100 Softbank 116,642 2.093,900 Sumitomo 52,745 0.952,500 Sumitomo Electric Industries 36,184 0.652,000 Sumitomo Metal Mining 32,632 0.594,200 Sumitomo Mitsui Financial Group 128,561 2.31

16,430 Sumitomo Mitsui Trust Holdings 56,877 1.021,400 Tachi-S 25,804 0.466,000 Taihei Kogyo 25,982 0.471,300 Takamatsu Construction Group 18,130 0.33

700 Takata 21,336 0.38300 Takeda Pharmaceutical 13,828 0.25800 Tamron 19,073 0.34

1,800 Teikoku Piston Ring 21,541 0.39800 THK 20,235 0.36

5,000 Toagosei 25,033 0.451,300 Tokyo Seimitsu 25,026 0.456,000 Tosoh 23,934 0.434,000 Toyo Ink SC Holdings 19,182 0.346,000 Toyo Tire & Rubber 15,113 0.275,400 Toyota Motor 220,771 3.961,300 Toyota Tsusho 22,114 0.403,000 Tsubakimoto Chain 18,370 0.33

11 TV Asahi 16,624 0.301,200 Unipres 30,918 0.562,700 U-Shin 22,395 0.401,700 Valor 23,698 0.43

68

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

600 Yachiyo Bank 16,829 0.302,000 Yaskawa Electric 22,284 0.403,000 Yokohama Rubber 17,197 0.311,200 Yorozu 26,376 0.473,000 Zeon 27,899 0.50

5,413,641 97.12

Total Shares 5,413,641 97.12


5,413,641 97.12


Cash 244,506 4.39

Other Assets/(Liabilities) (83,765) (1.51)



SharesConsumer Discretionary 28.01Industrials 20.37Financials 14.02Materials 11.73Telecommunication Services 7.68Information Technology 7.48Consumer Staples 3.31Energy 3.05Health Care 1.47Total Shares 97.12Cash and Other Assets/(Liabilities) 2.88

Total 100.00


SharesConsumer Discretionary 26.86Industrials 24.42Financials 14.30Materials 12.12Information Technology 8.51Telecommunication Services 6.20Energy 2.26Utilities 1.76Health Care 1.33Consumer Staples 0.97Total Shares 98.73Cash and Other Assets/(Liabilities) 1.27

Total 100.00

69



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Shares and Warrants

SOUTH KOREA165,000 Samsung Engineering 39,442,077 3.0963,700 Samsung Electronics 49,245,505 3.8795,336 Samsung C&T 7,316,712 0.5762,000 OCI 23,414,029 1.84

133,000 Mando 27,557,829 2.16525,000 Lock & Lock 21,325,974 1.67350,000 KT&G 21,780,764 1.71642,000 KB Financial Group 30,392,489 2.38

93,000 Hyundai Heavy Industries 38,604,842 3.03180,000 Daewoo Shipbuilding & Marine Engineering 7,632,047 0.6029,000 Amorepacific 32,250,890 2.53

298,963,158 23.45

CHINA92,000,000 Agricultural Bank of China - H Shares * 48,409,853 3.8012,500,000 BBMG - H Shares * 18,664,148 1.4541,000,000 China Construction Bank - H Shares * 34,007,299 2.6743,000,000 China Eastern Airlines - H Shares * 19,062,488 1.5114,000,000 China National Building Material - H Shares * 27,434,049 2.156,500,000 Jiangxi Copper - H Shares * 21,611,542 1.705,200,000 Yanzhou Coal Mining - H Shares * 19,761,510 1.55

188,950,889 14.83

HONG KONG9,500,000 BOC Hong Kong Holdings 27,557,727 2.16

10,900,000 CNOOC 25,463,166 2.002,200,000 Hutchison Whampoa 23,760,328 1.86

30,000,000 Poly Hong Kong Investments 19,717,821 1.552,900,000 Wharf Holdings 20,187,798 1.58

116,686,840 9.15

INDIA4,250,000 Ambuja Cements 12,767,118 1.002,350,000 Bharti Airtel 20,685,416 1.62

300,000 HDFC Bank 16,798,892 1.323,300,000 Hindalco Industries -

Warrants 21.09.2012 21.09.12 13,329,690 1.056,500,000 Infrastructure Development Finance 19,017,118 1.495,000,000 Mundra Port and Special Economic Zone 18,113,672 1.42

650,000 Tata Motors 14,407,194 1.13

115,119,100 9.03

TAIWAN22,500,000 Advanced Semiconductor Engineering 24,634,465 1.934,300,000 Delta Electronics 15,755,440 1.247,300,000 Formosa Chemicals & Fibre 27,128,808 2.13

25,000,000 Taishin Financial Holding 14,817,232 1.169,500,000 Taiwan Semiconductor Manufacturing 23,845,083 1.87

106,181,028 8.33

SINGAPORE10,500,000 Cosco 16,630,700 1.302,800,000 Fraser and Neave 13,213,355 1.043,800,000 Keppel 34,255,700 2.69

27,000,000 Midas Holdings 13,860,298 1.098,000,000 Overseas Union Enterprise 18,631,922 1.46

96,591,975 7.58

CAYMAN ISLANDS21,000,000 China Resources Cement Holdings 19,739,023 1.5515,000,000 China Resources Land 27,003,585 2.124,000,000 China Shineway Pharmaceutical Group 7,925,678 0.629,500,000 Sands China 25,482,505 2.00

12,800,000 Sany Heavy Equipment International Holdings 14,605,451 1.14

94,756,242 7.43

INDONESIA4,000,000 Astra International 29,740,600 2.33

20,000,000 Bank Danamon Indonesia 14,048,382 1.1012,878,242 United Tractors 37,459,882 2.94

81,248,864 6.37

THAILAND9,755,600 Krung Thai Bank - NVDR 5,965,998 0.47

15,244,400 Krung Thai Bank (Foreign) 9,322,652 0.732,800,000 PTT Chemical (Foreign) 13,447,489 1.053,200,000 Siam Cement - NVDR 36,790,607 2.89

65,526,746 5.14

BERMUDA18,000,000 Brilliance China Automotive Holdings 20,226,668 1.59

7,500,000 China Yurun Food Group 21,129,679 1.66

41,356,347 3.25

MALAYSIA11,022,000 Petronas Chemicals Group 25,898,689 2.03

25,898,689 2.03

ISLE OF MAN10,500,000 Genting Singapore 16,545,195 1.30

16,545,195 1.30

Total Shares and Warrants 1,247,825,073 97.89


1,247,825,073 97.89


Cash 23,444,485 1.84


Total Net Assets 1,274,730,623 100.00



Shares and WarrantsFinancials 31.01Materials 18.59Industrials 16.84Consumer Discretionary 11.97Information Technology 7.67Consumer Staples 7.57Energy 2.00Telecommunication Services 1.62Health Care 0.62Total Shares and Warrants 97.89Cash and Other Assets/(Liabilities) 2.11

Total 100.00


Shares and WarrantsFinancials 32.18Industrials 19.30Materials 17.86Information Technology 11.22Consumer Staples 7.59Consumer Discretionary 7.47Health Care 0.77Total Shares and Warrants 96.39Cash and Other Assets/(Liabilities) 3.61

Total 100.00

70

JPMorgan Investment Funds - JF Asia ex-Japan Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Shares


8,686 0.02


Bonds

UNITED STATES OF AMERICA45,000 Abbott Laboratories 27.05.40/5.300% 45,022 0.1170,000 Altria Group 05.05.21/4.750% 70,041 0.1895,000 American Express Credit 25.08.14/5.125% 103,674 0.2670,000 American International Group 15.12.20/6.400% 74,551 0.1935,000 Anadarko Petroleum 15.09.17/6.375% 40,105 0.1095,000 Anheuser-Busch InBev Worldwide 15.01.20/5.375% 104,993 0.2660,000 Apache 01.02.42/5.250% 58,809 0.15

105,000 Arch Coal 01.08.16/8.750% 114,319 0.2975,000 AT&T 15.05.21/4.450% 76,279 0.1980,000 AT&T 15.05.38/6.400% 85,256 0.21

155,000 Bank of America 15.05.14/7.375% 174,551 0.44130,000 Bank of America 01.04.15/4.500% 135,675 0.3465,000 Bank of America 01.05.18/5.650% 68,296 0.17

125,000 Citigroup 21.11.17/6.125% 137,881 0.35100,000 Citigroup 09.08.20/5.375% 104,416 0.2680,000 Constellation Brands 01.09.16/7.250% 87,264 0.22

100,000 Crédit Suisse/New York 15.05.13/5.000% 106,722 0.2790,000 Dominion Resources 15.08.19/5.200% 98,666 0.2545,000 Energy Transfer Partners 01.06.41/6.050% 43,639 0.1170,000 Entergy Arkansas 15.02.21/3.750% 66,817 0.17

100,000 Enterprise Products Operating 15.04.38/7.550% 120,637 0.30100,000 Ford Motor Credit 15.08.17/6.625% 106,879 0.2730,000 General Electric 06.12.17/5.250% 33,230 0.0860,000 General Electric Capital 16.09.20/4.375% 59,246 0.1560,000 General Electric Capital 14.01.38/5.875% 59,770 0.1540,000 Georgia Power 01.03.37/5.650% 41,479 0.1140,000 Goldman Sachs Group 18.01.18/5.950% 43,125 0.1175,000 Goldman Sachs Group 01.04.18/6.150% 81,613 0.2120,000 Goldman Sachs Group 01.02.41/6.250% 19,884 0.05

173,000 HCA 15.11.16/9.625%* 184,432 0.4655,000 HCP 01.02.21/5.375% 56,832 0.14

105,000 Host Hotels & Resorts 15.03.15/6.375% 107,020 0.27100,000 Host Hotels & Resorts 01.06.16/6.750% 103,298 0.26200,000 Iron Mountain 01.01.16/6.625% 200,201 0.51110,000 Jarden 01.05.17/7.500% 114,987 0.2970,000 Kinder Morgan Energy Partners 01.03.41/6.375% 71,895 0.18

250,000 Kraft Foods 11.08.17/6.500% 294,134 0.74265,000 MGM Resorts International 01.06.16/7.500% 253,685 0.64165,000 Morgan Stanley 02.11.15/3.450% 164,212 0.41100,000 Morgan Stanley 01.04.18/6.625% 109,900 0.2840,000 Nevada Power 15.05.41/5.450% 39,803 0.1050,000 Nisource Finance 15.06.41/5.950% 49,193 0.1275,000 Philip Morris International 16.05.18/5.650% 84,723 0.2275,000 Prudential Financial 15.06.19/7.375% 88,767 0.22

400,000 Sealy Mattress 15.06.14/8.250% 400,348 1.01175,000 Sprint Capital 15.03.32/8.750% 188,738 0.4830,000 Time Warner 29.03.41/6.250% 30,880 0.0890,000 UnitedHealth Group 15.10.40/5.700% 89,352 0.2350,000 Verizon Communications 01.04.21/4.600% 51,559 0.13

345,000 Verizon Wireless Capital 15.11.13/7.375% 392,429 0.9940,000 Wal-Mart Stores 15.04.41/5.625% 41,108 0.1065,000 Watson Pharmaceuticals 15.08.19/6.125% 73,354 0.1950,000 WellPoint 15.08.40/5.800% 50,543 0.1370,000 Williams Partners 15.11.20/4.125% 67,605 0.17

5,671,837 14.30

MEXICO40,000 Mexico (United Mexican States) 05.12.24/10.000% 422,248 1.06

422,248 1.06

CANADA135,000 Canadian Natural Resources 01.12.14/4.900% 148,889 0.3865,000 Encana 15.08.37/6.625% 70,846 0.1850,000 Suncor Energy 01.06.39/6.850% 56,877 0.14

276,612 0.70

UNITED KINGDOM55,000 Lloyds TSB Bank 21.01.21/6.375% 56,931 0.14

150,000 Standard Chartered 144A 18.11.14/5.500% 164,475 0.42

221,406 0.56

COLOMBIA249,000,000 Colombia (Republic of) 28.06.27/9.850% 180,379 0.45

180,379 0.45

LUXEMBOURG65,000 ArcelorMittal 01.03.41/6.750% 63,416 0.1650,000 Telecom Italia Capital 04.06.38/7.721% 49,381 0.12

112,797 0.28


101,320 0.26


34,059 0.09

SPAIN30,000 Telefonica Emisiones 16.02.21/5.462% 30,418 0.08

30,418 0.08


29,778 0.07

Total Bonds 7,080,854 17.85


7,089,540 17.87


Bonds

UNITED STATES OF AMERICA100,000 Ally Financial 01.12.14/6.750% 103,500 0.2640,000 Amgen 15.06.42/5.650% 39,803 0.1048,470 Banc of America Mortgage

Securities 2005-10 1A13 25.11.35/5.500% 46,838 0.1230,000 Barrick North America

Finance 144A 30.05.41/5.700% 29,326 0.0755,000 Bear Stearns Commercial

Mortgage Securities2006-PW14 AM 11.12.38/5.243% 54,297 0.14

150,000 Biomet 15.10.17/10.375% 165,000 0.42100,000 Caesars Entertainment Operating 01.06.17/11.250% 109,750 0.28200,000 Case New Holland 144A 01.12.17/7.875% 220,000 0.55205,000 CCO Holdings Capital 30.10.17/7.250% 211,765 0.53603,477 Citimortgage Alternative Loan

Trust 2007-A1 1A7 25.01.37/6.000% 442,108 1.11200,000 Clear Channel Worldwide

Holdings 15.12.17/9.250% 216,000 0.541,170,548 Countrywide Asset-Backed

Certificates 2003-5 MF1 25.01.34/5.413%* 752,936 1.90265,556 Countrywide Asset-Backed

Certificates 2005-4 AF3 25.10.35/4.456%* 261,831 0.6665,000 DCP Midstream 144A 15.03.19/9.750% 85,326 0.2275,000 DirecTV Holdings 01.03.21/5.000% 77,735 0.20

275,000 DISH DBS 01.02.16/7.125% 290,980 0.7336,072 Fannie Mae Interest Strip 366 18 01.10.35/4.000% 3,467 0.01

144,242 Fannie Mae Interest Strip 390 C7 25.07.23/4.000% 12,381 0.03186,186 Fannie Mae Interest Strip 390 C8 25.07.23/4.500% 19,110 0.05163,590 Fannie Mae Pool No: 672379 01.12.17/5.000% 176,690 0.45

62,783 Fannie Mae Pool No: 787565 01.03.35/7.500% 74,725 0.19469,447 Fannie Mae Pool No: 889183 01.09.21/5.500% 509,130 1.28250,908 Fannie Mae Pool No: 889307 01.07.37/5.000% 266,551 0.67286,196 Fannie Mae Pool No: 919641 01.09.37/6.000% 314,503 0.79159,272 Fannie Mae Pool No: 930796 01.02.35/5.000% 169,252 0.43123,778 Fannie Mae Pool No: 952005 01.11.37/6.000% 135,943 0.34101,147 Fannie Mae Pool No: 965649 01.01.38/6.000% 111,151 0.28141,847 Fannie Mae Pool No: AA9363 01.08.39/4.500% 146,878 0.3763,223 Fannie Mae REMICS 2003-22 IO 25.04.33/6.000% 13,804 0.03

168,989 Fannie Mae REMICS 2008-17 KS 25.11.37/6.164%* 24,607 0.06194,910 Fannie Mae REMICS 2008-71 SB 25.10.29/6.299%* 19,433 0.05170,028 Fannie Mae REMICS 2009-95 HI 25.12.38/6.000% 28,081 0.07573,920 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 68,104 0.17

1,004,000 Federal Farm Credit DiscountNotes 06.07.11/0.000% 1,003,996 2.53

370,000 Freddie Mac 30.07.14/1.000% 369,963 0.93465,334 Freddie Mac Gold Pool

No: G01589 01.09.33/5.000% 497,227 1.25364,874 Freddie Mac Non Gold Pool

No: 1G1999 01.06.37/5.379%* 392,211 0.99395,504 Freddie Mac Non Gold Pool

No: 1J0453 01.06.37/5.537%* 427,051 1.08

71

JPMorgan Investment Funds - US Bond Fund


As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

135,327 Freddie Mac REMICS 3612 JI 15.05.24/4.500% 18,246 0.05150,000 Freescale Semiconductor 144A 15.04.18/9.250% 160,875 0.41463,822 GE Capital Commercial Mortgage

2002-1A A3 10.12.35/6.269% 473,445 1.1990,000 General Electric Capital 15.08.11/0.331%* 90,025 0.23155,000 Georgia-Pacific 15.06.15/7.700% 177,825 0.45265,593 Ginnie Mae I Pool No: 713334 15.05.39/4.500% 280,325 0.71


1,843,485 GSAA Trust 2006-11 2A2 25.07.36/0.346%* 865,015 2.182,178,582 Indymac Index Mortgage Loan

Trust 2007-FLX3 A1 25.06.37/0.426%* 1,408,096 3.55100,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 106,440 0.27135,000 Metropolitan Life Global

Funding I 144A 18.09.13/5.200% 146,824 0.3760,000 Midamerican Energy Holdings 15.09.37/6.500% 67,831 0.17

105,000 Morgan Stanley Capital I2006-IQ12 A4 15.12.43/5.332% 113,894 0.29

666,818 Morgan Stanley Dean WitterCapital I 2002-TOP7 A2 15.01.39/5.980% 684,872 1.73

145,000 NBC Universal 144A 01.04.21/4.375% 143,565 0.3635,000 Oncor Electric Delivery 30.09.40/5.250% 33,753 0.0945,000 Oracle 08.07.39/6.125% 49,919 0.1345,000 Oracle 144A 15.07.40/5.375% 45,283 0.11

200,000 PAETEC Holding 15.07.15/9.500% 208,250 0.5249,397 Residential Accredit Loans

2006-QS18 3A3 25.12.21/5.750% 44,364 0.11135,000 Reynolds Group Issuer 144A 15.04.19/9.000% 132,975 0.34130,000 Reynolds Group Issuer 144A 15.04.19/7.125% 128,375 0.32250,000 Spectrum Brands 144A 15.06.18/9.500% 275,000 0.6980,000 State of California 01.04.39/7.550% 91,744 0.2350,000 State of Illinois 01.06.33/5.100% 42,538 0.11

155,000 Steinway MusicalInstruments 144A 01.03.14/7.000% 157,519 0.40

130,000 US Treasury (i) 10.11.11/0.000% 129,959 0.33250,000 US Treasury 31.05.13/0.500% 250,298 0.63757,000 US Treasury 15.05.14/1.000% 762,559 1.92

1,010,000 US Treasury 30.04.16/2.000% 1,027,793 2.59490,000 US Treasury 31.05.16/1.750% 491,837 1.24675,000 US Treasury 31.05.18/2.375% 673,418 1.70

1,014,000 US Treasury 15.05.21/3.125% 1,013,287 2.5570,000 US Treasury 15.02.31/5.375% 82,070 0.20

101,000 US Treasury 15.02.39/3.500% 86,600 0.22527,000 US Treasury 15.08.39/4.500% 537,375 1.3535,000 US Treasury 15.02.41/4.750% 37,108 0.09

250,000 US Treasury 15.05.41/4.375% 249,219 0.6345,000 US Treasury 15.05.40/4.375% 44,845 0.11111,000 US Treasury 15.08.40/3.875% 101,348 0.26135,000 Valeant Pharmaceuticals

International 144A 15.07.22/7.250% 130,275 0.33455,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.380%* 497,213 1.25200,000 Wells Fargo & Co. 15.06.16/3.676% 206,835 0.52

55,169 Wells Fargo Mortgage BackedSecurities Trust 2006-11 A8 25.09.36/6.000% 51,834 0.13

55,000 Windstream 01.09.18/8.125% 58,554 0.15

20,795,323 52.41

UNITED KINGDOM190,000 HSBC Bank 144A 24.05.16/3.100% 189,801 0.48100,000 PPL WEM Holdings 144A 01.05.21/5.375% 103,793 0.26

293,594 0.74

NETHERLANDS80,000 NXP/NXP Funding 144A 15.07.13/10.000% 90,000 0.23

150,000 NXP/NXP Funding 144A 01.08.18/9.750% 167,437 0.42

257,437 0.65

CAYMAN ISLANDS217,976 Helios Finance 2007-S1 B1 20.10.14/0.886%* 217,019 0.55

217,019 0.55

CANADA125,000 Quebecor Media 15.03.16/7.750% 130,000 0.3370,000 Xstrata Finance Canada 144A 15.11.16/5.800% 78,733 0.20

208,733 0.53

ITALY100,000 Intesa Sanpaolo 144A 24.02.21/6.500% 103,915 0.26

103,915 0.26

FRANCE80,000 RCI Banque 144A 12.04.16/4.600% 82,043 0.21

82,043 0.21

BELGIUM35,000 Delhaize Group 01.10.40/5.700% 32,727 0.08

32,727 0.08

Total Bonds 21,990,791 55.43

Commercial Papers

UNITED STATES OF AMERICA1,000,000 Amsterdam Funding 29.08.11/0.000% 999,685 2.521,000,000 Atlantic Asset Securitisation 01.07.11/0.000% 1,000,000 2.521,000,000 Fairway Finance 08.09.11/0.000% 999,661 2.521,000,000 Gotham Funding 29.07.11/0.000% 999,863 2.521,000,000 ING (US) Funding 01.09.11/0.000% 999,678 2.511,000,000 Old Line Funding 19.08.11/0.000% 999,755 2.521,000,000 Windmill Funding 08.09.11/0.000% 999,623 2.52

6,998,265 17.63

UNITED KINGDOM1,000,000 Thames Asset Global

Securitization 29.07.11/0.000% 999,827 2.52

999,827 2.52

Total Commercial Papers 7,998,092 20.15


29,988,883 75.58


Bonds

UNITED STATES OF AMERICA82,815 CVS Pass Through Trust 144A 10.01.32/7.507% 98,635 0.25

98,635 0.25

CAYMAN ISLANDS10,000,000 Links Finance 144A** 15.06.10/0.000% 0 0.00

0 0.00




Cash 2,706,081 6.82



* Variable coupon rates are those quoted as at 30 June 2011.** This security is submitted to a fair valuation.(i) Security partially or totally held as collateral against financial futures contracts by the broker.

72



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 84.59United Kingdom 3.82Canada 1.23Mexico 1.06Cayman Islands 0.81Netherlands 0.65Colombia 0.45Luxembourg 0.28Italy 0.26France 0.21Peru 0.09Belgium 0.08Spain 0.08Isle Of Man 0.07Total Fixed Income Securities 93.68SharesConsumer Discretionary 0.02Total Shares 0.02Cash and Other Assets/(Liabilities) 6.30

Total 100.00


Fixed Income SecuritiesUnited States of America 74.57France 4.90Jersey 2.45Cayman Islands 1.59Mexico 1.51Canada 1.44United Kingdom 1.13Netherlands 0.64Isle of Man 0.39Belgium 0.23Bermuda 0.19Total Fixed Income Securities 89.04SharesConsumer Discretionary 0.06Total Shares 0.06Cash and Other Assets/(Liabilities) 10.90

Total 100.00

73



As at 30 June 2011

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding To be Announced Securities (Expressed in USD)

As at 30 June 2011


NominalValue

MarketValue




25-Jul-24 Fannie Mae 4.500% 640,000 678,700 -25-Jul-24 Fannie Mae 5.000% 70,000 75,031 (98)25-Jul-26 Fannie Mae 3.500% 300,000 305,578 (1,609)25-Jul-26 Fannie Mae 4.000% 730,000 760,455 (1,381)15-Jul-39 Freddie Mac 4.500% 840,000 868,219 (4,894)15-Jul-39 Freddie Mac 5.000% 230,000 244,052 (1,222)15-Jul-39 Freddie Mac 5.500% 600,000 647,906 (3,844)15-Jul-39 Freddie Mac 6.000% 400,000 439,313 6315-Jul-39 Ginnie Mae 4.500% 645,000 680,777 (302)15-Jul-39 Ginnie Mae 5.000% 660,000 714,450 (837)15-Jul-39 Ginnie Mae 5.500% 340,000 374,053 (691)15-Jul-39 Ginnie Mae 6.000% 225,000 250,910 (105)25-Jul-39 Fannie Mae 4.500% 870,000 900,858 (2,460)25-Jul-39 Fannie Mae 5.000% 480,000 510,075 (1,743)25-Jul-39 Fannie Mae 5.500% 855,000 924,469 (5,410)25-Jul-39 Fannie Mae 6.000% 420,000 461,409 (2,051)15-Jul-41 Freddie Mac 4.000% 460,000 460,216 (4,097)15-Jul-41 Ginnie Mae 4.000% 310,000 316,055 (1,211)25-Jul-41 Fannie Mae 4.000% 3,310,000 3,319,309 (16,630)

Total 12,931,836 (48,524)


ExpirationDate


NotionalValue


Bond Futures

Sep-11 6 Euro-Bund Future EUR 1,092,256 6,511Sep-11 (14) Euro-Schatz Future EUR (2,180,345) (6,179)Sep-11 (5) US 2 Year Note Future USD (1,097,031) (453)Sep-11 (12) US 5 Year Note Future USD (1,433,625) 4,977Sep-11 15 US 10 Year Note Future USD 1,839,844 7,273Sep-11 3 US Long Bond Future USD 369,469 (4,609)

Total 7,520




AmountSold


21-Sep-11 CZK 3,075,000 USD 183,065 (310)21-Sep-11 USD 180,420 EUR 126,000 (1,456)

Total (1,766)

74


Shares

UNITED STATES OF AMERICA14,900 Alaska Air Group 1,026,908 0.4614,600 Alliance Data Systems 1,364,735 0.6137,250 American Electric Power 1,392,777 0.6231,000 AMERIGROUP 2,196,195 0.9966,400 Ameriprise Financial 3,812,356 1.7132,300 Amgen 1,883,897 0.8510,700 Apache 1,311,445 0.59

100 Apollo Investment 1,015 0.0023,900 Apple 7,974,235 3.5819,500 Assurant 706,875 0.32

40,900 AT&T 1,284,260 0.588,400 Autoliv 658,308 0.306,100 AutoZone 1,785,043 0.80

216,280 Bank of America 2,369,347 1.0626,800 Biogen Idec 2,924,014 1.3160,500 Broadcom - A Shares 2,004,970 0.9050,300 Capital One Financial 2,629,684 1.1888,100 CBS Non Voting - B Shares 2,541,244 1.1422,204 CenturyLink 893,933 0.4072,880 Chevron 7,437,768 3.34

122,900 Chimera Investment 430,764 0.1930,500 Cigna 1,570,750 0.71113,770 Citigroup 4,704,390 2.11

7,400 Cliffs Natural Resources 679,505 0.3130,500 Coca-Cola Enterprises 893,193 0.4029,300 Complete Production Services 973,346 0.4478,700 Constellation Brands - A Shares 1,636,960 0.7311,800 Cooper 914,146 0.41

38,400 CSX 1,005,504 0.4523,600 Cummins 2,431,980 1.0933,700 Darling International 606,768 0.276,500 Dell 107,607 0.05

152,700 Discover Financial Services 4,096,177 1.8417,500 Eastman Chemical 1,778,787 0.8043,700 Endo Pharmaceuticals Holdings 1,744,723 0.7830,300 Energen 1,710,132 0.7725,600 Energizer Holdings 1,857,792 0.83

109,290 Exxon Mobil 8,862,872 3.9893,800 Ford Motor 1,278,963 0.5718,400 Freeport-McMoRan Copper & Gold 964,988 0.4310,285 Frontier Communications 83,051 0.0461,300 Gannett 874,751 0.3911,300 General Motors 341,769 0.1512,600 H&R Block 202,671 0.0935,700 Harris 1,613,819 0.7261,400 Honeywell International 3,656,063 1.6429,900 Humana 2,445,072 1.10

102,500 Huntington Bancshares 667,787 0.3052,500 IAC/InterActive 2,000,250 0.9047,670 International Business Machines 8,189,706 3.685,600 Joy Global 516,096 0.23

48,900 KBR 1,840,107 0.8320,700 Kimberly-Clark 1,372,410 0.6234,000 Kinetic Concepts 1,969,960 0.8813,100 Lam Research 578,562 0.26

64,600 Lincoln National 1,835,609 0.8221,500 Lorillard 2,348,875 1.0563,350 Macy’s 1,853,304 0.8354,900 MetLife 2,394,464 1.07

135,700 Microsoft 3,496,311 1.5717,500 National Oilwell Varco 1,359,313 0.6125,350 Norfolk Southern 1,905,939 0.8637,200 Occidental Petroleum 3,886,284 1.7455,100 Oracle 1,805,903 0.8112,000 Parker Hannifin 1,067,460 0.4830,000 Patterson-UTI Energy 923,850 0.41

200,600 Pfizer 4,129,351 1.8560,000 Philip Morris International 3,976,200 1.7940,000 PNC Financial Services Group 2,360,400 1.0638,900 PPG Industries 3,495,165 1.5724,900 ProLogis 887,063 0.4033,700 Protective Life 774,595 0.3525,600 Prudential Financial 1,618,816 0.7330,300 Qualcomm 1,703,012 0.7678,600 RR Donnelley & Sons 1,539,381 0.6918,000 SanDisk 735,750 0.3359,900 Sempra Energy 3,131,872 1.41

8,410 Simon Property Group 968,243 0.4454,000 SLM 915,030 0.4138,500 Smithfield Foods 857,780 0.3920,400 Sotheby’s 894,948 0.40

35,900 SunTrust Banks 919,040 0.4292,000 Symantec 1,811,020 0.8136,400 Timken 1,813,812 0.82

7,900 TRW Automotive Holdings 466,653 0.2194,800 Tyson Foods - A Shares 1,855,710 0.8349,100 United Continental Holdings 1,124,881 0.5069,100 UnitedHealth Group 3,571,779 1.6033,700 Universal Health Services - B Shares 1,752,906 0.7992,600 Valero Energy 2,335,835 1.0557,750 Verizon Communications 2,130,108 0.9517,800 VF 1,934,860 0.8769,300 Viacom - B Shares 3,576,573 1.6126,200 Vishay Intertechnology 395,096 0.1812,000 WABCO Holdings 829,860 0.3726,000 Walgreen 1,090,180 0.4985,250 Wal-Mart Stores 4,496,511 2.0219,200 Weight Watchers International 1,465,728 0.66

116,400 Wells Fargo & Co. 3,257,454 1.4616,100 Westlake Chemical 841,950 0.3775,300 Windstream 976,265 0.4453,900 Wyndham Worldwide 1,813,196 0.81

309,800 Xerox 3,204,881 1.4437,600 Xilinx 1,352,660 0.61

204,682,306 91.87

SWITZERLAND28,800 Allied World Assurance Co Holdings 1,648,512 0.7482,500 Tyco International 4,070,138 1.83

5,718,650 2.57

BERMUDA17,800 Endurance Specialty Holdings 741,103 0.3337,400 Freescale Semiconductor Holdings I 668,151 0.3041,600 Signet Jewelers 1,936,064 0.87

3,345,318 1.50

CAYMAN ISLANDS31,500 Herbalife 1,822,905 0.82

1,822,905 0.82

IRELAND8,900 Covidien 477,975 0.21

52,100 Warner Chilcott - A Shares 1,258,997 0.57

1,736,972 0.78

Total Shares 217,306,151 97.54


217,306,151 97.54


Cash 8,069,966 3.62



75

JPMorgan Investment Funds - US Equity Fund


As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 16.94Information Technology 16.00Energy 12.93Health Care 12.87Industrials 12.74Consumer Discretionary 11.84Consumer Staples 6.30Materials 3.48Telecommunication Services 2.41Utilities 2.03Total Shares 97.54Cash and Other Assets/(Liabilities) 2.46

Total 100.00


SharesInformation Technology 18.31Financials 18.18Consumer Discretionary 13.52Energy 12.58Health Care 11.30Industrials 8.69Consumer Staples 5.86Materials 4.59Telecommunication Services 2.53Utilities 1.39Total Shares 96.95Cash and Other Assets/(Liabilities) 3.05

Total 100.00

76



As at 30 June 2011

Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



As at 30 June 2011

ExpirationDate


NotionalValue


Equity Futures

Sep-11 76 SP 500 Emini Future USD 4,987,500 125,025

Total 125,025




AmountSold


14-Jul-11 EUR 20,411,649 USD 29,777,276 (253,424)14-Jul-11 USD 1,998,914 EUR 1,383,713 (2,518)15-Aug-11 EUR 197,373 USD 284,293 910

Total (255,032)

77

1. Fund Total Expense Ratios#

(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 29-Aug-97JPM Europe Select Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 24-Oct-07JPM Europe Select Equity A (dist) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Europe Select Equity B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% 1.15% - 13-Oct-03JPM Europe Select Equity C (acc) - EUR 0.85% - 0.85% 0.85% 0.85% 0.63% - 07-Jan-98JPM Europe Select Equity D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 19-Mar-07JPM Europe Select Equity D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 20-Dec-07JPM Europe Select Equity I (acc) - EUR 0.77% - 0.57% - - - 0.81% 13-Apr-10JPM Europe Select Equity X (acc) - EUR 0.12% - 0.13% 0.15% 0.15% 0.12% 0.15% 21-May-01JPM Europe Select Equity X (acc) - EUR (hedged) 0.12% - 0.13% 0.15% 0.15% 0.02% 0.15% 24-Oct-07

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 1.70% - 1.70% 1.70% 1.70% 1.70% - 04-Apr-03JPM Global Balanced (USD) A (acc) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 01-Jul-97JPM Global Balanced (USD) A (dist) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 15-May-06JPM Global Balanced (USD) B (acc) - USD 1.05% - 1.05% 1.05% 1.05% 1.05% - 01-Jul-97JPM Global Balanced (USD) C (acc) - USD 0.90% - 0.90% 0.90% 0.90% 0.89% - 22-Jul-03JPM Global Balanced (USD) D (acc) - USD 2.15% - 2.15% 2.15% 2.15% 2.15% - 01-Feb-02JPM Global Balanced (USD) X (acc) - USD 0.10% - 0.09% 0.10% 0.10% 0.10% 0.10% 19-Dec-97

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 1.20% - 1.20% 1.20% 1.20% 1.20% - 04-Apr-03JPM Global Bond (USD) A (acc) - USD 1.00% - 1.00% 1.00% 1.00% 1.00% - 06-Nov-97JPM Global Bond (USD) B (acc) - USD* 0.70% - - - 0.70% 0.70% - 15-May-09JPM Global Bond (USD) C (acc) - USD 0.55% - 0.55% 0.55% 0.55% 0.54% - 26-May-98JPM Global Bond (USD) D (acc) - USD 1.40% - 1.40% 1.40% 1.40% 1.40% - 13-Nov-01JPM Global Bond (USD) X (acc) - USD 0.10% - 0.10% 0.10% 0.10% 0.09% 0.10% 03-Sep-98

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 1.45% - 1.45% 1.45% 1.45% 1.45% - 28-Nov-05JPM Global Capital Preservation (USD) B (acc) - USD** 0.95% - - - - 0.95% - 30-Jan-06JPM Global Capital Preservation (USD) C (acc) - USD* - - - - - 0.75% 0.75% 05-Jan-06JPM Global Capital Preservation (USD) D (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-05JPM Global Capital Preservation (USD) X (acc) - USD* - - - - 0.10% 0.10% 0.10% 19-Nov-04

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 1.90% - 1.90% 1.90% - - - 17-Aug-09JPM Global Convertibles (USD) A (acc) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 15-Jun-04JPM Global Convertibles (USD) B (acc) - USD 1.00% - 1.00% 1.00% 1.00% - - 23-May-08JPM Global Convertibles (USD) C (acc) - USD 0.95% - 0.95% 0.95% - - - 09-Aug-05JPM Global Convertibles (USD) D (acc) - USD 2.15% - 2.15% 2.15% 2.15% 2.15% - 28-Dec-04JPM Global Convertibles (USD) I (acc) - USD 0.85% - 0.91% 0.91% 0.89% 0.76% 0.91% 01-Mar-07JPM Global Convertibles (USD) X (acc) - USD* - - - 0.11% - 0.14% 0.15% 15-Jun-04

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-07JPM Global Dividend A (acc) - EUR 1.90% - 1.90% - - - - 04-Oct-10JPM Global Dividend A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-07JPM Global Dividend A (inc) - USD 1.90% - 1.90% 1.90% - - - 12-Oct-09JPM Global Dividend A (inc) - EUR (hedged) 1.90% - 1.90% 1.90% - - - 12-Feb-09JPM Global Dividend C (acc) - EUR 0.80% - 0.80% 0.80% - - - 02-Apr-09JPM Global Dividend D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 28-Nov-07JPM Global Dividend D (acc) - EUR (hedged) 2.65% - 2.65% 2.65% 2.65% 2.65% - 28-Nov-07JPM Global Dividend X (acc) - USD** 0.14% - - - - - 0.15% 13-Jan-10

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1.10% - 1.10% 1.10% 1.10% 1.10% - 12-Dec-00JPM Global Enhanced Bond A (inc) - EUR 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-06JPM Global Enhanced Bond B (acc) - EUR* 0.75% - 0.75% 0.75% 0.75% 0.75% - 02-Jan-01JPM Global Enhanced Bond C (acc) - EUR 0.60% - 0.60% 0.60% 0.60% 0.58% - 30-May-00JPM Global Enhanced Bond D (acc) - EUR 1.40% - 1.40% 1.40% 1.40% 1.40% - 30-May-01JPM Global Enhanced Bond X (acc) - EUR 0.10% - 0.10% 0.10% 0.10% 0.09% 0.10% 30-May-00JPM Global Enhanced Bond X (inc) - EUR* - - - - - - 0.10% 09-Sep-04

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 11-Dec-00JPM Global Financials A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 14-Sep-06JPM Global Financials A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Global Financials B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.15% - 10-Dec-07JPM Global Financials C (acc) - USD 1.05% - 1.05% 1.05% 1.05% 0.99% - 28-Dec-00JPM Global Financials D (acc) - USD 2.90% - 2.90% 2.90% 2.90% 2.90% - 12-Jul-01JPM Global Financials X (acc) - USD 0.14% - 0.15% 0.20% 0.19% 0.17% 0.20% 07-Feb-02

78


Appendix - Unaudited Additional Disclosures (continued)


(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 1.25% - 1.25% 1.25% 1.25% - - 02-Sep-08JPM Global High Yield Bond A (acc) - EUR (hedged) 1.25% - 1.25% 1.25% 1.25% 1.25% - 24-Mar-00JPM Global High Yield Bond A (inc) - EUR (hedged) 1.25% - 1.25% 1.25% 1.25% 1.25% - 15-May-06JPM Global High Yield Bond A (mth) - USD 1.25% - 1.25% 1.25% 1.25% - - 17-Sep-08JPM Global High Yield Bond B (acc) - EUR (hedged) 0.90% - 0.90% 0.90% 0.90% 0.90% - 24-Mar-00JPM Global High Yield Bond C (acc) - USD 0.60% - 0.60% 0.60% 0.60% - - 18-Aug-08JPM Global High Yield Bond C (acc) - EUR (hedged) 0.60% - 0.60% 0.60% 0.60% 0.59% - 24-Mar-00JPM Global High Yield Bond D (acc) - USD 1.65% - 1.65% - - - - 17-Sep-10JPM Global High Yield Bond D (acc) - EUR (hedged) 1.65% - 1.65% 1.65% 1.65% 1.65% - 18-Apr-01JPM Global High Yield Bond I (acc) - USD 0.53% - 0.54% 0.56% - - 0.56% 19-Nov-09JPM Global High Yield Bond I (inc) - EUR (hedged) 0.53% - 0.54% 0.56% 0.54% - 0.56% 09-Mar-07JPM Global High Yield Bond X (acc) - USD 0.08% - - - - - 0.10% 06-Jan-11JPM Global High Yield Bond X (acc) - EUR (hedged) 0.09% - 0.10% 0.10% 0.09% 0.08% 0.10% 24-Mar-00

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 06-Nov-06JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 1.90% - 1.90% 1.90% 1.90% - - 12-Aug-08JPM Highbridge Statistical Market Neutral A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 06-Nov-06JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 1.90% - 1.90% 1.90% 1.90% - - 24-Jul-08JPM Highbridge Statistical Market Neutral A (dist) - GBP 1.90% - 1.90% 1.90% 1.90% 1.90% - 08-Feb-07JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 1.90% - 1.90% 1.90% 1.90% - - 11-Jul-08JPM Highbridge Statistical Market Neutral A (inc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 23-Apr-07JPM Highbridge Statistical Market Neutral B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% 1.15% - 08-Feb-07JPM Highbridge Statistical Market Neutral C (acc) - EUR 1.00% - 1.00% 1.00% 1.00% 1.00% - 18-Jan-07JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* 1.00% - - - - - - 26-Apr-10JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1.00% - 1.00% 1.00% 1.00% - - 23-Jun-08JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 1.00% - 1.00% 1.00% - - - 01-Apr-09JPM Highbridge Statistical Market Neutral D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 06-Nov-06JPM Highbridge Statistical Market Neutral D (acc) - USD 2.65% - 2.65% 2.65% 2.65% - - 06-Nov-08JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 2.65% - 2.65% 2.65% 2.65% - - 18-Aug-08JPM Highbridge Statistical Market Neutral I (acc) - EUR* 0.91% - 0.92% 0.96% 0.92% 0.90% 0.96% 28-Nov-06JPM Highbridge Statistical Market Neutral I (dist) - EUR 0.95% - 0.77% - - - 0.96% 16-Mar-10JPM Highbridge Statistical Market Neutral T (acc) - EUR 2.65% - - - - - - 27-Jun-11JPM Highbridge Statistical Market Neutral X (acc) - EUR 0.14% - 0.22% 0.15% 0.12% 0.10% 0.15% 20-Nov-06JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - - - 0.11% - - 0.15% 12-Mar-09

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Japan 50 Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-04JPM Japan 50 Equity A (acc) - EUR (hedged) 1.90% - - - - - - 18-Apr-11JPM Japan 50 Equity A (dist) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 08-May-07JPM Japan 50 Equity C (acc) - JPY 0.95% - 0.95% 0.95% - - - 02-Apr-09JPM Japan 50 Equity C (acc) - EUR (hedged) 0.95% - - - - - - 18-Apr-11JPM Japan 50 Equity D (acc) - JPY 2.90% - 2.90% 2.90% 2.90% 2.90% - 26-Jul-06JPM Japan 50 Equity I (acc) - JPY* - - - - 0.86% 0.86% 0.91% 19-May-06JPM Japan 50 Equity X (acc) - JPY 0.10% - 0.15% 0.15% 0.12% 0.11% 0.15% 20-Dec-04

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 03-Apr-07JPM Japan Behavioural Finance Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 03-Apr-07JPM Japan Behavioural Finance Equity A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 03-Apr-07JPM Japan Behavioural Finance Equity C (acc) - USD* 0.95% - - 0.95% 0.95% 0.20% - 03-Apr-07JPM Japan Behavioural Finance Equity D (acc) - USD* 2.65% - - 2.65% - 2.65% - 03-Apr-07JPM Japan Behavioural Finance Equity D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 03-Apr-07JPM Japan Behavioural Finance Equity I (inc) - EUR* - - - 0.91% - 0.56% 0.91% 31-May-07JPM Japan Behavioural Finance Equity X (acc) - USD 0.15% - 0.13% 0.15% 0.14% 0.06% 0.15% 31-May-07

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 12-Dec-97JF Asia ex-Japan A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JF Asia ex-Japan B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.15% - 31-Dec-97JF Asia ex-Japan C (acc) - USD 1.00% - 1.00% 1.00% 1.00% 0.97% - 14-Dec-00JF Asia ex-Japan D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 12-Mar-02JF Asia ex-Japan I (acc) - USD 0.87% - 0.96% 0.96% 0.90% 0.92% 0.96% 26-Jun-06JF Asia ex-Japan X (acc) - USD 0.12% - 0.13% 0.20% 0.17% 0.17% 0.20% 29-Jun-98JF Asia ex-Japan X (dist) - USD 0.20% - - - - - 0.20% 23-May-11

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-97JPM US Bond A (inc) - USD 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-06JPM US Bond B (acc) - USD 0.75% - 0.75% 0.75% 0.75% 0.75% - 15-May-97JPM US Bond C (acc) - USD 0.60% - 0.60% 0.60% 0.60% 0.57% - 12-Feb-98JPM US Bond D (acc) - USD 1.35% - 1.35% 1.35% 1.35% 1.35% - 13-Nov-01JPM US Bond I (acc) - USD* - - - - - - 0.56% 23-Apr-07JPM US Bond X (acc) - USD* - - - - - 0.08% 0.10% 06-Apr-98

79




(continued)

For theperiodended

30 Jun 11

For theperiodended

30 Jun 11***

For theyear

ended31 Dec 10

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

CappedExpense

Ratio30 Jun 11

InceptionDate

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-06JPM US Equity A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-06JPM US Equity A (dist) - GBP 1.90% - 1.90% 1.90% - - - 25-Aug-09JPM US Equity C (acc) - USD 0.85% - 0.85% 0.85% 0.85% 0.67% - 22-Mar-07JPM US Equity D (acc) - USD 2.40% - 2.40% 2.40% 2.40% 2.40% - 27-Dec-06JPM US Equity D (acc) - EUR (hedged) 2.40% - 2.40% 2.40% 2.40% 2.40% - 27-Dec-06JPM US Equity X (acc) - USD 0.13% - 0.15% 0.15% 0.12% 0.12% 0.15% 21-May-07

Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association.

# The capped expense ratios and total expense ratios for some share classes may have changed over the previous five years. All details concerning these changes have been disclosed in previous years’financial statements.

* Share Class inactive as at end of the period** Share Class reactivated as at end of the period*** These figures include the Performance Fees.

80





2. Summary of Investment Objectives of the Sub-Funds

Europe Select Equity FundSeeks to achieve a return in excess of the European equity markets by investing primarily in European companies.

Global Balanced Fund (USD)Seeks to provide long-term capital growth and income by investing primarily in companies and sovereign issuers, globally.

Global Bond Fund (USD)Seeks to achieve a return in excess of global government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Capital Preservation Fund (USD)Seeks to achieve, over a medium-term horizon (2 to 3 years), a return in excess of its cash benchmark from a portfolio of securities, globally, using derivativestrategies where appropriate.

Global Convertibles Fund (USD)Seeks to provide a return by investing primarily in a diversified portfolio of convertible securities and warrants, globally.

Global Dividend FundSeeks to provide long-term capital growth by investing primarily in companies, globally, that generate high and rising income.

Global Enhanced Bond FundSeeks to achieve a return in excess of global non-government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Financials FundSeeks to achieve a high return by investing primarily in companies from the financial, banking, insurance and property sectors (“Financial Companies”),globally.

Global High Yield Bond FundSeeks to achieve a return in excess of global bond markets by investing primarily in below investment grade global fixed and floating rate debt securities,using derivative strategies where appropriate.

Highbridge Statistical Market Neutral FundSeeks to provide a total return in all market environments in excess of the return on short-term instruments, through a market neutral strategy. Derivativeswill be used where appropriate to gain exposure primarily to European and US equity securities.

Japan 50 Equity FundSeeks to achieve a return in excess of the Japanese equity market primarily from a concentrated portfolio of medium to large sized Japanese companies.

Japan Behavioural Finance Equity FundSeeks to provide long-term capital growth by investing primarily in Japanese companies.

JF Asia ex-Japan FundSeeks to provide long-term capital growth by investing primarily in companies in Asia (excluding Japan).

US Bond FundSeeks to achieve a return in excess of US bond markets by investing primarily in US fixed and floating rate debt securities, using derivative strategies whereappropriate.

US Equity FundSeeks to maximise long-term capital growth by investing primarily in an actively managed portfolio of medium to large capitalisation US companies.

81

3. Performance and VolatilityPerformance

Returns for periods greater than one year are annualised. Fund performance includes reinvestment of income and is net of all expenses.

Past performance is no indication of current or future performance.

The performance data do not take into account the commissions and costs incurred on the issue and redemption of units.

Volatility

The standard deviation (D) of the price is calculated on a daily basis throughout each Fund’s financial period. The details below relate to the period from 1 January2011 to 30 June 2011.

If D is equal to or less than 0.1 then volatility will be LowIf D is greater than 0.1 but less than or equal to 1.0 then volatility will be MediumIf D is greater than 1.0 but less than or equal to 2.4 then volatility will be HighIf D is greater than 2.4 then volatility will be Very High

Performance (continued) 3 Months 6 Months 9 Months 1 Year 2 Years 3 Years 4 Years 5 Years Volatility

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR -0.67% -0.29% 4.63% 12.83% 18.93% 0.74% -6.75% -5.40% MediumJPM Europe Select Equity A (acc) - USD 1.34% 7.71% 11.07% 33.17% 20.86% 15.97% - - MediumJPM Europe Select Equity A (dist) - EUR -0.66% -0.32% 4.61% 12.79% 18.84% -5.09% -9.83% -7.86% MediumJPM Europe Select Equity B (acc) - EUR -0.49% 0.08% 5.22% 13.67% 19.97% 1.51% -6.20% -4.96% MediumJPM Europe Select Equity C (acc) - EUR -0.41% 0.23% 5.45% 14.01% 20.39% 1.83% -5.96% -4.77% MediumJPM Europe Select Equity D (acc) - EUR -0.85% -0.65% 4.05% 12.00% 17.91% -0.02% - - MediumJPM Europe Select Equity D (acc) - USD 1.15% 7.31% 10.45% 32.17% 19.81% 14.88% - - MediumJPM Europe Select Equity I (acc) - EUR -0.38% 0.26% 5.51% 14.08% - - - - MediumJPM Europe Select Equity X (acc) - EUR -0.23% 0.58% 6.01% 14.81% 21.38% 2.57% -5.42% -4.33% MediumJPM Europe Select Equity X (acc) - EUR (hedged) -0.22% 1.96% 6.27% 17.06% 19.87% 2.38% - - Medium

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 0.59% 2.37% 5.09% 13.26% 12.59% 3.99% 2.33% 1.87% MediumJPM Global Balanced (USD) A (acc) - USD 0.60% 2.39% 5.13% 13.30% 12.66% 4.04% 2.39% 1.91% MediumJPM Global Balanced (USD) A (dist) - USD 0.60% 2.37% 5.10% 13.28% 12.59% 3.72% 2.07% 1.84% MediumJPM Global Balanced (USD) B (acc) - USD 0.75% 2.70% 5.60% 13.99% 13.42% 4.72% 3.05% 2.44% MediumJPM Global Balanced (USD) C (acc) - USD 0.79% 2.77% 5.72% 14.16% 13.60% 4.89% 3.22% 2.58% MediumJPM Global Balanced (USD) D (acc) - USD 0.47% 2.14% 4.74% 12.74% 12.04% 3.49% 1.85% 1.48% MediumJPM Global Balanced (USD) X (acc) - USD 0.99% 3.18% 6.35% 15.07% 14.63% 5.81% 4.14% 3.31% Medium

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 1.15% 0.93% -1.21% 1.66% 5.11% -1.41% -3.99% -3.19% MediumJPM Global Bond (USD) A (acc) - USD 1.21% 1.03% -1.05% 1.87% 5.33% -1.22% -3.82% -3.06% MediumJPM Global Bond (USD) B (acc) - USD* - - - - - - - - MediumJPM Global Bond (USD) C (acc) - USD 1.32% 1.26% -0.72% 2.33% 5.83% -0.78% -3.44% -2.75% MediumJPM Global Bond (USD) D (acc) - USD 1.11% 0.83% -1.35% 1.46% 4.89% -1.60% -4.16% -3.33% MediumJPM Global Bond (USD) X (acc) - USD 1.43% 1.48% -0.38% 2.79% 6.33% -0.34% -3.04% -2.43% Medium

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD -1.66% -2.58% -1.52% 2.46% 3.19% 0.55% 1.75% 1.40% MediumJPM Global Capital Preservation (USD) B (acc) - USD*** - - - - - - - - MediumJPM Global Capital Preservation (USD) C (acc) - USD* - - - - - - - - MediumJPM Global Capital Preservation (USD) D (acc) - USD -1.78% -2.80% -1.83% 2.02% 2.72% 0.10% 1.29% 1.03% MediumJPM Global Capital Preservation (USD) X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD -1.49% 0.99% 5.09% 10.54% - - - - MediumJPM Global Convertibles (USD) A (acc) - USD -1.42% 1.12% 5.29% 10.81% 11.10% 4.01% 1.07% 0.86% MediumJPM Global Convertibles (USD) B (acc) - USD -1.27% 1.44% 5.79% 11.53% 11.90% 4.75% MediumJPM Global Convertibles (USD) C (acc) - USD -1.26% 1.47% 5.83% 11.58% 11.96% - - - MediumJPM Global Convertibles (USD) D (acc) - USD -1.55% 0.87% 4.89% 10.26% 10.50% 3.45% 0.55% 0.44% MediumJPM Global Convertibles (USD) I (acc) - USD -1.22% 1.54% 5.93% 11.72% 12.08% 4.89% - - MediumJPM Global Convertibles (USD) X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 0.75% 5.30% 10.23% 29.03% 18.68% 0.55% - - MediumJPM Global Dividend A (acc) - EUR -1.24% -2.51% - - - - - - MediumJPM Global Dividend A (acc) - EUR (hedged) -0.55% 1.12% 6.30% 16.81% 15.14% -11.60% - - MediumJPM Global Dividend A (inc) - USD 0.75% 5.20% 10.12% 28.90% - - - - MediumJPM Global Dividend A (inc) - EUR (hedged) -0.54% 1.07% 6.23% 16.74% 14.94% - - - MediumJPM Global Dividend C (acc) - EUR -0.97% -1.98% 4.68% 10.53% 18.29% - - - MediumJPM Global Dividend D (acc) - USD 0.57% 4.91% 9.61% 28.06% 17.66% -0.21% - - MediumJPM Global Dividend D (acc) - EUR (hedged) -0.72% 0.75% 5.70% 15.95% 14.17% -12.09% - - MediumJPM Global Dividend X (acc) - USD** 1.19% - - - - - - - Medium

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1.83% 2.40% 1.47% 5.05% 12.07% 1.30% -1.80% -1.44% MediumJPM Global Enhanced Bond A (inc) - EUR 1.83% 2.39% 1.47% 5.05% 12.04% 1.18% -1.86% -1.02% MediumJPM Global Enhanced Bond B (acc) - EUR* - - - - - - - - MediumJPM Global Enhanced Bond C (acc) - EUR 1.97% 2.65% 1.87% 5.58% 12.70% 1.83% -1.33% -1.06% MediumJPM Global Enhanced Bond D (acc) - EUR 1.76% 2.25% 1.25% 4.74% 11.70% 0.99% -2.08% -1.66% MediumJPM Global Enhanced Bond X (acc) - EUR 2.09% 2.91% 2.24% 6.11% 13.35% 2.37% -0.85% -0.68% MediumJPM Global Enhanced Bond X (inc) - EUR* - - - - - - - - Medium

82




JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD -3.94% 1.46% 4.30% 18.49% 13.16% -4.16% -10.81% -8.65% MediumJPM Global Financials A (acc) - EUR -5.84% -6.08% -1.75% 0.40% 11.45% -13.17% -15.19% -12.15% MediumJPM Global Financials A (dist) - USD -3.95% 1.45% 4.29% 18.48% 13.13% -5.87% -11.55% -9.24% MediumJPM Global Financials B (acc) - USD -3.69% 2.01% 5.03% 19.66% 14.30% -3.39% - - MediumJPM Global Financials C (acc) - USD -3.75% 1.88% 4.95% 19.49% 14.24% -3.41% -10.31% -8.25% MediumJPM Global Financials D (acc) - USD -4.18% 0.96% 3.52% 17.31% 11.92% -5.02% -11.36% -9.09% MediumJPM Global Financials X (acc) - USD -3.51% 2.35% 5.67% 20.59% 15.39% -2.61% -9.79% -7.84% Medium

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 0.25% 3.36% 7.15% 13.80% 20.89% - -4.72% -3.77% MediumJPM Global High Yield Bond A (acc) - EUR (hedged) 0.45% 3.62% 7.36% 13.75% 20.61% 4.19% - - MediumJPM Global High Yield Bond A (inc) - EUR (hedged) 0.46% 3.57% 7.29% 13.67% 19.92% 1.80% - - MediumJPM Global High Yield Bond A (mth) - USD 0.26% 3.36% 7.09% 13.53% 20.13% - - - MediumJPM Global High Yield Bond B (acc) - EUR (hedged) 0.55% 3.81% 7.64% 14.15% 21.11% 4.59% - - MediumJPM Global High Yield Bond C (acc) - USD 0.41% 3.69% 7.68% 14.54% 21.82% - -5.40% -4.32% MediumJPM Global High Yield Bond C (acc) - EUR (hedged) 0.62% 3.96% 7.88% 14.49% 21.54% 4.93% - - MediumJPM Global High Yield Bond D (acc) - USD 0.14% 3.15% 6.84% - - - - - MediumJPM Global High Yield Bond D (acc) - EUR (hedged) 0.36% 3.42% 7.04% 13.29% 20.05% 3.75% - - MediumJPM Global High Yield Bond I (acc) - USD 0.43% 3.73% 7.74% 14.63% - - - - MediumJPM Global High Yield Bond I (inc) - EUR (hedged) 0.64% 3.92% 7.85% 14.46% 20.82% - - - MediumJPM Global High Yield Bond X (acc) - USD 0.54% - - - - - - - MediumJPM Global High Yield Bond X (acc) - EUR (hedged) 0.75% 4.22% 8.28% 15.06% 22.26% 5.51% - - Medium

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR -0.58% 0.84% 1.63% 1.08% - -0.39% 0.90% 0.72% MediumJPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) -0.36% 1.32% 2.30% 1.81% -1.61% - - - MediumJPM Highbridge Statistical Market Neutral A (acc) - USD 1.43% 8.92% 7.87% 19.29% -0.56% 14.33% 12.47% 9.98% MediumJPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) -0.79% 0.58% 1.36% 0.85% -1.94% - - - MediumJPM Highbridge Statistical Market Neutral A (dist) - GBP 1.69% 6.03% 6.28% 11.72% 1.06% -3.32% - - MediumJPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) -0.67% 0.80% 1.57% 1.08% -1.82% - - - MediumJPM Highbridge Statistical Market Neutral A (inc) - EUR -0.59% 0.84% 1.62% 1.08% -1.91% -0.33% - - MediumJPM Highbridge Statistical Market Neutral B (acc) - EUR -0.39% 1.22% 2.20% 1.84% -1.18% 0.32% - - MediumJPM Highbridge Statistical Market Neutral C (acc) - EUR -0.35% 1.29% 2.31% 2.00% -1.03% 0.45% - - MediumJPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* - - - - - - - - MediumJPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) -0.45% 1.25% 2.26% 1.98% -0.95% 0.64% - - MediumJPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) -0.56% 1.04% 2.05% 1.77% -1.00% - - MediumJPM Highbridge Statistical Market Neutral D (acc) - EUR -0.77% 0.46% 1.05% 0.32% -2.62% -1.08% 0.22% 0.18% MediumJPM Highbridge Statistical Market Neutral D (acc) - USD 1.24% 8.53% 7.28% 18.41% -1.30% 13.32% 11.48% 9.18% MediumJPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) -0.97% 0.21% 0.80% 0.10% -2.65% - - - MediumJPM Highbridge Statistical Market Neutral I (acc) - EUR* - - - - - - - - MediumJPM Highbridge Statistical Market Neutral I (dist) - EUR -0.34% 1.32% 2.35% 2.05% - - - - MediumJPM Highbridge Statistical Market Neutral T (acc) - EUR*** - - - - - - - - MediumJPM Highbridge Statistical Market Neutral X (acc) - EUR -0.15% 1.73% 2.98% 2.88% -0.18% 1.39% 2.75% 2.20% MediumJPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - - - - - - - - Medium

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY -2.06% -7.28% 1.89% -1.15% -3.00% -10.27% -12.07% -9.66% HighJPM Japan 50 Equity A (acc) - EUR -1.31% -13.46% -0.47% -7.89% 4.59% -0.33% -6.52% HighJPM Japan 50 Equity A (acc) - EUR (hedged)*** - - - - - - - - HighJPM Japan 50 Equity A (dist) - JPY -2.06% -8.19% 0.89% -2.13% -3.38% -10.46% -12.18% -9.74% HighJPM Japan 50 Equity C (acc) - JPY -1.83% -6.84% 2.61% -0.21% -2.10% - - - HighJPM Japan 50 Equity C (acc) - EUR (hedged)*** - - - - - - - - HighJPM Japan 50 Equity D (acc) - JPY -2.33% -7.76% 1.09% -2.17% -3.94% -10.96% -12.58% -10.07% HighJPM Japan 50 Equity I (acc) - JPY* - - - - - - - - HighJPM Japan 50 Equity X (acc) - JPY -1.62% -6.44% 3.27% 0.63% -1.28% -9.00% -11.11% -8.89% High

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 0.91% -0.78% 13.30% 19.34% 10.40% -4.68% -7.36% -5.88% HighJPM Japan Behavioural Finance Equity A (acc) - EUR -1.09% -8.13% 6.74% 1.11% 8.77% -13.52% -12.80% -10.24% HighJPM Japan Behavioural Finance Equity A (dist) - USD 0.91% -0.77% 13.30% 19.34% 10.39% -4.78% - - HighJPM Japan Behavioural Finance Equity C (acc) - USD* - - - - - - - - HighJPM Japan Behavioural Finance Equity D (acc) - USD* - - - - - - - - HighJPM Japan Behavioural Finance Equity D (acc) - EUR -1.28% -8.48% 6.12% 0.35% 7.87% -13.97% -13.12% -10.49% HighJPM Japan Behavioural Finance Equity I (inc) - EUR* - - - - - - - - HighJPM Japan Behavioural Finance Equity X (acc) - USD 1.36% 0.09% 14.79% 21.44% 12.55% -3.13% -6.07% -4.85% High

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD -1.33% -1.77% 4.38% 26.74% 20.58% 5.01% 1.62% 1.30% HighJF Asia ex-Japan A (dist) - USD -1.33% -1.77% 4.39% 26.74% 20.58% 3.55% 0.62% 0.92% HighJF Asia ex-Japan B (acc) - USD -1.14% -1.40% 4.97% 27.70% 21.64% 5.88% 2.42% 1.93% HighJF Asia ex-Japan C (acc) - USD -1.11% -1.33% 5.09% 27.89% 21.86% 6.05% 2.60% 2.08% HighJF Asia ex-Japan D (acc) - USD -1.51% -2.13% 3.80% 25.80% 19.53% 4.15% 0.84% 0.67% HighJF Asia ex-Japan I (acc) - USD -1.07% -1.26% 5.19% 28.05% 22.03% 6.18% 2.71% 2.16% HighJF Asia ex-Japan X (acc) - USD -0.88% -0.89% 5.78% 29.01% 23.11% 7.06% 3.53% 2.83% HighJF Asia ex-Japan X (dist) - USD*** - - - - - - - - High

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JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1.97% 3.23% 2.88% 6.72% 13.38% 7.43% 1.41% 1.13% MediumJPM US Bond A (inc) - USD 1.96% 3.23% 2.88% 6.73% 13.38% 7.43% 1.33% 1.64% MediumJPM US Bond B (acc) - USD 2.05% 3.40% 3.15% 7.08% 13.82% 7.85% 1.78% 1.42% MediumJPM US Bond C (acc) - USD 2.09% 3.48% 3.26% 7.25% 14.01% 8.04% 1.96% 1.57% MediumJPM US Bond D (acc) - USD 1.90% 3.09% 2.68% 6.45% 13.06% 7.12% 1.15% 0.92% MediumJPM US Bond X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 0.43% 7.84% 18.77% 30.04% 23.16% 2.34% -2.46% -1.97% MediumJPM US Equity A (acc) - EUR (hedged) 0.60% 7.92% 18.93% 29.69% 22.13% -11.57% -8.90% -7.12% MediumJPM US Equity A (dist) - GBP 0.69% 4.97% 16.98% 21.78% - - - - MediumJPM US Equity C (acc) - USD 0.69% 8.40% 19.70% 31.41% 24.71% 3.48% - - MediumJPM US Equity D (acc) - USD 0.31% 7.57% 18.32% 29.40% 22.44% 1.82% -2.91% -2.33% MediumJPM US Equity D (acc) - EUR (hedged) 0.48% 7.67% 18.49% 29.04% 21.54% -11.89% -9.22% -7.37% MediumJPM US Equity X (acc) - USD 0.88% 8.79% 20.34% 32.34% 25.78% 4.27% - - Medium

* Share Class inactive as at end of the period.** Share Class reactivated as at end of the period.*** No data is applicable for these Share Classes because they were launched or reactivated less than 3 months before the year end.

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

Basis for Bank Interest Rates

The rates are based on the JPMorgan Chase Treasury rates and consequently may change on a daily basis. The bank interest amount is posted to each of theFund’s bank accounts on a monthly basis on the first business day of the subsequent month based on the bank balances from the prior month.

5. Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01%

The following Sub-Fund share classes have been subject to an asset based tax of 0.01% per annum:

Share Class NameJPM Europe Select Equity I (acc) - EURJPM Europe Select Equity X (acc) - EURJPM Europe Select Equity X (acc) - EUR (hedged)JPM Global Balanced (USD) X (acc) - USDJPM Global Bond (USD) X (acc) - USDJPM Global Convertibles (USD) I (acc) - USDJPM Global Dividend X (acc) - USDJPM Global Enhanced Bond X (acc) - EURJPM Global High Yield Bond I (acc) - USDJPM Global High Yield Bond I (inc) - EUR (hedged)JPM Global High Yield Bond X (acc) - EUR (hedged)JPM Global High Yield Bond X (acc) - USDJPM Highbridge Statistical Market Neutral I (dist) - EURJPM Highbridge Statistical Market Neutral X (acc) - EURJPM Japan 50 Equity X (acc) - JPYJPM Japan Behavioural Finance Equity X (acc) - USDJF Asia ex-Japan I (acc) - USDJF Asia ex-Japan X (acc) - USDJF Asia ex-Japan X (dist) - USDJPM US Equity X (acc) - USD

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6. Portfolio Turnover Ratio

The Portfolio Turnover Ratio is an indicator of the relevance of the additional costs incurred by a fund when buying and selling investments according to itsinvestment policy. The portfolio turnover rate is calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association asoutlined below:

(Total securities’ purchases and sales - total subscriptions and redemptions of Sub-Fund units)

Average net Sub-Fund assets in Sub-Fund currency

The Portfolio Turnover Ratio is expressed as a percentage and in the case the outcome of the calculation is negative, a zero value has been published.

Sub-Fund Portfolio Turnover Ratio

JPMorgan Investment Funds - Europe Select Equity Fund 212.38

JPMorgan Investment Funds - Global Balanced Fund (USD) 0.00

JPMorgan Investment Funds - Global Bond Fund (USD) 72.29

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 83.35

JPMorgan Investment Funds - Global Convertibles Fund (USD) 46.31

JPMorgan Investment Funds - Global Dividend Fund 49.19

JPMorgan Investment Funds - Global Enhanced Bond Fund 34.25

JPMorgan Investment Funds - Global Financials Fund 15.97

JPMorgan Investment Funds - Global High Yield Bond Fund 0.00

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 0.00

JPMorgan Investment Funds - Japan 50 Equity Fund 54.53

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 121.15

JPMorgan Investment Funds - JF Asia ex-Japan Fund 134.85

JPMorgan Investment Funds - US Bond Fund 0.00

JPMorgan Investment Funds - US Equity Fund 19.66

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7. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 81,906.853 17,796.828 63,866.118 35,837.563JPM Europe Select Equity A (acc) - USD 167.709 3,246.308 467.508 2,946.509JPM Europe Select Equity A (dist) - EUR 213.427 8,331.265 6,690.413 1,854.279JPM Europe Select Equity B (acc) - EUR 145,058.058 69,681.076 166,150.898 48,588.236JPM Europe Select Equity C (acc) - EUR 881,404.287 547,041.232 694,454.700 733,990.819JPM Europe Select Equity D (acc) - EUR 83,682.839 39,820.364 54,894.654 68,608.549JPM Europe Select Equity D (acc) - USD 34.860 2,064.836 2,064.836 34.860JPM Europe Select Equity I (acc) - EUR - 493,728.349 163,600.001 330,128.348JPM Europe Select Equity X (acc) - EUR 320,005.082 91,306.846 25,111.648 386,200.280JPM Europe Select Equity X (acc) - EUR (hedged) 844,138.363 67,683.688 252,284.453 659,537.598

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 129,627.307 18,072.557 95,285.410 52,414.454JPM Global Balanced (USD) A (acc) - USD 1,027,862.423 474,610.137 670,738.010 831,734.550JPM Global Balanced (USD) A (dist) - USD 50.000 324.027 - 374.027JPM Global Balanced (USD) B (acc) - USD 461,454.525 3,545.441 392,007.596 72,992.370JPM Global Balanced (USD) C (acc) - USD 403,204.181 22,977.221 271,247.096 154,934.306JPM Global Balanced (USD) D (acc) - USD 175,506.970 92,902.702 65,007.908 203,401.764JPM Global Balanced (USD) X (acc) - USD 736,606.116 - 390,010.804 346,595.312

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 2,646.809 6,499.904 5,926.065 3,220.648JPM Global Bond (USD) A (acc) - USD 212,186.758 83,350.587 122,330.009 173,207.336JPM Global Bond (USD) C (acc) - USD 3,458.674 71.587 - 3,530.261JPM Global Bond (USD) D (acc) - USD 48,516.740 40,839.525 39,426.935 49,929.330JPM Global Bond (USD) X (acc) - USD 236,378.854 - - 236,378.854

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 456,584.883 449,596.960 445,996.181 460,185.662JPM Global Capital Preservation (USD) D (acc) - USD 189,760.015 115,053.802 142,816.858 161,996.959

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 2,425.698 1,612.928 3,494.671 543.955JPM Global Convertibles (USD) A (acc) - USD 2,935,327.386 2,433,597.219 2,634,526.228 2,734,398.377JPM Global Convertibles (USD) B (acc) - USD 320,072.511 640,115.804 543,145.726 417,042.589JPM Global Convertibles (USD) C (acc) - USD 228,700.495 384,545.546 350,309.685 262,936.356JPM Global Convertibles (USD) D (acc) - USD 378,602.303 160,676.400 223,346.712 315,931.991JPM Global Convertibles (USD) I (acc) - USD 148,834.905 63,190.243 145,018.148 67,007.000JPM Global Convertibles (USD) X (acc) - USD* 195,296.000 18,870.000 214,166.000 -

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 113,331.681 630,650.297 358,990.970 384,991.008JPM Global Dividend A (acc) - EUR - 10,232.085 959.298 9,272.787JPM Global Dividend A (acc) - EUR (hedged) 13,863.096 152,802.563 57,536.147 109,129.512JPM Global Dividend A (inc) - USD 1,161.116 12,449.054 822.585 12,787.585JPM Global Dividend A (inc) - EUR (hedged) 2,662.099 10,739.013 5,443.625 7,957.487JPM Global Dividend C (acc) - EUR 181,010.969 59,048.083 204,738.872 35,320.180JPM Global Dividend D (acc) - USD 11,586.250 11,363.602 6,438.174 16,511.678JPM Global Dividend D (acc) - EUR (hedged) 15,640.572 20,593.911 8,873.778 27,360.705JPM Global Dividend X (acc) - USD* - 155,894.367 155,894.367 -

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 149,072.020 44,386.600 63,432.484 130,026.136JPM Global Enhanced Bond A (inc) - EUR 41.718 10.821 3.000 49.539JPM Global Enhanced Bond B (acc) - EUR 4,319.054 5,136.721 1,124.341 8,331.434JPM Global Enhanced Bond C (acc) - EUR 22,947.121 - 745.383 22,201.738JPM Global Enhanced Bond D (acc) - EUR 19,404.323 80,726.413 54,896.162 45,234.574JPM Global Enhanced Bond X (acc) - EUR 2,242.717 - 2,044.967 197.750

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 848,079.803 458,896.279 567,601.046 739,375.036JPM Global Financials A (acc) - EUR 362,164.761 425,524.595 192,191.728 595,497.628JPM Global Financials A (dist) - USD 188,087.896 609,102.535 94,591.122 702,599.309JPM Global Financials B (acc) - USD 412,565.384 293,051.972 367,196.764 338,420.592JPM Global Financials C (acc) - USD 11,810.617 248,042.087 26,520.752 233,331.952JPM Global Financials D (acc) - USD 75,430.963 35,857.184 44,700.813 66,587.334JPM Global Financials X (acc) - USD 10,719.673 215.564 750.000 10,185.237

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 777,810.222 3,850,389.765 1,345,589.421 3,282,610.566JPM Global High Yield Bond A (acc) - EUR (hedged) 642,374.157 1,447,770.532 1,126,831.458 963,313.231JPM Global High Yield Bond A (inc) - EUR (hedged) 65,167.139 42,170.547 47,572.760 59,764.926JPM Global High Yield Bond A (mth) - USD 180,599.299 871,558.816 484,771.314 567,386.801JPM Global High Yield Bond B (acc) - EUR (hedged) 54,221.862 237,679.217 137,200.575 154,700.504JPM Global High Yield Bond C (acc) - USD 193,934.780 969,559.756 394,834.838 768,659.698JPM Global High Yield Bond C (acc) - EUR (hedged) 479,981.346 1,341,285.041 853,414.357 967,852.030JPM Global High Yield Bond D (acc) - USD - 823.395 - 823.395JPM Global High Yield Bond D (acc) - EUR (hedged) 156,321.512 213,342.629 87,350.576 282,313.565JPM Global High Yield Bond I (acc) - USD 360,000.000 2,120,040.843 1,043,054.359 1,436,986.484JPM Global High Yield Bond I (inc) - EUR (hedged) 173,754.250 141,712.467 220,073.250 95,393.467JPM Global High Yield Bond X (acc) - EUR (hedged) 36,133.150 77,448.800 59,216.333 54,365.617

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7. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2010 (continued)JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 5,814,589.629 1,297,336.999 4,859,982.903 2,251,943.725JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 187,792.602 212,251.134 168,650.137 231,393.599JPM Highbridge Statistical Market Neutral A (acc) - USD 163,287.483 55,787.694 105,272.099 113,803.078JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 382,366.069 81,280.858 319,266.534 144,380.393JPM Highbridge Statistical Market Neutral A (dist) - GBP 41,114.671 3,587.340 33,581.624 11,120.387JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 427,969.137 61,294.236 411,370.683 77,892.690JPM Highbridge Statistical Market Neutral A (inc) - EUR 82,493.024 3,387.993 29,227.787 56,653.230JPM Highbridge Statistical Market Neutral B (acc) - EUR 906,281.584 218,590.242 830,540.103 294,331.723JPM Highbridge Statistical Market Neutral B (acc) - USD* 1,906.214 - 1,906.214 -JPM Highbridge Statistical Market Neutral C (acc) - EUR 4,621,483.619 1,939,910.869 5,269,925.052 1,291,469.436JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* - 19,917.817 19,917.817 -JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1,213,931.558 1,201,291.161 955,263.003 1,459,959.716JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 136,664.498 12,514.189 108,337.029 40,841.658JPM Highbridge Statistical Market Neutral D (acc) - EUR 7,831,983.678 715,120.891 6,028,535.645 2,518,568.924JPM Highbridge Statistical Market Neutral D (acc) - USD 40,753.146 20,598.175 40,959.808 20,391.513JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 50,937.127 11,602.292 53,839.557 8,699.862JPM Highbridge Statistical Market Neutral I (acc) - EUR 587,873.838 68,566.103 459,372.279 197,067.662JPM Highbridge Statistical Market Neutral I (dist) - EUR - 295,105.705 148,935.207 146,170.498JPM Highbridge Statistical Market Neutral X (acc) - EUR 64,246.127 129,061.254 89,341.660 103,965.721JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* 13,087.207 34,433.970 47,521.177 -

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 296,215.887 1,656,701.688 1,208,144.954 744,772.621JPM Japan 50 Equity A (acc) - EUR 52,156.903 249,243.333 67,404.433 233,995.803JPM Japan 50 Equity A (dist) - JPY 4,144.027 57,677.916 56,802.336 5,019.607JPM Japan 50 Equity C (acc) - JPY 219,232.262 863,952.324 542,551.559 540,633.027JPM Japan 50 Equity D (acc) - JPY 4,671.573 59,455.657 54,775.801 9,351.429JPM Japan 50 Equity X (acc) - JPY 935,188.149 259,763.972 47,967.970 1,146,984.151

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 20,484.803 - - 20,484.803JPM Japan Behavioural Finance Equity A (acc) - EUR 21,596.599 77,848.293 82,990.044 16,454.848JPM Japan Behavioural Finance Equity A (dist) - USD 17,905.103 - - 17,905.103JPM Japan Behavioural Finance Equity D (acc) - EUR 337.997 4,478.519 1,157.976 3,658.540JPM Japan Behavioural Finance Equity X (acc) - USD 24,004.393 - 12,469.212 11,535.181

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1,226,426.524 547,735.962 591,999.462 1,182,163.024JF Asia ex-Japan A (dist) - USD 179,363.561 64,336.188 79,646.807 164,052.942JF Asia ex-Japan B (acc) - USD 173,447.124 102,616.045 112,950.141 163,113.028JF Asia ex-Japan C (acc) - USD 790,014.329 598,637.440 597,490.453 791,161.316JF Asia ex-Japan D (acc) - USD 262,512.205 144,209.745 189,850.383 216,871.567JF Asia ex-Japan I (acc) - USD 5,315,048.328 610,501.169 2,042,513.889 3,883,035.608JF Asia ex-Japan X (acc) - USD 256,141.060 106,163.739 176,342.894 185,961.905

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 194,447.810 321,239.230 353,669.672 162,017.368JPM US Bond A (inc) - USD 1,542.000 21.226 481.000 1,082.226JPM US Bond B (acc) - USD 5,922.047 20,435.305 21,718.309 4,639.043JPM US Bond C (acc) - USD 5,400.198 61,894.321 56,280.265 11,014.254JPM US Bond D (acc) - USD 124,600.615 45,819.497 85,280.451 85,139.661

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 928,634.873 609,645.983 507,101.689 1,031,179.167JPM US Equity A (acc) - EUR (hedged) 111,521.804 94,869.522 114,642.998 91,748.328JPM US Equity A (dist) - GBP 2,470.405 25,390.273 4,195.504 23,665.174JPM US Equity C (acc) - USD 72,976.004 326,538.353 118,252.427 281,261.930JPM US Equity D (acc) - USD 10,775.941 22,811.253 6,904.011 26,683.183JPM US Equity D (acc) - EUR (hedged) 30,028.997 27,760.408 22,406.599 35,382.806JPM US Equity X (acc) - USD 1,396.370 120,346.811 - 121,743.181

* Share Class inactive as at the end of the year.

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of the Year

8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 16,656.442 94,735.747 29,485.336 81,906.853JPM Europe Select Equity A (acc) - USD 34.860 2,913.800 2,780.951 167.709JPM Europe Select Equity A (dist) - EUR 3,168.062 1,342.826 4,297.461 213.427JPM Europe Select Equity B (acc) - EUR 41,812.041 155,279.516 52,033.499 145,058.058JPM Europe Select Equity C (acc) - EUR 397,336.432 638,715.280 154,647.425 881,404.287JPM Europe Select Equity D (acc) - EUR 21,435.173 109,103.030 46,855.364 83,682.839JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity X (acc) - EUR 101,630.344 327,488.105 109,113.367 320,005.082JPM Europe Select Equity X (acc) - EUR (hedged) 844,138.363 - - 844,138.363

JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)JPM Europe Select Mega Cap A (acc) - EUR 79,296.459 1,780.944 81,077.403 -JPM Europe Select Mega Cap A (dist) - EUR 66.913 - 66.913 -JPM Europe Select Mega Cap B (acc) - EUR 3,958.587 - 3,958.587 -JPM Europe Select Mega Cap C (acc) - EUR 3,582.551 - 3,582.551 -JPM Europe Select Mega Cap D (acc) - EUR 63,784.486 487.936 64,272.422 -JPM Europe Select Mega Cap X (acc) - EUR 26,158.461 373.021 26,531.482 -

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 11,040.731 124,666.642 6,080.066 129,627.307JPM Global Balanced (USD) A (acc) - USD 798,641.815 580,422.323 351,201.715 1,027,862.423JPM Global Balanced (USD) A (dist) - USD 50.000 - - 50.000JPM Global Balanced (USD) B (acc) - USD 466,287.514 199.626 5,032.615 461,454.525JPM Global Balanced (USD) C (acc) - USD 157,382.507 285,731.290 39,909.616 403,204.181JPM Global Balanced (USD) D (acc) - USD 110,573.620 102,970.829 38,037.479 175,506.970JPM Global Balanced (USD) X (acc) - USD 1,340,264.788 611,038.748 1,214,697.420 736,606.116

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 87,594.148 7,312.128 92,259.467 2,646.809JPM Global Bond (USD) A (acc) - USD 242,922.924 17,102.368 47,838.534 212,186.758JPM Global Bond (USD) B (acc) - USD* 599.999 0.001 600.000 -JPM Global Bond (USD) C (acc) - USD 4,058.676 713.206 1,313.208 3,458.674JPM Global Bond (USD) D (acc) - USD 57,332.850 13,723.652 22,539.762 48,516.740JPM Global Bond (USD) X (acc) - USD 237,256.664 - 877.810 236,378.854

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 437,699.978 208,252.618 189,367.713 456,584.883JPM Global Capital Preservation (USD) D (acc) - USD 190,691.876 107,272.997 108,204.858 189,760.015JPM Global Capital Preservation (USD) X (acc) - USD* 6,263.113 - 6,263.113 -

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD - 2,425.699 0.001 2,425.698JPM Global Convertibles (USD) A (acc) - USD 1,112,950.931 3,076,025.578 1,253,649.123 2,935,327.386JPM Global Convertibles (USD) B (acc) - USD 40,000.000 351,276.184 71,203.673 320,072.511JPM Global Convertibles (USD) C (acc) - USD - 314,629.446 85,928.951 228,700.495JPM Global Convertibles (USD) D (acc) - USD 292,900.055 204,022.223 118,319.975 378,602.303JPM Global Convertibles (USD) I (acc) - USD 64,597.000 500,759.374 416,521.469 148,834.905JPM Global Convertibles (USD) X (acc) - USD - 212,445.001 17,149.001 195,296.000

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 7,500.000 113,421.991 7,590.310 113,331.681JPM Global Dividend A (inc) - USD - 1,161.117 0.001 1,161.116JPM Global Dividend A (acc) - EUR (hedged) 8,608.776 6,111.635 857.315 13,863.096JPM Global Dividend A (inc) - EUR (hedged) - 2,662.100 0.001 2,662.099JPM Global Dividend C (acc) - EUR - 187,104.464 6,093.495 181,010.969JPM Global Dividend D (acc) - USD 8,189.892 4,333.634 937.276 11,586.250JPM Global Dividend D (acc) - EUR (hedged) 8,569.067 15,594.109 8,522.604 15,640.572

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 204,106.306 31,270.345 86,304.631 149,072.020JPM Global Enhanced Bond A (inc) - EUR 54.718 1.000 14.000 41.718JPM Global Enhanced Bond B (acc) - EUR 4,319.054 9,508.000 9,508.000 4,319.054JPM Global Enhanced Bond C (acc) - EUR 66,703.995 - 43,756.874 22,947.121JPM Global Enhanced Bond D (acc) - EUR 49,707.567 3,764.764 34,068.008 19,404.323JPM Global Enhanced Bond X (acc) - EUR 2,072.717 170.000 - 2,242.717

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 915,853.151 944,086.104 1,011,859.452 848,079.803JPM Global Financials A (acc) - EUR 29,053.662 520,643.198 187,532.099 362,164.761JPM Global Financials A (dist) - USD 7,859.140 180,228.756 - 188,087.896JPM Global Financials B (acc) - USD 8,906.326 995,002.076 591,343.018 412,565.384JPM Global Financials C (acc) - USD 610,657.762 182,551.146 781,398.291 11,810.617JPM Global Financials D (acc) - USD 67,827.112 105,485.228 97,881.377 75,430.963JPM Global Financials X (acc) - USD 10,938.618 731.055 950.000 10,719.673

(1) This Sub-Fund merged into Europe Select Equity Fund on 12 June 2009.

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8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 107,530.516 1,031,866.355 361,586.649 777,810.222JPM Global High Yield Bond A (acc) - EUR (hedged) 395,886.052 1,015,940.154 769,452.049 642,374.157JPM Global High Yield Bond A (inc) - EUR (hedged) 85,394.679 425,892.193 446,119.733 65,167.139JPM Global High Yield Bond A (mth) - USD 1,359.720 280,755.181 101,515.602 180,599.299JPM Global High Yield Bond B (acc) - EUR (hedged) 8,962.730 54,691.087 9,431.955 54,221.862JPM Global High Yield Bond C (acc) - USD 2,150.000 223,086.571 31,301.791 193,934.780JPM Global High Yield Bond C (acc) - EUR (hedged) 416,620.633 711,382.721 648,022.008 479,981.346JPM Global High Yield Bond D (acc) - EUR (hedged) 86,047.587 118,452.833 48,178.908 156,321.512JPM Global High Yield Bond I (acc) - USD - 360,000.001 0.001 360,000.000JPM Global High Yield Bond I (inc) - EUR (hedged) 131,000.000 156,254.250 113,500.000 173,754.250JPM Global High Yield Bond X (acc) - EUR (hedged) 36,505.870 25,061.247 25,433.967 36,133.150

JPMorgan Investment Funds - Global Short Duration Fund (2)JPM Global Short Duration A (acc) - USD 13,518.138 - 13,518.138 -JPM Global Short Duration C (acc) - USD 225,530.507 - 225,530.507 -JPM Global Short Duration D (acc) - USD 10,847.808 - 10,847.808 -

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 8,399,271.396 5,096,003.886 7,680,685.653 5,814,589.629JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 56,189.598 283,229.360 151,626.356 187,792.602JPM Highbridge Statistical Market Neutral A (acc) - USD 257,862.521 82,446.597 177,021.635 163,287.483JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 294,917.477 828,993.308 741,544.716 382,366.069JPM Highbridge Statistical Market Neutral A (dist) - GBP 84,925.765 187,276.457 231,087.551 41,114.671JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 392,942.593 665,322.601 630,296.057 427,969.137JPM Highbridge Statistical Market Neutral A (inc) - EUR 78,105.069 27,562.596 23,174.641 82,493.024JPM Highbridge Statistical Market Neutral B (acc) - EUR 803,731.335 790,743.463 688,193.214 906,281.584JPM Highbridge Statistical Market Neutral B (acc) - USD 1,906.214 - - 1,906.214JPM Highbridge Statistical Market Neutral C (acc) - EUR 3,471,704.609 4,580,064.651 3,430,285.641 4,621,483.619JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 410,225.603 1,143,614.350 339,908.395 1,213,931.558JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) - 177,747.927 41,083.429 136,664.498JPM Highbridge Statistical Market Neutral D (acc) - EUR 10,119,774.407 4,475,059.844 6,762,850.573 7,831,983.678JPM Highbridge Statistical Market Neutral D (acc) - USD 46,631.915 45,643.924 51,522.693 40,753.146JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 45,469.095 59,966.811 54,498.779 50,937.127JPM Highbridge Statistical Market Neutral I (acc) - EUR 793,769.216 191,516.000 397,411.378 587,873.838JPM Highbridge Statistical Market Neutral X (acc) - EUR 94,625.507 11,566.468 41,945.848 64,246.127JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged) - 448,857.146 435,769.939 13,087.207

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 275,551.609 116,484.905 339,879.611 52,156.903JPM Japan 50 Equity A (acc) - JPY 218,496.308 621,653.374 543,933.795 296,215.887JPM Japan 50 Equity A (dist) - JPY 2,108.030 2,177.651 141.654 4,144.027JPM Japan 50 Equity C (acc) - JPY - 241,630.517 22,398.255 219,232.262JPM Japan 50 Equity D (acc) - JPY 3,634.907 4,992.729 3,956.063 4,671.573JPM Japan 50 Equity I (acc) - JPY* 4,002,103.435 94,513.649 4,096,617.084 -JPM Japan 50 Equity X (acc) - JPY 941,904.592 668,704.328 675,420.771 935,188.149

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - EUR 257,054.291 15,328.003 250,785.695 21,596.599JPM Japan Behavioural Finance Equity A (acc) - USD 169,510.758 34,663.087 183,689.042 20,484.803JPM Japan Behavioural Finance Equity A (dist) - USD 58,534.874 17,968.264 58,598.035 17,905.103JPM Japan Behavioural Finance Equity C (acc) - USD* 39,570.190 - 39,570.190 -JPM Japan Behavioural Finance Equity D (acc) - EUR 345.561 287.778 295.342 337.997JPM Japan Behavioural Finance Equity X (acc) - USD 174,966.493 - 150,962.100 24,004.393

JPMorgan Investment Funds - JF Asia Ex-Japan FundJF Asia Ex-Japan A (acc) - USD 936,215.019 1,024,816.613 734,605.108 1,226,426.524JF Asia Ex-Japan A (dist) - USD 58,805.816 163,826.068 43,268.323 179,363.561JF Asia Ex-Japan B (acc) - USD 52,265.654 219,251.126 98,069.656 173,447.124JF Asia Ex-Japan C (acc) - USD 615,225.128 640,927.998 466,138.797 790,014.329JF Asia Ex-Japan D (acc) - USD 214,100.841 152,120.730 103,709.366 262,512.205JF Asia Ex-Japan I (acc) - USD 2,599,067.020 2,945,664.375 229,683.067 5,315,048.328JF Asia Ex-Japan X (acc) - USD 98,255.743 250,162.260 92,276.943 256,141.060

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 390,580.210 69,757.252 265,889.652 194,447.810JPM US Bond A (inc) - USD 2,617.000 - 1,075.000 1,542.000JPM US Bond B (acc) - USD 7,133.057 27.119 1,238.129 5,922.047JPM US Bond C (acc) - USD 1,988.126 3,631.072 219.000 5,400.198JPM US Bond D (acc) - USD 158,561.074 12,648.196 46,608.655 124,600.615

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 154,664.749 988,133.638 214,163.514 928,634.873JPM US Equity A (acc) - EUR (hedged) 116,895.546 85,880.540 91,254.282 111,521.804JPM US Equity A (dist) - GBP - 2,470.405 - 2,470.405JPM US Equity C (acc) - USD 43,918.465 114,062.512 85,004.973 72,976.004JPM US Equity D (acc) - USD 5,665.643 11,217.590 6,107.292 10,775.941JPM US Equity D (acc) - EUR (hedged) 4,888.678 35,790.411 10,650.092 30,028.997JPM US Equity X (acc) - USD 18,421.539 6,827.370 23,852.539 1,396.370

(2) This Sub-Fund was liquidated on 30 January 2009.* Share Class inactive as at the end of the year.

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9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 171,490.663 16,939.943 171,774.164 16,656.442JPM Europe Select Equity A (acc) - USD 34.860 - - 34.860JPM Europe Select Equity A (dist) - EUR 54,233.360 1,412.163 52,477.461 3,168.062JPM Europe Select Equity B (acc) - EUR 89,273.612 71,372.782 118,834.353 41,812.041JPM Europe Select Equity C (acc) - EUR 267,209.237 427,482.669 297,355.474 397,336.432JPM Europe Select Equity D (acc) - EUR 41,364.284 30,010.470 49,939.581 21,435.173JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity X (acc) - EUR 286,597.337 22,051.896 207,018.889 101,630.344JPM Europe Select Equity X (acc) - EUR (hedged) 846,138.363 - 2,000.000 844,138.363

JPMorgan Investment Funds - Europe Select Mega Cap FundJPM Europe Select Mega Cap A (acc) - EUR 266,215.403 79,336.063 266,255.007 79,296.459JPM Europe Select Mega Cap A (dist) - EUR 83.162 28.789 45.038 66.913JPM Europe Select Mega Cap B (acc) - EUR 19,005.350 - 15,046.763 3,958.587JPM Europe Select Mega Cap C (acc) - EUR 19,407.323 - 15,824.772 3,582.551JPM Europe Select Mega Cap D (acc) - EUR 94,398.338 55,631.691 86,245.543 63,784.486JPM Europe Select Mega Cap X (acc) - EUR 55,435.778 1,733.144 31,010.461 26,158.461

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 14,111.205 3,853.125 6,923.599 11,040.731JPM Global Balanced (USD) A (acc) - USD 1,088,347.041 176,149.105 465,854.331 798,641.815JPM Global Balanced (USD) A (dist) - USD 50.000 - - 50.000JPM Global Balanced (USD) B (acc) - USD 468,553.512 4,694.799 6,960.797 466,287.514JPM Global Balanced (USD) C (acc) - USD 157,382.507 - - 157,382.507JPM Global Balanced (USD) D (acc) - USD 115,868.691 69,401.263 74,696.334 110,573.620JPM Global Balanced (USD) X (acc) - USD 1,415,826.141 - 75,561.353 1,340,264.788

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 184,618.107 3,524.806 100,548.765 87,594.148JPM Global Bond (USD) A (acc) - USD 1,194,838.421 58,828.465 1,010,743.962 242,922.924JPM Global Bond (USD) B (acc) - USD 181,999.679 - 181,399.680 599.999JPM Global Bond (USD) C (acc) - USD 413,983.108 62,282.001 472,206.433 4,058.676JPM Global Bond (USD) D (acc) - USD 105,997.188 37,870.451 86,534.789 57,332.850JPM Global Bond (USD) X (acc) - USD 560,673.314 - 323,416.650 237,256.664

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 256,549.993 479,055.271 297,905.286 437,699.978JPM Global Capital Preservation (USD) D (acc) - USD 223,365.250 208,530.159 241,203.533 190,691.876JPM Global Capital Preservation (USD) X (acc) - USD 8,334.239 - 2,071.126 6,263.113

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 1,174,955.684 1,304,157.945 1,366,162.698 1,112,950.931JPM Global Convertibles (USD) B (acc) - USD - 40,633.619 633.619 40,000.000JPM Global Convertibles (USD) D (acc) - USD 168,854.472 373,446.087 249,400.504 292,900.055JPM Global Convertibles (USD) I (acc) - USD 88,334.000 35,322.000 59,059.000 64,597.000JPM Global Convertibles (USD) X (acc) - USD* 83,364.000 23,498.000 106,862.000 -

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 7,500.000 - - 7,500.000JPM Global Dividend A (acc) - EUR (hedged) 7,442.598 1,166.178 - 8,608.776JPM Global Dividend D (acc) - USD 7,500.000 910.561 220.669 8,189.892JPM Global Dividend D (acc) - EUR (hedged) 7,442.598 1,813.048 686.579 8,569.067

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 962,963.395 177,724.254 936,581.343 204,106.306JPM Global Enhanced Bond A (inc) - EUR 103.392 15.990 64.664 54.718JPM Global Enhanced Bond B (acc) - EUR 4,319.054 - - 4,319.054JPM Global Enhanced Bond C (acc) - EUR 178,091.773 4.291 111,392.069 66,703.995JPM Global Enhanced Bond D (acc) - EUR 154,361.824 12,432.660 117,086.917 49,707.567JPM Global Enhanced Bond X (acc) - EUR 55,673.842 16.591 53,617.716 2,072.717

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 963,261.037 952,725.752 1,000,133.638 915,853.151JPM Global Financials A (acc) - EUR 20,154.980 60,040.938 51,142.256 29,053.662JPM Global Financials A (dist) - USD 330.357 10,638.494 3,109.711 7,859.140JPM Global Financials B (acc) - USD 18,900.924 252,603.060 262,597.658 8,906.326JPM Global Financials C (acc) - USD 18,804.000 1,197,420.787 605,567.025 610,657.762JPM Global Financials D (acc) - USD 82,008.484 59,635.746 73,817.118 67,827.112JPM Global Financials X (acc) - USD 11,518.658 2,579.960 3,160.000 10,938.618

JPMorgan Investment Funds - Global High Yield Bond Fund (1)JPM Global High Yield Bond A (acc) - EUR (hedged) 481,167.189 1,163,996.906 1,249,278.043 395,886.052JPM Global High Yield Bond A (inc) - EUR (hedged) 6,901.390 211,640.467 133,147.178 85,394.679JPM Global High Yield Bond B (acc) - EUR (hedged) 11,863.057 66,889.369 69,789.696 8,962.730JPM Global High Yield Bond C (acc) - EUR (hedged) 790,179.664 459,341.332 832,900.363 416,620.633JPM Global High Yield Bond D (acc) - EUR (hedged) 174,004.523 92,387.365 180,344.301 86,047.587JPM Global High Yield Bond I (inc) - EUR (hedged) - 131,000.000 - 131,000.000JPM Global High Yield Bond X (acc) - EUR (hedged) 88,242.703 6,262.791 57,999.624 36,505.870JPM Global High Yield Bond A (acc) - USD - 189,148.053 81,617.537 107,530.516JPM Global High Yield Bond A (mth) - USD - 2,020.434 660.714 1,359.720JPM Global High Yield Bond C (acc) - USD - 160,960.898 158,810.898 2,150.000(1) This Sub-Fund changed its currency to USD on 1 August 2008.

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9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 368,623.811 7,602.041 362,707.714 13,518.138JPM Global Short Duration B (acc) - USD* 92,944.753 - 92,944.753 -JPM Global Short Duration C (acc) - USD 322,811.321 1,200.000 98,480.814 225,530.507JPM Global Short Duration D (acc) - USD 21,651.558 18,014.900 28,818.650 10,847.808JPM Global Short Duration X (acc) - USD* 689,535.523 5,385.923 694,921.446 -

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 8,961,629.375 9,883,126.070 10,445,484.049 8,399,271.396JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) - 73,017.512 16,827.914 56,189.598JPM Highbridge Statistical Market Neutral A (acc) - USD 290,093.538 509,052.492 541,283.509 257,862.521JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) - 375,635.172 80,717.695 294,917.477JPM Highbridge Statistical Market Neutral A (dist) - GBP 318,583.443 97,360.534 331,018.212 84,925.765JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) - 435,237.595 42,295.002 392,942.593JPM Highbridge Statistical Market Neutral A (inc) - EUR 66,777.132 58,790.364 47,462.427 78,105.069JPM Highbridge Statistical Market Neutral B (acc) - EUR 127,647.375 1,758,645.641 1,082,561.681 803,731.335JPM Highbridge Statistical Market Neutral B (acc) - USD - 1,906.214 - 1,906.214JPM Highbridge Statistical Market Neutral C (acc) - EUR 3,979,962.360 7,789,642.784 8,297,900.535 3,471,704.609JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) - 430,660.965 20,435.362 410,225.603JPM Highbridge Statistical Market Neutral D (acc) - EUR 9,495,536.762 5,378,366.423 4,754,128.778 10,119,774.407JPM Highbridge Statistical Market Neutral D (acc) - USD 13,146.401 117,624.742 84,139.228 46,631.915JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) - 46,217.000 747.905 45,469.095JPM Highbridge Statistical Market Neutral I (acc) - EUR 1,905,496.326 635,698.746 1,747,425.856 793,769.216JPM Highbridge Statistical Market Neutral X (acc) - EUR 122,924.171 44,872.249 73,170.913 94,625.507

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 14,020.477 365,446.441 103,915.309 275,551.609JPM Japan 50 Equity A (acc) - JPY 295,838.031 1,341,687.750 1,419,029.473 218,496.308JPM Japan 50 Equity A (dist) - JPY 5,543.400 2,418.654 5,854.024 2,108.030JPM Japan 50 Equity D (acc) - JPY 6,891.078 6,833.598 10,089.769 3,634.907JPM Japan 50 Equity I (acc) - JPY 3,904,448.663 477,751.772 380,097.000 4,002,103.435JPM Japan 50 Equity X (acc) - JPY 1,536,200.706 656,629.823 1,250,925.937 941,904.592

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - EUR 609,959.032 165,868.475 518,773.216 257,054.291JPM Japan Behavioural Finance Equity A (acc) - USD 51,209.878 263,680.357 145,379.477 169,510.758JPM Japan Behavioural Finance Equity A (dist) - USD 13,903.611 57,183.858 12,552.595 58,534.874JPM Japan Behavioural Finance Equity C (acc) - USD 56,000.000 79,757.277 96,187.087 39,570.190JPM Japan Behavioural Finance Equity D (acc) - EUR 25,364.349 798.559 25,817.347 345.561JPM Japan Behavioural Finance Equity D (acc) - USD* 25,000.000 - 25,000.000 -JPM Japan Behavioural Finance Equity I (inc) - EUR* 170,000.000 60,392.685 230,392.685 -JPM Japan Behavioural Finance Equity X (acc) - USD 154,496.360 56,200.574 35,730.441 174,966.493

JPMorgan Investment Funds - JF Asia ex-Japan Fund (2)JF Asia ex-Japan A (acc) - USD 1,884,998.195 954,132.148 1,902,915.324 936,215.019JF Asia ex-Japan A (dist) - USD 28,672.246 64,959.486 34,825.916 58,805.816JF Asia ex-Japan B (acc) - USD 144,367.778 69,353.675 161,455.799 52,265.654JF Asia ex-Japan C (acc) - USD 600,262.426 538,229.080 523,266.378 615,225.128JF Asia ex-Japan D (acc) - USD 365,614.994 70,846.367 222,360.520 214,100.841JF Asia ex-Japan I (acc) - USD 1,520,321.652 1,686,251.239 607,505.871 2,599,067.020JF Asia ex-Japan X (acc) - USD 302,239.754 63,472.703 267,456.714 98,255.743

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1,467,364.334 66,358.319 1,143,142.443 390,580.210JPM US Bond A (inc) - USD 5,794.760 210.000 3,387.760 2,617.000JPM US Bond B (acc) - USD 135,487.710 774.586 129,129.239 7,133.057JPM US Bond C (acc) - USD 471,590.355 32,033.858 501,636.087 1,988.126JPM US Bond D (acc) - USD 613,481.238 97,235.961 552,156.125 158,561.074JPM US Bond X (acc) - USD* 3,268,414.513 - 3,268,414.513 -

* Share Class inactive as at end of the year.(2) This Sub-Fund changed its name from JF Asia Diversified Fund on 31 March 2008.

91



Shares Outstanding at theBeginning of the Year

Shares Subscribed Shares Redeemed Shares Outstanding at theEnd of the Year

10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 43,180.695 382,771.340 254,461.372 171,490.663JPM Europe Select Equity A (acc) - USD - 34.860 - 34.860JPM Europe Select Equity A (dist) - EUR 1,492.063 90,169.441 37,428.144 54,233.360JPM Europe Select Equity B (acc) - EUR - 111,617.617 22,344.005 89,273.612JPM Europe Select Equity C (acc) - EUR - 648,148.712 380,939.475 267,209.237JPM Europe Select Equity D (acc) - EUR - 553,733.560 (512,369.276) 41,364.284JPM Europe Select Equity D (acc) - USD - 34.860 - 34.860JPM Europe Select Equity X (acc) - EUR 84,277.551 1,291,369.812 1,089,050.026 286,597.337JPM Europe Select Equity X (acc) - EUR (hedged) - 849,133.091 (2,994.728) 846,138.363

JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)JPM Europe Select Mega Cap A (acc) - EUR 206,194.062 188,843.248 128,821.907 266,215.403JPM Europe Select Mega Cap A (dist) - EUR 38.718 44.444 - 83.162JPM Europe Select Mega Cap B (acc) - EUR 17,275.934 30,756.852 29,027.436 19,005.350JPM Europe Select Mega Cap C (acc) - EUR 6,539.782 27,166.524 14,298.983 19,407.323JPM Europe Select Mega Cap D (acc) - EUR 70,097.505 182,551.163 158,250.330 94,398.338JPM Europe Select Mega Cap X (acc) - EUR 46,479.308 8,956.470 - 55,435.778

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 11,606.090 9,404.932 6,899.817 14,111.205JPM Global Balanced (USD) A (acc) - USD 1,317,559.795 255,402.776 484,615.530 1,088,347.041JPM Global Balanced (USD) A (dist) - USD 50.000 120.805 120.805 50.000JPM Global Balanced (USD) B (acc) - USD 588,121.004 - 119,567.492 468,553.512JPM Global Balanced (USD) C (acc) - USD 157,177.507 205.000 - 157,382.507JPM Global Balanced (USD) D (acc) - USD 60,497.178 88,633.844 33,262.331 115,868.691JPM Global Balanced (USD) X (acc) - USD 1,582,928.290 31,160.374 198,262.523 1,415,826.141

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 180,056.503 144,376.280 139,814.676 184,618.107JPM Global Bond (USD) A (acc) - USD 2,196,852.675 1,145,825.379 2,147,839.633 1,194,838.421JPM Global Bond (USD) B (acc) - USD 547,739.534 23,720.121 389,459.976 181,999.679JPM Global Bond (USD) C (acc) - USD 269,157.912 509,649.293 364,824.097 413,983.108JPM Global Bond (USD) D (acc) - USD 87,308.984 72,967.793 54,279.589 105,997.188JPM Global Bond (USD) X (acc) - USD 1,252,658.022 151,843.918 843,828.626 560,673.314

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 272,296.841 146,568.381 162,315.229 256,549.993JPM Global Capital Preservation (USD) B (acc) - USD 50,170.154 - 50,170.154 -JPM Global Capital Preservation (USD) C (acc) - USD 169,825.168 - 169,825.168 -JPM Global Capital Preservation (USD) D (acc) - USD 144,348.847 155,272.265 76,255.862 223,365.250JPM Global Capital Preservation (USD) X (acc) - USD 9,320.803 - 986.564 8,334.239

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 435,496.043 1,243,457.768 503,998.127 1,174,955.684JPM Global Convertibles (USD) D (acc) - USD 66,025.083 174,079.588 71,250.199 168,854.472JPM Global Convertibles (USD) I (acc) - USD - 225,501.000 137,167.000 88,334.000JPM Global Convertibles (USD) X (acc) - USD 26,513.000 56,851.000 - 83,364.000

JPMorgan Investment Funds - Global Dividend Fund (2)JPM Global Dividend A (acc) - EUR (hedged) - 7,442.598 - 7,442.598JPM Global Dividend A (acc) - USD - 7,500.000 - 7,500.000JPM Global Dividend D (acc) - EUR (hedged) - 7,442.598 - 7,442.598JPM Global Dividend D (acc) - USD - 7,500.000 - 7,500.000

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1,251,958.193 654,283.568 943,278.366 962,963.395JPM Global Enhanced Bond A (inc) - EUR 38.718 83.674 19.000 103.392JPM Global Enhanced Bond B (acc) - EUR 53,401.959 2,732.833 51,815.738 4,319.054JPM Global Enhanced Bond C (acc) - EUR 315,546.627 4,840.839 142,295.693 178,091.773JPM Global Enhanced Bond D (acc) - EUR 259,266.766 134,201.128 239,106.070 154,361.824JPM Global Enhanced Bond X (acc) - EUR 72,997.527 11,116.317 28,440.002 55,673.842JPM Global Enhanced Bond X (inc) - EUR 300,000.000 - 300,000.000 -

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 1,272,455.761 1,052,898.925 1,362,093.649 963,261.037JPM Global Financials A (acc) - EUR 1,596.401 20,350.919 1,792.340 20,154.980JPM Global Financials A (dist) - USD 50.000 1,726.490 1,446.133 330.357JPM Global Financials B (acc) - USD - 18,900.924 - 18,900.924JPM Global Financials C (acc) - USD 19,268.704 9,300.000 9,764.704 18,804.000JPM Global Financials D (acc) - USD 68,048.252 101,198.247 87,238.015 82,008.484JPM Global Financials X (acc) - USD 19,073.446 3,211.816 10,766.604 11,518.658

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - EUR 1,208,051.670 1,512,251.305 2,239,135.786 481,167.189JPM Global High Yield Bond A (inc) - EUR 2,992.718 29,302.672 25,394.000 6,901.390JPM Global High Yield Bond B (acc) - EUR 2,394.762 16,028.096 6,559.801 11,863.057JPM Global High Yield Bond C (acc) - EUR 790,358.033 759,154.974 759,333.343 790,179.664JPM Global High Yield Bond D (acc) - EUR 196,705.103 526,988.135 549,688.715 174,004.523JPM Global High Yield Bond I (inc) - EUR - 44,860.000 44,860.000 -JPM Global High Yield Bond X (acc) - EUR - 1,161,611.438 1,073,368.735 88,242.703

(1) This Sub-Fund changed its name from Europe Select Large Cap on 1 November 2007.(2) This Sub-Fund was launched on 28 November 2007.

92





10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 401,477.117 224,977.224 257,830.530 368,623.811JPM Global Short Duration B (acc) - USD 186,864.211 20,889.194 114,808.653 92,944.752JPM Global Short Duration C (acc) - USD 146,858.165 220,839.708 44,886.552 322,811.321JPM Global Short Duration D (acc) - USD 27,276.010 38,214.957 43,839.409 21,651.558JPM Global Short Duration X (acc) - USD 809,203.857 2,814.660 122,482.994 689,535.523

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 767,424.034 42,483,599.412 34,289,394.071 8,961,629.375JPM Highbridge Statistical Market Neutral A (acc) - USD 17,835.017 1,006,735.586 734,477.065 290,093.538JPM Highbridge Statistical Market Neutral A (dist) - GBP - 5,441,028.622 5,122,445.179 318,583.443JPM Highbridge Statistical Market Neutral A (inc) - EUR - 441,221.911 374,444.779 66,777.132JPM Highbridge Statistical Market Neutral B (acc) - EUR - 1,131,067.988 1,003,420.613 127,647.375JPM Highbridge Statistical Market Neutral B (acc) - USD - 88,209.350 88,209.350 -JPM Highbridge Statistical Market Neutral C (acc) - EUR - 19,731,129.460 15,751,167.100 3,979,962.360JPM Highbridge Statistical Market Neutral D (acc) - EUR 62,695.925 18,969,950.469 9,537,109.632 9,495,536.762JPM Highbridge Statistical Market Neutral D (acc) - USD 15,731.928 41,507.049 44,092.576 13,146.401JPM Highbridge Statistical Market Neutral I (acc) - EUR 363,878.731 3,044,193.819 1,502,576.224 1,905,496.326JPM Highbridge Statistical Market Neutral X (acc) - EUR 15,686.000 1,159,685.749 1,052,447.578 122,924.171

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR - 16,296.680 2,276.203 14,020.477JPM Japan 50 Equity A (acc) - JPY 746,698.309 982,852.087 1,433,712.365 295,838.031JPM Japan 50 Equity A (dist) - JPY 55.337 10,995.980 5,507.917 5,543.400JPM Japan 50 Equity D (acc) - JPY 1,264.061 7,706.432 2,079.415 6,891.078JPM Japan 50 Equity I (acc) - JPY 3,893,656.453 10,792.210 - 3,904,448.663JPM Japan 50 Equity X (acc) - JPY 1,312,039.960 270,041.355 45,880.609 1,536,200.706

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund (3)JPM Japan Behavioural Finance Equity A (acc) - EUR - 721,593.750 111,634.718 609,959.032JPM Japan Behavioural Finance Equity A (acc) - USD - 52,194.147 984.269 51,209.878JPM Japan Behavioural Finance Equity A (dist) - USD - 13,903.611 - 13,903.611JPM Japan Behavioural Finance Equity C (acc) - USD - 56,000.000 - 56,000.000JPM Japan Behavioural Finance Equity D (acc) - EUR - 25,364.349 - 25,364.349JPM Japan Behavioural Finance Equity D (acc) - USD - 25,000.000 - 25,000.000JPM Japan Behavioural Finance Equity I (inc) - EUR - 170,000.000 - 170,000.000JPM Japan Behavioural Finance Equity X (acc) - USD - 154,738.139 241.779 154,496.360

JPMorgan Investment Funds - JF Asia Diversified FundJF Asia Diversified A (acc) - USD 1,442,883.229 2,234,676.038 1,792,561.072 1,884,998.195JF Asia Diversified A (dist) - USD 7,877.719 23,300.378 2,505.851 28,672.246JF Asia Diversified B (acc) - USD 193,182.620 51,850.455 100,665.297 144,367.778JF Asia Diversified C (acc) - USD 455,510.332 318,213.572 173,461.478 600,262.426JF Asia Diversified D (acc) - USD 167,254.521 422,065.764 223,705.291 365,614.994JF Asia Diversified I (acc) - USD 649,062.117 1,182,984.759 311,725.224 1,520,321.652JF Asia Diversified X (acc) - USD 197,907.808 186,082.785 81,750.839 302,239.754

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 2,086,020.538 2,556,709.689 3,175,365.893 1,467,364.334JPM US Bond A (inc) - USD 542.000 7,409.423 2,156.663 5,794.760JPM US Bond B (acc) - USD 462,859.543 84,366.192 411,738.025 135,487.710JPM US Bond C (acc) - USD 1,918,927.938 1,084,070.201 2,531,407.784 471,590.355JPM US Bond D (acc) - USD 456,027.776 499,838.914 342,385.452 613,481.238JPM US Bond I (acc) - USD - 34,000.000 34,000.000 -JPM US Bond X (acc) - USD 4,283,824.370 629,004.075 1,644,413.932 3,268,414.513

(3) This Sub-Fund was launched on 3 April 2007.

93

www.jpmorganam.com.hk

JPMorgan Investment FundsAudited Annual Report31 December 2010

This report is an abridged version of the audited annual report established in conformity with the Luxembourg Law of 20 December 2002 on Undertakings for Collective Investment as amended. The complete version is available on request from the Company’s registered office in Luxembourg and from JPMorgan Funds (Asia) Limited.

This report does not constitute an offer of shares. Subscriptions are only valid if made on the basis of the current Hong Kong Offering Document which is available free of charge on request, supplemented by the most recent audited annual report of the Fund and any subsequent unaudited semi-annual report, from JPMorgan Funds (Asia) Limited.

Certain of the sub-funds of the Fund are not authorised for offer or distribution in or from Hong Kong. Accordingly, no reference is made to these sub-funds in this audited annual report. The attention of the investors is drawn to the fact that certain figures in this audited annual report are expressed on a consolidated basis and, thus, include the assets of those sub-funds which are not registered in Hong Kong.


Audited Annual Report

As at 31 December 2010

Contents

Board of Directors 1

Management and Administration 2

Board of Directors’ Report 3

Investment Managers’ Report 4

Audit Report 5

Financial Statements and Statistical InformationCombined Statement of Net Assets 7-9

Combined Statement of Operations and Changes in Net Assets 11-13

Statement of Changes in the Number of Shares 14-15

Statistical Information 16-17

Notes to the Financial Statements 18-24

Schedule of InvestmentsJPMorgan Investment Funds - Europe Select Equity Fund 25JPMorgan Investment Funds - Global Balanced Fund (USD) 28JPMorgan Investment Funds - Global Bond Fund (USD) 35JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 40JPMorgan Investment Funds - Global Convertibles Fund (USD) 45JPMorgan Investment Funds - Global Dividend Fund 49JPMorgan Investment Funds - Global Enhanced Bond Fund 52JPMorgan Investment Funds - Global Financials Fund 57JPMorgan Investment Funds - Global High Yield Bond Fund 60JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 65JPMorgan Investment Funds - Japan 50 Equity Fund 69JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 71JPMorgan Investment Funds - JF Asia ex-Japan Fund 73JPMorgan Investment Funds - US Bond Fund 74JPMorgan Investment Funds - US Equity Fund 78

Appendix: Unaudited Additional DisclosuresFund Total Expense Ratios 81

Summary of Investment Objectives of the Sub-Funds 84

Performance and Volatility 85

Interest Rate Received/(Charged) on Bank Accounts 88

Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01% 88

Portfolio Turnover Ratio 89

Historical Statements of Changes in the Number of Shares 90


Board of Directors


Chairman

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

Directors

Jacques ElvingerPartnerElvinger, Hoss & Prussen2, place Winston ChurchillL-2014 LuxembourgGrand Duchy of Luxembourg

Jean FrijnsProfessor, Finance and InvestmentsAntigonelaan 2NL-5631 LR EindhovenThe Netherlands

Berndt MayManaging DirectorJPMorgan Asset Management (Europe) S.à r.l.Austrian BranchFührichgasse 8A-1010 ViennaAustria

Registered Office

European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Deputy Chairman

Pierre JaansEconomist3, rue de KahlerL-8356 GarnichGrand Duchy of Luxembourg

Andrea L. HazenManaging DirectorJPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

Robert Van der MeerProfessor of Finance12 Lange VijverbergNL-2513 AC The HagueThe Netherlands

1


Management and Administration


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

JPMorgan Asset Management (Europe) S.à r.l.European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Investment Managers

J.P. Morgan Investment Management Inc.245 Park AvenueNew York, NY 10167United States of America

JPMorgan Asset Management (Japan) LimitedTokyo Building 7-3Marunouchi 2-ChomeChiyoda-KuTokyo 100-6432, Japan

JPMorgan Asset Management (UK) Limited20 Finsbury StreetLondon EC2Y 9AQUnited Kingdom

JF Asset Management Limited21st Floor, Chater House8 Connaught RoadCentral, Hong Kong

Highbridge Capital Management LLC9 West 57th StreetNew York, NY 10019United States of America

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

Custodian, Corporate and Administrative Agent

J.P. Morgan Bank Luxembourg S.A.European Bank & Business Centre6, route de TrèvesL-2633 SenningerbergGrand Duchy of Luxembourg

Auditor

PricewaterhouseCoopers S.à r.l.400, Route d’EschBP 1443L-1014 LuxembourgGrand Duchy of Luxembourg

Legal Adviser

Elvinger, Hoss & Prussen2, place Winston ChurchillL-2014 LuxembourgGrand Duchy of Luxembourg

22


Board of Directors’ Report


The Board of Directors is pleased to present the Audited Annual Report for the year ended 31 December 2010.

Structure and Size of the FundThe Fund is a variable capital investment company with multiple Sub-Funds, organised as a “société anonyme”, under the laws of the Grand Duchy ofLuxembourg, organised as an “umbrella” with a number of Sub-Funds, each of which has its own investment policy and restrictions.

At the year end the Fund had issued shares in 34 Sub-Funds.

During the year, the total net assets of the Fund increased from USD 17.1 billion to USD 18.3 billion at year end.

The Fund qualifies as an Undertaking for Collective Investments in Transferable Securities under the amended EC Directive 85/611 of 20 December 1985 andmay therefore be offered for sale in European Union Member States, subject to registration in countries other than the Grand Duchy of Luxembourg. Inaddition, applications to register the Fund and its Sub-Funds may be made in other countries.

The Board of Directors of JPMorgan Investment Funds has decided to liquidate JPMorgan Investment Funds - US Market Neutral Fund on 15 December 2010.

The Fund and the Sub-Funds are currently registered for offer and distribution in the Grand Duchy of Luxembourg and in the following jurisdictions:

Austria, Bahrain, Belgium, Chile, Cyprus, Denmark, Finland, France, Germany, Greece, Hong Kong, Ireland, Italy, Jersey, Macau, The Netherlands, Norway,Portugal, Singapore, Spain, Sweden, Switzerland, Taiwan and United Kingdom.

Single Swing PricingFrom 2 April 2009 onwards, a Swing Pricing Adjustment, as described in note 2 b), may be applied to the NAV per Share of the relevant Sub-Funds.

Responsibility of the DirectorsThe responsibility of the Directors of the Fund is governed by Luxembourg law. With respect to the annual accounts of the Fund, the duties of the Directorsare governed by general corporate law and the law of 19 December 2002 on, inter alia, the accounting and annual accounts of undertakings and by the law of20 December 2002 relating to undertakings for collective investments.

ALFI Code of ConductFollowing its introduction the Board of Directors has adopted the ALFI Code of Conduct (the “Code”) which sets out principles of good governance. The Boardof Directors considers that the Fund has been in compliance with the Code in all material aspects throughout the financial year ended 31 December 2010.

Annual General MeetingThe next Annual General Meeting of the Company will be held on 29 April 2011.

The Board of Directors

Luxembourg, 4 April 2011

33


Investment Managers’ Report

For the year ended 31 December 2010

Market review of 20102010 was a good year for global markets, particularly equities, with the MSCI World Index up 20.1% in euro terms (Source: FactSet, total return index).Equities made headway on strong corporate earnings growth and an improved economic outlook. Across the globe governments and central banks workedto sustain the global economic recovery and steer markets clear of a double-dip recession; the equity market responded positively to these actions. Bondsperformed well in euro terms despite sovereign debt concerns as quantitative easing and worries over deflation held down yields. The JPMorgan Global BondIndex was up 13.8% in euro terms over the review period (Source: J.P. Morgan).

The year began with a continuation of the market rally from 2009, boosted by hopes that the pace of the global economic recovery would accelerate.However, by the end of April it had become apparent that various headwinds were restraining global growth. In the US, there was a notable lack ofemployment growth despite strong corporate earnings growth. In China, as exports picked up fears grew that the economy may overheat, having alreadybeen pumped full of money from the banks who had been encouraged to lend by the government. It was therefore no shock that the Chinese governmentraised interest rates and the banking reserve requirement throughout the year to quell inflationary pressures.

In May, fears over the sustainability of the global economic recovery worsened when the Greek economy was bailed out by the European Union (EU) and theInternational Monetary Fund after buckling under a mountain of public debt. The Greek crisis led to real concerns about the financial status of other highlyindebted peripheral eurozone countries - mainly Ireland, Italy, Portugal and Spain. Peripheral credit ratings were downgraded and bond spreads widened astraders sought to reduce their risk. Towards the end of the year bond yields reached new highs and risk appetite fell across most markets as a secondsovereign bailout, this time for Ireland, escalated concerns over the stability of the euro. Gold prices rose significantly as key investors sought a safe havenfor their assets.

The sovereign debt crisis remains with us but key measures were taken by the EU to reduce the likelihood of further crises, including stricter lendingregulations and higher liquidity thresholds for banks. US regulators also passed the Dodd Frank financial regulation reform bill while the Basel III bankingreforms were announced during the year. These reforms stipulated that banks must tighten the amount of cash they can lend and boost their capitalreserves. Meanwhile, governments tightened fiscal policies. The new UK coalition government, elected in May 2010, echoed the Thatcher years with severespending cutbacks and tax increases in the emergency June budget.

With the US economic recovery still looking fragile, Ben Bernanke, chairman of the US Federal Reserve (Fed), talked of the need for a second round ofquantitative easing (QE2) to avoid the onset of a deflationary environment and sustain asset prices. In September and October there was a significant rally inmarkets as investors eagerly anticipated an announcement. Bond yields fell as investors changed allocation priorities towards equities. In November, theFed announced a larger-than-expected QE2 package of USD 600 billion, which was well received by the market.

The year drew to a positive close, with stronger macroeconomic data from around the world further easing concerns about the strength of the recovery. Inthe US, the third quarter saw a clear improvement in corporate earnings momentum while economic growth was much stronger than anticipated. In Europe,despite sovereign debt concerns, core Europe performed well with Germany expected to record Gross Domestic Product growth of 3.6% in 2010 (Source:JPMorgan Securities). Furthermore, the emerging markets, a consensus trade in 2010, continued to thrive and provide an engine for global economicgrowth.

Outlook for 2011Leading economic indicators, coupled with additional policy stimulus suggest a widespread pickup in the global economy over the next few months. Webelieve that emerging markets will lead the way with further strong growth in 2011, but sub-trend growth will persist in the US and Europe. The issue forinvestors is whether the improvement in the real economy is already priced into equity markets.

The emerging markets are likely to be the main beneficiaries of QE2, as the newly created liquidity finds its way into faster growing markets offering higherreturns. The key to emerging market equity outperformance will be the delivery of stronger growth in both corporate earnings and dividends than thedeveloped nations, but there are concerns over the impact of QE2 on emerging market inflation. China, in particular, is at risk, with consumer price inflationreaching +5.5% year on year in late 2010.

Meanwhile, growth in the developed markets is likely to remain relatively subdued as countries struggle to reduce budget deficits and cope with a low rate ofjob creation. The sovereign debt crisis will act as a headwind in 2011, particularly in Europe where the inherent difficulties of adopting a single currency andmaintaining common interest rates without closer fiscal ties become more evident. If the EU and the European Central Bank fail to deliver strong policysupport volatility is likely to stay high in the region.

Despite the economic uncertainty, European and US stocks continue to look attractive. In Europe, earnings momentum data remains resilient (albeitslowing). Exports will be boosted by a weaker euro and valuations are cheap versus trend on a price-to-earnings basis. In the US, QE2 showed the Fed'scommitment to support economic growth and guard against the threat of deflation, which means we can expect a combination of slow, but ongoing, growthcoupled with low inflation - a favourable backdrop for equities.

The Investment Managers

4 April 2011

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

4

Following our appointment by the General Meeting of the Shareholders dated 30 April 2010, we have audited the accompanying financial statements ofJPMorgan Investment Funds and of each of its Sub-Funds , which comprise the Combined Statement of Net Assets and the Schedule of Investments as at31 December 2010 and the Combined Statement of Operations and Changes in Net Assets for the year then ended, and a summary of significant accountingpolicies and other explanatory notes to the financial statements.

Responsibility of the Board of Directors of the SICAV for the financial statementsThe Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourglegal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAVdetermines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.

Responsibility of the “Réviseur d’entreprises agréé”Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with InternationalStandards on Auditing as adopted for Luxembourg by the “Commission de Surveillance du Secteur Financier”. Those standards require that we comply withethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement.

An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selecteddepend on the judgment of the “Réviseur d’entreprises agréé”, including the assessment of the risks of material misstatement of the financial statements,whether due to fraud or error. In making those risk assessments, the “Réviseur d’entreprises agréé” considers internal control relevant to the entity’spreparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for thepurpose of expressing an opinion on the effectiveness of the entity’s internal control. An audit also includes evaluating the appropriateness of accountingpolicies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation ofthe financial statements.

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

OpinionIn our opinion, the financial statements give a true and fair view of the financial position of JPMorgan Investment Funds and of each of its Sub-Funds as of 31December 2010, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal andregulatory requirements relating to the preparation of the financial statements.

Other mattersSupplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific auditprocedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have noobservation to make concerning such information in the context of the financial statements taken as a whole.

PricewaterhouseCoopers S.à r.l. Luxembourg, 4 April 2011

Represented by

John Parkhouse

PricewaterhouseCoopers S.à r.l., 400 Route d’Esch, B.P. 1443, L-1014 LuxembourgT: +352 494848 1, F:+352 494848 2900, www.pwc.lu

Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n° 00123693)R.C.S. Luxembourg B 65 477 - Capital social EUR 516 950 - TVA LU17564447

5

Audit Report

To the Shareholders ofJPMorgan Investment Funds


6


Combined Statement of Net Assets



CombinedUSD

EuropeSelect

Equity FundEUR

GlobalBalanced

Fund (USD)USD

GlobalBond

Fund (USD)USD

AssetsInvestments in Securities at Market Value 16,931,595,208 228,383,031 288,143,099 57,058,526Acquisition Cost: 15,888,171,381 205,831,626 256,970,248 57,712,619Investment in TBAs at Market Value (1) 72,164,639 - - 2,243,955Cash at Bank 741,686,650 382,755 11,844,288 2,533,901Time Deposits and Cash Equivalents 795,317,671 - - -Amounts Receivable on Sale of Investments 31,375,022 - 1,647 -Amounts Receivable on Sale of TBAs (1) 114,332,645 - - 218,453Amounts Receivable on Subscriptions 64,659,694 201,668 1,673,829 -Interest and Dividends Receivable, Net 80,277,808 298,496 1,436,680 598,451Tax Reclaims Receivable 506,464 36,616 5,746 -Fee Waiver (2) 139,403 366 - 8,773Other Receivables 152,365 - - -Unrealised Net Gain on Forward Foreign Exchange Contracts 51,351,216 492,796 1,042,354 -Unrealised Net Gain on Financial Futures Contracts 16,793,061 - 5,273 -Derivatives Instruments at Market Value 77,376,755 - - 225

Total Assets 18,977,728,601 229,795,728 304,152,916 62,662,284

LiabilitiesBank Overdraft 920,501 - - -Open Short Positions on TBAs (1) 56,395,403 - - -Amounts Payable on Purchase of Investments 341,875,350 - 130,305 -Amounts Payable on Purchase of TBAs (1) 112,274,131 - - 2,478,784Amounts Payable on Redemptions 41,015,394 196,078 171,872 53,790Management and Advisory Fees Payable 17,406,609 104,634 271,719 20,661Performance Fees 36,425,891 - - -Other Payables 3,275,251 37,247 126,939 16,154Unrealised Net Loss on Forward Foreign Exchange Contracts 31,328,751 - - 931,210Unrealised Net Loss on Financial Futures Contracts 1,284,170 18,811 - 7,806Derivatives Instruments at Market Value 58,414,568 - - -

Total Liabilities 700,616,019 356,770 700,835 3,508,405

Total Net Assets 18,277,112,582 229,438,958 303,452,081 59,153,879

Historical Total Net Assets31 December 2009 17,111,214,731 235,863,162 501,258,891 60,110,60931 December 2008 12,451,274,404 87,650,033 437,621,915 71,738,74831 December 2007 21,371,859,183 329,258,620 599,095,598 398,540,72131 December 2006 22,125,854,907 54,144,868 621,625,034 686,299,732

(1) Please refer to Note 2i).(2) Please refer to Note 3a).


7





Fund (USD)USD

GlobalConvertibles

Fund (USD)USD

GlobalDividend

FundUSD

GlobalEnhanced Bond

FundEUR

GlobalFinancials

FundUSD


FundUSD

54,530,048 513,514,190 51,649,394 22,103,260 184,748,585 1,010,453,42551,798,418 481,180,663 48,480,573 22,954,051 178,120,738 972,870,710

- - - 6,714,626 - -17,229,933 342,371 756,209 1,213,988 722,510 180,571,190

- - - - - -219,912 - - - - 1,000,850

- - - 1,131,074 - -68,134 785,482 52,760 4,722 490,920 8,823,315

207,270 2,389,092 94,869 247,308 111,985 19,310,079938 - 2,202 - 8,913 -

7,713 - 408 7,836 - -- - 395 - 345 214- - 35,131 469,836 504,086 9,825,853

528,210 - - 78,438 - -1,813,087 - - 178 - 3,527,108

74,605,245 517,031,135 52,591,368 31,971,266 186,587,344 1,233,512,034

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

400,130 - - - - 2,497,194- - - 7,867,199 - -

169,219 489,923 - 13,494 286,159 2,152,93185,525 609,020 63,317 18,608 243,325 771,045

- - - - - -20,318 74,752 15,577 11,868 187,151 192,734

121,376 4,254,438 - - - -- - - - - -- - - - - -

796,568 5,428,133 78,894 7,911,169 716,635 5,613,904

73,808,677 511,603,002 52,512,474 24,060,097 185,870,709 1,227,898,130

74,449,543 533,842,291 37,054,753 20,893,798 127,331,667 450,507,53967,565,801 150,459,822 2,053,246 31,694,955 115,313,948 145,157,68156,022,839 204,045,393 2,994,964 172,270,768 173,591,902 226,958,05068,884,360 66,255,273 - 285,501,505 233,863,457 320,391,383

8





FundUSD

Japan50Equity

FundJPY


FundJPY

JF Asiaex-Japan

FundUSD

USBondFundUSD

USEquity

FundUSD

777,576,558 25,125,817,651 5,068,516 1,546,333,723 36,341,083 139,837,316781,434,513 26,481,220,135 4,292,911 1,229,789,886 48,555,476 122,738,556

- - - - 14,817,651 -7,421,364 384,229,085 55,674 59,591,908 4,263,756 4,879,454

159,000,000 - - - - -- 171,947,033 114,379 - 44,568 -- - - - 4,155,550 -

4,486,285 40,208,992 - 800,615 135,724 217,683156,596 8,094,998 3,228 1,946,437 311,506 88,742

- - - - - 61,438- - - - 2,445 -

3,530 - - - - 90- - - - - 138,127- - - - - 26,660- - - - - -

948,644,333 25,730,297,759 5,241,797 1,608,672,683 60,072,283 145,249,510

- - - - - -- - - - - -- 169,688,923 101,106 1,998,099 19,041,538 789,465- - - - - -

8,460,029 5,999,757 - 619,666 10,406 30,5031,279,007 15,527,576 6,603 1,414,539 44,733 164,010

- - - - - -156,932 4,162,549 118 457,264 - 25,928

3,449,623 - - - - -- 1,441,000 - - 9,750 -

4,439,860 - - - 180,459 -

17,785,451 196,819,805 107,827 4,489,568 19,286,886 1,009,906

930,858,882 25,533,477,954 5,133,970 1,604,183,115 40,785,397 144,239,604

2,437,426,403 13,989,659,304 5,261,171 1,595,870,962 45,776,146 94,195,3272,842,761,494 31,690,006,989 43,080,245 548,315,938 65,585,585 21,975,1252,536,907,979 61,783,248,670 100,132,088 1,570,642,348 921,294,102 36,931,277

125,743,758 73,365,835,305 - 735,397,687 1,491,870,100 4,006,885

9


10


Combined Statement of Operations and Changes in Net Assets

For the Year Ended 31 December 2010


CombinedUSD

EuropeSelect Equity

FundEUR

GlobalBalanced

Fund (USD)USD

GlobalBond

Fund (USD)USD

Net Assets at the Beginning of the Year * 16,651,260,956 235,863,162 501,258,891 60,110,609

IncomeDividend Income, Net 137,082,725 6,287,459 3,188,093 -Interest Income, Net 310,420,656 1,951 3,880,714 1,687,262Securities Lending Income 2,940,438 364,639 - 2,877Bank Interest 522,364 - 1,948 1,247Net Interest on Swap Transactions 16,757,652 - - 136,561

Total Income 467,723,835 6,654,049 7,070,755 1,827,947

ExpensesManagement and Advisory Fees 203,525,886 1,495,147 3,267,745 273,960Custodian, Corporate, Administrative and Domiciliary Agency Fees 12,636,650 249,405 269,036 144,285Registrar and Transfer Agency Fees 3,662,748 58,784 54,797 17,568Taxe d’Abonnement 7,810,620 70,539 117,173 18,594Overdraft Interest 144,237 1,088 264 139Net Interest on Swap Transactions 14,494,538 - - 135,946Sundry Fees** 7,060,294 99,632 69,719 16,369

249,334,973 1,974,595 3,778,734 606,861Less: Fee Waiver (1) 2,319,315 47,187 13,727 96,802Total Expenses before Performance Fees 247,015,658 1,927,408 3,765,007 510,059

Performance Fees 36,425,891 - - -

Total Expenses 283,441,549 1,927,408 3,765,007 510,059

Net Investment Income/(Loss) 184,282,286 4,726,641 3,305,748 1,317,888

Net Realised Gain/(Loss) on Sale of Investments 577,941,153 15,830,978 18,041,063 (297,150)Net Realised Gain/(Loss) on Forward Foreign Exchange Contracts (374,875,389) (1,823,179) 4,489,604 299,264Net Realised Gain/(Loss) on Financial Futures Contracts (46,681,200) (928,258) (1,297,001) 394,773Net Realised Gain/(Loss) on Foreign Exchange 13,721,787 162,862 (316,153) (48,264)Net Realised Gain/(Loss) on TBAs 596,991 - - (10,726)Net Realised Gain/(Loss) on Derivatives Instruments (10,429,569) - - 2,191

Net Realised Gain/(Loss) for the Year 160,273,773 13,242,403 20,917,513 340,088

Net Change in Unrealised Gain/(Loss) on Investments 538,422,189 2,737,495 2,630,922 2,974,041Net Change in Unrealised Gain/(Loss) on Forward Foreign Exchange Contracts 77,901,205 1,009,885 (568,383) (886,059)Net Change in Unrealised Gain/(Loss) on Financial Futures Contracts (24,311,048) 43,746 10,802 41,680Net Change in Unrealised Gain/(Loss) on Foreign Exchange 1,760,948 (7,941) 115,391 (248)Net Change in Unrealised Gain/(Loss) on TBAs (17,165) - - (14,049)Net Change in Unrealised Gain/(Loss) on Derivatives Instruments 60,200,196 - - (1,200)

Net Change in Unrealised Gain/(Loss) for the Year 653,956,325 3,783,185 2,188,732 2,114,165

Increase/(Decrease) in Net Assets as a Result of Operations 998,512,384 21,752,229 26,411,993 3,772,141

Movements in Share CapitalSubscriptions 13,748,633,409 126,120,704 101,283,051 15,331,249Redemptions (13,108,081,783) (154,296,515) (325,501,854) (20,060,120)

Increase/(Decrease) in Net Assets as a Result of Movements in Share Capital 640,551,626 (28,175,811) (224,218,803) (4,728,871)

Dividend Distribution (13,212,384) (622) - -

Total Net Assets at the End of the Year 18,277,112,582 229,438,958 303,452,081 59,153,879

* The opening balance was combined using the foreign exchange rate as at 31 December 2010. The same net assets when combined using the foreign exchange ruling as at 31 December 2009 reflected afigure of USD 17,111,214,731.** Sundry Fees are principally comprised of Directors’ fees, audit and tax related fees, registration, publication, mailing and printing fees, as well as legal and marketing expenses.

(1) Please refer to Note 3a).(2) This Sub-Fund was launched on 31 May 2010.

The accompanying notes form an integral part of these financial statements.

11




GlobalCapital Preservation

Fund (USD)USD

GlobalConvertibles

Fund (USD)USD

GlobalDividend

FundUSD

GlobalEnhanced Bond

FundEUR

GlobalFinancials

FundUSD


FundUSD

74,449,543 533,842,291 37,054,753 20,893,798 127,331,667 450,507,539

269,955 408,497 1,624,438 - 3,162,155 -1,370,138 14,427,346 520 862,738 4,421 55,601,156

6,205 - 64,293 1,001 - 186,9607,861 912 231 587 1,058 16,872

- - - 108,728 - 3,367,000

1,654,159 14,836,755 1,689,482 973,054 3,167,634 59,171,988

1,046,179 6,499,086 569,611 209,349 2,793,452 6,289,433135,543 334,402 142,370 108,939 198,282 429,01645,445 102,682 20,776 26,816 88,635 198,86737,595 227,994 22,715 11,703 87,918 369,307

175 11,732 - 395 - 36415,532 - - 108,239 - -12,748 74,919 15,725 6,191 161,463 368,269

1,293,217 7,250,815 771,197 471,632 3,329,750 7,655,25678,839 109 47,967 105,287 1,415 15,596

1,214,378 7,250,706 723,230 366,345 3,328,335 7,639,660

- - - - - -

1,214,378 7,250,706 723,230 366,345 3,328,335 7,639,660

439,781 7,586,049 966,252 606,709 (160,701) 51,532,328

1,998,003 25,211,245 (634,216) (497,677) (1,867,468) 12,936,822554,524 20,110,654 (503,037) (1,460,157) 2,270,836 (34,312,570)

(1,211,132) - (20,691) (210,670) - -(258,793) 154,902 149,736 (605,018) 107,467 2,170,774

- - - 881,751 - -2,072,905 (1,339,805) - 1,080 - 6,223,653

3,155,507 44,136,996 (1,008,208) (1,890,691) 510,835 (12,981,321)

(490,821) (18,023,593) 1,579,868 3,004,426 2,253,039 31,520,165(975,670) (10,625,128) 74,685 371,760 496,449 7,645,471(483,563) - - 49,401 - -

56,410 29,501 1,803 252,724 12,664 15,693- - - 35,550 - -

187,094 (122,014) - (873) - (975,461)

(1,706,550) (28,741,234) 1,656,356 3,712,988 2,762,152 38,205,868

1,888,738 22,981,811 1,614,400 2,429,006 3,112,286 76,756,875

65,664,841 473,538,720 88,651,680 14,543,386 136,103,673 1,521,381,689(68,194,445) (518,759,820) (74,777,416) (13,806,093) (80,384,285) (817,248,984)

(2,529,604) (45,221,100) 13,874,264 737,293 55,719,388 704,132,705

- - (30,943) - (292,632) (3,498,989)

73,808,677 511,603,002 52,512,474 24,060,097 185,870,709 1,227,898,130

12





FundUSD

Japan50Equity

FundJPY


FundJPY

JF Asiaex-Japan

FundUSD

USBondFundUSD

USEquity

FundUSD

2,437,426,403 13,989,659,304 5,261,171 1,595,870,962 45,776,146 94,195,327

- 448,410,053 79,009 22,133,632 - 1,782,2667,744,467 - 83 32,638 2,137,438 -

- - 1,430 - 5,633 11,65413,829 224 223 5,556 124 141

764,812 - - - 43,122 -

8,523,108 448,410,277 80,745 22,171,826 2,186,317 1,794,061

26,328,931 168,145,792 58,531 14,981,207 501,533 1,729,514861,102 23,116,371 105,535 1,490,526 254,197 137,229438,174 2,678,134 1,233 178,787 33,697 39,171697,724 9,057,901 1,956 452,771 26,751 58,196

326 - - 1,431 1,178 -3,235,371 - - - 150,036 -1,119,034 7,556,449 727 231,154 9,218 33,979

32,680,662 210,554,647 167,982 17,335,876 976,610 1,998,0892,074 913,183 92,997 18 217,221 8,594

32,678,588 209,641,464 74,985 17,335,858 759,389 1,989,495

- - - - - -

32,678,588 209,641,464 74,985 17,335,858 759,389 1,989,495

(24,155,480) 238,768,813 5,760 4,835,968 1,426,928 (195,434)

(60,488) (839,929,631) 12,519 164,498,630 (31,039,385) 2,640,90925,590,139 (725,884) 11,565 5,984 1,605 (1,265,827)

- 40,127,975 83,682 - 304,940 484,238(79,704) (5,002,832) 100,376 (780,527) 2,792 (33,787)

- - - - 498,973 -(58,785,749) - - - (642,787) -

(33,335,802) (805,530,372) 208,142 163,724,087 (30,873,862) 1,825,533

297,821 924,150,397 591,648 113,167,532 34,040,237 10,216,230(5,668,928) - - - - 463,766

- (2,542,000) - - 56,385 (33,040)(6,607) (24,342) 1,686 303,238 456 (38)

- - - - 61,758 -21,448,956 - - - 569,545 -

16,071,242 921,584,055 593,334 113,470,770 34,728,381 10,646,918

(41,420,040) 354,822,496 807,236 282,030,825 5,281,447 12,277,017

673,518,643 29,536,054,956 5,178,581 547,443,236 70,969,067 98,824,234(2,138,338,376) (18,346,409,290) (6,112,302) (821,161,908) (81,241,263) (61,056,561)

(1,464,819,733) 11,189,645,666 (933,721) (273,718,672) (10,272,196) 37,767,673

(327,748) (649,512) (716) - - (413)

930,858,882 25,533,477,954 5,133,970 1,604,183,115 40,785,397 144,239,604

13





of the Year


of the Year

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 81,906.853 17,796.828 63,866.118 35,837.563JPM Europe Select Equity A (acc) - USD 167.709 3,246.308 467.508 2,946.509JPM Europe Select Equity A (dist) - EUR 213.427 8,331.265 6,690.413 1,854.279JPM Europe Select Equity B (acc) - EUR 145,058.058 69,681.076 166,150.898 48,588.236JPM Europe Select Equity C (acc) - EUR 881,404.287 547,041.232 694,454.700 733,990.819JPM Europe Select Equity D (acc) - EUR 83,682.839 39,820.364 54,894.654 68,608.549JPM Europe Select Equity D (acc) - USD 34.860 2,064.836 2,064.836 34.860JPM Europe Select Equity I (acc) - EUR - 493,728.349 163,600.001 330,128.348JPM Europe Select Equity X (acc) - EUR 320,005.082 91,306.846 25,111.648 386,200.280JPM Europe Select Equity X (acc) - EUR (hedged) 844,138.363 67,683.688 252,284.453 659,537.598

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 129,627.307 18,072.557 95,285.410 52,414.454JPM Global Balanced (USD) A (acc) - USD 1,027,862.423 474,610.137 670,738.010 831,734.550JPM Global Balanced (USD) A (dist) - USD 50.000 324.027 - 374.027JPM Global Balanced (USD) B (acc) - USD 461,454.525 3,545.441 392,007.596 72,992.370JPM Global Balanced (USD) C (acc) - USD 403,204.181 22,977.221 271,247.096 154,934.306JPM Global Balanced (USD) D (acc) - USD 175,506.970 92,902.702 65,007.908 203,401.764JPM Global Balanced (USD) X (acc) - USD 736,606.116 - 390,010.804 346,595.312

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 2,646.809 6,499.904 5,926.065 3,220.648JPM Global Bond (USD) A (acc) - USD 212,186.758 83,350.587 122,330.009 173,207.336JPM Global Bond (USD) C (acc) - USD 3,458.674 71.587 - 3,530.261JPM Global Bond (USD) D (acc) - USD 48,516.740 40,839.525 39,426.935 49,929.330JPM Global Bond (USD) X (acc) - USD 236,378.854 - - 236,378.854

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 456,584.883 449,596.960 445,996.181 460,185.662JPM Global Capital Preservation (USD) D (acc) - USD 189,760.015 115,053.802 142,816.858 161,996.959

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 2,425.698 1,612.928 3,494.671 543.955JPM Global Convertibles (USD) A (acc) - USD 2,935,327.386 2,433,597.219 2,634,526.228 2,734,398.377JPM Global Convertibles (USD) B (acc) - USD 320,072.511 640,115.804 543,145.726 417,042.589JPM Global Convertibles (USD) C (acc) - USD 228,700.495 384,545.546 350,309.685 262,936.356JPM Global Convertibles (USD) D (acc) - USD 378,602.303 160,676.400 223,346.712 315,931.991JPM Global Convertibles (USD) I (acc) - USD 148,834.905 63,190.243 145,018.148 67,007.000JPM Global Convertibles (USD) X (acc) - USD* 195,296.000 18,870.000 214,166.000 -

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 113,331.681 630,650.297 358,990.970 384,991.008JPM Global Dividend A (acc) - EUR - 10,232.085 959.298 9,272.787JPM Global Dividend A (acc) - EUR (hedged) 13,863.096 152,802.563 57,536.147 109,129.512JPM Global Dividend A (inc) - USD 1,161.116 12,449.054 822.585 12,787.585JPM Global Dividend A (inc) - EUR (hedged) 2,662.099 10,739.013 5,443.625 7,957.487JPM Global Dividend C (acc) - EUR 181,010.969 59,048.083 204,738.872 35,320.180JPM Global Dividend D (acc) - USD 11,586.250 11,363.602 6,438.174 16,511.678JPM Global Dividend D (acc) - EUR (hedged) 15,640.572 20,593.911 8,873.778 27,360.705JPM Global Dividend X (acc) - USD* - 155,894.367 155,894.367 -

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 149,072.020 44,386.600 63,432.484 130,026.136JPM Global Enhanced Bond A (inc) - EUR 41.718 10.821 3.000 49.539JPM Global Enhanced Bond B (acc) - EUR 4,319.054 5,136.721 1,124.341 8,331.434JPM Global Enhanced Bond C (acc) - EUR 22,947.121 - 745.383 22,201.738JPM Global Enhanced Bond D (acc) - EUR 19,404.323 80,726.413 54,896.162 45,234.574JPM Global Enhanced Bond X (acc) - EUR 2,242.717 - 2,044.967 197.750

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 848,079.803 458,896.279 567,601.046 739,375.036JPM Global Financials A (acc) - EUR 362,164.761 425,524.595 192,191.728 595,497.628JPM Global Financials A (dist) - USD 188,087.896 609,102.535 94,591.122 702,599.309JPM Global Financials B (acc) - USD 412,565.384 293,051.972 367,196.764 338,420.592JPM Global Financials C (acc) - USD 11,810.617 248,042.087 26,520.752 233,331.952JPM Global Financials D (acc) - USD 75,430.963 35,857.184 44,700.813 66,587.334JPM Global Financials X (acc) - USD 10,719.673 215.564 750.000 10,185.237

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 777,810.222 3,850,389.765 1,345,589.421 3,282,610.566JPM Global High Yield Bond A (acc) - EUR (hedged) 642,374.157 1,447,770.532 1,126,831.458 963,313.231JPM Global High Yield Bond A (inc) - EUR (hedged) 65,167.139 42,170.547 47,572.760 59,764.926JPM Global High Yield Bond A (mth) - USD 180,599.299 871,558.816 484,771.314 567,386.801JPM Global High Yield Bond B (acc) - EUR (hedged) 54,221.862 237,679.217 137,200.575 154,700.504JPM Global High Yield Bond C (acc) - USD 193,934.780 969,559.756 394,834.838 768,659.698JPM Global High Yield Bond C (acc) - EUR (hedged) 479,981.346 1,341,285.041 853,414.357 967,852.030JPM Global High Yield Bond D (acc) - USD - 823.395 - 823.395JPM Global High Yield Bond D (acc) - EUR (hedged) 156,321.512 213,342.629 87,350.576 282,313.565JPM Global High Yield Bond I (acc) - USD 360,000.000 2,120,040.843 1,043,054.359 1,436,986.484JPM Global High Yield Bond I (inc) - EUR (hedged) 173,754.250 141,712.467 220,073.250 95,393.467JPM Global High Yield Bond X (acc) - EUR (hedged) 36,133.150 77,448.800 59,216.333 54,365.617

14





of the Year


of the Year

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 5,814,589.629 1,297,336.999 4,859,982.903 2,251,943.725JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 187,792.602 212,251.134 168,650.137 231,393.599JPM Highbridge Statistical Market Neutral A (acc) - USD 163,287.483 55,787.694 105,272.099 113,803.078JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 382,366.069 81,280.858 319,266.534 144,380.393JPM Highbridge Statistical Market Neutral A (dist) - GBP 41,114.671 3,587.340 33,581.624 11,120.387JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 427,969.137 61,294.236 411,370.683 77,892.690JPM Highbridge Statistical Market Neutral A (inc) - EUR 82,493.024 3,387.993 29,227.787 56,653.230JPM Highbridge Statistical Market Neutral B (acc) - EUR 906,281.584 218,590.242 830,540.103 294,331.723JPM Highbridge Statistical Market Neutral B (acc) - USD* 1,906.214 - 1,906.214 -JPM Highbridge Statistical Market Neutral C (acc) - EUR 4,621,483.619 1,939,910.869 5,269,925.052 1,291,469.436JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* - 19,917.817 19,917.817 -JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1,213,931.558 1,201,291.161 955,263.003 1,459,959.716JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 136,664.498 12,514.189 108,337.029 40,841.658JPM Highbridge Statistical Market Neutral D (acc) - EUR 7,831,983.678 715,120.891 6,028,535.645 2,518,568.924JPM Highbridge Statistical Market Neutral D (acc) - USD 40,753.146 20,598.175 40,959.808 20,391.513JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 50,937.127 11,602.292 53,839.557 8,699.862JPM Highbridge Statistical Market Neutral I (acc) - EUR 587,873.838 68,566.103 459,372.279 197,067.662JPM Highbridge Statistical Market Neutral I (dist) - EUR - 295,105.705 148,935.207 146,170.498JPM Highbridge Statistical Market Neutral X (acc) - EUR 64,246.127 129,061.254 89,341.660 103,965.721JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* 13,087.207 34,433.970 47,521.177 -

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 296,215.887 1,656,701.688 1,208,144.954 744,772.621JPM Japan 50 Equity A (acc) - EUR 52,156.903 249,243.333 67,404.433 233,995.803JPM Japan 50 Equity A (dist) - JPY 4,144.027 57,677.916 56,802.336 5,019.607JPM Japan 50 Equity C (acc) - JPY 219,232.262 863,952.324 542,551.559 540,633.027JPM Japan 50 Equity D (acc) - JPY 4,671.573 59,455.657 54,775.801 9,351.429JPM Japan 50 Equity X (acc) - JPY 935,188.149 259,763.972 47,967.970 1,146,984.151

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 20,484.803 - - 20,484.803JPM Japan Behavioural Finance Equity A (acc) - EUR 21,596.599 77,848.293 82,990.044 16,454.848JPM Japan Behavioural Finance Equity A (dist) - USD 17,905.103 - - 17,905.103JPM Japan Behavioural Finance Equity D (acc) - EUR 337.997 4,478.519 1,157.976 3,658.540JPM Japan Behavioural Finance Equity X (acc) - USD 24,004.393 - 12,469.212 11,535.181

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1,226,426.524 547,735.962 591,999.462 1,182,163.024JF Asia ex-Japan A (dist) - USD 179,363.561 64,336.188 79,646.807 164,052.942JF Asia ex-Japan B (acc) - USD 173,447.124 102,616.045 112,950.141 163,113.028JF Asia ex-Japan C (acc) - USD 790,014.329 598,637.440 597,490.453 791,161.316JF Asia ex-Japan D (acc) - USD 262,512.205 144,209.745 189,850.383 216,871.567JF Asia ex-Japan I (acc) - USD 5,315,048.328 610,501.169 2,042,513.889 3,883,035.608JF Asia ex-Japan X (acc) - USD 256,141.060 106,163.739 176,342.894 185,961.905

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 194,447.810 321,239.230 353,669.672 162,017.368JPM US Bond A (inc) - USD 1,542.000 21.226 481.000 1,082.226JPM US Bond B (acc) - USD 5,922.047 20,435.305 21,718.309 4,639.043JPM US Bond C (acc) - USD 5,400.198 61,894.321 56,280.265 11,014.254JPM US Bond D (acc) - USD 124,600.615 45,819.497 85,280.451 85,139.661

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 928,634.873 609,645.983 507,101.689 1,031,179.167JPM US Equity A (acc) - EUR (hedged) 111,521.804 94,869.522 114,642.998 91,748.328JPM US Equity A (dist) - GBP 2,470.405 25,390.273 4,195.504 23,665.174JPM US Equity C (acc) - USD 72,976.004 326,538.353 118,252.427 281,261.930JPM US Equity D (acc) - USD 10,775.941 22,811.253 6,904.011 26,683.183JPM US Equity D (acc) - EUR (hedged) 30,028.997 27,760.408 22,406.599 35,382.806JPM US Equity X (acc) - USD 1,396.370 120,346.811 - 121,743.181

* Share Class inactive as at the end of the year.The accompanying notes form an integral part of these Financial Statements.

15




31 December 2010 31 December 2009 31 December 2008 31 December 2007 31 December 2006

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 808.95 730.52 521.40 976.84 1,004.83JPM Europe Select Equity A (acc) - USD 112.31 108.78 76.43 148.73 -JPM Europe Select Equity A (dist) - EUR 56.27 51.29 58.41 110.63 113.81JPM Europe Select Equity B (acc) - EUR 75.28 67.47 47.79 88.87 -JPM Europe Select Equity C (acc) - EUR 79.47 71.01 50.15 92.97 -JPM Europe Select Equity D (acc) - EUR 74.80 68.05 48.94 92.38 -JPM Europe Select Equity D (acc) - USD 109.79 107.15 75.85 148.71 -JPM Europe Select Equity I (acc) - EUR 103.93 - - - -JPM Europe Select Equity X (acc) - EUR 108.49 96.27 67.52 124.30 125.61JPM Europe Select Equity X (acc) - EUR (hedged) 86.08 79.52 57.97 98.70 -

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 170.85 157.48 134.47 165.13 151.18JPM Global Balanced (USD) A (acc) - USD 178.95 164.86 140.70 172.70 158.03JPM Global Balanced (USD) A (dist) - USD 112.52 104.55 91.32 116.85 107.99JPM Global Balanced (USD) B (acc) - USD 190.01 174.00 147.61 180.08 163.89JPM Global Balanced (USD) C (acc) - USD 168.12 153.72 130.21 158.62 144.06JPM Global Balanced (USD) D (acc) - USD 151.32 140.10 120.17 148.24 136.33JPM Global Balanced (USD) X (acc) - USD 216.42 196.31 165.00 199.38 179.65JPM Global Balanced (USD) X (inc) - USD* - - - - -

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 93.36 88.26 87.87 113.11 112.38JPM Global Bond (USD) A (acc) - USD 128.83 121.55 120.78 155.15 153.84JPM Global Bond (USD) B (acc) - USD* - - 124.84 159.89 158.14JPM Global Bond (USD) C (acc) - USD 129.73 121.85 120.53 154.16 152.15JPM Global Bond (USD) D (acc) - USD 98.89 93.68 93.45 120.54 119.99JPM Global Bond (USD) X (acc) - USD 131.75 123.19 121.31 154.43 151.73

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 119.31 115.79 106.87 115.19 107.01JPM Global Capital Preservation (USD) B (acc) - USD* - - - - 105.85JPM Global Capital Preservation (USD) C (acc) - USD* - - - - 106.40JPM Global Capital Preservation (USD) D (acc) - USD 116.70 113.74 105.45 114.18 106.51JPM Global Capital Preservation (USD) X (acc) - USD* - - 108.97 115.87 106.28

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 114.25 108.14 - - -JPM Global Convertibles (USD) A (acc) - USD 139.07 131.30 101.71 137.72 126.68JPM Global Convertibles (USD) B (acc) - USD 107.56 100.89 77.64 - -JPM Global Convertibles (USD) C (acc) - USD** 139.25 130.55 - - -JPM Global Convertibles (USD) D (acc) - USD 133.88 127.03 98.89 134.58 124.42JPM Global Convertibles (USD) I (acc) - USD 111.72 104.65 80.45 108.12 -JPM Global Convertibles (USD) X (acc) - USD* - 114.46 - 119.47 108.26

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 82.98 76.82 62.53 100.09 -JPM Global Dividend A (acc) - EUR 78.56 - - - -JPM Global Dividend A (acc) - EUR (hedged) 57.24 52.66 45.03 68.35 -JPM Global Dividend A (inc) - USD 111.09 103.11 - - -JPM Global Dividend A (inc) - EUR (hedged) 107.03 100.88 - - -JPM Global Dividend C (acc) - EUR 111.48 95.18 - - -JPM Global Dividend D (acc) - USD 81.08 75.63 62.02 100.03 -JPM Global Dividend D (acc) - EUR (hedged) 55.93 51.84 44.66 68.30 -

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 116.24 104.30 95.22 125.09 129.50JPM Global Enhanced Bond A (inc) - EUR 85.35 77.05 71.38 97.83 103.57JPM Global Enhanced Bond B (acc) - EUR 117.61 105.16 95.68 125.25 129.28JPM Global Enhanced Bond C (acc) - EUR 130.23 116.27 105.63 138.06 142.18JPM Global Enhanced Bond D (acc) - EUR 111.50 100.35 91.90 121.09 125.74JPM Global Enhanced Bond X (acc) - EUR 137.27 121.89 110.18 143.35 146.91JPM Global Enhanced Bond X (inc) - EUR* - - - - 94.25

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 99.05 96.33 69.22 157.72 167.74JPM Global Financials A (acc) - EUR 47.71 43.26 31.96 69.27 82.11JPM Global Financials A (dist) - USD 56.36 55.21 44.45 102.89 109.34JPM Global Financials B (acc) - USD 6.15 5.93 4.23 9.55 -JPM Global Financials C (acc) - USD 105.31 101.56 72.36 163.47 172.29JPM Global Financials D (acc) - USD 100.28 98.51 71.50 164.58 176.78JPM Global Financials X (acc) - USD 162.32 155.15 109.61 245.50 256.60

16




31 December 2010 31 December 2009 31 December 2008 31 December 2007 31 December 2006

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 114.52 100.43 66.67 - -JPM Global High Yield Bond A (acc) - EUR (hedged) 156.44 137.96 91.70 145.19 143.42JPM Global High Yield Bond A (inc) - EUR (hedged) 83.00 78.42 59.60 101.43 104.05JPM Global High Yield Bond A (mth) - USD 101.97 95.01 67.12 - -JPM Global High Yield Bond B (acc) - EUR (hedged) 162.67 142.94 94.68 149.39 147.06JPM Global High Yield Bond C (acc) - USD 116.22 101.26 66.79 - -JPM Global High Yield Bond C (acc) - EUR (hedged) 168.67 147.78 97.59 153.51 150.63JPM Global High Yield Bond D (acc) - USD 104.33 - - - -JPM Global High Yield Bond D (acc) - EUR (hedged) 149.62 132.47 88.40 140.54 139.38JPM Global High Yield Bond I (acc) - USD 118.62 103.29 - - -JPM Global High Yield Bond I (inc) - EUR (hedged) 67.56 63.63 43.72 - -JPM Global High Yield Bond X (acc) - EUR (hedged) 112.14 97.76 64.24 100.53 -

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 107.21 110.40 113.66 100.82 101.26JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 920.48 946.19 980.43 - -JPM Highbridge Statistical Market Neutral A (acc) - USD 143.53 158.52 158.71 148.02 133.43JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 153.05 157.32 162.87 - -JPM Highbridge Statistical Market Neutral A (dist) - GBP 86.07 91.52 104.61 72.56 -JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 77.65 79.83 83.10 - -JPM Highbridge Statistical Market Neutral A (inc) - EUR 99.34 102.29 107.62 96.63 -JPM Highbridge Statistical Market Neutral B (acc) - EUR 107.46 109.83 112.24 98.91 -JPM Highbridge Statistical Market Neutral B (acc) - USD* - 146.80 145.87 - -JPM Highbridge Statistical Market Neutral C (acc) - EUR 108.85 111.08 113.35 100.00 -JPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged)* - - - - -JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 78.69 80.38 83.21 - -JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 128.90 131.76 - - -JPM Highbridge Statistical Market Neutral D (acc) - EUR 104.24 108.15 112.18 99.90 101.13JPM Highbridge Statistical Market Neutral D (acc) - USD 139.57 155.32 156.68 146.73 133.30JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 140.25 145.25 151.48 - -JPM Highbridge Statistical Market Neutral I (acc) - EUR 110.63 112.81 114.98 101.41 100.88JPM Highbridge Statistical Market Neutral I (dist) - EUR 97.19 - - - -JPM Highbridge Statistical Market Neutral X (acc) - EUR 114.64 115.98 117.30 102.52 101.18JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)* - 139.42 - - -

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 8,714 8,405 7,366 13,055 10,294JPM Japan 50 Equity A (acc) - EUR 51.41 40.79 37.06 50.38 -JPM Japan 50 Equity A (dist) - JPY 5,797 5,739 5,030 8,914 -JPM Japan 50 Equity C (acc) - JPY 11,856 11,327 - - -JPM Japan 50 Equity D (acc) - JPY 6,234 6,074 5,377 9,625 11,227JPM Japan 50 Equity I (acc) - JPY* - - 5,302 9,300 10,629JPM Japan 50 Equity X (acc) - JPY 9,799 9,284 7,992 13,914 15,784

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 74.07 62.77 61.76 91.05 -JPM Japan Behavioural Finance Equity A (acc) - EUR 55.32 43.91 43.67 61.97 -JPM Japan Behavioural Finance Equity A (dist) - USD 69.21 58.68 58.30 85.99 -JPM Japan Behavioural Finance Equity C (acc) - USD* - - 60.46 88.27 -JPM Japan Behavioural Finance Equity D (acc) - USD* - - - 90.54 -JPM Japan Behavioural Finance Equity D (acc) - EUR 53.99 43.19 43.28 61.63 -JPM Japan Behavioural Finance Equity I (inc) - EUR* - - - 61.21 -JPM Japan Behavioural Finance Equity X (acc) - USD 77.46 64.49 62.35 90.31 -

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 328.49 273.18 161.69 367.34 252.31JF Asia ex-Japan A (dist) - USD 135.69 112.84 71.49 164.02 115.53JF Asia ex-Japan B (acc) - USD 363.66 300.18 176.36 397.64 271.42JF Asia ex-Japan C (acc) - USD 343.70 283.28 166.17 374.09 254.67JF Asia ex-Japan D (acc) - USD 277.14 232.21 138.48 316.97 219.20JF Asia ex-Japan I (acc) - USD 179.92 148.10 86.80 195.26 132.87JF Asia ex-Japan X (acc) - USD 557.31 455.34 264.94 591.60 399.63

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 169.49 153.60 126.67 157.91 164.46JPM US Bond A (inc) - USD 102.07 92.51 76.29 97.87 104.87JPM US Bond B (acc) - USD 175.99 158.95 130.63 162.26 168.48JPM US Bond C (acc) - USD 169.76 153.07 125.62 155.78 161.37JPM US Bond D (acc) - USD 123.66 112.35 92.89 116.08 121.20JPM US Bond X (acc) - USD* - - - 159.82 164.77

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 88.95 80.70 63.00 102.55 100.23JPM US Equity A (acc) - EUR (hedged) 64.81 59.39 46.99 77.04 76.27JPM US Equity A (dist) - GBP 77.89 68.14 - - -JPM US Equity C (acc) - USD 91.15 81.85 63.22 101.82 -JPM US Equity D (acc) - USD 87.19 79.50 62.37 102.03 100.22JPM US Equity D (acc) - EUR (hedged) 63.51 58.49 46.51 76.66 76.27JPM US Equity X (acc) - USD 87.94 78.41 60.14 96.18 -

* Share Class inactive as at end of the year.** Share Class reactivated during the year.The accompanying notes form an integral part of these Financial Statements.

17


Notes to the Financial Statements


1. Organisation

JPMorgan Investment Funds (the “SICAV”) is a variable capital investment company with multiple Sub-Funds organised as a société anonyme under the lawsof the Grand Duchy of Luxembourg. The SICAV was incorporated in Luxembourg on 22 December 1994 for an unlimited period as J.P. Morgan InvestmentFunds. Its name was changed into JPMorgan Fleming Investment Funds on 19 November 2001 and into JPMorgan Investment Funds on 12 September 2005.

The SICAV has been authorised under Part I of the law of 20 December 2002 concerning undertakings for collective investment in transferable securities.The SICAV is registered with the Registre de Commerce et des Sociétés of Luxembourg under number B 49 663.

The SICAV is designed as an Equity, Total Return, Balanced, Convertibles, Bond and Money Market Funds and has issued shares in 34 Sub-Funds, details ofwhich are shown in the Appendix.

2. Significant Accounting Policies

The Financial Statements are prepared in accordance with Luxembourg regulations relating to Undertakings for Collective Investments.

a) Investment Valuation

Transferable securities which are admitted to an official exchange listing or dealt in on another regulated market are valued on the basis of the latestavailable price prevailing at the time of calculating the net asset value.

If securities are listed or dealt in on several exchanges or markets, the latest available price, or if appropriate, the average price on the principal exchange ormarket will be applied.

Transferable securities not admitted to an official exchange listing nor dealt in on another regulated market are valued at the latest available price. Thosesecurities for which no price is available or for which the latest available price is not representative are valued on the basis of their reasonably foreseeablesales price determined with prudence and in good faith by the Board of Directors.

Shares or Units in UCITS or other UCIS are valued at the latest available price or net asset value, as reported or provided by such undertakings or their agents.

Liquid assets and money market instruments may be valued at nominal values plus any accrued interest or on an amortised cost basis.

The financial statements are presented on the basis of the net asset values of the Sub-Funds calculated on 31 December 2010. In accordance with theprospectus, the net asset values were calculated using the latest exchange rates known at the time of calculation. If the SICAV had calculated the net assetvalues solely with a view to financial reporting, the market prices used to value the investment portfolio would have been the closing prices on31 December 2010.

b) Swing Pricing

A Sub-Fund may suffer dilution of the Net Asset Value per Share due to investors buying or selling Shares in a Sub-Fund at a price that does not reflect thedealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate cash inflows or outflows.

In order to counter this impact, a Swing Pricing mechanism may be adopted to protect the interests of Shareholders of the Fund. If on any Valuation Day, theaggregate net transactions in Shares of a Sub-Fund exceed a pre-determined threshold, as determined and reviewed for each Sub-Fund on a periodic basisby the Management Company, the Net Asset Value per Share may be adjusted upwards or downwards to reflect net inflows and net outflows respectively.The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of theNet Asset Value per Share. The Swing Pricing mechanism may be applied across all Sub-Funds with the exception of JPMorgan Investment Funds –Highbridge Statistical Market Neutral Fund and the money market Sub-Funds, as defined by the Prospectus. The extent of the price adjustment will be set bythe Management Company to reflect dealing and other costs. Such adjustment may vary from Sub-Fund to Sub-Fund and will not exceed 2% of the originalNet Asset Value per Share. The official Net Asset Value per Share as at year-end, disclosed in the Statistical Information section of this report may thereforeinclude a Swing Pricing adjustment, which would not be recognised in the Combined Statement of Net Assets and in the Combined Statement of Operationsand Changes in Net Assets.

No Sub-Funds were swung as at 31 December 2010.

c) Realised and Unrealised Gains and Losses on Investments

Investment transactions are accounted for on the trade date (the date the order to buy or sell is executed).

Realised gains and losses on sales of investments are calculated on the average book cost. The associated foreign exchange movement between the date ofpurchase and date of sale of investments is included in realised gains and losses on investments. Unrealised gains and losses on holdings of investments arecalculated on the total book cost and include the associated unrealised gains and losses on foreign exchange.

d) Income Recognition

Interest income is accrued daily. Bank interest income is recognised on an accrual basis. Dividend income is accrued on the ex-dividend date. This income isshown net of any withholding taxes, except where the withholding tax has been received or is receivable.

e) Conversion of Foreign Currencies

The books and records of each Sub-Fund are denominated in the base currency of the corresponding Sub-Fund. Amounts denominated in other currenciesare translated into the base currency on the following basis: (i) investment valuations and other assets and liabilities initially expressed in other currenciesare converted each business day into the base currency using currency exchange rates prevailing on each such business day; (ii) purchases and sales offoreign investments, income and expenses are converted into the base currency using currency exchange rates prevailing on the respective dates of suchtransactions.

Net realised and unrealised gains or losses on foreign exchange represent: (i) foreign exchange gains and losses from the sale and holding of foreigncurrencies and foreign cash equivalents; (ii) gains and losses between trade date and settlement date on securities transactions; and (iii) gains and lossesarising from the difference between amounts of dividends and interest recorded and the amounts actually received.

The resulting gains and losses on translation are included in Net Realised Gain/Loss on Foreign Exchange in the Combined Statement of Operations andChanges in Net Assets.

The reference currency of the SICAV as reflected in the combined statements is USD.

The principal exchange rates applied as at 31 December 2010 are as follows:

1 USD = 0.74657511 EUR1 USD = 81.24000000 JPY

18


Notes to the Financial Statements (continued)


f) Forward Foreign Exchange Contracts

Unrealised gains or losses on outstanding forward foreign exchange contracts are valued on the basis of currency exchange rates prevailing at the relevantvaluation date. The changes in such amounts are included in the Combined Statement of Operations and Changes in Net Assets under “Net Change inUnrealised Gain/(Loss) on Forward Foreign Exchange Contracts”. When a contract is closed, the Realised Gain/(Loss) is recorded under “Net RealisedGain/(Loss) on Forward Foreign Exchange Contracts” in the Combined Statement of Operations and Changes in Net Assets. Unrealised Gains or Losses arerecorded under Unrealised Gain/(Loss) on Forward Foreign Exchanges Contracts in the Combined Statement of Net Assets.

g) Financial Futures Contracts on Securities and Indices

Regulated financial futures contracts are valued at the exchange quoted settlement price. Initial margin deposits are made upon entering into the contractsand can be either in cash or securities. During the period the contracts are open, changes in the value of the contracts are recognised as unrealised gains andlosses by “marking-to-market” on a daily basis to reflect the market value of the contracts at the end of each business day’s trading. Variation marginpayments are made or received, depending upon whether losses or gains are incurred. When a contract is closed, the SICAV records a realised gain or lossequal to the difference between the proceeds from, or cost of, the closing transaction and the initial cost of the contract in Net Realised gains or losses onFinancial Futures Contracts in the Combined Statement of Operations and Changes in Net Assets.

Unrealised gains or losses are recorded under Unrealised Net Gain/(Loss) on Financial Futures Contracts in the Combined Statement of Net Assets.

h) Option Contracts

Options purchased are recorded as investments; options written or sold are recorded as liabilities. When the exercise of an option results in a cashsettlement, the difference between the premium and the settlement proceeds is accounted for as a realised gain or loss. When securities are acquired ordelivered upon exercise of an option, the acquisition cost or sale proceeds are adjusted by the amount of the premium. When an option is closed, thedifference between the premium and the cost to close the position is accounted for as a realised gain or loss. When an option expires, the premium isaccounted for as a realised gain for options written or as a realised loss for options purchased.

The SICAV writes options on securities, futures and interest rate swaps (“swaptions”) as well as Option Straddle Contracts on Interest Rate Swaps. Theseoptions are settled in cash and subject the SICAV to unlimited risk of loss. The SICAV, however, is not subject to credit risk on written options as thecounterparty has already performed its obligation by paying the premium at the inception of the contract. As of 31 December 2010, the SICAV had writtenoptions contracts outstanding as listed on its Portfolio of Investments.


i) To Be Announced Securities (“TBAs”)

TBAs are related to mortgage backed securities issued by government sponsored agencies. These agencies usually pool mortgage loans and sell interests inthe pools created. TBAs relate to future pools of these agencies that are bought and sold for future settlement for which either the interest rate or thematurity date is not yet fixed. TBAs are separately disclosed in the Schedule of Investments.

Certain Sub-Funds may enter into Dollar Rolls, principally using To Be Announced (“TBA”) Securities, in which the Sub-Funds sell mortgage-backed securitiesfor delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities at an agreed-upon price on a fixed date. TheSub-Funds account for such Dollar Rolls as purchases and sales and receive compensation as consideration for entering into the commitment to repurchase.The Sub-Funds must maintain liquid securities having a value not less than the repurchase price (including accrued interest) for such Dollar Rolls. The marketvalue of the securities that the Sub-Funds are required to purchase may decline below the agreed upon repurchase price of those securities.

Certain Sub-Funds had TBAs outstanding as of 31 December 2010, which are included in Amounts Receivable on Sale of TBAs and Amounts Payable onPurchase of TBAs in the Combined Statement of Net Assets.

j) Interest Rate Swaps

An interest rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating) based on a notional amount that serves as a computation basis and that is usually not exchanged.


k) Inflation Rate Swaps

An inflation rate swap is a bilateral agreement in which each of the parties agree to exchange a series of interest payments for another series of interestpayments (usually fixed/floating on inflation indexes) based on a notional amount that serves as a computation basis and that is usually not exchanged.


l) Total Return Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the returnsgenerated by a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculated byreference to a specific security, index, or instruments and an agreed upon notional amount. Any such underlying security or instrument must be atransferable security and any such index must be an index of a regulated market.

A Total Return Swap will exchange the total performance on a specific basket of securities, selected by the Investment Manager against a reference rate plusa spread. The total performance will include interests, dividends, gains and losses on the underlying securities during the contract period according to thetype of underlying. The risk of this type of instrument will depend on the uncertain evolution, at the time of the contract conclusion, of the Performance of theunderlying. These underlying securities are listed on a primary exchange.

The value of the underlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers.The relevant indices include, but are not limited to, currencies, interest rates, prices and total return on interest rates indices, fixed income indices and stockindices.

The market values are recorded under “Derivatives Instruments at Market Value” in the Combined Statement of Net Assets. The changes in such amounts areincluded in the Combined Statement of Operations and Changes in Net Assets under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments”.

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When a contract is closed, the Realised Gain/(Loss) is recorded under “Net Realised Gain/(Loss) on Derivatives Instruments” in the Combined Statement ofOperations and Changes in Net Assets.

The JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund has entered into Total Return Swaps (long/short, together “the Swaps”) on abasket of securities with selected prime brokers. The Swaps are comprised of positions in a diversified selection of stocks which is continuously monitoredand amended by the Investment Manager.

m) Credit Default Swaps

A Credit Default Swap is a credit derivative transaction in which two parties enter into an agreement, whereby one party pays the other a periodic paymentfor the specified life of the agreement. The other party makes no payments unless a credit event, relating to a predetermined reference asset, occurs. If suchan event occurs, the party will then make a payment to the first party, and the swap will terminate. The value of the underlying securities shall be taken intoaccount for the calculation of the investment and borrowing powers applicable to individual issuers.


n) Price Lock Swaps

The SICAV may enter into swap contracts in which the SICAV and the counterparty agree to exchange payments where one or both parties pay the pricedifference generated on a security, instrument, basket or index thereof. The payments made by the SICAV to the counterparty and vice versa are calculatedby the price difference (current asset price and locked price) of a specific security, index, or other instruments and an agreed upon notional amount. Anysuch underlying security or instrument must be a transferable security and any such index must be an index of a regulated market. The value of theunderlying securities shall be taken into account for the calculation of the investment and borrowing powers applicable to individual issuers. The relevantindices include, but are not limited to, currencies, interest rates, and other asset prices.


The changes in such amounts are recorded under “Net Change in Unrealised Gain/(Loss) on Derivatives Instruments” and the Realised under “Net RealisedGain/(Loss) on Derivatives Instruments” in the Combined Statement of Operations and Changes in Net Assets.

o) Variance Swap

A variance swap is an instrument which allows the SICAV to trade future realized (or historical) volatility against current implied volatility.


3. Fees and Expenses

a) All Sub-Funds - Share Classes A, B, C and D

The fees and expenses charged to these Classes of shares are set at a fixed percentage of the total net assets of each Class of shares. This fixed percentagecovers all fees and expenses connected with the management of these Classes of shares, including Investment Management Fees, shareholder servicingfees and Other Operating and Administrative Expenses, which include but are not limited to Custody, Registrar and Transfer Agent Fees; it does not covertaxes paid on investment, brokerage’s expense, extraordinary costs or performance fee, if any. No other costs are charged to these Classes of shares, and theManagement Company absorbs any difference that may arise between the actual costs of the operations of these Classes of shares and the fixed percentage.To the extent that the actual operating costs are less than the fixed percentage, the excess is paid to the Management Company and included within“Investment Management Fees”. To the extent that actual operating costs exceed the fixed percentage, the amount borne by the Management Company willbe separately disclosed as a “Fee Waiver’’ in the Combined Statement of Net Assets and the Combined Statement of Operations and Changes in Net Assets.

This fixed annual rate of fees and expenses is categorised as a Total Expense Ratio. The fixed annual rates of fees for each Class of shares are shown in theAppendix.

b) All Sub-Funds - Share Class I

The maximum total fees and expenses to be borne by Class I shareholders of any Sub-Fund will not exceed a capped percentage of the total net assetsattributable to that Class. These capped fees and expenses comprise Investment Management Fees plus other Operating and Administrative Expenses,limited to Custody, Fiduciary, Accounting, Transfer Agency Fees, Taxes and Sundry Expenses; it does not cover performance fees, if any.

This capped annual rate of fees and expenses is categorised as a Capped Expense Ratio. The capped annual rates of fees for each Class of shares are shown inthe Appendix.

c) All Sub-Funds - Share Class X

The Class X shares of each Sub-Fund are charged a pro-rata share of the Custody and Accounting Fees allocable to that Sub-Fund.

The Management Company pays all other Operating and Administrative Expenses allocable to such Class to the exclusion of performance fees, if any. Themaximum Operating and Administrative Expenses to be borne by the Class X shareholders of any Sub-Fund will not exceed a capped percentage of the totalnet assets attributable to that Class, as set out in the Appendix.

The Annual Management Fee that would normally be payable in respect of the X Share Class are administratively levied and collected by the GlobalDistributor directly from the shareholder or through the relevant J.P.Morgan Chase & Co entity.

Sub-Funds may invest in UCITS and other UCIs managed by the Management Company, the Investment Manager or any other member of JPMorgan Chase &Co. The avoidance of a double-charge of the Annual Management and Advisory Fee on such assets is achieved by either a) excluding the assets from the netassets on which the Annual Management and Advisory Fee is calculated; or b) investing in UCITS or UCIs via classes that do not accrue an AnnualManagement and Advisory Fee or other equivalent fees payable to the relevant Investment Manager’s group; or c) the Annual Management and AdvisoryFee being netted off by a rebate to the SICAV or Sub-Fund of the Annual Management and Advisory Fee (or equivalent) charged to the underlying UCITS orUCIs; or d) charging only the difference between the Annual Management and Advisory Fee of the SICAV or Sub-Fund and the Annual Management andAdvisory Fee (or equivalent) charged to the underlying UCITS or UCIs.

The Management Company may decide from time to time, in order to protect the interests of the SICAV’s shareholders, to reduce the fees payable to theManagement Company.

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d) Performance Fees

Pursuant to the Investment Management Agreement, as set out in the Appendix to the Prospectus, the Investment Manager is entitled to receive from thenet assets of certain Sub-Funds or Classes, an annual performance-based incentive fee (the “Performance Fee”) if the performance of the Sub-Fund exceedsthe return from the benchmark, subject to the operation of a Claw-Back Mechanism or of a High Water Mark as defined in Appendix V and as specified inAppendix III for each Sub-Fund. On each Valuation Day, an accrual for the previous Valuation Day’s Performance Fee is made, when appropriate, and thefinal Performance Fee is payable annually. Pursuant to the provisions of the relevant Investment Management Agreement, the Investment Manager may beentitled to receive the performance Fee from the Management Company.

On each Valuation Day, the net asset value of each Class of each Sub-Fund for which a Performance Fee applies, which includes an accrual for all fees andexpenses (including the Annual Management and Advisory Fee, and the Operating and Administrative Expenses to be borne by the relevant Class at the rateset out in the Appendix to the Prospectus), is adjusted for any dividend distributions and for subscriptions and redemptions dealt with on that Valuation Day,if any, and any Performance Fee accrued through that day in respect of such Class is added back (the “Adjusted net asset value”). For purposes of calculatingthe Performance Fee, the “Share Class Return” is computed on each Valuation Day, as the difference between the net asset value (adjusted by adding backany accrued Performance Fee) on such day and the Adjusted net asset value on the previous Valuation Day, expressed as a return based on the previousValuation Day’s Adjusted net asset value for that Class.

High Water Mark Method

If the Share Class Return exceeds the Benchmark Return and the cumulative Share Class Return exceeds the High Water Mark Return (as set out in theAppendix to the Prospectus), the Performance Fee accrual is increased by the Performance Fee Rate multiplied by the Excess Return multiplied by theprevious Valuation Day’s Adjusted net asset value for that Class. If the Share Class Return does not exceed the Benchmark Return, the Performance Feeaccrual is reduced (but not below zero) by the Performance Fee Rate multiplied by the negative Excess Return multiplied by the previous Valuation Day’sAdjusted net asset value for that Class. Following a period of negative Excess Return whereby the Performance Fee accrual has been reduced to zero, no newPerformance Fee is accrued until such time as the cumulative Share Class Return exceeds the greater of the High Water Mark Return and the cumulativeBenchmark Return since the beginning of the SICAV accounting year. The Performance Fee accrued on any Valuation Day is reflected in the Net Asset Valueper Share on the basis of which subscriptions and redemptions may be accepted.

Claw-Back mechanism

The purpose of the Claw-Back Mechanism is to ensure that the Management Company will only become entitled to a Performance Fee when it outperformsthe cumulative Benchmark Return (as defined in Appendix V of the prospectus) accrued since the last Valuation Day of the last year in which a PerformanceFee was paid.

As at 31 December 2010, the Performance Fee rate and the benchmarks are as follows:

Sub-Fund or Share Class PerformanceFee Rate

Benchmark

High Water Mark Return methodJPMorgan Investment Funds - Global Capital Preservation Fund (USD) 10% LIBOR one-month US Dollar deposits (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 20% European Overnight Index Average (EONIA) (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (GBP hedged) 20% British Bankers’ Association (BBA) LIBOR GBP Overnight Index (Total Return Gross)

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (SEK hedged) 20% British Bankers’ Association (BBA) LIBOR SEK Spot Next Index (Total Return Gross)

High Water Mark Return methodJPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (USD hedged) 20% British Bankers’ Association (BBA) LIBOR USD Overnight Index (Total Return Gross)

4. Distribution Policy

It is intended that all those Share Classes with the suffix “(dist)” will pay dividends if appropriate so that these Share Classes of the Fund continue to qualify as“distributing Share Classes” for the purposes of United Kingdom tax legislation relating to offshore funds (the requirement for this is that an annualdistribution of at least 85% of the net investment income attributable to such Classes of Shares needs to be paid, computed broadly in accordance with thedefinition of net taxable income under United Kingdom corporation tax principles (subject to the application of any de minimis threshold)) for the yearending 31 December 2010. In subsequent years these Share Classes may pay dividends and may also seek to meet the conditions to qualify as “reportingShare Classes” for the purposes of the United Kingdom tax legislation relating to offshore funds.

Classes of Shares with the suffix “(mth)” will normally distribute all, or substantially all, of the net investment income on a monthly basis, based on the netinvestment income earned over the course of the prior month for Shares in issue at the dividend record date.

Share Classes with the suffix “(inc)”, “(div)” or “(mth)” may pay dividends but will not qualify as “distributing” for the purposes of United Kingdom taxlegislation relating to offshore funds.

Those Classes of Shares with the suffix “(acc)” will not normally pay dividends.

During the year ended 31 December 2010, the SICAV paid dividends as follows:

Class name CurrencyDividend Amount per

Share Payment DateJPM Global High Yield Bond A (mth) - USD USD 0.54 28 January 2010JPM Global High Yield Bond A (mth) - USD USD 0.45 25 February 2010JPM Global Balanced (USD) A (dist) - USD USD 0.9 19 March 2010JPM Global Financials A (dist) - USD USD 0.38 19 March 2010JPM Japan 50 Equity A (dist) - JPY JPY 150 19 March 2010JPM US Equity A (dist) - GBP GBP 0.11 19 March 2010JPM Japan Behavioural Finance Equity A (dist) - USD USD 0.04 19 March 2010JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) GBP 0.2 19 March 2010JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) USD 0.47 19 March 2010JPM Global Dividend A (inc) - EUR (hedged) EUR 2.38 19 March 2010JPM Global Dividend A (inc) - USD USD 0.25 19 March 2010JPM Global Enhanced Bond A (inc) - EUR EUR 0.5 19 March 2010JPM Global High Yield Bond A (inc) - EUR (hedged) EUR 5.29 19 March 2010JPM Global High Yield Bond I (inc) - EUR (hedged) EUR 4.52 19 March 2010JPM US Bond A (inc) - USD USD 0.01 19 March 2010JPM Global High Yield Bond A (mth) - USD USD 0.43 30 March 2010

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Class name CurrencyDividend Amount per

Share Payment DateJPM Global High Yield Bond A (mth) - USD USD 0.54 29 April 2010JPM Global High Yield Bond A (mth) - USD USD 0.4 25 May 2010JPM Global High Yield Bond A (mth) - USD USD 0.46 22 June 2010JPM Global High Yield Bond A (mth) - USD USD 0.7 21 July 2010JPM Global High Yield Bond A (mth) - USD USD 0.55 20 August 2010JPM Global High Yield Bond A (mth) - USD USD 0.38 21 September 2010JPM Global High Yield Bond A (mth) - USD USD 0.6 21 October 2010JPM Global High Yield Bond A (mth) - USD USD 0.43 22 November 2010JPM Global High Yield Bond A (mth) - USD USD 0.43 21 December 2010

5. Taxation

Under current law and practice in the Grand Duchy of Luxembourg, the SICAV is not liable to any income tax, nor are dividends distributed by the SICAV liable to anywithholding tax. However, the SICAV, with the exception of those share Classes identified in the Appendix, is liable to an asset based tax of 0.05% per annum, suchtax being payable quarterly and calculated on the total net assets of each Sub-Fund at the end of the relevant quarter. For those Sub-Funds’ share Classes identifiedin the Appendix, the rate is 0.01% per annum. No tax is payable on the portion of assets invested in other undertakings for collective investment already subject tothe Taxe d’abonnement.

All share Classes (except share Class A (acc)) of Euro Liquid Market Fund are exempted from the Taxe d’abonnement.

No stamp duty or other tax is payable on the issue of shares in the SICAV in the Grand Duchy of Luxembourg. No tax is payable on realised or unrealisedcapital appreciation of the assets of the SICAV in the Grand Duchy of Luxembourg. Although the SICAV’s realised capital gains, whether short or long-term,are not expected to become taxable in another country, the shareholders must be aware and recognise that such a possibility is not totally excluded. Theregular income of the SICAV from some of its securities, as well as interest earned on cash deposits in certain countries, may be subject to withholding taxesat varying rates, which normally cannot be recovered.

Following recent case law precedent within Europe, the SICAV has instigated proceedings to reclaim tax witheld by certain Member States of the European Union ondividend payments it has received. The decision to initiate proceedings against any particular Member State is the result of an analysis of the likely costs andpotential benefits of doing so. The likelihood of successfully reclaiming such amounts together with the estimated time to complete proceedings varies acrossMember States. Any costs associated with this decision have been charged to the relevant Sub-Funds and have been included within total costs for the purposes ofdetermining the relevant expense cap or TER and no amount has been recorded in the SICAV for any possible amounts to be received under this action.

6. Statement of Changes in Investments

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the year under review, may be obtained freeof charge upon request at the registered office of the SICAV. Additional information on investments within each Sub-Fund’s portfolio is available toshareholders at the registered office of the SICAV.

7. Value of Financial Instruments and Associated Risks

The SICAV entered into forward foreign exchange, financial futures contracts, options and swaps which, to varying degrees, represent a market risk in excessof the amount reflected on the Combined Statement of Net Assets. The amount of the contracts represents the extent of the SICAV’s participation in thesefinancial instruments. Market risks associated with such contracts arise due to the possible movements in foreign exchange rates, indices, and securityvalues underlying these instruments. Other market and credit risks include the possibility that there may be an illiquid market for the contracts, that achange in the value of the contracts may not directly correlate with changes in the value of the underlying currencies, indices, or securities, or that thecounterparty to a contract defaults on its obligation to perform under the terms of the contract.

8. Securities Lending

The SICAV may lend portions of its securities portfolio to third parties for the purpose of generating additional capital or income or for reducing costs or risk,to the maximum extent allowed by and within the limits set forth in (i) article 11 of the Grand Ducal regulation of 8 February 2008 relating to certaindefinitions of the Luxembourg Law, (ii) CSSF Circular 08/356 relating to the rules applicable to undertakings for collective investments when they use certaintechniques and instruments relating to transferable securities and money market instruments (“CSSF Circular 08/356”) and (iii) any other applicable laws,regulations, circulars or CSSF positions. A significant proportion of the income generated from the securities lending program is credited to participatingSub-Funds, with a portion of the income shared between the Management Company for oversight of the program and JPMorgan Chase Bank, N.A. for its roleas securities lending agent for the Fund. Borrowers of securities lent by participating Sub-Funds are approved by the Management Company afterappropriate assessment of such borrowers’ status and financial standing.The income earned from the securities lending program is detailed in theCombined Statement of Operations and Changes in Net Assets. As at 31 December 2010, the SICAV valuation of securities on loan is USD 333,742,547, asdetailed below and received collateral as security with a market value of USD 343,791,602.

The table below provides the USD valuation of securities on loan at a Sub-Fund level as at 31 December 2010:

USDJPMorgan Investment Funds - Europe Select Equity Fund 8,396,075

JPMorgan Investment Funds - Global Bond Fund (USD) 88,965

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 3,000,990

JPMorgan Investment Funds - Global Dividend Fund 215,741

JPMorgan Investment Funds - Global Enhanced Bond Fund 602,836

JPMorgan Investment Funds - Global High Yield Bond Fund 90,241,937

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 87,370

JPMorgan Investment Funds - US Bond Fund 410,467

JPMorgan Investment Funds - US Equity Fund 927,703

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9. Transactions with Connected Parties

The following is a summary of transactions entered into during the year between the Fund and the Manager and its Connected Persons. Connected Personsof the Manager are those as defined in the Code on Unit Trusts and Mutual Funds established by the Securities & Futures Commission of Hong Kong. All suchtransactions were entered into in the ordinary course of business and on normal commercial terms.

Investment transactions with Connected Persons of the Manager

All the amounts are in Fund Currency.

Authorised Fund Total purchases andsales

Currency of thesubfund

Percentage of Fund’stotal transactions* for

the year

Total brokeragecommission paid

Average rate ofcommission paid

JPMIF - Europe Select Equity Fund 3,345,840 EUR 0.52 2,386 0.07

JPMIF - Global Balanced Fund (USD) 2,820,899,976 USD 87.13 711 -

JPMIF - Global Bond Fund (USD) 270,315 USD 0.33 - -

JPMIF - Global Capital Preservation Fund (USD) 1,665,774,644 USD 0.11 4,060 -

JPMIF - Global Convertibles Fund (USD) 68,818,138 USD 6.88 1,241 -

JPMIF - Global Dividend Fund 1,584,127 USD 0.50 852 0.05

JPMIF - Global Enhanced Bond Fund 4,303,795 EUR 12.51 - -

JPMIF - Global Financials Fund 31,801,563 USD 11.65 37,186 0.12

JPMIF - Global High Yield Bond Fund 29,999,925 USD 0.12 - -

JPMIF - Highbridge Statistical Market Neutral Fund 74,145,527,972 EUR 93.25 - -

JPMIF - Income Opportunity Fund 723,809,708 USD 1.65 1,787 -

JPMIF - Japan 50 Equity Fund 220,683,200 JPY 0.38 44,136 0.02

JPMIF - Japan Behavioural Finance Equity Fund 645,142 USD 3.26 323 0.05

JPMIF - JF Asia ex-Japan Fund 75,078,536 USD 0.83 170,773 0.23

JPMIF - US Bond Fund 1,409,888 USD 0.06 - -

* Total transactions is the total value in fund currency of purchases and sales dealt during the year to 31 December 2010.

10. Soft Commission Arrangements

The Investment Managers of the SICAV may enter into soft commission arrangements with brokers in respect of services used to support investmentdecision-making for the benefit of the SICAV.

The investment related services received under soft commission arrangements comprise:

- research and advisory services;- economic and political analysis;- portfolio analysis, including valuation and performance measurement;- market analysis;- data and quotation services;- computer hardware and software incidental to the above goods and services; and- investment-related publications.

The Investment Managers do not make direct payments for these services, but transact an agreed amount of business with the brokers on behalf of theSICAV and commission is paid on these transactions.

11. Information for German Registered Shareholders

A list, specifying for each investment within each Sub-Fund the total purchases and sales which occurred during the year under review, may be obtained freeof charge upon request at the registered office of the SICAV and at the office of the German paying and information agent, J.P. Morgan Bank AG,Junghofstraße 14, D-60311 Frankfurt am Main. Additional information on investments within each Sub-Fund’s portfolio is available to shareholders at theregistered office of the SICAV and at the office of the German paying and information agent.

12. Information for Swiss Registered Shareholders

J.P. Morgan (Suisse) S.A. was authorised by the Swiss Financial Market Authority (FINMA) as Swiss representative of the SICAV and acts also as paying agent.The prospectus, the simplified prospectus, the articles, the annual and semi-annual reports of the SICAV, as well as the list of the purchases and sales whichthe SICAV has undertaken during the financial year may be obtained, on simple request and free of charge, at the head office of the Swiss Representative, J.P.Morgan (Suisse) S.A., 8 rue de la Confédération, CH-1211 Geneva, Switzerland.

Payments/compensations (trailer fees) can be paid out from the management fee for the distribution/marketing of the investment fund to distributors.Reimbursements/rebatescanbegrantedoutof themanagement fee to institutional investorswhohold theSub-Fundshares for theeconomicbenefitof thirdparties.

13. Authorization of Sub-Funds in Hong Kong

Certain share classes of the following Sub-Funds are authorized in Hong Kong and are available to Hong Kong residents:• JPMorgan Investment Funds - Europe Select Equity Fund

• JPMorgan Investment Funds - Global Balanced Fund (USD)

• JPMorgan Investment Funds - Global Bond Fund (USD)

• JPMorgan Investment Funds - Global Capital Preservation Fund (USD)

• JPMorgan Investment Funds - Global Convertibles Fund (USD)

• JPMorgan Investment Funds - Global Dividend Fund

• JPMorgan Investment Funds - Global Enhanced Bond Fund

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• JPMorgan Investment Funds - Global Financials Fund

• JPMorgan Investments Fund - Global High Yield Bond Fund

• JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund

• JPMorgan Investment Funds - Japan 50 Equity Fund

• JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund

• JPMorgan Investment Funds - JF Asia ex-Japan Fund

• JPMorgan Investment Funds - US Bond Fund

• JPMorgan Investment Funds - US Equity Fund

14. Significant Events

Effective 4 January 2010, the JPMorgan Investment Funds – Global High Yield Bond Fund changed its benchmarks as follows:

• Benchmark - the Merrill Lynch High Yield, US BB-B Rated Constrained Index was replaced by the Merrill Lynch US High Yield Master II Constrained Index(Total Return Gross)

• Benchmark for EUR Hedged Share Classes - the Merrill Lynch High Yield, US BB-B Rated Constrained Index (Total Return Gross) hedged into EUR wasreplaced by the Merrill Lynch US High Yield Master II Constrained Index (Total Return Gross) hedged into EUR.

16. Directors Fees

The only remuneration paid to Directors is an annual fee. This is waived by Mr Berndt May and Ms Andrea L. Hazen.

The total Directors’ fees for the year amount to EUR 170,500, of which the Chairman is due EUR 36,500.

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Shares

UNITED KINGDOM1,326,874 Afren 2,279,122 0.99

179,548 Amlin 849,622 0.37119,803 AstraZeneca 4,071,039 1.78792,844 Barclays 2,422,173 1.06

28,641 BHP Billiton 850,514 0.37760,723 BP 4,123,029 1.80306,914 Brammer 901,229 0.39885,386 BT Group 1,862,638 0.81106,706 Burberry Group 1,394,802 0.61397,443 Cairn Energy 1,946,334 0.85244,086 Compass Group 1,652,050 0.72455,952 Electrocomponents 1,410,981 0.61314,122 GKN 810,612 0.35

356,406 HSBC Holdings 2,700,744 1.18154,469 IMI 1,698,479 0.74101,740 Intercontinental Hotels Group 1,471,870 0.64

300,446 Invensys 1,240,023 0.541,669,332 ITV 1,360,874 0.59

258,652 J Sainsbury 1,137,012 0.50478,566 Kingfisher 1,469,832 0.64

3,097,640 Lloyds Banking Group 2,371,080 1.03286,410 Man Group 986,576 0.43437,811 National Grid 2,823,225 1.2343,568 Next 1,004,726 0.44

228,000 Persimmon 1,104,616 0.48148,215 Petropavlovsk 1,973,581 0.86608,142 Premier Farnell 2,027,636 0.88272,864 Prudential 2,119,728 0.92106,437 Reckitt Benckiser Group 4,371,904 1.91359,587 Redrow 566,213 0.25676,120 Rentokil Initial 763,092 0.3362,448 Rio Tinto 3,261,511 1.42

393,104 Salamander Energy 1,230,208 0.54565,544 SIG 841,848 0.37

28,213 Standard Chartered 566,137 0.252,198,274 Taylor Wimpey 803,751 0.35

86,355 Tullow Oil 1,271,389 0.5580,261 Valiant Petroleum 475,561 0.21

1,802,016 Vodafone Group 3,476,661 1.52156,511 Xstrata 2,741,114 1.19

70,433,536 30.70

FRANCE54,198 Atos Origin 2,159,519 0.94

103,276 AXA 1,287,335 0.5663,561 BNP Paribas 3,030,906 1.32

144,559 GDF Suez 3,880,686 1.7016,729 Iliad 1,359,482 0.6046,235 L’Oréal 3,840,973 1.6735,679 PPR 4,249,369 1.85

134,917 Rhodia 3,335,485 1.4661,403 Sanofi-Aventis 2,940,436 1.2821,800 Schneider Electric 2,447,050 1.0755,896 Société Générale 2,253,727 0.9862,412 Total 2,475,728 1.0731,072 Vinci 1,266,961 0.55

34,527,657 15.05

GERMANY35,502 Adidas 1,745,190 0.7644,432 Allianz Registered Shares 3,944,673 1.7258,038 Bayer Registered Shares 3,190,929 1.3940,115 Bayerische Motoren Werke 2,364,378 1.0319,858 Beiersdorf 827,532 0.3625,314 Brenntag 1,929,560 0.8414,946 Continental 883,608 0.3943,181 Deutsche Bank Registered Shares 1,683,087 0.73

123,289 Deutsche Telekom Registered Shares 1,186,657 0.5278,805 E.ON 1,799,118 0.7834,324 Hamburger Hafen und Logistik 1,190,700 0.5267,155 Henkel & Co. Preference Shares 3,108,437 1.35

184,220 Infineon Technologies 1,290,369 0.5613,498 MAN 1,204,629 0.5327,599 Siemens Registered Shares 2,567,949 1.1217,321 Volkswagen Preference Shares 2,107,966 0.92

31,024,782 13.52

SWITZERLAND193,916 Clariant Registered Shares 2,941,717 1.2835,487 Crédit Suisse Group Registered Shares 1,070,572 0.47

12,032 Kuehne & Nagel International Registered Shares 1,251,677 0.5576,357 Nestlé Registered Shares 3,348,184 1.4675,847 Novartis Registered Shares 3,337,965 1.4551,091 Roche Holding - Genussschein 5,605,335 2.44

268,160 UBS Registered Shares 3,296,263 1.4413,002 Zurich Financial Services 2,521,460 1.10

23,373,173 10.19

NETHERLANDS345,768 Aegon 1,586,384 0.69274,790 ING Groep - CVA 2,000,746 0.87309,821 Koninklijke KPN 3,390,991 1.4844,570 Koninklijke Philips Electronics 1,021,767 0.45

174,506 Royal Dutch Shell - A Shares 4,346,975 1.8988,189 Royal Dutch Shell - B Shares 2,176,805 0.95

297,750 Vimetco Registered Shares GDR 655,764 0.29

15,179,432 6.62

SPAIN172,304 BBVA 1,302,532 0.57300,862 BSCH 2,385,836 1.04

87,713 Gestevision Telecinco 721,615 0.3147,890 Inditex 2,684,234 1.17297,577 Telefonica 5,050,626 2.20

12,144,843 5.29

SWEDEN62,158 Electrolux - B Shares 1,322,700 0.5838,898 Intrum Justitia 448,961 0.1997,177 Tele2 - B Shares 1,512,088 0.66

415,630 Telefonaktiebolaget LM Ericsson - B Shares 3,620,186 1.58

6,903,935 3.01

FINLAND33,158 Cargotec - B Shares 1,297,804 0.5630,013 Metso 1,254,093 0.55

162,628 Nokia 1,258,334 0.55202,193 Stora Enso - R Shares 1,555,370 0.68

5,365,601 2.34

ITALY297,934 Enel 1,121,721 0.49

45,687 ENI 746,069 0.33671,333 Snam Rete Gas 2,504,911 1.09637,744 UniCredit 992,649 0.43

5,365,350 2.34

BELGIUM11,360 D’Ieteren 532,330 0.23

78,409 KBC Groep 2,008,839 0.8820,113 Mobistar 970,050 0.42

94,779 Nyrstar 1,061,999 0.46

4,573,218 1.99

JERSEY444,335 Beazley 594,762 0.26429,459 Highland Gold Mining 943,932 0.41

77,470 Shire 1,393,738 0.6157,734 Wolseley 1,375,051 0.60

4,307,483 1.88

NORWAY91,288 DnB NOR 957,499 0.41

1,232,209 Marine Harvest 972,581 0.42631,289 Norske Skogindustrier 1,121,423 0.49154,293 Orkla 1,120,544 0.49

4,172,047 1.81

DENMARK51,632 Carlsberg - B Shares 3,873,417 1.69

3,873,417 1.69


1,779,533 0.77

IRELAND46,253 Paddy Power 1,417,308 0.62

1,417,308 0.62

25




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets

AUSTRIA35,452 Erste Group Bank 1,251,810 0.55

1,251,810 0.55

LUXEMBOURG33,072 ArcelorMittal 939,906 0.41

939,906 0.41

Total Shares 226,633,031 98.78


226,633,031 98.78


Investment Funds

LUXEMBOURG1,750,000 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (dist)) 1,750,000 0.76

1,750,000 0.76



1,750,000 0.76


Cash 382,755 0.17




SharesFinancials 20.03Consumer Discretionary 14.29Materials 11.26Consumer Staples 9.85Energy 9.18Telecommunication Services 7.61Health Care 7.56Industrials 7.54Information Technology 6.17Utilities 5.29Investment Companies 0.76Total Shares 99.54Cash and Other Assets/(Liabilities) 0.46

Total 100.00


SharesFinancials 22.33Consumer Discretionary 11.60Consumer Staples 10.91Health Care 10.15Telecommunication Services 8.62Materials 7.77Utilities 7.58Energy 7.55Information Technology 6.40Industrials 5.45Investment Companies 1.70Total Shares 100.06Cash and Other Assets/(Liabilities) (0.06)

Total 100.00

26




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets




ExpirationDate


NotionalValue


Equity Futures

Mar-11 52 DJ Euro Stoxx 50 Index Future EUR 1,452,880 (25,440)Mar-11 10 FTSE 100 Index Future GBP 685,350 6,629

Total (18,811)




AmountSold


11-Jan-11 CHF 383,549 EUR 291,648 15,42811-Jan-11 EUR 7,296,052 CHF 9,520,029 (325,843)11-Jan-11 EUR 21,278,591 GBP 18,020,868 322,45111-Jan-11 EUR 809,024 NOK 6,481,092 (20,537)11-Jan-11 EUR 2,785,847 SEK 25,431,392 (46,133)11-Jan-11 GBP 1,625,622 EUR 1,933,814 (43,408)24-Jan-11 CHF 5,371,827 EUR 4,105,609 195,72724-Jan-11 CHF 1,832,871 GBP 1,158,214 120,92724-Jan-11 EUR 2,195,787 DKK 16,363,906 81224-Jan-11 EUR 9,587,684 GBP 8,122,035 143,94124-Jan-11 EUR 1,020,079 NOK 8,197,556 (28,413)24-Jan-11 GBP 3,164,225 EUR 3,734,677 (55,534)24-Jan-11 NOK 4,188,190 EUR 512,412 23,27024-Jan-11 SEK 41,184,864 EUR 4,394,017 190,108

Total 492,796

27


Shares

UNITED STATES OF AMERICA725 1st Source 14,714 0.0075 1st United Bancorp 513 0.00

47,967 Abbott Laboratories 2,288,745 0.765,825 ACCO Brands 50,153 0.021,075 Acorda Therapeutics 29,482 0.01900 Acuity Brands 52,776 0.02925 Acura Pharmaceuticals 3,039 0.00

1,975 Acxiom 34,790 0.0129,795 Adobe Systems 908,747 0.31

1,850 Advance America Cash Advance Centers 10,397 0.00550 Aecom Technology 15,469 0.01500 Aeroflex Holding 8,012 0.00

1,825 Aeropostale 45,251 0.012,750 Affiliated Managers Group 270,710 0.09

950 Affymax 6,303 0.004,225 Affymetrix 21,400 0.01

27,956 Aflac 1,566,235 0.52600 AGCO 30,435 0.01925 AGL Resources 33,425 0.01450 Airgas 28,170 0.01450 AK Steel Holding 7,252 0.00

1,625 Albemarle 90,984 0.03825 Alere 30,232 0.01425 Alexander & Baldwin 17,104 0.01500 Alexandria Real Estate Equities 36,767 0.01

1,125 Alexion Pharmaceuticals 90,585 0.031,675 Alliance Data Systems 119,578 0.042,500 Alliance HealthCare Services 10,662 0.001,450 Alliant Energy 53,483 0.02

975 Alpha Natural Resources 58,227 0.0215,334 Amazon.com 2,777,141 0.93

375 AMB Property 11,940 0.00675 American Capital Agency 19,551 0.01900 American Dental Partners 12,199 0.00

7,050 American Eagle Outfitters 102,895 0.035,075 American Equity Investment Life Holding 64,376 0.02

33,805 American Express 1,441,614 0.485,325 American Financial Group 172,423 0.064,550 American Greetings - A Shares 102,534 0.031,975 American Medical Systems Holdings 37,179 0.012,975 American Reprographics 22,684 0.01

150 AMERIGROUP 6,667 0.00675 Ametek 26,568 0.01

1,800 Amkor Technology 13,221 0.002,550 Amylin Pharmaceuticals 37,523 0.013,025 Anadys Pharmaceuticals 4,462 0.00

525 Ancestry.com 15,188 0.01425 Anixter International 25,372 0.01500 Ansys 26,195 0.01

3,475 Anworth Mortgage Asset 24,447 0.0115,620 Apache 1,867,683 0.63

7,117 Apartment Investment & Management - A Shares 184,793 0.069,862 Apple 3,175,564 1.061,325 Applied Industrial Technologies 43,606 0.01950 Applied Micro Circuits 9,989 0.00975 Aqua America 22,108 0.01

2,500 Arctic Cat 37,625 0.011,060 Ardea Biosciences 27,857 0.015,175 Ariad Pharmaceuticals 26,832 0.01

2,950 Arqule 17,066 0.011,274 Arris Group 14,186 0.001,275 Arrow Electronics 43,535 0.01

250 Arthur J Gallagher & Co. 7,271 0.002,600 Ashford Hospitality Trust 24,973 0.013,075 Ashland 157,455 0.056,825 Aspen Technology 88,896 0.032,275 Associated Banc-Corp 34,887 0.01

150 Associated Estates Realty 2,284 0.001,075 Astoria Financial 15,055 0.005,300 Atmel 65,057 0.02

600 ATMI 12,123 0.001,250 Atmos Energy 39,319 0.01

225 Atwood Oceanics 8,377 0.001,725 Autoliv 136,361 0.045,125 AVANIR Pharmaceuticals - A Shares 20,372 0.011,525 Aviat Networks 7,602 0.001,050 Avnet 34,697 0.01

425 AVX 6,615 0.001,500 B&G Foods - A Shares 20,647 0.011,025 Ball 69,618 0.021,700 Bancfirst 71,119 0.02

117,586 Bank of America 1,563,306 0.521,175 Bank of Hawaii 56,112 0.02

39,898 BB&T 1,048,519 0.35625 BE Aerospace 23,087 0.01

2,325 Big Lots 70,854 0.02225 Biglari Holdings 93,474 0.03

1,900 BioCryst Pharmaceuticals 9,709 0.0022,673 Biogen Idec 1,518,297 0.50

2,225 BioMarin Pharmaceuticals 60,042 0.02700 BioMed Realty Trust 13,104 0.00

1,600 Black Box 61,936 0.021,100 Blyth 38,797 0.01

475 Boise 3,736 0.00275 BOK Financial 14,781 0.00

2,000 Booz Allen Hamilton Holding 38,840 0.011,025 Borders Group 1,017 0.00

575 BorgWarner 41,725 0.016,500 Brandywine Realty Trust 75,692 0.021,500 Bravo Brio Restaurant Group 28,665 0.017,200 Brightpoint 64,332 0.023,500 Brinker International 73,360 0.0227,171 Broadcom - A Shares 1,181,259 0.392,150 Broadridge Financial Solutions 47,364 0.024,575 Brocade Communications Systems 24,087 0.012,125 Buckeye Technologies 45,666 0.02900 Bucyrus International 80,500 0.03225 Cabot 8,570 0.00

3,075 Cache 14,176 0.002,544 Cadence Pharmaceuticals 19,067 0.01

17,675 Cal Dive International 102,161 0.03450 Camden Property Trust 24,424 0.01

3,300 CapitalSource 23,413 0.01200 Capitol Federal Financial 2,357 0.00

3,775 Career Education 78,784 0.031,775 Carlisle 71,825 0.02

225 Carpenter Technology 9,184 0.00475 Cascade 21,662 0.01

1,500 Cathay General Bancorp 25,417 0.01250 CB Richard Ellis Group - A Shares 5,164 0.00475 Celadon Group 7,054 0.00

22,084 Celgene 1,300,416 0.437,450 CenterPoint Energy 117,524 0.043,625 Central Garden and Pet - A Shares 36,123 0.012,800 Charming Shoppes 9,926 0.003,675 Checkpoint Systems 76,219 0.031,500 Cheesecake Factory 46,155 0.022,700 Chelsea Therapeutics International 20,493 0.017,850 Chimera Investment 32,381 0.01

350 Choice Hotels International 13,454 0.002,075 Ciber 9,950 0.007,000 Cirrus Logic 111,965 0.04

69,184 Cisco Systems 1,391,636 0.46696,681 Citigroup 3,305,751 1.09

1,825 City Holding 68,593 0.02300 City National 18,610 0.01125 Clayton Williams Energy 10,345 0.00225 Clearwater Paper 17,881 0.01

8,200 CMS Energy 154,119 0.057,050 CNO Financial Group 47,905 0.02

30,757 Coca-Cola 2,014,430 0.662,125 Coherent 97,442 0.031,075 Collective Brands 22,441 0.01

362 Colonial Properties Trust 6,594 0.002,918 CommonWealth REIT 75,138 0.021,375 CommScope 42,941 0.011,325 Community Health Systems 49,820 0.02950 Complete Production Services 27,597 0.01268 CompuCredit Holdings 1,840 0.00

6,075 Compuware 70,865 0.02475 Comtech Telecommunications 13,271 0.00

16,859 Concho Resources/Midland 1,470,189 0.493,881 Conn’s 17,542 0.013,675 Consolidated Communications Holdings 71,038 0.02

925 Consolidated Graphics 44,825 0.015,325 Constellation Brands - A Shares 117,762 0.043,975 Convergys 52,569 0.021,275 Con-way 46,914 0.022,625 Cooper 147,052 0.05

150 CoreLogic 2,767 0.003,325 Corn Products International 152,867 0.05

650 Covanta Holding 11,248 0.00675 Coventry Health Care 17,806 0.01850 Crane 35,088 0.01675 Credit Acceptance 41,752 0.01

10,100 Cross Country Healthcare 87,819 0.031,625 Crown Holdings 54,608 0.02

28




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

900 CSG Systems International 17,199 0.01370 CSS Industries 7,657 0.00

2,400 Cubic 115,548 0.041,000 Cullen/Frost Bankers 61,805 0.02

800 Cymer 36,064 0.013,350 Cypress Semiconductor 61,623 0.02

425 Cytec Industries 22,593 0.012,650 Cytokinetics 5,552 0.00

12,475 DaVita 864,954 0.293,200 DCT Industrial Trust 17,008 0.012,500 Del Monte Foods 46,962 0.02

500 Delphi Financial Group - A Shares 14,512 0.001,975 Deluxe 46,017 0.02

2,900 Developers Diversified Realty 40,498 0.01700 DeVry 33,477 0.01

1,275 Dex One 9,486 0.002,000 DiamondRock Hospitality 24,190 0.011,900 Digital Realty Trust 98,876 0.034,025 Dillard’s - A Shares 152,366 0.06

150 DineEquity 7,429 0.001,700 Dole Food 22,856 0.013,294 Dollar Financial 93,615 0.031,525 Domtar 115,229 0.045,250 Douglas Emmett 88,594 0.033,700 DPL 95,996 0.038,000 DR Horton 96,120 0.03

775 DreamWorks Animation - A Shares 22,591 0.012,200 Dresser-Rand Group 93,940 0.031,825 Drew Industries 42,842 0.01

631 DSP Group 5,288 0.00875 DST Systems 38,999 0.01

1,825 Duke Realty 22,621 0.016,750 Dynavax Technologies 21,060 0.012,250 East West Bancorp 44,392 0.01

700 EastGroup Properties 29,918 0.01675 Eastman Chemical 56,683 0.02275 EchoStar - A Shares 6,803 0.00

1,800 Education Realty Trust 14,103 0.0048,927 EI du Pont de Nemours & Co. 2,428,981 0.81

1,825 El Paso Electric 50,808 0.02500 Electro Rent 8,190 0.00

1,000 Electronics for Imaging 14,450 0.003,900 EMCOR Group 114,543 0.041,925 Emdeon - A Shares 26,045 0.012,500 Emeritus 49,725 0.022,025 Emulex 23,379 0.011,550 Endo Pharmaceuticals Holdings 55,498 0.023,950 Energen 191,101 0.061,325 Energizer Holdings 96,652 0.031,935 Energy Partners 28,503 0.01

700 Entercom Communications - A Shares 8,067 0.0014,416 EOG Resources 1,321,587 0.45

925 EPIQ Systems 12,820 0.00972 Equifax 34,773 0.01275 Erie Indemnity - A Shares 17,960 0.01

5,850 EXCO Resources 113,314 0.04325 Factset Research Systems 30,677 0.01700 Fair Isaac 16,583 0.01

2,275 Fairchild Semiconductor International 36,093 0.01600 Federal Realty Investment Trust 47,190 0.02

2,950 Federated Investors - B Shares 77,172 0.033,725 FelCor Lodging Trust 26,690 0.011,375 Fidelity National Financial - A Shares 18,941 0.01650 Financial Institutions 12,545 0.00

6,775 Finish Line - A Shares 117,140 0.04150 First American Financial 2,242 0.00

10,900 First Commonwealth Financial 79,679 0.031,850 First Financial Bancorp 35,020 0.011,791 First Horizon National 21,143 0.01

675 First Interstate Bancsystem 10,358 0.00475 First Merchants 4,170 0.00

1,100 First Republic Bank/San Francisco 31,878 0.01400 FleetCor Technologies 12,352 0.00

2,500 FNB 24,887 0.012,150 Foot Locker 42,430 0.013,125 Forest City Enterprises - A Shares 51,984 0.021,300 Forest Oil 49,270 0.02

500 Fossil 35,295 0.01275 Fresh Market 11,417 0.00

7,300 Frontier Communications 70,919 0.022,325 Fulton Financial 24,238 0.01

15,800 Furniture Brands International 80,185 0.03700 G&K Services - A Shares 21,728 0.01

3,500 GameStop - A Shares 79,852 0.037,150 Gannett 106,928 0.041,500 Gardner Denver 103,627 0.03

675 Gartner 22,781 0.011,025 GATX 36,721 0.01

49,015 General Motors 1,799,831 0.601,275 GenMark Diagnostics 5,508 0.003,750 Gibraltar Industries 53,119 0.02

625 Gladstone Capital 7,272 0.001,275 Global Cash Access Holdings 4,023 0.001,125 Global Geophysical Services 11,222 0.001,625 Global Payments 75,538 0.029,035 Goldman Sachs Group 1,513,543 0.50

475 Goodyear Tire & Rubber 5,636 0.003,800 Greatbatch 94,107 0.03

425 Greif - A Shares 26,643 0.011,925 GSI Technology 15,737 0.01

325 Gulf Island Fabrication 9,378 0.001,400 Harleysville Group 51,737 0.021,925 Harsco 54,612 0.02

275 Haverty Furniture 3,766 0.007,750 Hawaiian Holdings 61,845 0.021,125 Haynes International 47,464 0.02

1,650 HCC Insurance Holdings 47,891 0.02325 Health Care REIT 15,545 0.01

5,300 Health Management Associates - A Shares 50,853 0.024,725 Health Net 129,725 0.041,800 Heartland Express 29,142 0.01

700 Heartland Financial USA 12,201 0.00700 Heartland Payment Systems 10,850 0.00

1,175 Hecla Mining 13,236 0.001,100 Helmerich & Payne 53,663 0.022,650 Hercules Offshore 9,182 0.00

650 Hill-Rom Holdings 25,808 0.01400 Holly 16,346 0.01

5,556 Hologic 105,203 0.03700 Home Properties 39,179 0.01

9,675 Horizon Lines - A Shares 42,812 0.018,100 Hospitality Properties Trust 187,312 0.06

600 HUB Group - A Shares 21,255 0.012,100 Hubbell - B Shares 126,063 0.044,350 Human Genome Sciences 105,118 0.038,775 Huntington Bancshares 60,504 0.023,050 IAC/InterActive 89,075 0.038,600 Idenix Pharmaceuticals 43,215 0.012,550 Imation 26,737 0.011,825 Immucor 36,628 0.011,525 Immunomedics 5,520 0.002,925 Incyte 49,067 0.021,850 Ingram Micro - A Shares 35,548 0.01

725 Innophos Holdings 26,122 0.01600 Inphi 12,171 0.00

2,675 Insteel Industries 33,678 0.011,000 Insulet 15,515 0.011,275 Integrated Device Technology 8,536 0.00

925 Integrys Energy Group 45,135 0.011,375 Inter Parfums 26,235 0.012,350 InterDigital 98,735 0.03

22,764 International Business Machines 3,326,276 1.108,000 Interpublic Group of Companies 84,840 0.03

1,125 Intersil - A Shares 17,331 0.011,000 IntraLinks Holdings 19,055 0.011,825 Invacare 55,526 0.021,225 ION Geophysical 10,327 0.00

1,000 Ironwood Pharmaceuticals 10,370 0.00400 ITT Educational Services 25,772 0.01300 J Crew Group 12,945 0.00

4,225 Jabil Circuit 84,479 0.037,325 Jakks Pacific 134,963 0.041,500 Janus Capital Group 19,297 0.013,675 Jarden 113,227 0.04

175 JB Hunt Transport Services 7,160 0.00658 JDA Software Group 18,733 0.01

2,175 JDS Uniphase 31,722 0.01775 John Wiley & Sons - A Shares 35,367 0.01

600 Jones Lang LaSalle 50,922 0.022,225 Journal Communications - A Shares 10,969 0.00

25,796 Juniper Networks 954,323 0.311,200 KBR 36,570 0.014,850 Key Energy Services 63,511 0.021,625 Kinetic Concepts 67,649 0.02

850 Kirby 37,404 0.015,025 Knoll 84,269 0.03

25,411 Kohl’s 1,372,067 0.4671,265 Kroger 1,592,416 0.52

475 Laclede Group 17,653 0.012,450 Lattice Semiconductor 14,810 0.002,825 La-Z-Boy 25,199 0.011,075 Lee Enterprises 2,602 0.00

29




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

6,025 Leggett & Platt 138,726 0.05975 Lennox International 46,785 0.02

4,944 Lexington Realty Trust 39,577 0.012,400 Lexmark International - A Shares 83,652 0.031,425 Liberty Media - Starz - A Shares 94,620 0.031,650 Liberty Property Trust 52,767 0.023,200 Lifetime Brands 44,528 0.011,375 Lincare Holdings 36,829 0.018,325 Liz Claiborne 60,648 0.021,050 LKQ 24,192 0.01

45,098 Lowe’s 1,126,323 0.37700 LPL Investment Holdings 25,596 0.01

25,700 LSI 153,943 0.052,925 LTC Properties 83,187 0.03

525 Mack-Cali Realty 17,451 0.011,925 Magellan Health Services 92,381 0.034,225 Manhattan Associates 131,229 0.04

900 MAP Pharmaceuticals 14,949 0.003,075 MarineMax 29,028 0.011,975 Marlin Business Services 24,826 0.015,425 Marshall & Ilsley 37,351 0.014,154 Mastercard - A Shares 930,849 0.31

800 MBIA 9,956 0.003,075 McClatchy - A Shares 14,514 0.001,275 McMoRan Exploration 22,128 0.01

575 MDC Holdings 16,600 0.011,700 MDU Resources Group 34,315 0.011,275 Meadowbrook Insurance Group 13,050 0.001,125 Medidata Solutions 26,685 0.011,225 Medivation 18,804 0.01

975 Mednax 66,227 0.022,075 MedQuist 18,322 0.01

50,808 Merck & Co. 1,831,120 0.60450 Meredith 15,635 0.01

25 Meru Networks 383 0.001,115 Metalico 6,450 0.00

2,450 Methode Electronics 32,144 0.0129,892 MetLife 1,327,504 0.4410,400 MetroPCS Communications 131,404 0.04

850 Mettler Toledo International 129,179 0.046,750 MFA Financial 55,114 0.022,425 MGIC Investment 24,965 0.014,550 MGP Ingredients 50,551 0.024,900 Micrel 65,048 0.02

100,419 Microsoft 2,789,138 0.92900 MicroStrategy - A Shares 77,373 0.03125 Mid-America Apartment Communities 7,991 0.00

1,175 Midas 9,864 0.002,200 Minerals Technologies 145,882 0.057,375 Monotype Imaging Holdings 83,043 0.038,050 MPG Office Trust 21,856 0.01

375 MSC Industrial Direct - A Shares 24,420 0.011,825 Mueller Industries 60,517 0.021,175 Myers Industries 11,674 0.00100 NACCO Industries - A Shares 11,170 0.00600 Nalco Holding 19,119 0.01

1,282 Nara Bancorp 12,621 0.0050 Nash Finch 2,146 0.00

900 National Beverage 12,200 0.002,500 Nationwide Health Properties 91,288 0.03

600 Navigators Group 30,612 0.013,150 Navistar International 182,621 0.072,325 NCR 35,607 0.011,375 Neenah Paper 26,868 0.01400 Netspend Holdings 4,980 0.00975 NeuStar - A Shares 25,496 0.01700 New Jersey Resources 30,625 0.01

2,250 New York Times - A Shares 22,016 0.01750 Newport 13,268 0.00863 NGP Capital Resources 8,112 0.00

1,175 Nicor 58,821 0.02800 Noranda Aluminum Holding 11,344 0.00

1,450 Nordson 134,807 0.04925 Northeast Utilities 29,614 0.01

3,675 NorthWestern 106,832 0.041,500 Novatel Wireless 14,385 0.001,050 Novellus Systems 34,015 0.011,000 Nuance Communications 18,375 0.01

175 NVR 120,825 0.0426,708 Occidental Petroleum 2,608,036 0.86

550 Oceaneering International 40,431 0.011,225 OceanFirst Financial 16,090 0.013,100 O’Charleys 22,584 0.012,025 Ocwen Financial 19,653 0.018,300 Office Depot 45,609 0.02

900 OfficeMax 16,124 0.01

875 OGE Energy 40,023 0.012,875 Oil States International 185,107 0.06

575 Old Republic International 7,860 0.004,475 Omnicare 113,553 0.043,300 Omnicell 48,378 0.025,825 ON Semiconductor 57,405 0.021,025 Oneok 57,098 0.023,200 Oplink Communications 59,616 0.02

600 Oppenheimer Holdings - A Shares 15,939 0.01300 Optimer Pharmaceuticals 3,446 0.00

3,325 Orexigen Therapeutics 26,933 0.012,350 Oshkosh 82,509 0.031,375 Oxford Industries 35,592 0.01

2,500 Pacer International 17,138 0.01625 Pacific Biosciences of Californiaa 10,275 0.00750 Packaging Corporation of America 19,474 0.01100 Panera Bread - A Shares 10,132 0.00700 Pantry 14,347 0.00

1,575 Patterson 48,282 0.021,550 Patterson-UTI Energy 33,348 0.01900 Pebblebrook Hotel Trustd 18,351 0.01

2,300 Pennsylvania Real Estate Investment Trust 33,730 0.01850 Pentair 31,174 0.01375 Perficient 4,781 0.00600 PerkinElmer 15,528 0.01

1,975 Perry Ellis International 54,599 0.025,000 Petroquest Energy 36,950 0.011,175 PetSmart 47,123 0.02

175 Pharmaceutical Product Development 4,810 0.00800 Pharmasset 34,884 0.01

3,700 PharMerica 42,717 0.011,925 PHH 44,920 0.011,125 Phillips-Van Heusen 71,348 0.02

1,700 Photronics 10,039 0.00950 Piedmont Natural Gas 26,923 0.01900 Pinnacle West Capital 37,355 0.01

1,650 Pioneer Drilling 14,495 0.00375 Piper Jaffray Companies 13,219 0.00650 Plantronics 24,677 0.01

1,575 PMC - Sierra 13,427 0.005,125 PolyOne 64,601 0.02

375 Portfolio Recovery Associates 28,474 0.011,000 Portland General Electric 21,765 0.011,800 Power-One 18,477 0.014,075 Powerwave Technologies 10,412 0.002,500 Prestige Brands Holdings 29,700 0.013,075 PRIMEDIA 12,792 0.00

650 ProAssurance 39,800 0.013,250 Protective Life 87,360 0.031,825 Providence Service 29,282 0.01

725 PS Business Parks 40,538 0.013,925 Pulse Electronics 20,744 0.012,125 Pzena Investment Management - A Shares 15,714 0.01

45 QAD - A Shares 410 0.00180 QAD - B Shares 1,809 0.00

2,875 QLogic 48,573 0.021,675 Quanex Building Products 32,093 0.013,425 Quantum 12,792 0.00

425 Quest Software 11,843 0.001,050 Radian Group 8,500 0.003,050 RadioShack 57,233 0.02

575 Radisys 5,132 0.00650 Rambus 13,250 0.00

3,525 Ramco-Gershenson Properties Trust 43,640 0.012,875 Raymond James Financial 94,674 0.031,375 Red Robin Gourmet Burgers 29,425 0.01

250 Regal Entertainment Group - A Shares 2,951 0.00875 Regal-Beloit 59,316 0.02775 Regency Centers 32,914 0.01

1,175 Regeneron Pharmaceuticals 39,204 0.01925 Reinsurance Group of America 49,751 0.02

1,475 Reliance Steel & Aluminum 75,409 0.02175 Rent-A-Center 5,684 0.00

600 Republic Airways Holdings 4,416 0.006,100 Retail Ventures 96,136 0.034,425 RF Micro Devices 32,944 0.011,275 Rock-Tenn - A Shares 69,532 0.021,675 Rovi 104,126 0.03

500 Rowan Companies 17,353 0.01275 Royal Gold 14,972 0.00425 RPM International 9,437 0.00

1,325 Ruby Tuesday 17,530 0.01775 Rudolph Technologies 6,510 0.00

1,450 Ryder System 75,422 0.021,275 Saba Software 7,688 0.00

2,450 Sauer-Danfoss 67,865 0.02

30




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

1,125 Saul Centers 53,848 0.021,375 Savient Pharmaceuticals 15,434 0.01

975 SCANA 39,736 0.01300 Schnitzer Steel Industries - A Shares 19,794 0.01

1,075 Scholastic 32,008 0.01600 SciQuest 7,665 0.00175 Scotts Miracle-Gro - A Shares 8,874 0.00

300 SEACOR Holdings 30,846 0.011,925 Sealed Air 49,290 0.02800 Seattle Genetics 12,332 0.00

1,125 SEI Investments 26,781 0.0121,900 Sempra Energy 1,147,779 0.38

800 Semtech 18,316 0.017,350 Service Corp. International 60,454 0.024,000 SFN Group 39,660 0.01

900 Shaw Group 30,843 0.01800 Sierra Bancorp 8,504 0.00

1,700 Simmons First National - A Shares 49,734 0.028,275 Sinclair Broadcast Group - A Shares 68,145 0.02

900 Sirona Dental Systems 37,715 0.011,325 Snap-On 75,465 0.02

850 Solera Holdings 44,034 0.011,225 Sonoco Products 41,662 0.01

3,200 Southern Union 77,184 0.031 Southside Bancshares 22 0.00

4,400 Southwest Bancorp 54,516 0.02700 Southwest Gas 25,967 0.01

7,000 Spartech 63,000 0.02327,470 Sprint Nextel 1,373,737 0.46

1,350 Stancorp Financial Group 61,250 0.021,100 Standard Pacific 5,011 0.00

475 Standard Parking 9,263 0.00825 Standard Register 2,850 0.00

1,325 Standex International 40,717 0.0127,379 State Street 1,266,416 0.42

1,275 Steel Dynamics 23,428 0.01575 Steelcase - A Shares 6,124 0.00

1,225 Stone Energy 27,428 0.015,875 Strategic Hotels & Resorts 31,108 0.012,300 Suffolk Bancorp 58,202 0.023,400 Sunrise Senior Living 18,734 0.015,275 Sunstone Hotel Investors 54,623 0.021,975 Superior Industries International 42,443 0.01

2,400 Susquehanna Bancshares 23,940 0.01275 SVB Financial Group 14,795 0.00

1,125 Swift Energy 43,751 0.01800 Swift Transporation 9,828 0.00

3,250 Synopsys 87,880 0.037,925 Synovus Financial 20,803 0.01

56,264 Sysco 1,651,630 0.541,375 TAL International Group 42,659 0.01300 Targa Resources 8,100 0.00

2,150 Taubman Centers 108,908 0.047,125 TCF Financial 106,483 0.041,150 Tech Data 50,646 0.022,575 TECO Energy 45,822 0.02

850 Teleflex 46,096 0.023,000 Tellabs 20,325 0.012,275 Temple-Inland 48,082 0.02

12,675 Tenet Healthcare 86,127 0.032,225 Tengion 6,174 0.007,075 Teradyne 100,076 0.031,450 Tesoro 26,644 0.011,450 Theravance 36,671 0.012,150 Thomas & Betts 104,146 0.03

850 Thor Industries 28,900 0.012,600 Thoratec 74,620 0.021,275 TIBCO Software 25,137 0.011,950 Timberland - A Shares 48,341 0.02

80,900 Time Warner 2,597,295 0.862,250 Timken 108,473 0.045,400 TomoTherapy 19,629 0.011,550 Toro 96,216 0.03

500 TransDigm Group 35,895 0.011,700 Tredegar 33,363 0.011,600 Trimas 32,624 0.011,175 Trimble Navigation 47,206 0.02

2,875 TRW Automotive Holdings 150,549 0.052,550 tw telecom 43,886 0.01

4,000 UGI 127,420 0.04475 UMB Financial 19,929 0.01

1,916 Unifi 32,562 0.0123,002 Union Pacific 2,121,359 0.70

700 Unisource Energy 25,281 0.01705 Unisys 18,090 0.01

475 Unit 21,950 0.015,295 United Continental Holdings 128,748 0.04

33,216 United Technologies 2,601,643 0.86775 United Therapeutics 48,562 0.02675 Unitrin 16,673 0.01

2,775 USA Mobility 49,770 0.026,350 Vaalco Energy 45,498 0.011,391 Valley National Bancorp 20,016 0.01

250 Valmont Industries 22,320 0.014,675 Valspar 161,638 0.05

500 Vectren 12,803 0.00125 Veeco Instruments 5,377 0.00

3,750 VeriFone Systems 144,638 0.052,250 Viropharma 39,488 0.0111,557 Vishay Intertechnology 172,373 0.061,029 Vishay Precision Group 19,587 0.01

625 W&T Offshore 11,209 0.00325 Waddell & Reed Financial - A Shares 11,409 0.00

55,437 Walt Disney 2,063,642 0.68750 Walter Energy 95,989 0.03625 Washington Federal 10,622 0.00

2,825 Websense 57,913 0.0275,569 Wells Fargo & Co. 2,334,704 0.77

3,075 WESCO International 162,975 0.051,050 West Bancorporation 8,300 0.001,125 Westar Energy 28,434 0.01600 Whiting Petroleum 69,744 0.02

2,850 Williams-Sonoma 102,287 0.031,500 World Acceptance 80,933 0.03

700 World Fuel Services 25,487 0.014,600 Worthington Industries 85,399 0.033,350 Wyndham Worldwide 100,182 0.03

725 Xenoport 6,268 0.0052,581 Xilinx 1,528,267 0.51

750 Zebra Technologies - A Shares 28,583 0.011,850 Zions Bancorporation 45,112 0.01

99,012,249 32.63

UNITED KINGDOM63,054 BG Group 1,274,394 0.4225,265 British American Tobacco 969,911 0.32

499,261 BT Group 1,406,857 0.46105,013 Cairn Energy 688,830 0.23273,476 Centrica 1,417,281 0.46

91,511 GlaxoSmithKline 1,768,292 0.58166,097 HSBC Holdings 1,685,880 0.55

53,014 Intercontinental Hotels Group 1,027,294 0.34148,802 International Power 1,017,321 0.34

1,150,720 Lloyds Banking Group 1,179,808 0.3923,232 Reckitt Benckiser Group 1,278,177 0.43

514,433 Vodafone Group 1,329,410 0.44

15,043,455 4.96

JAPAN196 Japan Tobacco 725,591 0.24

184,500 JX Holdings 1,252,483 0.4186,000 Kubota 815,645 0.27

124,000 Marubeni 871,541 0.29130,000 Mitsubishi Electric 1,365,768 0.45

71,900 Mitsui & Co. 1,187,713 0.393,800 Nintendo 1,113,712 0.37

189,100 Nissan Motor 1,800,454 0.5944,000 Shiseido 960,807 0.32

10,093,714 3.33

NETHERLANDS450 Core Laboratories 40,349 0.01

95,752 ING Groep - CVA 933,825 0.3172,996 Koninklijke KPN 1,070,142 0.3539,109 Koninklijke Philips Electronics 1,200,916 0.4091,192 Royal Dutch Shell - A Shares 3,025,584 1.00

64,343 Unilever - CVA 2,015,418 0.66

8,286,234 2.73

FRANCE31,303 GDF Suez 1,125,579 0.3714,906 Pernod-Ricard 1,406,194 0.474,997 PPR 797,164 0.26

22,807 Sanofi-Aventis 1,462,907 0.489,338 Schneider Electric 1,403,999 0.46

19,992 Sodexho 1,385,642 0.46

7,581,485 2.50

31




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

GERMANY19,891 Bayer Registered Shares 1,464,832 0.4819,174 Daimler Registered Shares 1,306,218 0.4318,447 Lanxess 1,449,791 0.4811,660 Siemens Registered Shares 1,453,176 0.487,616 Volkswagen Preference Shares 1,241,492 0.41

6,915,509 2.28

CANADA1,050 Cardiome Pharma 6,757 0.00

14,982 First Quantum Minerals 1,617,933 0.5467,644 Kinross Gold 1,277,434 0.4212,062 Toronto-Dominion Bank 893,862 0.29

0** Valeant Pharmaceuticals International 5 0.00

3,795,991 1.25

SWITZERLAND31,854 ACE 1,979,726 0.655,279 Zurich Financial Services 1,371,261 0.45

3,350,987 1.10

HONG KONG428,000 China Overseas Land & Investment 788,483 0.26100,000 Hutchison Whampoa 1,031,120 0.34

62,000 Sun Hung Kai Properties 1,025,344 0.34

2,844,947 0.94

AUSTRALIA29,410 Macquarie Group 1,112,942 0.3758,894 QBE Insurance Group 1,092,010 0.36

2,204,952 0.73

JERSEY91,306 Experian 1,136,397 0.3734,729 Shire 836,886 0.28

1,973,283 0.65

CHINA416,000 China Merchants Bank - H Shares * 1,051,092 0.34181,000 ZTE - H Shares * 721,848 0.24

1,772,940 0.58

TAIWAN110,900 Hon Hai Precision Industry Registered Shares GDR 896,627 0.2960,555 Taiwan Semiconductor Manufacturing ADR 754,213 0.25

1,650,840 0.54

IRELAND35,723 Covidien 1,619,324 0.53

1,619,324 0.53

BERMUDA1,875 Aircastle 19,528 0.011,150 Allied World Assurance Co Holdings 68,488 0.02

625 Arch Capital Group 55,250 0.02250 Argo Group International Holdings 9,466 0.00775 Aspen Insurance Holdings 22,223 0.01

2,525 Axis Capital Holdings 90,395 0.031,325 Endurance Specialty Holdings 61,142 0.02

2,450 Frontline 62,720 0.022,625 Global Crossing 33,718 0.011,250 Helen of Troy 37,538 0.01

875 Lazard - A Shares 34,532 0.0147,241 Marvell Technology Group 865,691 0.29

1,825 Platinum Underwriters Holdings 82,435 0.02850 RenaissanceRe Holdings 54,523 0.02

2,800 Signet Jewelers 120,400 0.04

1,618,049 0.53

SOUTH KOREA1,694 Samsung Electronics 1,432,458 0.47

1,432,458 0.47

SPAIN58,399 Telefonica 1,327,632 0.44

1,327,632 0.44

LUXEMBOURG33,758 ArcelorMittal 1,285,071 0.42

1,285,071 0.42

INDIA16,022 Infosys Technologies ADR 1,220,155 0.40

1,220,155 0.40

ITALY218,297 Snam Rete Gas 1,091,010 0.35

1,091,010 0.35

ISRAEL19,335 Teva Pharmaceutical Industries ADR 1,000,683 0.33

1,000,683 0.33


2,450 Herbalife 167,078 0.06

948,954 0.31

SINGAPORE309,000 Singapore Telecommunications 738,299 0.25

738,299 0.25

ISLE OF MAN332,000 Genting Singapore 566,425 0.19

566,425 0.19

FINLAND196,329 Ruukki Group 437,850 0.14

437,850 0.14

PANAMA1,325 Copa Holdings - A Shares 78,082 0.03

78,082 0.03

PUERTO RICO1,025 First Bancorp 474 0.007,900 Popular 24,530 0.011,325 Triple-S Management - B Shares 25,732 0.01

50,736 0.02

BRITISH VIRGIN ISLANDS850 UTi Worldwide 17,689 0.01

17,689 0.01

Total Shares 177,959,003 58.64

Bonds


15,546,960 5.12

NETHERLANDS6,550,000 Netherlands (Kingdom of) 15.07.17/4.500% 9,780,307 3.22

9,780,307 3.22

GERMANY1,500,000 Germany (Federal Republic of) 04.01.28/5.625% 2,561,157 0.841,865,000 Germany (Federal Republic of) 04.07.34/4.750% 2,989,303 0.99

5,550,460 1.83

FRANCE3,000,000 France (Government of) 25.04.15/3.500% 4,259,925 1.41

4,259,925 1.41

Total Bonds 35,137,652 11.58


213,096,655 70.22

32




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds

UNITED STATES OF AMERICA3,500,000 US Treasury 30.04.11/0.875% 3,508,203 1.16

100,000 US Treasury (i) 30.11.11/0.750% 100,406 0.0315,000,000 US Treasury 15.11.16/7.500% 19,253,906 6.349,500,000 US Treasury 15.05.17/8.750% 13,026,875 4.298,850,000 US Treasury 15.02.19/8.875% 12,713,578 4.193,000,000 US Treasury 15.05.30/6.250% 3,839,063 1.279,400,000 US Treasury 15.02.31/5.375% 10,923,094 3.60

63,365,125 20.88

Total Bonds 63,365,125 20.88

Investment Funds

LUXEMBOURG567,323 JPMorgan Funds - Emerging Markets Equity Fund

(JPM Emerging Markets Equity X (dist) - USD) 11,681,188 3.860** JPMorgan Funds - Emerging Markets Value Fund

(JPM Emerging Markets Value X (acc) - USD) 131 0.00

11,681,319 3.86



75,046,444 24.74


Cash 11,844,288 3.90



* Hong Kong Registered Shares.** Fractional shares rounded to 0.(i) Security partially or totally held as collateral against futures positions by the broker.


Fixed Income SecuritiesUnited States of America 26.00Netherlands 3.22Germany 1.83France 1.41Total Fixed Income Securities 32.46SharesFinancials 11.91Information Technology 8.65Consumer Discretionary 7.92Industrials 6.38Health Care 5.71Energy 4.88Consumer Staples 4.45Investment Companies 3.86Materials 3.76Telecommunication Services 2.53Utilities 2.45Total Shares 62.50Cash and Other Assets/(Liabilities) 5.04

Total 100.00


Fixed Income SecuritiesUnited States of America 36.79Netherlands 3.18Germany 1.83France 1.36Total Fixed Income Securities 43.16SharesFinancials 10.58Consumer Discretionary 7.78Information Technology 6.90Industrials 5.65Health Care 4.90Energy 3.97Consumer Staples 3.45Materials 3.29Investment Companies 3.24Telecommunication Services 2.45Utilities 1.75Total Shares 53.96Cash and Other Assets/(Liabilities) 2.88

Total 100.00

33




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets




ExpirationDate


NotionalValue


Bond Futures

Mar-11 (21) Euro-Bobl Future EUR (3,341,097) 5,907Mar-11 (82) Euro-Bund Future EUR (13,763,411) 93,239Mar-11 9 Japan 10 Year Bond Future JPY 15,577,179 (2,216)Mar-11 46 Long Gilt Future GBP 8,560,169 (64,847)Mar-11 (117) US 2 Year Note Future USD (25,594,664) 66,727Mar-11 247 US 5 Year Note Future USD 29,029,254 (560,605)


Equity Futures

Jan-11 (69) CAC 40 10 Euro Future EUR (3,521,049) 86,183Jan-11 34 Hang Seng Index Future HKD 5,034,542 29,615Mar-11 46 Dax Index Future EUR 10,670,125 (177,912)Mar-11 (716) DJ Euro Stoxx 50 Index Future EUR (26,795,750) 611,552Mar-11 (42) FTSE 100 Index Future GBP (3,855,565) (27,641)Mar-11 (166) Russell 2000 Mini Future USD (13,066,690) (219,715)Mar-11 4 S&P Midcap 400 Emini Future USD 363,820 9,620Mar-11 29 SP 500 Emini Future USD 1,813,225 21,098Mar-11 62 Topix Index Future JPY 6,838,011 134,268

Total Equity Futures467,068

Total 5,273




AmountSold


28-Feb-11 AUD 2,470,367 CAD 2,443,066 51,86428-Feb-11 AUD 7,812,184 USD 7,582,974 314,68828-Feb-11 CAD 1,728,268 AUD 1,778,284 (67,729)28-Feb-11 CAD 602,574 USD 590,007 13,17528-Feb-11 EUR 4,710,039 USD 6,255,309 52,80728-Feb-11 GBP 1,141,107 USD 1,781,533 (4,797)28-Feb-11 JPY 129,702,022 AUD 1,638,026 (58,491)28-Feb-11 JPY 154,404,958 EUR 1,401,150 25,16028-Feb-11 NOK 39,907,837 USD 6,608,599 216,62128-Feb-11 SEK 13,916,155 NOK 12,123,702 (1,235)28-Feb-11 SEK 50,168,099 USD 7,274,218 196,17528-Feb-11 USD 1,581,561 CAD 1,599,745 (19,800)28-Feb-11 USD 720,710 CHF 710,649 (41,789)28-Feb-11 USD 39,364,482 EUR 29,118,194 366,73128-Feb-11 USD 9,509,206 GBP 5,975,492 205,19328-Feb-11 USD 5,218,466 HKD 40,493,621 6,65828-Feb-11 USD 9,163,131 JPY 761,263,868 (212,877)

Total 1,042,354

34


Bonds

JAPAN590,000,000 Japan (Government of) 20.09.14/1.500% 7,583,018 12.82132,000,000 Japan (Government of) 20.03.20/1.300% 1,663,801 2.81187,000,000 Japan (Government of) 20.06.25/1.900% 2,408,652 4.07105,000,000 Japan (Government of) 20.12.28/1.900% 1,313,000 2.22

77,000,000 Japan (Government of) 20.09.35/2.500% 1,046,973 1.77

14,015,444 23.69

ITALY625,000 Italy (Republic of) 15.12.13/3.750% 848,015 1.44482,000 Italy (Republic of) 01.03.20/4.250% 626,986 1.06690,000 Italy (Republic of) 01.09.20/4.000% 877,272 1.48740,000 Italy (Republic of) 01.02.37/4.000% 819,261 1.38

3,171,534 5.36

UNITED STATES OF AMERICA165,000 Anheuser-Busch InBev

Worldwide 15.01.20/5.375% 177,915 0.30365,000 Bank of America 15.06.12/3.125% 377,898 0.6450,000 CBS 15.10.40/5.900% 47,851 0.08

365,000 Citigroup 09.12.11/2.875% 372,938 0.6380,000 Citigroup 22.05.19/8.500% 98,827 0.17

350,000 Citigroup Funding 10.12.12/2.250% 359,980 0.61350,000 General Electric Capital 28.09.12/2.000% 357,905 0.61200,000 HSBC Finance 30.05.17/4.875% 279,932 0.47

45,000 International Paper 15.11.39/7.300% 50,651 0.08160,000 Kraft Foods 10.02.20/5.375% 171,880 0.2980,000 Morgan Stanley 26.01.20/5.500% 80,639 0.1395,000 Pacific Gas & Electric 15.01.40/5.400% 93,988 0.16

155,000 Plains All American Pipeline 15.01.20/5.750% 165,604 0.28135,000 Tennessee Valley Authority 15.09.39/5.250% 141,708 0.2485,000 Watson Pharmaceuticals 15.08.19/6.125% 93,840 0.16

100,000 Williams Partners 01.02.17/7.250% 115,939 0.20

2,987,495 5.05

UNITED KINGDOM185,000 British Telecommunications 15.01.18/5.950% 201,193 0.34100,000 Imperial Tobacco Finance 17.02.22/9.000% 201,644 0.34150,000 Legal & General Group 08.06.25/4.000%* 181,334 0.31100,000 RBS 29.04.24/7.500% 162,262 0.27330,000 UK Treasury 07.09.15/4.750% 572,312 0.97145,000 UK Treasury 07.06.32/4.250% 229,057 0.39155,000 UK Treasury 07.09.34/4.500% 252,082 0.42510,000 UK Treasury 07.12.42/4.500% 839,606 1.42

2,639,490 4.46

FRANCE249,000 France (Government of) 25.04.35/4.750% 379,339 0.64709,000 France (Government of) 25.04.60/4.000% 973,169 1.64247,000 PPR 03.04.14/8.625% 388,506 0.66

72,000 PPR 08.04.15/3.750% 98,304 0.17

1,839,318 3.11

GERMANY390,000 Germany (Federal Republic of) 04.01.14/4.250% 569,241 0.96805,000 Germany (Federal Republic of) 04.01.20/3.250% 1,109,177 1.88

70,000 Germany (Federal Republic of) 04.01.31/5.500% 120,088 0.20

1,798,506 3.04

NETHERLANDS500,000 LeasePlan 22.05.14/3.250% 697,369 1.18710,000 Netherlands (Kingdom of) 15.07.18/4.000% 1,027,234 1.74

1,724,603 2.92

SPAIN395,000 Spain (Kingdom of) 31.01.14/4.250% 534,272 0.9050,000 Spain (Kingdom of) 30.07.19/4.600% 63,765 0.11

205,000 Spain (Kingdom of) 30.04.20/4.000% 247,930 0.42435,000 Spain (Kingdom of) 31.10.20/4.850% 557,446 0.94

1,403,413 2.37

MEXICO7,900,000 Mexico (United Mexican States) 19.12.13/8.000% 679,090 1.154,500,000 Mexico (United Mexican States) 05.12.24/10.000% 453,219 0.76

1,132,309 1.91

SOUTH AFRICA100,000 South Africa (Republic of) 09.03.20/5.500% 106,400 0.18

6,900,000 South Africa (Republic of) 28.02.31/7.000% 908,829 1.54

1,015,229 1.72

BELGIUM710,000 Belgium (Kingdom of) 28.03.18/4.000% 971,923 1.64

971,923 1.64

SOUTH KOREA1,023,000,000 Korea (Republic of) 10.06.12/4.000% 921,718 1.56

921,718 1.56

AUSTRIA355,000 Austria (Republic of) 15.03.19/4.350% 514,937 0.87108,000 Austria (Republic of) 15.03.26/4.850% 163,217 0.28

678,154 1.15

ISRAEL2,050,000 Israel (State of) 28.02.19/6.000% 663,150 1.12

663,150 1.12

DENMARK2,600,000 Denmark (Kingdom of) 15.11.17/4.000% 508,802 0.86

508,802 0.86

CANADA180,000 Suncor Energy 01.06.18/6.100% 205,240 0.36150,000 Xstrata Canada Financial 27.05.20/7.375% 264,295 0.44

469,535 0.80

BERMUDA130,000 Holcim GB Finance 24.04.17/8.750% 247,047 0.42

75,000 Tyco International 15.12.19/7.000% 87,935 0.1585,000 Weatherford International

Bermuda 15.09.40/6.750% 88,228 0.15

423,210 0.72

POLAND1,200,000 Poland (Government of) 25.04.14/5.750% 413,246 0.70

413,246 0.70

SWEDEN2,530,000 Sweden (Kingdom of) 12.08.17/3.750% 393,572 0.67

393,572 0.67

BRAZIL55,500 Brazil (Republic of) 01.01.13/10.000% 337,475 0.57

337,475 0.57

CAYMAN ISLANDS180,000 Allstate Life Funding 17.01.11/6.375% 280,765 0.47

280,765 0.47


279,118 0.47

JERSEY145,000 WPP 04.04.17/6.000% 242,711 0.41

242,711 0.41

AUSTRALIA160,000 National Australia Bank 08.11.17/3.625% 239,901 0.41

239,901 0.41

FINLAND160,000 Finland (Government of) 15.09.14/3.125% 226,730 0.38

226,730 0.38

SWITZERLAND180,000 UBS/Stamford 20.12.17/5.875% 197,952 0.33

197,952 0.33

35




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


144A 29.09.14/7.375% 107,986 0.18

107,986 0.18

Total Bonds 39,083,289 66.07


39,083,289 66.07


Bonds

UNITED STATES OF AMERICA120,000 ACE Securities 2005-HE4 M1 25.07.35/0.761%* 117,133 0.20282,711 Aegis Asset Backed Securities

Trust 2004-3 A1 25.09.34/0.621%* 255,422 0.4384,813 Ally Auto Receivables Trust

2010-1 A2 15.04.12/0.750% 84,839 0.1469,862 Asset Backed Funding

Certificates 2005-HE2 M1 25.06.35/0.741%* 68,884 0.128,892 Banc of America Mortgage

Securities 2005-3 1A31 25.04.35/5.500% 8,874 0.0245,000 Bank of America 01.05.18/5.650% 46,247 0.0885,000 Burlington Northern Santa Fe 01.05.40/5.750% 87,495 0.15

470,000 Capital One Multi-AssetExecution Trust 2006-A4 A4 16.12.13/0.300%* 469,914 0.79

675,000 Citibank Omni Master Trust2009-A8 A8 16.05.16/2.360%* 683,638 1.16

916,289 Countrywide Alternative LoanTrust 2005-J14 A3 25.12.35/5.500% 769,454 1.30

151,245 Credit Suisse First BostonMortgage Securities Corp2004-3 2A1 25.04.19/5.000% 155,240 0.26

884,049 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 90,220 0.15265,000 Federal Home Loan Banks 11.07.11/0.162%* 264,930 0.45

21,108 First Union National Bank-Bankof America CommercialMortgage Trust 2001-C1 A2 15.03.33/6.136% 21,093 0.03


1,216,150 Harborview Mortgage LoanTrust 2005-11 2A1A 19.08.45/0.571%* 871,171 1.47

751,664 Indymac Index Mortgage LoanTrust 2004-AR14 2A1A 25.01.35/0.621%* 489,265 0.83

208,929 JP Morgan Mortgage Trust2005-S2 1A1 25.08.20/4.500% 213,825 0.36

108,258 Morgan Stanley ABS Capital I2004-SD2 A 25.04.34/0.711%* 91,624 0.15

220,000 Morgan Stanley Capital I2005-HQ7 A4 14.11.42/5.191%* 236,387 0.40

170,000 NBC Universal 144A 01.04.21/4.375% 164,572 0.2895,000 Oncor Electric Delivery 144A 30.09.40/5.250% 90,414 0.1580,000 Park Place Securities

2005-WHQ3 M1 25.06.35/0.681%* 74,436 0.13150,000 Prudential Financial 15.06.19/7.375% 176,256 0.30309,363 Residential Asset Mortgage


Securities I 2006-S12 2A2 25.12.36/6.000% 100,366 0.17160,601 Structured Asset Securities

2005-WF4 A4 25.11.35/0.621%* 145,969 0.25160,000 US Treasury (i) 10.02.11/0.000% 159,967 0.27640,000 US Treasury 15.02.12/1.375% 647,300 1.09540,000 US Treasury 15.01.13/1.375% 547,847 0.93805,000 US Treasury 15.05.13/1.375% 815,943 1.38

75,000 US Treasury 15.09.13/0.750% 74,695 0.13185,000 US Treasury (i) 15.02.14/4.000% 201,361 0.34390,000 US Treasury 31.12.14/2.625% 406,240 0.69

1,365,000 US Treasury 31.10.15/1.250% 1,319,145 2.23285,000 US Treasury 30.09.16/3.000% 295,153 0.50730,000 US Treasury 15.08.19/3.625% 761,025 1.29185,000 US Treasury 15.05.20/3.500% 189,105 0.32125,000 US Treasury 15.08.20/2.625% 118,262 0.20550,000 US Treasury 15.02.31/5.375% 639,117 1.08795,000 US Treasury (i) 15.02.36/4.500% 818,477 1.3840,000 US Treasury 15.08.40/3.875% 36,631 0.0641,753 Wachovia Auto Owner Trust

2008-A A3A 20.09.12/4.810% 42,176 0.07150,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.204%* 161,879 0.271,118,455 WaMu Mortgage Pass Through

Certificates 2005-AR9 A1A 25.07.45/0.581%* 955,551 1.61145,000 Wells Fargo Home Equity Trust

2004-2 AI6 25.05.34/5.000%* 149,059 0.25

127,409 Wells Fargo Mortgage BackedSecurities Trust 2005-2 2A1 25.04.20/4.750% 130,909 0.22

95,000 Xcel Energy 15.05.20/4.700% 98,432 0.17

14,947,060 25.27

CANADA900,000 Canada (Government of) 01.06.12/3.750% 929,438 1.57144,000 Canada (Government of) 01.06.33/5.750% 192,353 0.3290,000 Canada (Government of) 01.06.37/5.000% 111,527 0.19

1,233,318 2.08

UNITED KINGDOM209,560 Themeleion Mortgage

Finance 2 A 12.01.40/1.132%* 226,986 0.39

226,986 0.39

Total Bonds 16,407,364 27.74

Investment Funds

LUXEMBOURG78 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (acc)) 1,100,373 1.86

1,100,373 1.86



17,507,737 29.60


Bonds


(Defaulted) 03.04.09/0.000% 467,500 0.79

467,500 0.79




Cash 2,533,901 4.28



* Variable coupon rates are those quoted as at 31 December 2010.(i) Security partially or totally held as collateral against futures positions by the broker.

36




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 31.11Japan 23.69Italy 5.36United Kingdom 4.85France 3.11Germany 3.04Netherlands 2.92Canada 2.88Spain 2.37Mexico 1.91South Africa 1.72Belgium 1.64South Korea 1.56Austria 1.15Israel 1.12Denmark 0.86Bermuda 0.72Poland 0.70Sweden 0.67Brazil 0.57Cayman Islands 0.47Russia 0.47Jersey 0.41Australia 0.41Finland 0.38Switzerland 0.33International Agencies 0.18Total Fixed Income Securities 94.60Investment FundsLuxembourg 1.86Total Investment Funds 1.86Cash and Other Assets/(Liabilities) 3.54

Total 100.00


Fixed Income SecuritiesUnited States of America 26.39Japan 21.35United Kingdom 5.62Italy 5.02Canada 3.78Spain 3.48France 3.10Germany 2.33International Agencies 1.68Denmark 1.58Netherlands 1.57Belgium 1.51Greece 1.38South Korea 1.37Mexico 1.20Sweden 1.17Austria 1.03Israel 0.98Luxembourg 0.90Ireland 0.59Poland 0.58Brazil 0.48Russia 0.45Cayman Islands 0.45Finland 0.34Australia 0.33Jersey 0.32Switzerland 0.31South Africa 0.17Bermuda 0.15Portugal 0.13Total Fixed Income Securities 89.74Investment FundsLuxembourg 8.66Total Investment Funds 8.66Cash and Other Assets/(Liabilities) 1.60

Total 100.00

37




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets





NominalValue

MarketValue




15-Jan-41 Ginnie Mae 4.000% 870,000 873,670 5,57325-Jan-41 Fannie Mae 4.000% 1,385,000 1,370,285 (19,622)

Total 2,243,955 (14,049)


ExpirationDate


NotionalValue


Bond Futures

Mar-11 1 Australia 10 Year Bond Future AUD 105,156 1,058Mar-11 4 Canada 10 Year Bond Future CAD 489,909 (281)Mar-11 10 Euro-Bobl Future EUR 1,590,999 (2,424)Mar-11 (12) Euro-Bund Future EUR (2,014,158) 13,649Mar-11 21 Euro-Schatz Future EUR 3,066,142 (422)Mar-11 2 Japan 10 Year Bond Future JPY 3,461,595 (492)Mar-11 6 Long Gilt Future GBP 1,116,777 (9,113)Mar-11 (50) US 2 Year Note Future USD (10,937,500) 30,797Mar-11 (22) US 5 Year Note Future USD (2,585,516) 72,391Mar-11 21 US 10 Year Note Future USD 2,523,609 (124,438)Mar-11 (2) US Long Bond Future USD (243,125) 11,469

Total (7,806)






AmountSold


06-Jan-11 AUD 229,476 CAD 228,748 4,31306-Jan-11 AUD 125,550 NZD 164,116 35806-Jan-11 AUD 729,069 USD 694,948 47,02006-Jan-11 CAD 258,378 AUD 263,266 (9,010)06-Jan-11 CHF 127,319 USD 129,380 7,14506-Jan-11 DKK 2,898,361 USD 515,567 5,20606-Jan-11 EUR 109,818 CAD 147,307 (518)06-Jan-11 EUR 145,792 NOK 1,155,127 (2,795)06-Jan-11 EUR 61,284 NZD 109,304 (2,773)06-Jan-11 EUR 433,442 USD 571,678 8,89506-Jan-11 GBP 72,103 AUD 117,931 (7,704)06-Jan-11 GBP 53,319 CHF 82,910 (5,851)06-Jan-11 JPY 9,052,988 AUD 112,251 (2,799)06-Jan-11 JPY 45,599,987 EUR 411,394 10,27006-Jan-11 JPY 14,182,210 NZD 227,757 (2,247)06-Jan-11 JPY 1,228,459,075 USD 15,056,505 65,16406-Jan-11 MXN 4,058,955 USD 322,970 5,07706-Jan-11 NOK 566,413 JPY 7,927,514 (457)06-Jan-11 NOK 212,003 NZD 47,128 (235)06-Jan-11 NOK 5,253,244 USD 843,267 57,53906-Jan-11 NZD 325,574 AUD 250,190 (1,853)06-Jan-11 NZD 304,489 CAD 229,383 6,53506-Jan-11 NZD 216,020 USD 166,216 1,49406-Jan-11 USD 780,882 CAD 799,046 (19,822)06-Jan-11 USD 585,732 CHF 585,498 (42,100)06-Jan-11 USD 505,010 DKK 2,898,361 (15,763)06-Jan-11 USD 13,233,109 EUR 10,174,571 (395,219)06-Jan-11 USD 3,912,877 GBP 2,521,871 (15,386)06-Jan-11 USD 15,417,179 JPY 1,289,366,746 (454,232)06-Jan-11 USD 825,335 NOK 4,876,533 (10,874)06-Jan-11 USD 220,639 NZD 297,778 (10,545)06-Jan-11 USD 882,562 ZAR 6,324,238 (71,260)07-Jan-11 SEK 2,928,826 NOK 2,548,290 (42)

38






AmountSold


07-Jan-11 USD 381,526 PLN 1,189,180 (19,340)07-Jan-11 USD 424,755 SEK 2,928,826 (12,159)03-Feb-11 NOK 495,447 EUR 63,037 39703-Feb-11 NOK 4,375,085 USD 741,392 7,75003-Feb-11 SEK 484,208 CHF 67,433 (166)03-Feb-11 SEK 1,784,984 USD 262,454 3,58303-Feb-11 USD 58,926 CHF 56,578 (1,764)03-Feb-11 USD 515,504 DKK 2,898,361 (5,231)03-Feb-11 USD 14,563,248 JPY 1,186,783,575 (50,335)03-Feb-11 USD 165,841 NZD 216,020 (1,476)

Total (931,210)

Schedule of Investments - Outstanding Interest Rate Swaps (Expressed in USD)


NotionalAmount

MarketValue


05-Feb-11 Bank of Montreal Receive floating rate CAD CDOR 3 months CAD 19,460,000 (212,956) (212,956)Pay fixed rate 3.377%

05-Feb-11 Credit Suisse Receive fixed rate 3.384% CAD 19,460,000 213,676 213,676Pay floating rate CAD CDOR 3 months

05-Feb-14 Bank of Montreal Receive fixed rate 3.780% CAD 8,290,000 514,331 514,331Pay floating rate CAD CDOR 3 months

05-Feb-14 Credit Suisse Receive floating rate CAD CDOR 3 months CAD 8,290,000 (514,826) (514,826)Pay fixed rate 3.781%

Total 225 225

39


Shares

UNITED STATES OF AMERICA18,222 Abbott Laboratories 869,463 1.184,804 Celgene 282,884 0.384,522 Chevron 411,706 0.561,886 Citigroup Preference Shares 257,005 0.349,800 Coca-Cola 641,851 0.875,253 Deere & Co. 436,498 0.598,214 EI du Pont de Nemours & Co. 407,784 0.556,418 Freeport-McMoRan Copper & Gold 765,828 1.046,744 General Motors Preference Shares 362,953 0.49

16,283 Hewlett-Packard 683,479 0.932,922 International Business Machines 426,963 0.589,837 McDonald’s 751,498 1.02

16,447 Microsoft 456,815 0.626,238 Mosaic 471,281 0.644,640 Newmont Mining 284,571 0.3913,372 Norfolk Southern 838,692 1.1412,467 Time Warner 400,253 0.546,872 Union Pacific 633,770 0.867,204 United Technologies 564,253 0.767,958 Yum! Brands 390,181 0.53

10,337,728 14.01

JAPAN49,000 Asahi Glass 572,692 0.78

3,900 Daikin Industries 138,281 0.1912,200 Honda Motor 483,179 0.6550,500 ITOCHU 511,278 0.6973,000 Marubeni 513,085 0.6921,100 Mitsubishi 571,004 0.77

35,000 Mitsubishi Electric 367,707 0.5035,300 Mitsui & Co. 583,119 0.794,300 Nidec 434,552 0.59

34,800 Sumitomo 492,400 0.675,500 Tokyo Electron 347,981 0.47

5,015,278 6.79

UNITED KINGDOM17,462 BG Group 352,927 0.4829,300 British American Tobacco 1,124,813 1.5220,601 Intercontinental Hotels Group 399,202 0.546,473 Reckitt Benckiser Group 356,131 0.48

10,380 Standard Chartered 278,995 0.3814,362 Unilever 440,051 0.60

191,018 Vodafone Group 493,633 0.6740,064 Xstrata 939,860 1.27

4,385,612 5.94

FRANCE6,351 Sanofi-Aventis 407,372 0.55

14,203 Total 754,643 1.02

1,162,015 1.57

JERSEY66,148 WPP 816,582 1.11

816,582 1.11

HONG KONG105,000 Hang Lung Properties 492,033 0.67

19,000 Sun Hung Kai Properties 314,218 0.43

806,251 1.10

GERMANY12,820 Fresenius Medical Care & Co. 744,610 1.01

744,610 1.01

LUXEMBOURG19,462 ArcelorMittal 740,863 1.00

740,863 1.00

BERMUDA45,198 Aquarius Platinum 247,192 0.3365,500 Esprit Holdings 312,834 0.43

560,026 0.76

CANADA29,259 Kinross Gold 552,546 0.75

552,546 0.75

SWITZERLAND8,479 Nestlé Registered Shares 498,003 0.68

498,003 0.68

DENMARK4,337 Carlsberg - B Shares 435,804 0.59

435,804 0.59

TAIWAN82,880 HON HAI Precision Industry 333,425 0.45

70 MediaTek 1,002 0.00

334,427 0.45

SOUTH AFRICA8,955 Impala Platinum Holdings 314,430 0.43

314,430 0.43

SINGAPORE41,000 Wilmar International 180,397 0.24

180,397 0.24

Total Shares 26,884,572 36.43

Bonds

JAPAN350,000,000 Japan (Government of) 20.09.30/1.800% 4,245,727 5.75

4,245,727 5.75


600,000 Verizon Wireless Capital 01.02.14/5.550% 659,264 0.90

3,768,656 5.11

INTERNATIONAL AGENCIES3,500,000 Inter-American Development

Bank 15.08.17/2.375% 3,402,952 4.61

3,402,952 4.61

UNITED KINGDOM700,000 RBS 11.04.16/0.489%* 578,345 0.79

1,500,000 UK Treasury 07.09.39/4.250% 2,363,080 3.20

2,941,425 3.99

AUSTRALIA1,000,000 Australia (Commonwealth of) 20.08.20/4.000% 1,655,329 2.24

1,655,329 2.24

FRANCE48,000 Sanofi-Aventis 17.05.13/3.500% 66,715 0.09

1,000,000 Société Financement del’Economie Francaise 22.09.14/2.875% 1,035,100 1.40

1,101,815 1.49


International 02.12.49/6.000%* 494,278 0.67

494,278 0.67

Total Bonds 17,610,182 23.86

Convertible Bonds

NETHERLANDS800,000 Portugal Telecom International

Finance 28.08.14/4.125% 1,082,276 1.47

1,082,276 1.47

SINGAPORE500,000 CapitaLand 03.09.16/2.875% 402,661 0.54500,000 CapitaLand 05.03.18/3.125% 404,532 0.55

807,193 1.09

40




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

GERMANY500,000 KfW - Kreditanstalt für

Wiederaufbau 27.06.13/3.250% 695,509 0.94

695,509 0.94

UNITED STATES OF AMERICA580,000 Swiss Re America Holding 21.11.21/3.250%* 561,879 0.76

561,879 0.76



47,641,611 64.55


Convertible Bonds

UNITED STATES OF AMERICA740,000 Boston Properties 15.05.36/3.750% 821,400 1.11284,000 Gilead Sciences 01.05.11/0.500% 293,230 0.40580,000 Gilead Sciences 01.05.13/0.625% 642,350 0.87708,000 Health Care REIT 01.12.29/3.000% 761,100 1.03742,000 Liberty Media 30.03.23/3.125% 835,678 1.13300,000 Life Technologies 15.02.24/1.500% 364,125 0.49490,000 Life Technologies 15.06.25/3.250% 587,388 0.80350,000 Rayonier TRS Holdings 15.10.12/3.750% 390,250 0.53485,000 Symantec 15.06.13/1.000% 553,506 0.75225,000 Tech Data 15.12.26/2.750% 235,688 0.32

1,047,000 Vornado Realty 15.04.25/3.875% 1,170,023 1.58

6,654,738 9.01

NETHERLANDS ANTILLES215,000 Teva Pharmaceutical Finance 01.02.26/1.750% 233,544 0.32

233,544 0.32


Investment Funds

LUXEMBOURG0** JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (acc)) 155 0.00

155 0.00

Total Investment Funds 155 0.00


6,888,437 9.33


Cash 17,229,933 23.34



* Variable coupon rates are those quoted as at 31 December 2010.**Fractional Shares rounded to 0.


Fixed Income SecuritiesUnited States of America 14.88Japan 5.75International Agencies 4.61United Kingdom 3.99Australia 2.24France 1.49Netherlands 1.47Singapore 1.09Germany 0.94Cayman Islands 0.67Netherlands Antilles 0.32Total Fixed Income Securities 37.45SharesIndustrials 9.02Materials 6.40Consumer Discretionary 5.31Consumer Staples 4.98Health Care 3.12Information Technology 3.05Energy 2.06Financials 1.82Telecommunication Services 0.67Investment Companies 0.00Total Shares 36.43Cash and Other Assets/(Liabilities) 26.12

Total 100.00


Fixed Income SecuritiesUnited States of America 30.99Australia 5.69Germany 4.31International Agencies 4.18Cayman Islands 2.77Netherlands 1.96France 1.92United Kingdom 1.85Jersey 1.58Panama 1.19Singapore 0.95Netherlands Antilles 0.94Malaysia 0.75Hungary 0.64Canada 0.15Total Fixed Income Securities 59.87SharesInformation Technology 3.16Consumer Staples 2.87Industrials 2.49Investment Companies 2.43Materials 2.27Financials 1.98Energy 1.53Health Care 1.45Consumer Discretionary 0.89Telecommunication Services 0.54Total Shares 19.61Cash Equivalents, Cash and Other Assets/(Liabilities) 20.52

Total 100.00

41




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets




ExpirationDate


NotionalValue


Bond Futures

Mar-11 (13) Euro Buxl 30 Year Bond Future EUR (1,878,846) (1,741)Mar-11 (13) Euro-Bund Future EUR (2,182,004) 14,801Mar-11 (302) Euro-Schatz Future EUR (44,094,036) (295)Mar-11 83 Long Gilt Future GBP 15,445,522 (134,733)Mar-11 449 US 5 Year Note Future USD 52,769,777 (735,160)Mar-11 (344) US 10 Year Note Future USD (41,341,813) 1,025,731

Total Bond Futures168,603

Equity Futures

Mar-11 (394) DJ Euro Stoxx 50 Index Future EUR (14,745,147) 388,079Mar-11 84 Nasdaq 100 Index Future USD 3,715,110 (6,734)Mar-11 (284) SP 500 Emini Future USD (17,757,100) (193,120)Dec-11 194 DJ Euro Stoxx 50 Index Future EUR 3,024,692 149,670Dec-12 75 DJ Euro Stoxx 50 Index Dividend Future EUR 1,135,184 21,712

Total Equity Futures359,607

Total 528,210




AmountSold


24-Jan-11 AUD 4,470,472 USD 4,428,704 110,03124-Jan-11 EUR 3,360,051 USD 4,449,625 51,08924-Jan-11 USD 6,223,623 AUD 6,252,384 (124,232)24-Jan-11 USD 871,738 CAD 878,738 (8,537)24-Jan-11 USD 546,185 CHF 524,830 (16,720)24-Jan-11 USD 11,361,372 EUR 8,486,883 (6,623)24-Jan-11 USD 8,186,006 GBP 5,187,090 107,35724-Jan-11 USD 1,509,016 HKD 11,727,835 (63)24-Jan-11 USD 9,238,988 JPY 768,367,101 (221,208)24-Jan-11 USD 825,112 SGD 1,072,649 (12,470)

Total (121,376)

Schedule of Investments - Outstanding Future Option Contracts (Expressed in USD)

ExpirationDate


MarketValue


21-Jan-11 1,000 US 5 Year Note Future, Call Option, Strike Price 121.5 USD 7,812 (210,847)

Total 7,812 (210,847)

42


Schedule of Investments - Outstanding Financial Option Contracts (Expressed in USD)


ExpirationDate


MarketValue


14-Jan-11 41 Nikkei 225 Index, Call Option, Strike Price 10,000 JPY 124,953 (36,544)14-Jan-11 (81) Nikkei 225 Index, Call Option, Strike Price 10,750 JPY (3,908) 63,89119-Jan-11 (362) VIX Index, Call Option, Strike Price 27.5 USD (14,480) 52,57019-Jan-11 725 VIX Index, Call Option, Strike Price 35 USD 10,875 (56,166)19-Jan-11 1,200 VIX Index, Put Option, Strike Price 20 USD 186,000 -19-Jan-11 958 VIX Index, Put Option, Strike Price 22.5 USD 316,140 59,08821-Jan-11 207 Dax Index, Call Option, Strike Price 7050 EUR 86,923 (55,869)21-Jan-11 (207) Dax Index, Call Option, Strike Price 7200 EUR (31,608) 48,79921-Jan-11 (207) Dax Index, Call Option, Strike Price 7300 EUR (14,418) 36,87621-Jan-11 (400) DJ Euro Stoxx 50, Put Option, Strike Price 2,600 EUR (65,365) (9,644)21-Jan-11 400 DJ Euro Stoxx 50, Put Option, Strike Price 2,800 EUR 326,826 58,93621-Jan-11 (80) Nestlé, Call Option, Strike Price 56 CHF (2,145) 5,23321-Jan-11 (191) Vodafone, Call Option, Strike Price 180 GBP (744) 5,57810-Feb-11 77 Nikkei 225 Index, Call Option, Strike Price 10,500 JPY 97,662 (72,943)10-Feb-11 (116) Nikkei 225 Index, Call Option, Strike Price 11,250 JPY (11,266) 20,38118-Feb-11 612 DJ Euro Stoxx 50, Call Option, Strike Price 3,000 EUR 131,159 (126,240)30-Mar-11 81 H-Shares Index, Put Option, Strike Price 10,800 HKD 45,329 (16,152)30-Mar-11 (41) H-Shares Index, Put Option, Strike Price 11,400 HKD (45,098) 7,64825-Feb-11 131 H-Shares Index, Put Option, Strike Price 21,000 HKD 106,174 (60,413)25-Feb-11 (65) H-Shares Index, Put Option, Strike Price 22,000 HKD (122,924) 44,24218-Jun-11 380 S&P 500 Index, Call Option, Strike Price 1,375 USD 600,400 144,400

Total 1,720,485 113,671

Schedule of Investments - Outstanding Inflation Rate Swaps (Expressed in USD)

TerminationDate Counterparty Description Currency Nominal

MarketValue


17-Aug-14 RBS Receive floating rate USD USCPI 1 month USD 2,800,000 17,452 17,452Pay fixed rate 1.610%

17-Aug-14 RBS Receive fixed rate 1.960% EUR 1,900,000 36,402 36,402Pay floating rate EUR EUHICP 1 month

Total 53,854 53,854

Schedule of Investments - Outstanding Variance Swaps (Expressed in USD)


VarianceAmount

MarketValue


08-Dec-11 BNP Paribas KOSPI 200 Index,Volatility Strike 25.60 KRW 254,952 (43,812) (43,812)16-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.45 USD (163) 52,982 52,98216-Dec-11 BNP Paribas S&P 500 Index,Volatility Strike 29.80 USD (158) 53,517 53,51729-Dec-11 BNP Paribas Hang Sang China Enterprises Index,Volatility Strike 33.95 HKD 951 (28,730) (28,730)

Total 33,957 33,957

43


Schedule of Investments - Outstanding Currency Option Contracts (Expressed in USD)


ExpirationDate Counterparty Description

PutCurrency

ContractSize

CallCurrency

ContractSize

MarketValue


25-Feb-11 BNP Paribas Vanilla AUD/JPY Strike Price 76 AUD 8,118,491 JPY 617,005,316 34,129 (15,457)25-Feb-11 BNP Paribas Vanilla AUD/JPY Strike Price 79 AUD (4,059,245) JPY (320,680,355) (37,150) 12,435

Total (3,021) (3,022)

44


Shares

UNITED STATES OF AMERICA39,200 Apache Preference Shares 2,595,432 0.51

3,187 Bank of America Preference Shares 3,046,740 0.5923,159 Citigroup Preference Shares 3,155,877 0.6226,420 Ford Motor Capital Trust II Preference Shares 1,368,160 0.2656,046 General Motors Preference Shares 3,016,320 0.59

2,272 Wells Fargo & Co Preference Shares 2,285,598 0.45

15,468,127 3.02

BERMUDA17,550 SeaDrill 593,980 0.12

593,980 0.12

Total Shares 16,062,107 3.14

Convertible Bonds

JAPAN889,000,000 Aeon 22.11.12/0.000% 12,875,858 2.52339,000,000 Asahi Breweries 26.05.28/0.000% 4,276,307 0.83620,000,000 Asahi Glass 14.11.12/0.000% 8,012,309 1.57682,000,000 Hitachi 12.12.14/0.100% 11,803,200 2.31305,000,000 Nidec 18.09.15/0.000% 4,070,841 0.80246,000,000 Nippon Meat Packers 03.03.14/0.000% 3,143,131 0.61352,000,000 ORIX 31.03.14/1.000% 5,524,372 1.08

61,000,000 Sawai Pharmaceutical 17.09.15/0.000% 772,950 0.15206,000,000 Softbank 31.03.13/1.500% 3,516,464 0.69166,000,000 Takashimaya 14.11.14/0.000% 2,239,615 0.43410,000,000 Unicharm 24.09.13/0.000% 5,396,012 1.05110,000,000 Unicharm 24.09.15/0.000% 1,472,171 0.29

63,103,230 12.33

FRANCE23,834,300 Air France-KLM 01.04.15/4.970% 5,194,173 1.02

167,415,000 Alcatel-Lucent 01.01.15/5.000% 7,478,538 1.4619,846,000 Altran Technologies 01.01.15/6.720% 1,313,187 0.26

1,882,500 Artemis Conseil 31.07.11/2.000% 3,791,728 0.742,907,200 Cap Gemini 01.01.14/3.500% 1,681,061 0.333,347,277 Club Mediterranee 01.11.15/6.110% 848,818 0.16

8,353,000 Eurazeo 10.06.14/6.250% 6,680,609 1.311,615,000 Iliad 01.01.12/2.200% 2,033,852 0.405,350,300 Misarte 01.01.16/3.250% 11,047,455 2.163,384,000 Nexans 01.01.16/4.000% 3,078,156 0.602,652,700 Orpea 01.01.16/3.875% 1,618,819 0.32

11,362,200 Peugeot 01.01.16/4.450% 5,083,940 0.996,323,000 Publicis Groupe 30.07.14/3.125% 3,479,629 0.6811,321,900 SOITEC 09.09.14/6.250% 1,508,929 0.292,587,500 Technip 01.01.16/0.500% 3,190,640 0.62

58,029,534 11.34

UNITED KINGDOM600,000 Aberdeen Asset Management 17.12.14/3.500% 1,141,171 0.22800,000 British Airways 13.08.14/5.800% 1,967,126 0.39800,000 Misys 22.11.15/2.500% 1,377,007 0.27900,000 Pennon Group 20.08.14/4.625% 1,812,275 0.36

2,500,000 Petropavlovsk 18.02.15/4.000% 2,823,125 0.553,400,000 TUI Travel 05.10.14/6.000% 5,433,086 1.065,800,000 Vedanta Resources Jersey 13.07.16/5.500% 7,176,340 1.401,400,000 Vedanta Resources Jersey II 30.03.17/4.000% 1,436,400 0.28

23,166,530 4.53

SINGAPORE13,250,000 CapitaLand 03.09.16/2.875% 10,670,507 2.092,700,000 Keppel Land 29.11.15/1.875% 2,080,815 0.414,400,000 Olam International 15.10.16/6.000% 6,165,280 1.204,250,000 Yanlord Land Group 13.07.14/5.850% 3,474,743 0.68

22,391,345 4.38

CAYMAN ISLANDS5,200,000 BES Finance 26.02.11/1.250% 5,115,760 1.00

950,000 BES Finance 19.05.15/3.000% 1,065,255 0.215,200,000 China Overseas Finance

Investment Cayman 14.05.14/0.000% 6,474,000 1.264,300,000 EFG Ora Funding III 29.10.14/1.700% 3,674,071 0.726,000,000 Hengdeli Holdings 20.10.15/2.500% 898,329 0.174,000,000 Intime Department Store Group 27.10.13/1.750% 562,221 0.119,000,000 Soho China 02.07.14/3.750% 1,357,567 0.27

1,700,000 Subsea 7 06.06.11/2.800% 1,820,955 0.36

20,968,158 4.10

LUXEMBOURG1,700,000 Acergy 11.10.13/2.250% 2,105,620 0.413,165,000 Actelion Finance 22.11.11/0.000% 3,666,934 0.722,250,000 Ageasfinlux 07.08.49/2.400%* 1,473,667 0.29

40,202 ArcelorMittal 01.04.14/7.250% 1,753,848 0.341,450,000 Controlinveste International

Finance 28.01.15/3.000% 1,739,631 0.345,550,000 Espirito Santo Financial Group 15.11.25/5.050%* 5,494,430 1.071,800,000 Intralot Luxembourg 20.12.13/2.250% 2,237,899 0.441,100,000 TMK Bonds 11.02.15/5.250% 1,206,920 0.24

19,678,949 3.85

NETHERLANDS2,200,000 Celesio Finance 29.10.14/3.750% 3,374,074 0.66

500,000 MTU Aero Engines Finance 01.02.12/2.750% 772,695 0.153,400,000 Portugal Telecom International

Finance 28.08.14/4.125% 4,599,671 0.902,200,000 Q-Cells International Finance 26.05.14/5.750% 2,033,285 0.401,500,000 Salzgitter Finance 08.11.17/2.000% 2,195,566 0.432,350,000 Wereldhave 16.09.14/4.375% 3,438,870 0.67

16,414,161 3.21

JERSEY1,300,000 Dana Gas Sukuk 31.10.12/7.500% 1,224,011 0.245,300,000 International Power Finance

Jersey III 05.06.15/4.750% 7,675,885 1.502,700,000 WPP 19.05.14/5.750% 6,197,442 1.21

15,097,338 2.95

UNITED STATES OF AMERICA1,701,000 Chesapeake Energy 15.11.35/2.750% 1,683,990 0.335,237,000 Chesapeake Energy 15.12.38/2.250% 4,111,045 0.80

612,000 DR Horton 15.05.14/2.000% 696,915 0.143,119,000 Mylan 15.03.12/1.250% 3,321,735 0.65

2,000,000 Swiss Re America Holding 21.11.21/3.250%* 1,937,514 0.38

11,751,199 2.30

GERMANY6,400,000 KfW - Kreditanstalt für

Wiederaufbau 30.07.14/1.500% 9,832,634 1.927,095,300 Q-Cells 21.10.15/6.750% 319,803 0.071,400,000 Steinhoff Finance Holding 22.05.16/5.000% 2,161,203 0.42

12,313,640 2.41

INDIA1,200,000 JSW Steel 28.06.12/0.000% 1,659,000 0.332,700,000 Reliance Communications 01.03.12/0.000% 3,175,875 0.62

262,000 Suzlon Energy 12.06.12/7.500% 314,269 0.06560,000 Suzlon Energy 11.10.12/7.500% 685,300 0.13900,000 Tata Motors 12.07.12/0.000% 1,249,875 0.24500,000 Tata Steel 05.09.12/1.000% 610,000 0.12

2,866,000 Tata Steel 21.11.14/4.500% 3,516,582 0.69

11,210,901 2.19

PORTUGAL7,450,000 Parpublica - Participaçes

Publicas 28.09.17/5.250% 10,320,680 2.02

10,320,680 2.02

MALAYSIA900,000 Cherating Capital 05.07.12/2.000%* 1,174,950 0.23

1,100,000 Rafflesia Capital 04.10.11/1.250%* 1,582,925 0.313,000,000 YTL Finance Labuan 18.03.15/1.875% 3,260,514 0.64

6,018,389 1.18

ISLE OF MAN4,700,000 AngloGold Ashanti Holdings

Finance 22.05.14/3.500% 5,857,375 1.14

5,857,375 1.14

SPAIN1,800,000 Abengoa 03.02.17/4.500% 2,115,661 0.411,600,000 Fomento de Construcciones y

Contratas 30.10.14/6.500% 1,941,238 0.38200,000 Pescanova 05.03.15/6.750% 290,393 0.06750,000 Sol Melia 18.12.14/5.000% 1,076,215 0.21

5,423,507 1.06

45




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

BERMUDA1,276,000 Noble Group 13.06.14/0.000% 2,257,882 0.44

16,100,000 Yue Yuen Industrial Holdings 17.11.11/0.000% 2,475,139 0.49

4,733,021 0.93

SOUTH KOREA300,000 LG Uplus 29.09.12/5.000%* 310,875 0.06

3,400,000 SK Telecom 07.04.14/1.750% 4,135,250 0.81

4,446,125 0.87

BRITISH VIRGIN ISLANDS4,800,000 Glory River Holdings 29.07.15/1.000% 683,804 0.13

570,000 PB Issuer No 2 12.04.16/1.750% 575,136 0.1122,150,000 Sherson 04.06.14/0.000% 3,155,900 0.62

4,414,840 0.86

CANADA2,000,000 First Quantum Minerals 19.06.14/6.000% 4,027,500 0.79

4,027,500 0.79

AUSTRALIA2,300,000 CFS Retail Property Trust 21.08.14/5.075% 2,272,334 0.441,700,000 Commonwealth Property Office

Fund 11.12.16/5.250% 1,630,822 0.32

3,903,156 0.76

SWITZERLAND3,010,000 Swiss Prime Site 20.01.15/1.875% 3,401,016 0.66

3,401,016 0.66

BELGIUM2,250,000 Fortis Bank 19.12.49/3.024%* 1,514,416 0.30

600,000 Nyrstar 10.07.14/7.000% 1,318,421 0.25

2,832,837 0.55

TAIWAN2,100,000 Acer 10.08.15/0.000% 2,367,105 0.46

200,000 Acer 10.08.17/0.000% 235,671 0.05

2,602,776 0.51

AUSTRIA800,000 Immofinanz 19.11.17/1.250% 1,079,597 0.21

1,079,597 0.21

ITALY550,000 Beni Stabili 23.04.15/3.875% 722,700 0.14

722,700 0.14



349,970,611 68.41


Convertible Bonds

UNITED STATES OF AMERICA6,966,000 Alcatel-Lucent USA 15.06.25/2.875% 6,600,285 1.293,055,000 Beckman Coulter 15.12.36/2.500% 3,520,888 0.692,218,000 Best Buy 15.01.22/2.250% 2,364,943 0.461,973,000 Boston Properties 15.05.36/3.750% 2,190,030 0.434,841,000 Cephalon 01.05.14/2.500% 5,530,843 1.08

940,000 Corporate OfficeProperties 144A 15.04.30/4.250% 962,325 0.19

1,827,000 EMC/Massachusetts 01.12.11/1.750% 2,646,592 0.523,631,000 EMC/Massachusetts 01.12.13/1.750% 5,491,888 1.075,398,000 Gilead Sciences 01.05.11/0.500% 5,573,435 1.093,622,000 Gilead Sciences 01.05.13/0.625% 4,011,365 0.78

452,000 Health Care REIT 01.12.26/4.750% 502,850 0.103,141,000 Health Care REIT 01.12.29/3.000% 3,376,575 0.66

2,394,000 Intel 15.12.35/2.950% 2,396,992 0.477,656,000 Intel 01.08.39/3.250% 9,215,910 1.803,703,000 International Game Technology 01.05.14/3.250% 4,272,336 0.84

894,000 Lennar 144A 01.12.20/2.000% 889,530 0.17438,000 Lennar 144A 15.12.20/2.750% 477,968 0.09

4,433,000 Liberty Media 30.03.23/3.125% 4,992,666 0.984,034,000 Life Technologies 15.02.24/1.500% 4,896,267 0.962,091,000 Micron Technology 01.06.14/1.875% 1,965,540 0.388,342,000 Microsoft 144A 15.06.13/0.000% 8,988,505 1.761,446,000 NetApp 01.06.13/1.750% 2,579,302 0.503,666,000 Newmont Mining 15.07.14/1.250% 5,256,127 1.03

1,399,000 Peabody Energy 15.12.41/4.750% 1,822,197 0.361,065,000 ProLogis 15.03.15/3.250% 1,184,812 0.232,550,000 RadioShack 144A 01.08.13/2.500% 2,750,812 0.542,764,000 Rayonier TRS Holdings 15.10.12/3.750% 3,081,860 0.60

902,000 SanDisk 15.08.17/1.500% 1,031,663 0.202,102,000 Stanley Black & Decker 17.05.12/0.000%* 2,433,065 0.476,528,000 Symantec 15.06.13/1.000% 7,450,080 1.464,620,000 Teva Pharmaceutical Finance 01.02.26/0.250% 5,422,725 1.063,285,000 Vornado Realty 15.04.25/3.875% 3,670,987 0.725,289,000 Xilinx 15.03.37/3.125% 5,540,227 1.08

123,091,590 24.06

BERMUDA2,400,000 Frontline/Bermuda 14.04.15/4.500% 2,268,000 0.44

800,000 SeaDrill 08.11.12/3.625% 988,000 0.192,600,000 Seadrill 27.10.17/3.375% 2,891,200 0.57

6,147,200 1.20

CANADA987,000 Goldcorp 01.08.14/2.000% 1,205,374 0.23

5,000,000 PetroBakken Energy 08.02.16/3.125% 4,743,750 0.93

5,949,124 1.16

LUXEMBOURG4,100,000 ArcelorMittal 15.05.14/5.000% 5,909,125 1.16

5,909,125 1.16

NORWAY1,400,000 Marine Harvest 23.02.15/4.500% 2,294,813 0.451,300,000 Renewable Energy 04.06.14/6.500% 1,508,388 0.29

3,803,201 0.74

SOUTH KOREA1,100,000 KCC 06.05.14/3.500% 2,402,125 0.47

2,402,125 0.47

BAHAMAS1,500,000 Petrominerales 25.08.16/2.625% 1,692,305 0.33

1,692,305 0.33

MEXICO1,300,000 Cemex SAB de 144A 15.03.15/4.875% 1,428,375 0.28

1,428,375 0.28

SWEDEN9,000,000 SAS 01.04.15/7.500% 1,218,521 0.24

1,218,521 0.24

NETHERLANDS ANTILLES1,043,000 Teva Pharmaceutical Finance 01.02.26/1.750% 1,132,959 0.22

1,132,959 0.22

FINLAND300,000 Talvivaara Mining 16.12.15/4.000% 419,054 0.08

419,054 0.08


Investment Funds



10,350,000 2.02



163,543,579 31.96


Cash 342,371 0.07



* Variable coupon rates are those quoted as at 31 December 2010.

46




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 26.36Japan 12.33France 11.34Luxembourg 5.01United Kingdom 4.53Singapore 4.38Cayman Islands 4.10Netherlands 3.21Jersey 2.95Germany 2.41India 2.19Bermuda 2.13Portugal 2.02Canada 1.95South Korea 1.34Malaysia 1.18Isle of Man 1.14Spain 1.06British Virgin Islands 0.86Australia 0.76Norway 0.74Switzerland 0.66Belgium 0.55Taiwan 0.51Bahamas 0.33Mexico 0.28Sweden 0.24Netherlands Antilles 0.22Austria 0.21Italy 0.14Finland 0.08Total Fixed Income Securities 95.21SharesInvestment Companies 2.02Financials 1.66Consumer Discretionary 0.85Energy 0.63Total Shares 5.16Cash and Other Assets/(Liabilities) (0.37)

Total 100.00


Fixed Income SecuritiesUnited States of America 32.96Japan 8.68France 8.28Cayman Islands 5.47Luxembourg 4.67Netherlands 4.67United Kingdom 3.62Germany 3.53Singapore 3.08South Korea 2.29Jersey 2.18Malaysia 1.92India 1.82Isle of Man 1.36Bermuda 1.31Belgium 1.21Canada 1.17Panama 1.14Spain 1.00Aruba 0.86Hungary 0.68Australia 0.53Norway 0.51Switzerland 0.45British Virgin Islands 0.43China 0.36Netherlands Antilles 0.27Austria 0.20Mexico 0.18Italy 0.13Sweden 0.13Total Fixed Income Securities 95.09SharesFinancials 1.64Consumer Discretionary 0.22Total Shares 1.86Bank Overdraft and Other Assets/(Liabilities) 3.05

Total 100.00

47




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets






AmountSold


24-Jan-11 USD 1,811,048 AUD 1,841,484 (58,555)24-Jan-11 USD 5,388,545 CHF 5,289,638 (284,849)24-Jan-11 USD 133,410,954 EUR 101,005,317 (1,883,468)24-Jan-11 USD 16,349,402 GBP 10,324,134 270,04824-Jan-11 USD 7,329,835 HKD 56,969,674 (738)24-Jan-11 USD 59,755,042 JPY 5,014,882,106 (1,988,588)24-Jan-11 USD 14,967,375 SGD 19,562,778 (308,288)

Total (4,254,438)

48


Shares

UNITED STATES OF AMERICA21,304 Abbott Laboratories 1,016,520 1.9319,112 Bristol-Myers Squibb 504,652 0.967,864 Chevron 715,978 1.3617,957 Coca-Cola 1,176,094 2.2410,071 ConocoPhillips 686,792 1.31

20,464 EI du Pont de Nemours & Co. 1,015,935 1.9454,105 Frontier Communications 525,630 1.00

4,912 International Business Machines 717,741 1.3712,639 McDonald’s 965,556 1.8438,156 Merck & Co. 1,375,142 2.6221,993 Microsoft 610,856 1.1613,357 Paychex 411,863 0.7850,319 Pfizer 880,834 1.6813,115 Philip Morris International 765,457 1.46

26,149 Sysco 767,604 1.4638,044 Time Warner 1,221,403 2.3324,083 Verizon Communications 862,171 1.64

7,217 VF 625,209 1.1943,422 Xcel Energy 1,022,371 1.95

15,867,808 30.22

UNITED KINGDOM26,641 British American Tobacco 1,022,735 1.95

148,601 Centrica 770,120 1.4660,497 GlaxoSmithKline 1,169,000 2.2399,689 HSBC Holdings 1,011,841 1.9390,333 International Power 617,584 1.1887,864 National Grid 758,921 1.44291,501 Vodafone Group 753,304 1.43

6,103,505 11.62

FRANCE11,614 BNP Paribas 741,806 1.4110,027 Compagnie de Saint-Gobain 517,014 0.9830,332 GDF Suez 1,090,664 2.084,736 PPR 755,527 1.445,335 Schneider Electric 802,135 1.539,753 Sodexho 675,979 1.29

14,584 Total 774,886 1.483,296 Unibail-Rodamco 653,726 1.24

6,011,737 11.45

NETHERLANDS57,383 Koninklijke KPN 841,251 1.6126,920 Koninklijke Philips Electronics 826,629 1.5747,117 Royal Dutch Shell - A Shares 1,572,103 2.99

28,356 Unilever - CVA 888,196 1.69

4,128,179 7.86

GERMANY7,298 Allianz Registered Shares 867,852 1.65

13,879 BASF 1,113,462 2.1214,245 Daimler Registered Shares 970,432 1.856,188 Siemens Registered Shares 771,205 1.47

3,722,951 7.09

AUSTRALIA13,998 Macquarie Group 529,716 1.0161,358 QBE Insurance Group 1,137,697 2.17

201,771 Tatts Group 528,886 1.00

2,196,299 4.18

JAPAN17,400 Canon 902,234 1.7255,100 Sumitomo 779,634 1.48

1,681,868 3.20

SPAIN75,219 BSCH 798,964 1.5333,513 Telefonica 761,878 1.45

1,560,842 2.98

SINGAPORE66,000 Singapore Airlines 790,021 1.50

309,000 Singapore Telecommunications 738,299 1.41

1,528,320 2.91

CHINA851,340 China Construction Bank - H Shares * 762,834 1.45542,000 Zhejiang Expressway - H Shares * 534,462 1.02

1,297,296 2.47

SWITZERLAND4,355 Zurich Financial Services 1,131,245 2.15

1,131,245 2.15

HONG KONG99,000 Hutchison Whampoa 1,020,809 1.95

1,020,809 1.95

TAIWAN62,897 Taiwan Semiconductor Manufacturing ADR 783,382 1.49

783,382 1.49

ITALY35,242 ENI 770,856 1.47

770,856 1.47

PANAMA14,871 Carnival 680,794 1.30

680,794 1.30

INDONESIA18,948 Telekomunikasi Indonesia ADR 673,696 1.28

673,696 1.28

BRAZIL17,037 Vale Preference Shares ADR 511,280 0.97

511,280 0.97

NORWAY447,448 Marine Harvest 473,054 0.90

473,054 0.90

AUSTRIA13,177 Oesterreichische Post 436,042 0.83

436,042 0.83

SOUTH AFRICA54,662 African Bank Investments 319,431 0.61

319,431 0.61

Total Shares 50,899,394 96.93


50,899,394 96.93


Investment Funds

LUXEMBOURG750,000 JPMorgan Liquidity Funds - US Dollar Liquidity Fund

(JPM US Dollar Liquidity X (dist)) 750,000 1.43

750,000 1.43



750,000 1.43


Cash 756,209 1.44




49




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesFinancials 17.10Consumer Discretionary 10.95Industrials 9.90Telecommunication Services 9.82Consumer Staples 9.70Health Care 9.42Energy 8.61Utilities 8.11Information Technology 7.31Materials 6.01Investment Companies 1.43Total Shares 98.36Cash and Other Assets/(Liabilities) 1.64

Total 100.00


SharesFinancials 16.81Consumer Discretionary 12.92Health Care 11.52Consumer Staples 10.64Energy 8.68Industrials 8.63Information Technology 8.06Utilities 7.94Telecommunication Services 7.05Materials 4.38Total Shares 96.63Cash and Other Assets/(Liabilities) 3.37

Total 100.00

50




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets






AmountSold


11-Jan-11 EUR 33,219 AUD 45,037 (1,309)11-Jan-11 EUR 188,666 GBP 160,618 2,52611-Jan-11 EUR 138,732 JPY 15,406,781 (3,835)11-Jan-11 EUR 41,209 SGD 71,427 (576)11-Jan-11 EUR 5,112,090 USD 6,781,899 65,49111-Jan-11 GBP 38,246 EUR 45,498 (1,369)11-Jan-11 USD 394,243 AUD 401,417 (14,018)11-Jan-11 USD 232,171 CHF 227,708 (12,020)11-Jan-11 USD 59,505 EUR 44,930 (677)11-Jan-11 USD 1,536,907 GBP 980,339 9,91011-Jan-11 USD 205,151 HKD 1,592,492 26111-Jan-11 USD 145,269 JPY 12,034,063 (2,872)11-Jan-11 USD 68,625 NOK 414,271 (2,400)11-Jan-11 USD 242,712 SGD 316,902 (4,742)10-Feb-11 EUR 52,122 USD 69,054 761

Total 35,131

51


Bonds

UNITED STATES OF AMERICA175,000 Altria Group 10.11.18/9.700% 171,360 0.7150,000 American Express Credit 25.08.14/5.125% 40,068 0.1760,000 AT&T 15.05.36/6.800% 49,218 0.20215,000 Bank of America 15.06.12/3.125% 166,186 0.69175,000 Capital One Financial 23.05.14/7.375% 148,351 0.6235,000 CBS 15.10.40/5.900% 25,007 0.1075,000 Citigroup 22.05.19/8.500% 69,171 0.2975,000 Citigroup 04.09.19/7.375% 84,094 0.3535,000 ConocoPhillips 01.02.39/6.500% 30,790 0.13

140,000 Crédit Suisse/New York 15.02.18/6.000% 112,390 0.4750,000 Darden Restaurants 15.10.37/6.800% 39,958 0.1790,000 Entergy Arkansas 15.02.21/3.750% 64,416 0.2750,000 Enterprise Products Operating 15.04.38/7.550% 44,502 0.18

165,000 General Electric 06.12.17/5.250% 133,111 0.55120,000 General Electric Capital 14.01.38/5.875% 91,750 0.3860,000 Goldman Sachs Group 18.01.18/5.950% 48,498 0.20

100,000 Goldman Sachs Group 01.04.18/6.150% 81,749 0.34110,000 International Paper 15.06.18/7.950% 97,235 0.4030,000 International Paper 15.11.39/7.300% 25,210 0.1160,000 Kraft Foods 10.02.20/5.375% 48,121 0.2060,000 Kraft Foods 11.08.37/7.000% 52,136 0.22

100,000 Kroger 15.08.17/6.400% 84,785 0.35300,000 Merrill Lynch & Co. 12.12.14/5.750% 363,756 1.51

50,000 MetLife 15.02.19/7.717% 45,703 0.19100,000 Morgan Stanley 26.01.20/5.500% 75,254 0.31

55,000 Nevada Power 15.03.19/7.125% 48,240 0.2080,000 Occidental Petroleum 01.02.21/4.100% 60,255 0.2560,000 Pacific Gas & Electric 15.01.40/5.400% 44,317 0.18

145,000 Philip Morris International 17.03.14/6.875% 124,391 0.5270,000 Philip Morris International 16.05.18/5.650% 59,195 0.25

165,000 Plains All American Pipeline 01.05.18/6.500% 137,539 0.57150,000 SES Global Americas Holdings 09.07.14/4.875% 159,924 0.6670,000 Tennessee Valley Authority 15.09.39/5.250% 54,857 0.2320,000 Time Warner Entertainment 15.07.33/8.375% 18,561 0.0830,000 Verizon Communications 01.11.18/8.750% 29,218 0.1280,000 Verizon Communications 01.04.19/6.350% 68,876 0.29

160,000 Verizon Wireless Capital 01.02.14/5.550% 131,251 0.5545,000 Watson Pharmaceuticals 15.08.19/6.125% 37,090 0.15

235,000 Williams Partners 01.02.17/7.250% 203,409 0.85

3,369,942 14.01

UNITED KINGDOM100,000 Abbey National Treasury Services 18.03.13/2.500% 100,253 0.42199,000 Abbey National Treasury Services 30.06.14/3.125% 198,979 0.83100,000 Abbey National Treasury Services 08.06.15/3.375% 99,711 0.41200,000 AWG 21.08.23/6.875%* 272,691 1.13

50,000 Barclays Bank 07.10.19/4.000% 50,332 0.21200,000 Barclays Bank 31.12.49/4.875%* 156,900 0.65100,000 BAT International Finance 12.12.19/6.375% 130,805 0.54

75,000 BMW UK Capital 02.10.17/5.000% 93,337 0.39175,000 British Telecommunications 07.12.16/8.750% 244,650 1.0250,000 HSBC Holdings 10.06.19/6.000% 53,327 0.22

100,000 Imperial Tobacco Finance 17.02.22/9.000% 150,542 0.6350,000 Legal & General Group 08.06.25/4.000%* 45,126 0.19

200,000 Lloyds TSB Bank 17.03.15/3.375% 200,306 0.83235,000 Nationwide Building Society 14.09.15/2.875% 231,422 0.96350,000 Network Rail Infrastructure

Finance 17.06.13/3.500% 275,555 1.1534,000 OTE 05.08.13/5.000% 32,384 0.13

100,000 Standard Chartered 144A 18.11.14/5.500% 80,751 0.34200,000 Standard Chartered Bank 28.03.18/1.314%* 187,664 0.78109,000 UBS/London 21.01.13/2.375% 110,243 0.46100,000 UBS/London 06.10.14/3.000% 101,962 0.42125,000 UK Treasury 07.09.39/4.250% 147,018 0.61189,000 West Bromwich Building Society 05.04.12/2.000% 221,970 0.92

3,185,928 13.24

JAPAN55,000,000 Japan (Government of) 20.09.14/1.500% 527,748 2.2054,800,000 Japan (Government of) 20.03.20/1.300% 515,682 2.14

5,000,000 Japan (Government of) 20.09.35/2.500% 50,756 0.21

1,094,186 4.55

NETHERLANDS250,000 Fortis Bank Nederland 17.04.12/3.000% 255,918 1.06100,000 ING Bank 30.09.14/3.000% 102,046 0.42450,000 LeasePlan 22.05.14/3.250% 468,574 1.95235,000 Shell International Finance 28.06.15/3.100% 179,774 0.75

1,006,312 4.18

FRANCE150,000 BNP Paribas Home Loan Covered

Bonds 12.01.17/3.375% 151,787 0.63200,000 Caisse d’Amortissement de la

Dette Sociale 25.04.15/3.625% 211,054 0.88100,000 Caisse Refinancement de

l’Habitat 08.04.19/5.000% 110,078 0.46100,000 Casino Guichard Perrachon 12.11.18/4.481% 100,976 0.4250,000 Crédit Agricole Covered Bonds 21.07.14/3.500% 51,805 0.2154,000 PPR 03.04.14/8.625% 63,412 0.2636,000 PPR 08.04.15/3.750% 36,696 0.15

150,000 RCI Banque 27.01.15/4.375% 153,587 0.64

879,395 3.65

GERMANY46,000 Deutsche Pfandbriefbank 15.09.14/3.125% 46,936 0.19

150,000 Germany (Federal Republic of) 04.01.37/4.000% 162,993 0.68160,000 KfW - Kreditanstalt fuer

Wiederaufbau 21.01.19/3.875% 168,067 0.7060,000 Merck Financial Services 24.03.20/4.500% 61,605 0.26

439,601 1.83

SWEDEN250,000 Swedbank 02.12.11/3.625% 255,838 1.0690,000 Vattenfall Treasury 19.05.14/4.250% 95,570 0.40

351,408 1.46

SOUTH KOREA503,000,000 Korea (Republic of) 10.06.12/4.000% 338,348 1.41

338,348 1.41

SOUTH AFRICA3,100,000 South Africa (Republic of) 28.02.31/7.000% 304,837 1.27

304,837 1.27

FINLAND200,000 Nordea Bank Finland 16.11.15/2.250% 195,692 0.81100,000 OP Mortgage Bank 19.11.14/3.125% 102,631 0.43

298,323 1.24

CANADA95,000 Canadian Natural Resources 01.12.14/4.900% 77,157 0.3255,000 Canadian Pacific Railway 15.05.19/7.250% 48,715 0.195,000 Nexen 10.03.35/5.875% 3,440 0.02

110,000 Suncor Energy 01.06.18/6.100% 93,639 0.3950,000 Suncor Energy 15.06.38/6.500% 41,092 0.17

264,043 1.09

MEXICO3,800,000 Mexico (United Mexican States) 19.12.13/8.000% 243,870 1.01

243,870 1.01

ISRAEL1,000,000 Israel (State of) 28.02.19/6.000% 241,508 1.00

241,508 1.00

CAYMAN ISLANDS110,000 Allstate Life Funding 17.01.11/6.375% 128,096 0.53120,000 Vale Overseas 15.09.19/5.625% 95,395 0.40

223,491 0.93

BRAZIL27,500 Brazil (Republic of) 01.01.13/10.000% 124,840 0.52

100,000 Brazil (Republic of) 17.01.17/6.000% 84,363 0.35

209,203 0.87

LUXEMBOURG83,000 Dexia LDG Banque 09.11.12/2.625% 84,374 0.35

150,000 Telecom Italia Capital 18.06.14/6.175% 119,048 0.50

203,422 0.85

SPAIN150,000 Fund for Ordered Bank

Restructuring 19.11.14/3.000% 140,414 0.5875,000 Telefonica Emisiones 27.04.20/5.134% 53,979 0.23

194,393 0.81

52




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

DENMARK80,000 Carlsberg Breweries 13.10.17/3.375% 77,533 0.3250,000 DONG Energy 07.05.14/4.875% 53,712 0.23

131,245 0.55


108,050 0.45

INTERNATIONAL AGENCIES100,000 Eurasian Development

Bank 144A 29.09.14/7.375% 80,620 0.34

80,620 0.34

BERMUDA40,000 Tyco International Finance 15.12.19/7.000% 35,013 0.1445,000 Weatherford International

Bermuda 15.09.40/6.750% 34,872 0.14

69,885 0.28


62,049 0.26

Total Bonds 13,300,059 55.28


13,300,059 55.28


Bonds

UNITED STATES OF AMERICA60,000 ACE Securities 2005-HE4 M1 25.07.35/0.761%* 43,724 0.1842,406 Ally Auto Receivables Trust

2010-1 A2 15.04.12/0.750% 31,669 0.1375,000 Anheuser-Busch InBev

Worldwide 144A 15.01.14/7.200% 63,752 0.26135,000 Anheuser-Busch InBev

Worldwide 144A 15.01.19/7.750% 124,694 0.5234,931 Asset Backed Funding

Certificates 2005-HE2 M1 25.06.35/0.741%* 25,714 0.1147,869 Banc of America Mortgage

Securities 2004-5 3A2 25.06.19/4.750% 37,128 0.154,446 Banc of America Mortgage

Securities 2005-3 1A31 25.04.35/5.500% 3,312 0.0125,000 Bear Stearns Commercial

Mortgage Securities2006-PW12 AM 11.09.38/5.761%* 19,358 0.08

100,000 Burlington Northern Santa Fe 01.05.40/5.750% 76,849 0.32235,000 Capital One Multi-Asset Execution

Trust 2006-A4 A4 16.12.13/0.300%* 175,413 0.7355,000 Cisco Systems 15.01.40/5.500% 42,737 0.18

380,000 Citibank Omni Master Trust2009-A8 A8 16.05.16/2.360%* 287,329 1.19

50,000 Comcast 15.11.17/6.300% 42,445 0.18180,000 Comcast 01.03.20/5.150% 140,790 0.59

72,822 Credit Suisse First BostonMortgage Securities Corp2004-3 2A1 25.04.19/5.000% 55,803 0.23

100,000 Crédit Suisse/New York 15.05.13/5.000% 80,236 0.3345,000 DCP Midstream 144A 15.03.19/9.750% 42,542 0.1875,000 DirecTV Holdings/DirecTV

Financing 15.05.16/7.625% 62,049 0.265,000 Discovery Communications 01.06.40/6.350% 4,013 0.02

115,000 Fannie Mae 22.02.13/1.750% 87,582 0.36300,653 Fannie Mae Pool No: 889183 01.09.21/5.500% 241,610 1.00174,473 Fannie Mae Pool No: AC6082 01.11.24/4.500% 136,985 0.57218,682 Fannie Mae REMICS 2006-78 BC 25.01.34/6.500% 168,016 0.70497,278 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 37,888 0.16130,000 Federal Home Loan Banks 11.07.11/0.162%* 97,029 0.40

10,711 First Union National Bank-Bankof America Commercial MortgageTrustBank 2001-C1 A2 15.03.33/6.136% 7,991 0.03

290,000 Freddie Mac 18.10.16/5.125% 245,172 1.02160,000 Greenwich Capital Commercial

Funding 2005-GG3 A4 10.08.42/4.799%* 125,927 0.52707,812 Harborview Mortgage Loan Trust

2005-11 2A1A 19.08.45/0.571%* 378,537 1.5795,000 Health Care REIT 15.01.21/4.950% 68,607 0.29417,591 Indymac Index Mortgage Loan

Trust 2004-AR14 2A1A 25.01.35/0.621%* 202,930 0.84103,642 JP Morgan Mortgage Trust

2005-S2 1A1 25.08.20/4.500% 79,190 0.33260,000 LB-UBS Commercial Mortgage

Trust 2005-C1 A4 15.02.30/4.742% 203,040 0.84

100,000 LG&E and KU Energy 144A 15.11.15/2.125% 71,514 0.30570,000 MBNA Credit Card Master Trust 17.02.16/5.450% 659,889 2.74230,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 184,303 0.77190,000 Morgan Stanley 13.05.14/6.000% 152,900 0.64

53,081 Morgan Stanley ABS Capital I2004-SD2 A 25.04.34/0.711%* 33,540 0.14

110,000 Morgan Stanley Capital I2005-HQ7 A4 14.11.42/5.191%* 88,240 0.37

90,000 NBC Universal 144A 01.04.21/4.375% 65,047 0.27528,180 New Century Home Equity Loan

Trust 2005-4 A2B 25.09.35/0.531%* 380,650 1.5880,000 News America 15.11.37/6.650% 65,591 0.2710,000 News America 01.03.39/7.850% 9,218 0.0450,000 Oncor Electric Delivery 144A 30.09.40/5.250% 35,527 0.1535,000 Oracle 08.07.39/6.125% 29,054 0.1240,000 Park Place Securities

2005-WHQ3 M1 25.06.35/0.681%* 27,786 0.12180,000 Prudential Financial 15.06.19/7.375% 157,906 0.66150,501 Residential Asset Mortgage


Securities I 2006-S12 2A2 25.12.36/6.000% 37,465 0.1695,000 Roche Holdings 144A 01.03.19/6.000% 82,299 0.3471,378 Structured Asset Securities

2005-WF4 A4 25.11.35/0.621%* 48,434 0.20100,000 UBS/Stamford 25.04.18/5.750% 80,721 0.34

65,000 UnitedHealth Group 15.10.40/5.700% 47,873 0.2061,000 US Treasury (i) 10.02.11/0.000% 45,533 0.1935,000 US Treasury 31.07.11/4.875% 26,832 0.11

105,000 US Treasury (i) 31.01.12/4.750% 82,089 0.3435,000 US Treasury 15.09.13/0.750% 26,024 0.1120,000 US Treasury 31.03.14/1.750% 15,211 0.06

489,000 US Treasury 31.10.15/1.250% 352,811 1.47130,000 US Treasury (i) 15.02.17/4.625% 109,111 0.45

15,000 US Treasury 28.02.17/3.000% 11,531 0.0510,000 US Treasury 15.08.20/2.625% 7,063 0.0355,000 US Treasury 15.11.20/2.625% 38,643 0.1675,000 US Treasury 15.02.31/5.375% 65,066 0.2740,000 US Treasury 15.08.40/3.875% 27,348 0.11

325,000 Wachovia Bank CommercialMortgage Trust 2005-C21 A4 15.10.44/5.204%* 261,852 1.09

75,000 Wells Fargo Home Equity Trust2004-2 AI6 25.05.34/5.000%* 57,560 0.24

66,668 Wells Fargo Mortgage BackedSecurities Trust 2005-2 2A1 25.04.20/4.750% 51,140 0.21

50,000 Xcel Energy 15.05.20/4.700% 38,677 0.16

7,010,311 29.14

CANADA25,000 Agrium 15.01.41/6.125% 19,434 0.08

127,000 Canada (Government of) 01.06.33/5.750% 126,653 0.53116,000 Canada (Government of) 01.06.37/5.000% 107,317 0.4540,000 Xstrata Finance Canada 144A 15.11.16/5.800% 32,707 0.1335,000 Xstrata Finance Canada 144A 15.11.37/6.900% 28,310 0.12

314,421 1.31

FRANCE360,000 Dexia Credit Local 23.09.11/2.375% 271,420 1.13

271,420 1.13

MEXICO200,000 America Movil 30.03.20/5.000% 156,101 0.65100,000 Grupo Bimbo 144A 30.06.20/4.875% 75,259 0.31

231,360 0.96

SWEDEN115,000 Svenska Handelsbanken 144A 10.06.14/4.875% 91,580 0.38

91,580 0.38


International 144A 11.09.15/4.625% 78,765 0.33

78,765 0.33

BELGIUM75,000 Delhaize Group 144A 01.10.40/5.700% 53,468 0.22

53,468 0.22

Total Bonds 8,051,325 33.47

53




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

Investment Funds

LUXEMBOURG45 JPMorgan Liquidity Funds - Euro Liquidity Fund (JPM

Euro Liquidity X (acc)) 620,876 2.58

620,876 2.58



8,672,201 36.05


Bonds

UNITED STATES OF AMERICA750,000 Lehman Brothers Holdings

(Defaulted) 03.04.09/0.000%* 130,884 0.54520,000 Lehman Brothers Holdings

Capital Trust VII (Defaulted) 31.12.49/5.857%* 116 0.00

131,000 0.54




Cash 1,213,988 5.05



* Variable coupon rates are those quoted as at 31 December 2010.(i) Security partially or totally held as collateral against futures positions by the broker.


Fixed Income SecuritiesUnited States of America 43.69United Kingdom 13.24France 4.78Japan 4.55Netherlands 4.18Canada 2.40Mexico 1.97Sweden 1.84Germany 1.83South Korea 1.41South Africa 1.27Cayman Islands 1.26Finland 1.24Israel 1.00Brazil 0.87Luxembourg 0.85Spain 0.81Denmark 0.55Russia 0.45International Agencies 0.34Bermuda 0.28Isle of Man 0.26Belgium 0.22Total Fixed Income Securities 89.29Investment FundsLuxembourg 2.58Total Investment Funds 2.58Cash and Other Assets/(Liabilities) 8.13

Total 100.00


Fixed Income SecuritiesUnited States of America 45.70United Kingdom 13.05France 5.73Japan 4.96Netherlands 4.80Germany 3.27Canada 2.67Sweden 1.91Mexico 1.57South Korea 1.42Luxembourg 1.29Italy 1.27Cayman Islands 1.16Israel 1.01Spain 1.00Brazil 0.89International Agencies 0.85Denmark 0.70Australia 0.69Russia 0.50Finland 0.44Ireland 0.34Bermuda 0.17Total Fixed Income Securities 95.39Investment FundsLuxembourg 1.40Total Investment Funds 1.40Cash and Other Assets/(Liabilities) 3.21

Total 100.00

54




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Schedule of Investments - Outstanding To be Announced Securities (Expressed in EUR)



NominalValue

MarketValue




25-Jan-26 Fannie Mae 4.000% 720,000 552,232 (4,906)15-Jan-39 Freddie Mac 5.000% 550,000 429,158 28515-Jan-39 Freddie Mac 6.000% 305,000 246,029 64015-Jan-39 Ginnie Mae 5.000% 540,000 427,214 1,76415-Jan-39 Ginnie Mae 6.000% 160,000 131,192 41125-Jan-39 Fannie Mae 5.000% 340,000 266,012 (657)25-Jan-39 Fannie Mae 6.500% 295,000 244,569 1,06715-Jan-41 Freddie Mac 4.500% 600,000 456,974 (2,310)15-Jan-41 Freddie Mac 5.500% 460,000 365,479 1,26115-Jan-41 Freddie Mac 6.500% 120,000 99,206 44815-Jan-41 Ginnie Mae 4.000% 485,000 363,616 2,32015-Jan-41 Ginnie Mae 4.500% 480,000 370,731 1,54025-Jan-41 Fannie Mae 4.000% 2,190,000 1,617,627 (14,882)25-Jan-41 Fannie Mae 4.500% 20,000 15,270 (149)25-Jan-41 Fannie Mae 5.500% 1,035,000 825,467 (1,335)25-Jan-41 Fannie Mae 6.000% 375,000 303,850 1,138

Total 6,714,626 (13,365)


ExpirationDate


NotionalValue


Bond Futures

Mar-11 2 Australia 10 Year Bond Future AUD 157,014 1,579Mar-11 5 Canada 10 Year Bond Future CAD 457,192 (262)Mar-11 (8) Euro-Bobl Future EUR (950,240) 750Mar-11 4 Euro-Bund Future EUR 501,240 (3,400)Mar-11 18 Euro-Schatz Future EUR 1,962,090 (270)Mar-11 (2) Long Gilt Future GBP (277,919) 2,047Mar-11 (27) US 2 Year Note Future USD (4,409,459) 11,490Mar-11 (30) US 5 Year Note Future USD (2,632,202) 52,698Mar-11 (6) US 10 Year Note Future USD (538,304) 18,087Mar-11 1 US Long Bond Future USD 90,756 (4,281)

Total 78,438






AmountSold


06-Jan-11 AUD 123,819 CAD 123,427 1,73706-Jan-11 AUD 468,341 EUR 344,161 11,67706-Jan-11 AUD 29,921 NZD 38,890 19206-Jan-11 CAD 170,083 AUD 173,074 (4,255)06-Jan-11 CAD 55,550 EUR 41,611 (53)06-Jan-11 CHF 41,426 NZD 56,380 48506-Jan-11 EUR 45,124 AUD 61,964 (1,955)06-Jan-11 EUR 75,416 CAD 101,156 (261)06-Jan-11 EUR 271,773 CHF 352,541 (10,455)06-Jan-11 EUR 2,784,236 GBP 2,331,565 72,80406-Jan-11 EUR 1,854,059 JPY 201,041,883 6,49706-Jan-11 EUR 395,844 NOK 3,102,571 (1,346)06-Jan-11 EUR 58,586 NZD 102,732 (959)06-Jan-11 EUR 13,365,179 USD 17,354,294 408,89706-Jan-11 EUR 305,093 ZAR 2,841,120 (14,813)06-Jan-11 GBP 41,346 AUD 67,624 (3,298)06-Jan-11 GBP 115,000 EUR 135,586 (1,850)06-Jan-11 GBP 58,573 USD 92,060 (614)06-Jan-11 JPY 176,469,202 EUR 1,625,964 (4,223)

55






AmountSold


06-Jan-11 JPY 3,284,542 GBP 25,165 91906-Jan-11 JPY 11,064,024 NZD 177,472 (1,187)06-Jan-11 JPY 12,895,691 USD 153,931 3,59006-Jan-11 MXN 6,597,728 EUR 403,878 (5,780)06-Jan-11 NOK 3,102,571 EUR 383,800 13,39106-Jan-11 NZD 139,546 AUD 108,385 (1,467)06-Jan-11 NZD 129,706 CAD 97,712 2,07806-Jan-11 NZD 149,896 EUR 87,097 (215)06-Jan-11 USD 34,339 AUD 34,413 (510)06-Jan-11 USD 174,060 CAD 175,482 (1,334)06-Jan-11 USD 951,125 EUR 718,883 (8,796)06-Jan-11 USD 31,882 JPY 2,671,576 (749)06-Jan-11 USD 57,388 MXN 711,300 (74)06-Jan-11 USD 32,554 NZD 43,674 (1,010)07-Jan-11 EUR 281,620 SEK 2,538,135 (1,057)07-Jan-11 SEK 975,037 EUR 106,215 2,37607-Jan-11 SEK 1,563,098 NOK 1,360,008 (17)03-Feb-11 AUD 27,915 EUR 21,351 (221)03-Feb-11 EUR 1,302,714 JPY 140,767,614 8,68103-Feb-11 EUR 86,903 NZD 149,896 22703-Feb-11 EUR 117,881 USD 154,568 2,48903-Feb-11 NOK 2,348,116 EUR 300,262 (101)03-Feb-11 NOK 264,435 USD 44,111 87203-Feb-11 NZD 32,935 CAD 25,326 10803-Feb-11 SEK 2,538,135 EUR 281,398 1,01103-Feb-11 USD 44,020 CHF 42,266 (984)03-Feb-11 USD 72,903 EUR 55,036 (611)

Total 469,836

Schedule of Investments - Outstanding Interest Rate Swaps (Expressed in EUR)


MarketValue


05-Feb-11 Bank of Montreal Receive floating rate CAD CDOR 3 months CAD 20,620,000 (168,465) (168,465)Pay fixed rate 3.377%

05-Feb-11 Credit Suisse Receive fixed rate 3.384% CAD 20,620,000 169,034 169,034Pay floating rate CAD CDOR 3 months

05-Feb-14 Bank of Montreal Receive fixed rate 3.780% CAD 8,780,000 406,683 406,683Pay floating rate CAD CDOR 3 months

05-Feb-14 Credit Suisse Receive floating rate CAD CDOR 3 months CAD 8,780,000 (407,074) (407,074)Pay fixed rate 3.781%

Total 178 178

56


Shares

UNITED STATES OF AMERICA36,959 Aflac 2,070,628 1.1142,930 American Express 1,830,750 0.98

518,808 Bank of America 6,897,552 3.7167,884 BB&T 1,783,991 0.9623,275 Capital One Financial 988,024 0.5367,260 Charles Schwab 1,149,137 0.62

1,411,066 Citigroup 6,695,508 3.6030,162 Goldman Sachs Group 5,052,738 2.7277,535 Hartford Financial Services Group 2,044,598 1.10

159,493 Huntington Bancshares 1,099,704 0.598,977 Mastercard - A Shares 2,011,611 1.08

106,178 MetLife 4,715,365 2.54133,127 Morgan Stanley 3,627,045 1.9535,896 PNC Financial Services Group 2,185,169 1.1835,133 Principal Financial Group 1,148,498 0.6269,382 Prudential Financial 4,044,624 2.1875,018 State Street 3,469,958 1.87

138,081 US Bancorp 3,724,735 2.00236,059 Wells Fargo & Co. 7,293,043 3.93

61,832,678 33.27

UNITED KINGDOM139,470 Amlin 884,000 0.48864,452 Barclays 3,537,405 1.90701,433 HSBC Holdings 7,119,526 3.83

2,686,014 Lloyds Banking Group 2,753,911 1.48354,457 Prudential 3,688,280 1.98

2,147,363 RBS Group 1,313,226 0.71

19,296,348 10.38

SWITZERLAND77,351 ACE 4,807,365 2.59

76,659 Crédit Suisse Group Registered Shares 3,097,678 1.67272,634 UBS Registered Shares 4,488,843 2.41

15,150 Zurich Financial Services 3,935,329 2.12

16,329,215 8.79

FRANCE213,815 AXA 3,569,907 1.9257,945 BNP Paribas 3,701,044 1.9987,026 Société Générale 4,699,980 2.53

11,970,931 6.44

AUSTRALIA98,329 ANZ Banking Group 2,339,197 1.26

110,098 Macquarie Group 4,166,360 2.2473,711 National Australia Bank 1,783,561 0.96

128,064 Westpac Banking 2,899,919 1.56

11,189,037 6.02

INDIA108,951 Housing Development Finance 1,771,322 0.95181,638 Reliance Capital 2,710,353 1.46422,707 Yes Bank 2,955,357 1.59

7,437,032 4.00

CHINA4,087,450 China Construction Bank - H Shares * 3,662,514 1.971,330,050 China Merchants Bank - H Shares * 3,360,587 1.81

7,023,101 3.78

JAPAN516 Advance Residence Investment 1,154,712 0.62323 Japan Retail Fund Investment 619,839 0.33137 Kenedix Realty Investment 646,720 0.35

318,500 Mitsubishi UFJ Financial Group 1,723,052 0.9379 Nomura Real Estate Residential Fund 460,444 0.25

43,200 Sumitomo Mitsui Financial Group 1,539,173 0.83

6,143,940 3.31

NETHERLANDS377,518 Aegon 2,319,998 1.25369,161 ING Groep - CVA 3,600,256 1.94

5,920,254 3.19

HONG KONG576,800 AIA Group 1,626,937 0.88273,000 Henderson Land Development 1,868,444 1.00122,000 Sun Hung Kai Properties 2,017,612 1.09

5,512,993 2.97

SPAIN174,819 BBVA 1,770,142 0.95295,638 BSCH 3,140,219 1.69

4,910,361 2.64

CANADA51,833 Manulife Financial 884,833 0.47

69,495 RBC 3,620,997 1.95

4,505,830 2.42


3,043,902 1.64

AUSTRIA61,400 Erste Group Bank 2,903,973 1.56

2,903,973 1.56

SOUTH AFRICA496,087 African Bank Investments 2,899,008 1.56

2,899,008 1.56

BELGIUM30,526 Ageas - STRIP VVPR 61 0.0082,043 KBC Groep 2,815,446 1.51

2,815,507 1.51


2,531,908 1.36

SOUTH KOREA11,147 Samsung Fire & Marine Insurance 2,231,030 1.20

2,231,030 1.20

BERMUDA30,138 RenaissanceRe Holdings 1,933,202 1.04

1,933,202 1.04

MEXICO347,197 Grupo Financiero Banorte - O Shares 1,618,335 0.86

1,618,335 0.86

Total Shares 182,048,585 97.94


182,048,585 97.94


Investment Funds



2,700,000 1.46



2,700,000 1.46


Cash 722,510 0.39




57




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets



Total 100.00


Shares and WarrantsFinancials 93.42Investment Companies 1.47Industrials 0.95Total Shares and Warrants 95.84Cash and Other Assets/(Liabilities) 4.16

Total 100.00

58




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets






AmountSold


17-Feb-11 AUD 4,706,496 USD 4,657,341 106,77717-Feb-11 CAD 11,133,678 USD 11,007,836 139,74017-Feb-11 DKK 3,124,864 USD 562,212 (808)17-Feb-11 EUR 801,886 USD 1,060,458 13,57517-Feb-11 HKD 8,129,302 USD 1,046,001 22417-Feb-11 JPY 820,978,316 USD 9,848,151 262,32317-Feb-11 NOK 4,259,825 USD 718,900 10,01817-Feb-11 SEK 21,735,408 USD 3,179,104 58,73717-Feb-11 SGD 3,978,729 USD 3,057,997 48,80817-Feb-11 USD 4,421,038 CHF 4,275,720 (166,104)17-Feb-11 USD 5,370,140 EUR 4,016,366 (9,312)17-Feb-11 USD 3,453,949 GBP 2,192,036 40,60217-Feb-11 USD 2,699,757 HKD 20,981,286 (494)

Total 504,086

59


Shares


534,237 0.04


Bonds

UNITED STATES OF AMERICA3,145,000 ACCO Brands 15.03.15/10.625% 3,553,850 0.292,115,000 ACCO Brands 15.08.15/7.625% 2,125,575 0.17470,000 AES 15.10.17/8.000% 500,550 0.04

5,290,000 Alcatel-Lucent USA 15.03.29/6.450% 4,205,550 0.343,815,000 American Axle & Manufacturing 01.03.17/7.875% 3,910,375 0.322,180,000 Anadarko Petroleum 15.09.17/6.375% 2,361,609 0.19

369,000 Arch Coal 01.10.20/7.250% 392,062 0.031,660,000 Ashtead Capital 144A 15.08.16/9.000% 1,738,850 0.141,580,000 Atlas Energy Operating 01.08.17/12.125% 2,006,600 0.163,026,000 Atlas Energy Operating 01.02.18/10.750% 3,710,632 0.301,850,000 B&G Foods 15.01.18/7.625% 1,951,750 0.161,520,000 Baldor Electric 15.02.17/8.625% 1,711,900 0.141,750,000 Boyd Gaming 01.02.16/7.125% 1,566,250 0.132,095,000 Chesapeake Energy 15.08.18/6.875% 2,136,900 0.171,375,000 Chesapeake Energy 15.12.18/7.250% 1,430,000 0.121,350,000 Chesapeake Energy 15.08.20/6.625% 1,336,500 0.113,495,000 Chiquita Brands International 01.12.15/8.875% 3,567,266 0.293,620,000 Cincinnati Bell 15.10.20/8.375% 3,484,250 0.281,077,314 CIT Group 01.05.15/7.000% 1,080,007 0.09

15,981,192 CIT Group 01.05.16/7.000% 16,041,121 1.314,062,069 CIT Group 01.05.17/7.000% 4,072,224 0.331,771,000 Clean Harbors 15.08.16/7.625% 1,890,542 0.15

4,450,000 Community Health Systems 15.07.15/8.875% 4,683,625 0.381,960,000 Constellation Brands 15.12.14/8.375% 2,151,100 0.183,620,000 Constellation Brands 01.09.16/7.250% 3,855,300 0.312,693,000 Cooper 15.02.15/7.125% 2,787,255 0.232,520,000 Corrections Corp. of Amercia 01.06.17/7.750% 2,683,800 0.221,411,000 Crown Americas 15.11.15/7.750% 1,474,495 0.122,135,000 Crown Castle International 15.01.15/9.000% 2,364,512 0.19380,000 DaVita 01.11.18/6.375% 377,150 0.03380,000 DaVita 01.11.20/6.625% 375,250 0.03595,000 Denbury Resources 01.04.13/7.500% 603,925 0.05340,000 Denbury Resources 15.12.15/7.500% 353,600 0.03

1,025,000 Denbury Resources 01.03.16/9.750% 1,148,000 0.09348,000 Dole Food 15.03.14/13.875% 427,170 0.04

1,305,000 Dynegy Holdings 01.06.19/7.750% 877,612 0.071,590,000 Dynegy Holdings 15.10.26/7.625% 946,050 0.08

530,000 El Paso 15.06.17/7.000% 560,041 0.051,285,000 El Paso 01.06.18/7.250% 1,376,781 0.111,940,000 Encore Acquisition 01.05.16/9.500% 2,163,100 0.185,243,000 Energy Future Intermediate

Holding 01.12.20/10.000% 5,444,426 0.441,050,000 Esterline Technologies 01.03.17/6.625% 1,065,750 0.09

485,000 Forest Oil 15.02.14/8.500% 532,287 0.04525,000 Forest Oil 15.06.19/7.250% 535,500 0.04

1,795,000 Frontier Communications 15.03.15/6.625% 1,884,750 0.151,796,000 General Cable 01.04.17/7.125% 1,861,105 0.151,544,000 Glatfelter 01.05.16/7.125% 1,607,690 0.13

410,000 Goodyear Tire & Rubber 15.05.16/10.500% 469,450 0.043,260,000 Goodyear Tire & Rubber 15.08.20/8.250% 3,390,400 0.281,210,000 Goodyear Tire & Rubber 15.08.20/8.750% 1,279,575 0.111,525,000 Graphic Packaging International 01.10.18/7.875% 1,605,062 0.132,715,000 Hanesbrands 15.12.16/8.000% 2,925,413 0.24

4,289,000 Health Management Associates 15.04.16/6.125% 4,353,335 0.351,465,000 Healthsouth 01.10.18/7.250% 1,497,962 0.121,465,000 Healthsouth 15.09.22/7.750% 1,514,444 0.12

500,000 Hertz 01.01.14/7.875% 679,771 0.061,910,000 Hertz 01.01.14/8.875% 1,962,525 0.161,635,000 Host Hotels & Resorts 15.03.15/6.375% 1,667,700 0.142,540,000 Host Hotels & Resorts 01.06.16/6.750% 2,603,500 0.211,105,000 Huntsman International 01.01.15/7.375% 1,135,387 0.09

230,000 Inergy & Inergy Finance 15.12.14/6.875% 234,600 0.021,273,000 Inergy & Inergy Finance 01.03.15/8.750% 1,368,475 0.112,180,000 Inergy & Inergy Finance 01.03.16/8.250% 2,283,550 0.194,920,000 Iron Mountain 15.07.18/8.750% 5,190,600 0.422,410,000 Iron Mountain 15.08.21/8.375% 2,596,775 0.212,025,000 Jarden 01.05.16/8.000% 2,214,844 0.182,470,000 Jarden 01.05.17/7.500% 2,615,112 0.211,590,000 JC Penney 01.04.17/7.950% 1,745,046 0.14

775,000 Lear 15.03.18/7.875% 833,125 0.07590,000 Lear 15.03.20/8.125% 643,800 0.05

2,120,000 Manitowoc 15.02.18/9.500% 2,332,000 0.192,290,000 Manitowoc 01.11.20/8.500% 2,444,575 0.20

2,405,000 MarkWest Energy Partners 15.04.18/8.750% 2,615,437 0.211,695,000 Masco 03.10.16/6.125% 1,729,220 0.14

410,000 Masco 15.03.20/7.125% 427,617 0.041,990,000 MGM Resorts International 01.04.13/6.750% 1,985,025 0.161,695,000 MGM Resorts International 27.02.14/5.875% 1,584,825 0.13

80,000 MGM Resorts International 01.04.16/6.875% 70,600 0.016,960,000 MGM Resorts International 01.06.16/7.500% 6,472,800 0.53

770,000 Owens-Brockway GlassContainer 15.05.16/7.375% 821,975 0.07

765,000 PetroHawk Energy 01.08.14/10.500% 875,925 0.071,025,000 Plains Exploration & Production 15.06.15/7.750% 1,073,687 0.091,615,000 Plains Exploration & Production 15.03.17/7.000% 1,663,450 0.14

2,945,000 RailAmerica 01.07.17/9.250% 3,250,544 0.262,355,000 Rite Aid 01.03.17/7.500% 2,231,363 0.181,265,000 Rite Aid 15.06.17/9.500% 1,081,575 0.09

2,480,000 Rental Services 01.12.14/9.500% 2,610,200 0.211,136,000 Scotts Miracle-Gro 15.01.18/7.250% 1,198,480 0.107,826,000 Sealy Mattress 15.06.14/8.250% 7,992,240 0.65

995,000 Service Corp. International 01.10.14/7.375% 1,072,112 0.092,860,000 Service Corp. International 01.04.15/6.750% 2,945,800 0.241,565,000 Service Corp. International 15.05.19/7.000% 1,572,825 0.13

550,000 Sheraton Holding 15.11.15/7.375% 621,500 0.053,165,000 Spirit Aerosystems 01.10.17/7.500% 3,307,425 0.273,320,000 Sprint Capital 01.05.19/6.900% 3,295,100 0.27

14,025,000 Sprint Capital 15.03.32/8.750% 14,235,375 1.167,295,000 Supervalu 01.05.16/8.000% 7,021,437 0.573,845,000 Terex 15.11.17/8.000% 3,902,675 0.32

485,000 Triumph Group 15.11.17/8.000% 506,825 0.042,380,000 United Rentals North America 15.12.19/9.250% 2,659,650 0.221,955,000 United Rentals North America 15.09.20/8.375% 1,998,987 0.163,300,000 Vail Resorts 15.02.14/6.750% 3,357,750 0.27

820,000 Whiting Petroleum 01.10.18/6.500% 832,300 0.074,785,000 Windstream 01.08.16/8.625% 5,060,137 0.41

246,576,524 20.08

IRELAND3,845,000 Ardagh Packaging Finance 144A 15.10.20/9.125% 4,018,025 0.33

4,018,025 0.33

LIBERIA345,000 Royal Caribbean Cruises 01.12.13/6.875% 370,013 0.03

2,340,000 Royal Caribbean Cruises 15.06.16/7.250% 2,533,050 0.20

2,903,063 0.23

LUXEMBOURG2,300,000 Wind Acquisition Finance 144A 15.02.18/7.250% 2,346,000 0.19

2,346,000 0.19

CANADA1,290,000 Nova Chemicals 01.11.19/8.625% 1,412,550 0.12

1,412,550 0.12

Total Bonds 257,256,162 20.95


257,790,399 20.99


Bonds

UNITED STATES OF AMERICA1,025,000 Accellent 01.02.17/8.375% 1,050,625 0.093,275,000 Accellent 144A 01.11.17/10.000% 3,086,687 0.252,965,000 Aeroflex 15.02.15/11.750% 3,276,325 0.273,470,000 AES 15.04.16/9.750% 3,890,737 0.32

16,320,000 Ally Financial 01.12.14/6.750% 17,197,200 1.403,105,000 Ally Financial 144A 01.12.17/6.250% 3,077,831 0.252,465,000 AMC Entertainment

Holdings 144A 01.12.20/9.750% 2,575,925 0.211,560,000 American Tire Distributors 144A 01.06.17/9.750% 1,692,600 0.141,170,000 Amkor Technology 01.06.16/9.250% 1,243,125 0.10

2,280,000 Amkor Technology 01.05.18/7.375% 2,376,900 0.192,350,000 Amsted Industries 144A 15.03.18/8.125% 2,505,687 0.202,865,000 Arch Coal 01.08.16/8.750% 3,155,081 0.261,405,000 Ashland 01.06.17/9.125% 1,622,775 0.132,085,000 Aspect Software 144A 15.05.17/10.625% 2,150,156 0.182,950,000 Associated Materials 144A 01.11.17/9.125% 3,090,125 0.251,110,000 Atkore International 144A 01.01.18/9.875% 1,159,950 0.09

2,745,000 Avaya 01.11.15/9.750% 2,806,762 0.231,895,084 Avaya 01.11.15/10.125%* 1,951,937 0.162,140,000 Avis Budget Car Rental 15.05.16/7.750% 2,193,500 0.181,735,000 Avis Budget Car Rental 15.03.18/9.625% 1,878,138 0.153,220,000 Avis Budget Car Rental 144A 15.01.19/8.250% 3,268,300 0.27

60




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

3,505,000 Bank of America 31.12.49/8.000%* 3,525,466 0.292,425,000 Bausch & Lomb 01.11.15/9.875% 2,612,937 0.211,180,000 BE Aerospace 01.10.20/6.875% 1,224,250 0.10

965,000 Belden 15.06.19/9.250% 1,061,500 0.093,160,000 Berry Plastics 144A 15.01.21/9.750% 3,163,950 0.26

14,200,000 Biomet 15.10.17/10.375%* 15,549,000 1.272,645,000 Bon-Ton Department Stores 15.03.14/10.250% 2,711,125 0.223,045,000 BreitBurn Energy Partners 144A 15.10.20/8.625% 3,075,450 0.252,060,000 Brigham Exploration 144A 01.10.18/8.750% 2,235,100 0.182,490,000 Building Materials

of America 144A 15.08.18/6.875% 2,477,550 0.202,000,000 Bumble Bee Acquisition 144A 15.12.17/9.000% 2,095,000 0.171,817,000 Bumble Bee Foods 15.12.15/7.750% 2,087,061 0.173,875,000 BWAY Holding 144A 15.06.18/10.000% 4,199,531 0.349,685,000 Caesars Entertainment

Operating 01.06.17/11.250% 10,944,050 0.893,588,000 Caesars Entertainment

Operating 15.12.18/10.000% 3,274,050 0.272,405,000 Calpine 144A 31.07.20/7.875% 2,453,100 0.203,130,000 Calpine 144A 15.02.21/7.500% 3,106,525 0.251,870,000 Case New Holland 01.09.13/7.750% 2,024,275 0.171,790,000 Case New Holland 144A 01.12.17/7.875% 1,971,237 0.16

580,000 CCH II Capital 30.11.16/13.500% 693,100 0.064,575,000 CCO Holdings Capital 144A 30.10.17/7.250% 4,666,500 0.381,910,000 CCO Holdings Capital 144A 30.04.18/7.875% 1,986,400 0.163,475,000 Central Garden and Pet 01.03.18/8.250% 3,535,812 0.296,810,000 Cequel Communications

Holdings I and CequelCapital 144A 15.11.17/8.625% 7,167,525 0.58

700,000 Chemtura 144A 01.09.18/7.875% 745,500 0.06110,000 Chesapeake Energy 15.08.17/6.500% 111,100 0.01

2,840,000 Citigroup Capital XXI 21.12.57/8.300%* 2,967,800 0.248,995,000 Clear Channel Worldwide

Holdings 15.12.17/9.250% 9,849,525 0.801,490,000 Clearwater Paper 15.06.16/10.625% 1,709,775 0.141,425,000 Clearwater Paper 144A 01.11.18/7.125% 1,478,437 0.126,250,000 Clearwire Communications 144A 01.12.15/12.000% 6,781,250 0.55

970,000 Clearwire Communications 144A 01.12.17/12.000% 1,011,225 0.082,525,000 Cloud Peak Energy Resources 15.12.17/8.250% 2,714,375 0.222,330,000 Consol Energy 144A 01.04.17/8.000% 2,493,100 0.20

150,000 Consol Energy 144A 01.04.20/8.250% 162,375 0.01725,000 Cott Beverages 01.09.18/8.125% 784,812 0.06

1,675,000 Cricket Communications 15.07.15/10.000% 1,802,719 0.153,090,000 Crosstex Energy 15.02.18/8.875% 3,314,025 0.27

745,000 Crown Americas 15.05.17/7.625% 800,875 0.072,320,000 DineEquity 144A 30.10.18/9.500% 2,470,800 0.20

10,215,000 DISH DBS 31.05.15/7.750% 10,904,512 0.898,695,000 DISH DBS 01.02.16/7.125% 9,021,063 0.745,055,000 DISH DBS 01.09.19/7.875% 5,307,750 0.433,390,000 Diversey 15.11.19/8.250% 3,695,100 0.304,759,000 DJO Finance 15.11.14/10.875% 5,217,054 0.421,875,000 Dole Food 144A 01.10.16/8.000% 1,987,500 0.162,265,000 Dunkin Finance 144A 01.12.18/9.625% 2,298,975 0.195,405,000 Easton-Bell Sports 01.12.16/9.750% 5,959,012 0.491,535,000 Energy Future Holdings 144A 15.01.20/10.000% 1,590,134 0.13

135,000 Esterline Technologies 144A 01.08.20/7.000% 139,725 0.012,135,000 EXCO Resources 15.09.18/7.500% 2,102,975 0.172,390,000 Fidelity National Information

Services 144A 15.07.17/7.625% 2,527,425 0.21405,000 Fidelity National Information

Services 144A 15.07.20/7.875% 429,806 0.047,400,000 First Data 24.09.15/9.875% 7,104,000 0.58

330,508 First Data 24.09.15/10.550%* 315,635 0.037,640,000 First Data 144A 15.08.20/8.875% 8,060,200 0.662,470,000 First Data 144A 15.01.21/8.250% 2,358,850 0.192,946,000 First Data 144A 15.01.21/12.625% 2,769,240 0.231,475,000 First Data 144A 15.01.22/8.750%* 1,423,375 0.127,535,000 Ford Motor Credit 01.10.14/8.700% 8,476,137 0.695,090,000 Ford Motor Credit 15.04.15/7.000% 5,444,391 0.442,710,000 Ford Motor Credit 15.12.16/8.000% 3,023,333 0.25

870,000 Ford Motor Credit 15.08.17/6.625% 912,628 0.072,725,000 Freescale Semiconductor 144A 15.03.18/10.125% 3,079,250 0.253,945,000 Freescale Semiconductor 144A 15.04.18/9.250% 4,359,225 0.36

910,000 Frontier Communications 15.04.20/8.500% 998,725 0.081,585,000 FTI Consulting 144A 01.10.20/6.750% 1,581,037 0.134,210,000 GCI 15.11.19/8.625% 4,578,375 0.373,500,000 Geo Group 15.10.17/7.750% 3,701,250 0.301,875,000 Georgia-Pacific 144A 01.05.16/8.250% 2,123,437 0.171,900,000 Georgia-Pacific 144A 15.01.17/7.125% 2,033,000 0.172,055,000 Giraffe Acquisition 144A 01.12.18/9.125% 2,152,613 0.181,225,000 Glatfelter 01.05.16/7.125% 1,275,531 0.103,425,000 Graham Packaging 15.10.14/9.875% 3,562,000 0.29

460,000 Graham Packaging 01.10.18/8.250% 485,300 0.043,275,000 Graham Packaging 144A 01.01.17/8.250% 3,422,375 0.282,175,000 GWR Operating Partnership 01.04.17/10.875% 2,305,500 0.192,515,000 GXS Worldwide 15.06.15/9.750% 2,496,137 0.201,595,000 Hanesbrands 15.12.14/3.831%* 1,593,006 0.13

9,765,000 HCA 15.11.16/9.250% 10,448,550 0.8516,943,000 HCA 15.11.16/9.625%* 18,086,652 1.47

250,000 HCA 15.02.17/9.875% 276,563 0.023,850,000 HCA Holdings 144A 15.05.21/7.750% 3,811,500 0.312,850,000 Hertz 144A 15.10.18/7.500% 2,971,125 0.24

490,000 Hertz 144A 15.01.21/7.375% 497,350 0.043,150,000 Hexion US Finance 144A 15.11.20/9.000% 3,346,875 0.272,285,000 Hillman Group 01.06.18/10.875% 2,519,213 0.211,045,000 Host Hotels & Resorts 15.05.17/9.000% 1,162,563 0.092,135,000 Huntsman International 30.06.16/5.500% 2,081,625 0.171,645,000 Huntsman International 15.03.20/8.625% 1,795,106 0.15

755,000 Huntsman International 144A 15.03.21/8.625% 820,119 0.071,965,000 Inergy & Inergy Finance 144A 01.10.18/7.000% 1,989,563 0.163,530,000 Interactive Data 144A 01.08.18/10.250% 3,883,000 0.321,890,000 Interline Brands 144A 15.11.18/7.000% 1,927,800 0.161,580,000 International Lease Finance 15.12.20/8.250% 1,625,425 0.132,985,000 International Lease

Finance 144A 15.09.15/8.625% 3,208,875 0.267,980,000 International Lease

Finance 144A 15.03.17/8.750% 8,558,550 0.70930,000 International Lease

Finance 144A 01.09.18/7.125% 990,450 0.082,000,000 ITC Deltacom 01.04.16/10.500% 2,185,000 0.181,265,000 Jarden 15.01.20/7.500% 1,325,088 0.111,400,000 JDA Software Group 15.12.14/8.000% 1,515,500 0.122,530,000 Libbey Glass 144A 15.02.15/10.000% 2,732,400 0.223,110,000 Linn Energy 01.07.18/9.875% 3,421,000 0.281,160,000 Linn Energy 15.05.17/11.750% 1,334,000 0.111,465,000 Linn Energy 144A 01.02.21/7.750% 1,508,950 0.127,505,000 Lyondell Chemical 01.05.18/11.000% 8,527,556 0.691,985,000 Lyondell Chemical 144A 01.11.17/8.000% 2,203,350 0.181,460,000 Mantech International 15.04.18/7.250% 1,533,000 0.122,095,000 Marina District Finance 144A 15.10.15/9.500% 2,068,813 0.174,140,000 Marina District Finance 144A 15.08.18/9.875% 4,098,600 0.335,155,000 MetroPCS Wireless 01.09.18/7.875% 5,374,088 0.442,495,000 MGM Resorts International 15.11.17/11.125% 2,881,725 0.235,590,000 MGM Resorts International 144A 15.03.20/9.000% 6,183,938 0.501,435,000 Michael Foods 144A 15.07.18/9.750% 1,574,913 0.13

870,000 Michaels Stores 01.11.16/0.000%* 865,650 0.073,355,000 Michaels Stores 144A 01.11.18/7.750% 3,363,388 0.272,335,000 Mueller Water Products 01.09.20/8.750% 2,591,850 0.211,290,000 Mylan 144A 15.07.17/7.625% 1,373,850 0.113,110,000 Mylan 144A 15.07.20/7.875% 3,351,025 0.27

715,000 Nalco 144A 15.01.19/6.625% 736,450 0.062,928,945 Neiman-Marcus Group 15.10.15/9.000%* 3,082,715 0.251,335,000 NewPage 31.12.14/11.375% 1,248,225 0.10

2,680,000 Nextar Broadcasting 144A 15.04.17/8.875% 2,860,900 0.23750,000 NFR Energy 144A 15.02.17/9.750% 745,313 0.06

5,499,936 Noranda Aluminium Acquisition 15.05.15/5.193%* 4,998,067 0.415,720,000 NRG Energy 01.02.16/7.375% 5,877,300 0.481,770,000 NRG Energy 144A 01.09.20/8.250% 1,818,675 0.152,635,000 Oshkosh 01.03.17/8.250% 2,878,738 0.231,535,000 Packaging Dynamics

Finance 144A 01.05.16/10.000% 1,582,969 0.133,695,000 PAETEC Escrow 144A 01.12.18/9.875% 3,815,088 0.311,925,000 PAETEC Holding 15.07.15/9.500% 2,002,000 0.16

3,090,000 PAETEC Holding 30.06.17/8.875% 3,314,025 0.271,540,000 Parker Drilling 01.04.18/9.125% 1,617,000 0.132,900,000 Petco Animal Supplies 144A 01.12.18/9.250% 3,070,375 0.253,095,000 PetroHawk Energy 01.06.15/7.875% 3,238,144 0.262,725,000 Petrohawk Energy 15.08.18/7.250% 2,765,875 0.231,515,000 Pinafore 144A 01.10.18/9.000% 1,643,775 0.13965,000 Pinnacle Foods Finance 01.04.15/9.250% 1,009,631 0.08

1,490,000 PolyOne 15.09.20/7.375% 1,545,875 0.132,140,000 Polypore International 144A 15.11.17/7.500% 2,193,500 0.182,057,000 Pride International 15.08.20/6.875% 2,144,423 0.172,180,000 Qwest Communications



International 144A 01.04.18/7.125% 1,492,400 0.122,730,000 Radiation Therapy

Services 144A 15.04.17/9.875% 2,743,650 0.221,185,000 Rain CII Carbon 144A 01.12.18/8.000% 1,220,550 0.10

6,360,000 RBS Global/Rexnord 01.05.18/8.500% 6,789,300 0.555,265,000 Reichhold Industries 144A 15.08.14/9.000% 4,672,688 0.384,430,000 Reynolds Group Issuer 144A 15.05.18/8.500% 4,496,450 0.374,035,000 Reynolds Group Issuer 144A 15.04.19/9.000% 4,186,313 0.342,545,000 Rite Aid 144A 15.08.20/8.000% 2,662,706 0.222,335,000 Sally Holdings 15.11.14/9.250% 2,463,425 0.201,105,000 SBA Telecommunications 15.08.16/8.000% 1,201,688 0.10

415,000 SBA Telecommunications 15.08.19/8.250% 455,463 0.04617,000 Sealy Mattress 144A 15.04.16/10.875% 700,295 0.06

3,085,000 Sequa 144A 01.12.15/11.750% 3,316,375 0.27623,000 Sequa 144A 01.12.15/13.500%* 676,734 0.06

1,705,000 Service Corp. International 15.06.17/7.000% 1,747,625 0.14

61




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

3,990,000 ServiceMaster 144A 15.07.15/10.750%* 4,329,150 0.357,465,000 Simmons Bedding 144A 15.07.15/11.250% 8,042,194 0.652,310,000 Sinclair Television Group 144A 01.11.17/9.250% 2,517,900 0.211,505,000 Sinclair Television Group 144A 15.10.18/8.375% 1,568,963 0.131,310,000 Solo Cup 15.02.14/8.500% 1,185,550 0.102,825,000 Solo Cup Operating 01.11.13/10.500% 2,966,250 0.244,539,014 Spectrum Brands Holdings 28.08.19/12.000%* 5,089,369 0.412,410,000 Spectrum Brands Holdings 144A 15.06.18/9.500% 2,651,000 0.222,690,000 SSI Investments II 01.06.18/11.125% 2,932,100 0.2411,765,000 Sungard Data Systems 15.08.15/10.250% 12,397,369 1.012,650,000 Sungard Data Systems 144A 15.11.18/7.375% 2,676,500 0.221,892,626 Surgical Care Affiliates 144A 15.07.15/8.875%* 1,921,015 0.161,015,000 Syniverse Holdings 144A 15.01.19/9.125% 1,053,063 0.09

4,739,000 Tenet Healthcare 01.02.15/9.250% 5,070,730 0.41795,000 Tenet Healthcare 01.05.18/10.000% 930,150 0.08

1,785,000 Tenet Healthcare 01.07.19/8.875% 2,025,975 0.161,095,000 Travelport 01.09.14/4.921%* 1,007,400 0.08

975,000 Travelport 01.03.16/9.000% 949,406 0.081,195,000 Travelport 01.09.16/11.875% 1,180,063 0.10

755,000 Travelport 144A 01.03.16/9.000% 733,294 0.061,330,000 Triumph Group 15.07.18/8.625% 1,459,675 0.121,220,000 TRW Automotive 144A 15.03.14/7.000% 1,311,500 0.111,121,000 TRW Automotive 144A 15.03.17/7.250% 1,213,483 0.103,447,535 UCI Holdco 15.12.13/9.250%* 3,456,154 0.281,470,000 United Surgical Partners

International 01.05.17/8.875% 1,525,125 0.123,440,000 United Surgical Partners

International 01.05.17/9.250%* 3,577,600 0.294,940,000 US Oncology 15.08.17/9.125% 6,100,900 0.50

455,000 Valeant PharmaceuticalsInternational 144A 01.10.17/6.750% 452,725 0.04


2,610,000 Vertellus Specialties 144A 01.10.15/9.375% 2,773,125 0.235,580,000 Visant 144A 01.10.17/10.000% 5,942,700 0.484,235,000 Windstream 01.09.18/8.125% 4,467,925 0.362,465,000 WMG Acquisition 15.06.16/9.500% 2,656,038 0.22

510,000 Wynn Las Vegas Capital 01.11.17/7.875% 552,075 0.04445,000 Wynn Las Vegas Capital 01.05.20/7.875% 478,375 0.04835,000 Wynn Las Vegas Capital 15.08.20/7.750% 908,063 0.07

4,154,000 Yankee Acquisition 15.02.17/9.750% 4,351,315 0.352,935,000 Zayo Group 15.03.17/10.250% 3,228,500 0.26

661,705,304 53.89

LUXEMBOURG5,160,000 Intelsat Jackson Holdings 15.06.16/9.500% 5,469,600 0.458,924,000 Intelsat Jackson Holdings 15.06.16/11.250% 9,615,610 0.783,365,000 Intelsat Jackson Holdings 144A 15.10.20/7.250% 3,415,475 0.284,403,000 MagnaChip Semiconductor

Finance 15.04.18/10.500% 4,689,195 0.383,910,000 Wind Acquisition Finance 144A 15.07.17/11.750% 4,428,075 0.36

27,617,955 2.25

CANADA2,525,000 Novelis 144A 15.12.17/8.375% 2,651,250 0.213,235,000 Novelis 144A 15.12.20/8.750% 3,404,838 0.282,725,000 OPTI Canada 15.12.14/8.250% 1,951,781 0.161,055,000 OPTI Canada 144A 15.12.12/9.000% 1,062,913 0.091,030,000 OPTI Canada 144A 15.08.13/9.750% 1,035,150 0.087,495,000 Quebecor Media 15.03.16/7.750% 7,794,800 0.64

861,000 Quebecor Media 15.03.16/7.750% 895,440 0.07224,000 Sun Media 15.02.13/7.625% 225,680 0.02

2,130,000 Trinidad Drilling 144A 15.01.19/7.875% 2,161,950 0.171,400,000 Videotron Ltee 15.12.15/6.375% 1,438,500 0.12

22,622,302 1.84

UNITED KINGDOM8,520,000 Ineos Finance 144A 15.05.15/9.000% 9,084,450 0.743,040,000 Ineos Group Holdings 144A 15.02.16/8.500% 2,922,200 0.24

505,000 Virgin Media Finance 15.08.16/9.500% 573,175 0.051,740,000 Virgin Media Finance 15.10.19/8.375% 1,909,650 0.15

14,489,475 1.18

NETHERLANDS2,900,000 NXP Funding 15.10.15/9.500% 3,117,500 0.25

278,000 NXP Funding 144A 15.07.13/10.000% 312,750 0.035,495,000 NXP Funding 144A 01.08.18/9.750% 6,209,350 0.51

9,639,600 0.79

BERMUDA2,185,000 Aircastle 01.08.18/9.750% 2,398,038 0.191,805,000 Digicel 144A 01.09.17/8.250% 1,859,150 0.152,395,000 Digicel Group 144A 15.04.18/10.500% 2,646,475 0.22

775,000 Intelsat Subsidiary Holding 15.01.15/8.875% 798,250 0.07175,000 Intelsat Subsidiary Holding 144A 15.01.15/8.875% 179,375 0.01

7,881,288 0.64

IRELAND905,000 Ardagh Packaging Finance 144A 15.10.17/7.375% 936,675 0.07

2,300,000 AWAS Aviation Capital 144A 15.10.16/7.000% 2,291,375 0.19

3,228,050 0.26

Total Bonds 747,183,974 60.85


747,183,974 60.85


Bonds

UNITED STATES OF AMERICA2,237,101 iPCS 01.05.14/3.537%* 2,158,802 0.18

1,605,000 Quebecor Printing 01.08.27/6.500% 80,250 0.013,200,000 Steinway Musical Instruments

144A 01.03.14/7.000% 3,240,000 0.26

5,479,052 0.45

Total Bonds 5,479,052 0.45



Cash 180,571,190 14.71


Total Net Assets 1,227,898,130 100.00


62




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 74.42Luxembourg 2.44Canada 1.96United Kingdom 1.18Netherlands 0.79Bermuda 0.64Ireland 0.59Liberia 0.23Total Fixed Income Securities 82.25SharesConsumer Discretionary 0.04Total Shares 0.04Cash and Other Assets/(Liabilities) 17.71

Total 100.00


Fixed Income SecuritiesUnited States of America 81.81Luxembourg 3.26Canada 1.64United Kingdom 1.13Netherlands 0.70Bermuda 0.54Australia 0.43Liberia 0.43Mexico 0.21Cayman Islands 0.12Total Fixed Income Securities 90.27Shares and WarrantsConsumer Discretionary 0.22Consumer Staples 0.06Industrials 0.03Total Shares and Warrants 0.31Cash and Other Assets/(Liabilities) 9.42

Total 100.00

63




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets






AmountSold


28-Jan-11 EUR 413,816,462 USD 544,222,010 10,079,72228-Jan-11 USD 20,679,214 EUR 15,581,431 (191,908)31-Jan-11 USD 2,951,899 EUR 2,250,000 (61,961)

Total 9,825,853




MarketValue


20-Jun-15 Credit Suisse CDX.NA.HY_S14.V1 Seller USD 10,000,000 446,861 621,86120-Dec-15 Barclays Bank CDX.NA.HY_S15.V1 Seller USD 25,000,000 770,062 815,20120-Dec-15 Barclays Bank CDX.NA.HY_S15.V1 Seller USD 10,000,000 308,025 216,35820-Dec-15 Deutsche Bank CDX.NA.HY_S15.V1 Seller USD 40,000,000 1,232,099 432,09920-Dec-15 Morgan Stanley CDX.NA.HY_S15.V1 Seller USD 25,000,000 770,061 761,381

Total 3,527,108 2,846,900

64


Bonds

NETHERLANDS47,000,000 Dutch Treasury Bill 31.01.11/0.000% 46,958,119 5.05

100,000,000 Dutch Treasury Bill 31.03.11/0.000% 99,861,935 10.7325,000,000 Rabobank Nederland 18.03.11/0.954%* 24,974,425 2.68

171,794,479 18.46

UNITED KINGDOM20,000,000 HSBC Bank 04.02.11/1.297%* 20,005,140 2.1520,000,000 HSBC Bank 04.05.11/1.047%* 20,003,540 2.15

40,008,680 4.30

BELGIUM30,000,000 Belgium Treasury Bill 17.02.11/0.000% 29,968,806 3.22

29,968,806 3.22

FRANCE20,000,000 BNP Paribas 24.03.11/1.071%* 19,989,480 2.15

19,989,480 2.15

GERMANY10,000,000 German Treasury Bill 20.04.11/0.000% 9,981,960 1.079,000,000 German Treasury Bill 11.05.11/0.000% 8,974,291 0.97

18,956,251 2.04

Total Bonds 280,717,696 30.17


280,717,696 30.17


Bonds

FRANCE25,000,000 BNP Paribas 15.03.11/1.045% 24,992,500 2.6830,000,000 French Treasury Bill 03.02.11/0.000% 29,980,709 3.2220,000,000 French Treasury Bill 03.03.11/0.000% 19,980,212 2.1520,000,000 French Treasury Bill 17.03.11/0.000% 19,977,515 2.1530,000,000 French Treasury Bill 21.04.11/0.000% 29,926,712 3.21

124,857,648 13.41

Total Bonds 124,857,648 13.41

Commercial Paper

FRANCE9,000,000 ACOSS 23.02.11/0.000% 8,990,269 0.977,000,000 Banque Fédérative du Crédit

Mutuel 04.01.11/0.000% 6,999,270 0.7514,000,000 Société Générale 01.02.11/0.000% 13,990,850 1.5010,000,000 Unedic 07.02.11/0.000% 9,992,469 1.07

39,972,858 4.29

SWEDEN10,000,000 Nordea Bank 19.01.11/0.000% 9,995,786 1.0810,000,000 Svenska Handelsbanken 24.01.11/0.000% 9,995,191 1.0710,000,000 Svenska Handelsbanken 07.02.11/0.000% 9,990,520 1.0710,000,000 Svenska Handelsbanken 29.04.11/0.000% 9,965,638 1.07

39,947,135 4.29

AUSTRALIA10,000,000 Bank of Western Australia 16.02.11/0.000% 9,991,850 1.0710,000,000 Bank of Western Australia 24.06.11/0.000% 9,960,520 1.0711,500,000 ING Bank Australia 24.01.11/0.000% 11,493,493 1.245,500,000 Macquarie Group 10.01.11/0.000% 5,498,934 0.59

36,944,797 3.97

UNITED STATES OF AMERICA10,000,000 General Electric Company 17.01.11/0.000% 9,996,363 1.0810,000,000 Paccar 16.02.11/0.000% 9,988,532 1.0711,000,000 RBS Holdings 10.01.11/0.000% 10,997,898 1.18

30,982,793 3.33

NETHERLANDS10,000,000 Bank Nederlandse Gemeenten 20.01.11/0.000% 9,995,776 1.0810,000,000 Bank Nederlandse Gemeenten 24.01.11/0.000% 9,994,678 1.07

8,000,000 Toyota Motor FinanceNetherlands 17.01.11/0.000% 7,997,357 0.86

27,987,811 3.01

UNITED KINGDOM9,000,000 Barclays Bank 03.06.11/0.000% 8,957,884 0.965,000,000 BNZ International Funding 25.01.11/0.000% 4,997,257 0.54

12,200,000 Unilever 24.02.11/0.000% 12,185,279 1.31

26,140,420 2.81

DENMARK15,000,000 Danske Bank 21.01.11/0.000% 14,994,747 1.61

14,994,747 1.61

FINLAND12,000,000 Pohjola Bank 28.02.11/0.000% 11,982,535 1.29

11,982,535 1.29

BELGIUM10,000,000 ENI Coordination Center 24.01.11/0.000% 9,996,026 1.07

9,996,026 1.07

SPAIN9,500,000 Instituto de Credito Oficial 21.02.11/0.000% 9,485,782 1.02

9,485,782 1.02

GERMANY8,000,000 Landeskreditbank

Baden-WuerttembergFoerderbank 24.01.11/0.000% 7,995,787 0.86

7,995,787 0.86

IRELAND6,000,000 GE Capital European Funding 14.01.11/0.000% 5,998,203 0.64

5,998,203 0.64

Total Commercial Paper 262,428,894 28.19

Certificates of Deposit

UNITED KINGDOM9,000,000 Barclays Bank 24.01.11/0.000% 8,995,717 0.97

10,000,000 Barclays Bank 14.02.11/1.000% 9,987,631 1.0710,000,000 Lloyds TSB Bank 02.02.11/0.000% 9,992,310 1.075,000,000 Lloyds TSB Bank 18.02.11/0.000% 4,994,846 0.54

10,000,000 RBS 06.01.11/0.000% 9,998,698 1.07

43,969,202 4.72

JAPAN4,000,000 Bank of Tokyo-Mitsubishi 29.04.11/0.000% 3,984,360 0.43

10,000,000 Mizuho Corporate Bank 23.02.11/0.830% 10,000,147 1.075,000,000 Sumitomo Trust & Banking 25.01.11/0.950% 5,000,000 0.54

18,984,507 2.04

NETHERLANDS5,000,000 ING Bank 05.01.11/0.000% 4,999,376 0.545,000,000 Rabobank Nederland 06.09.11/0.000% 4,966,896 0.539,000,000 Rabobank Nederland 17.11.11/0.763% 9,000,000 0.97

18,966,272 2.04

FRANCE8,000,000 Crédit Agricole 15.02.11/0.000% 7,991,204 0.869,500,000 Crédit Agricole 21.03.11/0.000% 9,482,971 1.02

17,474,175 1.88

GERMANY9,000,000 Deutsche Bank 28.02.11/0.000% 8,990,664 0.96

8,990,664 0.96

Total Certificates of Deposit 108,384,820 11.64


495,671,362 53.24

65




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Bonds


(Defaulted) 05.04.11/0.000%* 1,187,500 0.12

1,187,500 0.12

Total Bonds 1,187,500 0.12



Cash Equivalents

Time Deposits

FRANCE30,000,000 BNP Paribas 04.01.11/0.580% 30,000,000 3.22

30,000,000 3.22

NETHERLANDS30,000,000 ING Bank 04.01.11/0.400% 30,000,000 3.22

30,000,000 3.22

UNITED KINGDOM32,000,000 Bank of Scotland 04.01.11/0.400% 32,000,000 3.4467,000,000 KBC Bank/London 04.01.11/0.400% 67,000,000 7.20

99,000,000 10.64

Total Time Deposits 159,000,000 17.08

Total Cash Equivalents 159,000,000 17.08

Total Investments plus Total Cash Equivalents 936,576,558 100.61

Cash 7,421,364 0.80





Fixed Income SecuritiesNetherlands 23.51France 21.73United Kingdom 11.83Belgium 4.29Sweden 4.29Australia 3.97Germany 3.86United States of America 3.45Japan 2.04Denmark 1.61Finland 1.29Spain 1.02Ireland 0.64Total Fixed Income Securities 83.53Cash Equivalents, Cash and Other Assets/(Liabilities) 16.47

Total 100.00


Fixed Income SecuritiesFrance 23.36Netherlands 15.96Belgium 12.98Germany 8.83United Kingdom 7.26Sweden 5.66Ireland 5.11Spain 5.04Finland 2.62Japan 2.55Australia 0.98Denmark 0.98United States of America 0.08Total Fixed Income Securities 91.41Cash Equivalents, Cash and Other Assets/(Liabilities) 8.59

Total 100.00

66




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets






AmountSold


03-Jan-11 EUR 6,757 SEK 95,468 (12)03-Jan-11 SEK 60,839 EUR 6,769 804-Jan-11 EUR 3,772,889 GBP 3,216,270 32,53204-Jan-11 GBP 3,216,708 EUR 3,780,826 (39,988)13-Jan-11 CHF 1,414,614 EUR 1,095,622 36,96513-Jan-11 EUR 1,107,385 CHF 1,415,381 (25,815)13-Jan-11 EUR 1,636,263 GBP 1,382,467 28,64913-Jan-11 EUR 1,123,474 GBP 951,156 17,41413-Jan-11 EUR 89,094 NOK 697,006 (111)13-Jan-11 EUR 759,696 SEK 6,820,886 19213-Jan-11 EUR 7,171,614 USD 9,507,091 73,88013-Jan-11 GBP 567,007 EUR 665,247 (5,898)13-Jan-11 GBP 118,711,304 EUR 141,636,275 (3,591,809)13-Jan-11 USD 16,269,055 EUR 12,307,641 (161,609)14-Jan-11 EUR 2,580,639 SEK 23,470,380 (32,688)14-Jan-11 SEK 235,145,469 EUR 25,802,787 379,66128-Jan-11 EUR 1,370,583 USD 1,807,914 20,87628-Jan-11 USD 30,416,960 EUR 22,856,655 (148,736)14-Feb-11 GBP 3,305,707 EUR 3,876,027 (32,817)17-Feb-11 SEK 1,729,509 EUR 192,673 (317)

Total (3,449,623)

67


Schedule of Investments - Outstanding Total Return Swaps (Expressed in EUR) (Please refer to note 2l)

As at 31 December 2010EconomicExposure

(in contractcurrency) Currency Sub-Fund Receives Sub-Fund Pays Counterparty


7,308,666 CHF Performance of the underlying basket CHF-1M-LIBOR +0.45% Merrill Lynch90,955

(8,497,889) CHF CHF-1M-LIBOR -0.35% Performance of the underlying basket Merrill Lynch20,334,035 CHF Performance of the underlying basket CHF-1M-LIBOR +0.40% Morgan Stanley

(4,741)(24,496,912) CHF CHF-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

11,150,250 DKK Performance of the underlying basket DKK-1M-CIBOR-DKNA13 +0.45% Merrill Lynch(56,203)

(25,191,255) DKK DKK-1M-CIBOR-DKNA13 -0.35% Performance of the underlying basket Merrill Lynch38,952,730 DKK Performance of the underlying basket DKK-1M-CIBOR-DKNA13 +0.40% Morgan Stanley

112,064(35,821,533) DKK DKK-1M-CIBOR-DKNA13 - variable spread Performance of the underlying basket Morgan Stanley43,698,870 EUR Performance of the underlying basket EUR-1M-EURIBOR + 0.45% Merrill Lynch

(34,839)(42,288,366) EUR EUR-1M-EURIBOR - 0.35% Performance of the underlying basket Merrill Lynch152,195,238 EUR Performance of the underlying basket EUR-1M-EURIBOR + 0.40% Morgan Stanley

(1,281,523)(144,490,156) EUR EUR-1M-EURIBOR - variable spread Performance of the underlying basket Morgan Stanley

16,379,907 GBP Performance of the underlying basket GBP-1M-LIBOR +0.45% Merrill Lynch137,572

(16,768,399) GBP GBP-1M-LIBOR -0.35% Performance of the underlying basket Merrill Lynch55,743,712 GBP Performance of the underlying basket GBP-1M-LIBOR +0.40% Morgan Stanley

734,922(57,667,853) GBP GBP-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley13,828,299 NOK Performance of the underlying basket NOK-1M-NIBOR-NIBR + 0.45% Merrill Lynch

72,100(11,195,274) NOK NOK-1M-NIBOR-NIBR - 0.35% Performance of the underlying basket Merrill Lynch41,028,225 NOK Performance of the underlying basket NOK-1M-NIBOR-NIBR + 0.40% Morgan Stanley

(183,145)(37,177,579) NOK NOK-1M-NIBOR-NIBR - variable spread Performance of the underlying basket Morgan Stanley47,292,511 SEK Performance of the underlying basket SEK-1M-STIBOR-SIDE +0.45% Merrill Lynch

136,151(44,336,996) SEK SEK-1M-STIBOR-SIDE -0.35% Performance of the underlying basket Merrill Lynch173,691,289 SEK Performance of the underlying basket SEK-1M-STIBOR-SIDE +0.40% Morgan Stanley

690,454(171,927,043) SEK SEK-1M-STIBOR-SIDE - variable spread Performance of the underlying basket Morgan Stanley132,761,984 USD Performance of the underlying basket USD-LIBOR + 0.30% Merrill Lynch

382,198(133,215,216) USD USD-1M-LIBOR Performance of the underlying basket Merrill Lynch613,544,755 USD Performance of the underlying basket USD-1M-LIBOR +0.35% Morgan Stanley

(5,235,825)(611,220,441) USD USD-1M-LIBOR - variable spread Performance of the underlying basket Morgan Stanley

Total (4,439,860)

68

Net Geographic Distribution based on Economic Exposure of Swap Portfolio(expressed in Sub-Fund Currency) % of Total

Net Assets

Austria 0.59%Germany 0.46%Spain 0.26%United States of America 0.15%Norway 0.09%Sweden 0.08%Portugal 0.07%Finland 0.04%France 0.03%Luxembourg 0.01%Italy 0.00%Belgium (0.03%)Ireland (0.07%)United Kingdom (0.08%)Guernsey (0.09%)Jersey (0.13%)Denmark (0.16%)Netherlands (0.38%)Switzerland (0.46%)


Shares

JAPAN107,700 Aisin Seiki 309,583,650 1.21867,000 Amada 573,520,500 2.24203,200 Astellas Pharma 628,904,000 2.4670,800 Benesse Holdings 265,323,001 1.04

212,000 Capcom 276,660,000 1.08277,900 Chugai Pharmaceutical 414,348,900 1.62512,900 Citizen Holdings 286,711,100 1.12351,600 COMSYS Holdings 303,958,200 1.19

4,635 Dai-ichi Life Insurance 612,515,250 2.401,720,000 DIC 313,900,000 1.23

48,300 Electric Power Development 123,020,100 0.48418,300 Elpida Memory 395,084,350 1.55224,400 FUJIFILM Holdings 658,614,000 2.58378,000 Fukuoka Financial Group 133,812,000 0.53

1,238,000 Hokuhoku Financial Group 204,889,000 0.802,075 Japan Tobacco 624,056,250 2.44

240,000 JFE Holdings 679,080,000 2.661,586,000 Kawasaki Kisen Kaisha 566,995,000 2.22

1,030 KDDI 483,585,000 1.891,018,000 Marubeni 581,278,000 2.28

833,000 Minebea 426,912,500 1.67395,000 Mitsubishi Electric 337,132,500 1.32871,400 Mitsubishi UFJ Financial Group 382,980,300 1.50364,700 Mitsui & Co. 489,427,400 1.9265,000 Mitsui Fudosan 105,267,500 0.41

3,709,900 Mizuho Financial Group 569,469,650 2.2321,500 Nintendo 511,915,000 2.01

1,891,000 Nippon Sheet Glass 415,074,500 1.631,868,000 Nippon Steel 544,522,000 2.13

135,600 Nippon Telegraph & Telephone 499,347,000 1.961,409,000 Nippon Yusen 507,944,500 1.991,407,000 Nishi-Nippon City Bank 348,232,500 1.36

861,400 Nissan Motor 666,292,900 2.6140,400 Nitori 287,042,000 1.13130,100 Nitto Denko 498,283,000 1.95

887,000 Nomura Holdings 457,248,500 1.79263,000 Nomura Real Estate Holdings 388,845,500 1.52145,000 Nomura Research Institute 262,232,500 1.03912,000 Obayashi 340,632,000 1.33

19,420 ORIX 155,360,000 0.61545,000 Ricoh 648,277,500 2.54156,500 Seiko Epson 231,776,500 0.91262,700 Shiseido 466,029,800 1.83142,400 Sony 416,947,200 1.63864,000 Sumitomo Chemical 345,600,000 1.35

1,108,000 Sumitomo Heavy Industries 577,268,000 2.26292,800 Sumitomo Mitsui Financial Group 847,509,600 3.32497,500 Sumitomo Rubber Industries 421,631,250 1.65162,300 Sundrug 384,488,700 1.5174,200 Suzuken 184,164,400 0.72

521,500 Tokyo Electric Power 1,035,177,500 4.06460,000 Tokyu Land 187,910,000 0.74354,000 Toshiba 156,291,000 0.61375,500 Toyota Motor 1,210,987,500 4.74

2,432,000 Ube Industries 593,408,000 2.32456 West Japan Railway 138,396,000 0.54

10,046 Yahoo! Japan 316,700,150 1.2460,100 Yamada Denki 333,254,500 1.31

25,125,817,651 98.40

Total Shares 25,125,817,651 98.40


25,125,817,651 98.40


Cash 384,229,085 1.50


Total Net Assets 25,533,477,954 100.00


SharesConsumer Discretionary 19.99Industrials 19.96Financials 17.21Materials 11.64Information Technology 10.63Consumer Staples 5.78Health Care 4.80Utilities 4.54Telecommunication Services 3.85Total Shares 98.40Cash and Other Assets/(Liabilities) 1.60

Total 100.00


SharesIndustrials 21.51Consumer Discretionary 21.43Financials 16.48Materials 10.90Information Technology 7.41Consumer Staples 5.81Utilities 5.24Health Care 4.99Telecommunication Services 4.84Total Shares 98.61Cash and Other Assets/(Liabilities) 1.39

Total 100.00

69


Schedule of Investments (Market Value Expressed in JPY)


Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Schedule of Investments - Outstanding Financial Futures Contracts (Expressed in JPY)


ExpirationDate


NotionalValue


Equity Futures

Mar-11 38 Topix Index Future JPY 340,480,000 (1,441,000)

Total (1,441,000)

70


Shares

JAPAN5,000 Aichi Machine Industry 20,403 0.404,000 Aichi Steel 27,425 0.54

600 Aisin Seiki 21,230 0.419,000 All Nippon Airways 33,567 0.651,600 Alpine Electronics 22,728 0.444,000 Amada 32,570 0.631,300 AOKI Holdings 23,579 0.46

13,000 Aozora Bank 26,963 0.522,700 Canon 140,002 2.73

5 Central Japan Railway 41,851 0.811,400 Century Tokyo Leasing 22,799 0.441,200 Circle K Sunkus 19,269 0.38

700 Cocokara Fine 14,881 0.296,000 Cosmo Oil 19,682 0.38

14 CyberAgent 30,485 0.603,000 Daicel Chemical Industries 21,935 0.432,000 Daihatsu Motor 30,699 0.601,200 Daiichikosho 23,279 0.45

4,000 Dainippon Screen Manufacturing 28,385 0.554,000 Daiwa Industries 20,335 0.40

700 Dena 25,104 0.494 Dr Ci:Labo 15,584 0.30

2,000 Eagle Industry 20,975 0.412,200 EDION 19,755 0.38

500 Exedy 16,208 0.32600 FamilyMart 22,600 0.44600 Fanuc 92,098 1.79800 FCC 18,631 0.36

5,000 Fuji Heavy Industries 38,805 0.76900 Fuji Machine Manufacturing 17,797 0.35

1,400 FUJIFILM Holdings 50,579 0.986,000 Fujitsu 41,765 0.81

500 Fukuda Denshi 13,626 0.269,000 Fukuoka Financial Group 39,217 0.764,000 Fukuyama Transporting 21,320 0.42

700 Fuyo General Lease 22,911 0.4515,000 Hitachi 79,948 1.56

1,400 Hitachi Capital 21,662 0.423,000 Hokuetsu Kishu Paper 17,079 0.333,300 Honda Motor 130,696 2.55

300 Idemitsu Kosan 31,850 0.622,100 Iida Home Max 22,760 0.44

8,000 Isuzu Motors 36,386 0.715,800 ITOCHU 58,721 1.145,000 JFE Shoji Holdings 23,264 0.451,000 JGC 21,750 0.422,100 JSP 30,980 0.609,500 JX Holdings 64,491 1.261,000 K’s Holdings 27,197 0.53

4 Kakaku.com 23,794 0.46700 Kansai Electric Power 17,276 0.34

2,000 Kansai Paint 19,387 0.387,000 Kawasaki Kisen Kaisha 30,804 0.603,000 Kayaba Industry 23,006 0.45

8 KDDI 46,233 0.90800 Keihin 18,026 0.35100 Keyence 28,982 0.57

1,300 Koa 16,490 0.326,000 Kobe Steel 15,177 0.303,300 Kojima 19,335 0.383,000 Komatsu 90,768 1.77

600 Kyocera 61,300 1.191,000 Lintec 26,502 0.526,000 Marubeni 42,171 0.826,000 Marudai Food 19,609 0.381,500 Marui Group 12,205 0.241,800 Meiko Network Japan 15,122 0.29

600 Melco Holdings 20,975 0.411,100 Ministop 19,078 0.37

2,000 Mitsuba 17,171 0.333,700 Mitsubishi 100,129 1.956,000 Mitsubishi Chemical Holdings 40,731 0.796,000 Mitsubishi Electric 63,035 1.234,000 Mitsubishi Gas Chemical 28,410 0.555,000 Mitsubishi Materials 15,971 0.31

33,200 Mitsubishi UFJ Financial Group 179,609 3.50620 Mitsubishi UFJ Lease & Finance 24,593 0.48

5,400 Mitsui & Co. 89,202 1.745,000 Mitsui OSK Lines 34,127 0.66

52,700 Mizuho Financial Group 99,575 1.94800 Musashi Seimitsu Industry 19,862 0.39

1,200 Nabtesco 25,591 0.501,200 Nafco 20,613 0.40

800 NEC Networks and System Integration 10,350 0.202,000 NGK Spark Plug 30,724 0.604,000 Nichias 20,753 0.411,000 Nihon Parkerizing 14,445 0.283,000 Nippo 20,883 0.412,000 Nippon Paint 15,325 0.30

600 Nippon Paper Group 15,731 0.318,000 Nippon Road 19,055 0.377,000 Nippon Sheet Glass 18,913 0.372,000 Nippon Shokubai 20,704 0.403,000 Nippon Synthetic Chemical Industry 20,181 0.392,400 Nippon Telegraph & Telephone 108,789 2.129,000 Nippon Yusen 39,937 0.786,800 Nissan Motor 64,744 1.26

300 Nitori Holdings 26,237 0.51700 Nitto Denko 33,001 0.64

1,200 NOK 25,015 0.492,000 NSK 18,070 0.35

36 NTT DoCoMo 62,925 1.22100 Obic 20,606 0.40700 Okinawa Electric Power 34,918 0.68

2,000 Okuwa 21,024 0.41900 Omron 23,879 0.47

2,000 Onward Holdings 17,331 0.34650 ORIX 64,008 1.25

6,000 Osaka Gas 23,301 0.451,100 Osaka Steel 19,599 0.387,200 Pioneer 29,734 0.583,000 Press Kogyo 14,420 0.28

600 Ricoh Leasing 16,514 0.32300 Rinnai 18,335 0.36

4,000 Sakai Chemical Industry 19,769 0.393,000 Sakata INX 15,085 0.293,000 Sanyo Special Steel 18,131 0.353,800 Sapporo Hokuyo Holdings 17,798 0.354,000 Seino Holdings 27,523 0.542,000 Sekisui Jushi 20,446 0.403,000 Sekisui Plastics 13,534 0.26

900 Shimachu 21,065 0.411,300 Skymark Airlines 18,930 0.37

200 SMC 34,293 0.672,900 Softbank 100,433 1.961,200 Sony 43,250 0.84

4,400 Sumitomo 62,258 1.211,400 Sumitomo Electric Industries 19,439 0.382,000 Sumitomo Metal Mining 34,970 0.683,700 Sumitomo Mitsui Financial Group 131,827 2.579,000 Sumitomo Osaka Cement 20,329 0.407,000 Sumitomo Trust & Banking 44,030 0.861,400 Tachi-S 22,963 0.456,000 Taihei Kogyo 28,213 0.55

700 Takata 20,735 0.40800 Takeda Pharmaceutical 39,365 0.77800 Tamron 16,662 0.32

5,000 Toagosei 23,418 0.46600 Tokyo Electric Power 14,660 0.29700 Torii Pharmaceutical 15,182 0.30

4,000 Toyo Ink Manufacturing 19,646 0.383,100 Toyota Motor 123,061 2.401,300 Toyota Tsusho 22,859 0.452,000 Tsugami 14,180 0.28

11 TV Asahi 19,153 0.371,200 Unipres 23,929 0.472,000 U-Shin 18,193 0.352,000 Yamaha Motor 32,570 0.633,000 Yokohama Rubber 15,491 0.301,200 Yorozu 21,484 0.42

4,000 Zeon 33,506 0.65

5,068,516 98.73

Total Shares 5,068,516 98.73


5,068,516 98.73


Cash 55,674 1.08



71




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesConsumer Discretionary 26.86Industrials 24.42Financials 14.30Materials 12.12Information Technology 8.51Telecommunication Services 6.20Energy 2.26Utilities 1.76Health Care 1.33Consumer Staples 0.97Total Shares 98.73Cash and Other Assets/(Liabilities) 1.27

Total 100.00


SharesIndustrials 23.33Consumer Discretionary 22.04Materials 13.06Financials 11.11Energy 0.88Information Technology 10.05Telecommunication Services 5.37Utilities 2.98Consumer Staples 3.73Health Care 1.89Total Shares 94.44Cash and Other Assets/(Liabilities) 5.56

Total 100.00

72




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


Shares and Warrants

SOUTH KOREA32,000 Amorepacific 32,508,380 2.03

240,000 Hyundai Engineering & Construction 15,458,954 0.96138,000 Hyundai Heavy Industries 54,532,933 3.40550,000 KB Financial Group 29,395,639 1.83310,000 Lock & Lock 9,997,727 0.6293,000 OCI 27,340,017 1.7077,500 Samsung Electronics 65,534,511 4.09

230,000 Samsung Engineering 39,420,779 2.46310,000 Samsung Techwin 28,535,322 1.78

302,724,262 18.87

CHINA59,122,000 Agricultural Bank of China - H Shares * 29,625,271 1.8516,500,000 BBMG - H Shares * 22,203,497 1.3856,200,000 China Construction Bank - H Shares * 50,357,386 3.1437,000,000 China Eastern Airlines - H Shares * 18,778,222 1.1612,000,000 China Merchants Bank - H Shares * 30,319,950 1.896,300,000 Jiangxi Copper - H Shares * 20,687,692 1.294,800,000 Ping An Insurance Group Co. of China - H Shares * 53,553,923 3.344,000,000 Weichai Power - H Shares * 24,803,489 1.559,000,000 Xinjiang Goldwind Science & Technology - H Shares* 18,699,103 1.177,200,000 Yanzhou Coal Mining - H Shares * 21,906,318 1.37

290,934,851 18.14

INDIA8,000,000 Ambuja Cements 25,566,365 1.59

420,000 Bharat Heavy Electricals 21,914,626 1.37470,000 HDFC Bank 24,623,365 1.53

5,200,000 Hindalco Industries - Warrants 21.09.2012 28,730,520 1.796,900,000 Infrastructure Development Finance 28,242,704 1.76

630,000 JSW Steel 16,534,770 1.03520,000 Larsen & Toubro Registered Shares GDR 23,129,600 1.44

1,080,000 Maruti Suzuki India 34,977,764 2.185,727,452 Mundra Port and Special Economic Zone 18,403,034 1.15

1,000,000 Tata Motors 29,153,528 1.82

251,276,276 15.66

SINGAPORE5,650,000 Fraser and Neave 28,300,734 1.76

13,500,000 Global Logistic Properties 22,716,093 1.423,900,000 Keppel 34,502,225 2.15

27,000,000 Midas Holdings 19,260,655 1.2015,000,000 Neptune Orient Lines 25,650,035 1.6017,300,000 Olam International 42,618,490 2.669,500,000 Overseas Union Enterprise 24,441,712 1.523,100,000 Wilmar International 13,639,806 0.85

211,129,750 13.16

TAIWAN8,500,000 Acer 26,291,817 1.64

33,500,000 Advanced Semiconductor Engineering 38,821,839 2.4215,000,000 Chimei Innolux 20,753,989 1.2930,000,000 Taishin Financial Holdings 17,781,781 1.11

103,649,426 6.46

BERMUDA7,000,000 China Yurun Food Group 23,031,352 1.43

14,298,000 Genting Hong Kong 6,398,355 0.403,900,000 Kerry Properties 20,420,424 1.2713,857,000 Nine Dragons Paper Holdings 19,663,031 1.242,800,000 Orient Overseas International 27,349,449 1.70

96,862,611 6.04

HONG KONG12,000,000 BOC Hong Kong Holdings 40,910,319 2.5527,000,000 Poly Hong Kong Investments 26,346,631 1.64

2,700,000 Wharf Holdings 20,806,371 1.30

88,063,321 5.49

THAILAND995,000 Banpu (Foreign) Registered Shares 26,191,181 1.63

3,350,000 Siam Cement - NVDR 37,959,235 2.37

64,150,416 4.00

INDONESIA32,000,000 Bank Danamon Indonesia 20,403,163 1.2715,000,000 United Tractors 39,550,618 2.47

59,953,781 3.74

CAYMAN ISLANDS8,000,000 AMVIG Holdings 6,700,030 0.42

39,000,000 China Resources Cement Holdings 29,702,435 1.854,300,000 China Shineway Pharmaceutical Group 12,349,963 0.77

48,752,428 3.04

MALAYSIA16,000,000 Petronas Chemicals Group 28,836,601 1.79

28,836,601 1.79

Total Shares and Warrants 1,546,333,723 96.39


1,546,333,723 96.39


Cash 59,591,908 3.71


Total Net Assets 1,604,183,115 100.00



Shares and WarrantsFinancials 32.18Industrials 19.30Materials 17.86Information Technology 11.22Consumer Staples 7.59Consumer Discretionary 7.47Health Care 0.77Total Shares and Warrants 96.39Cash and Other Assets/(Liabilities) 3.61

Total 100.00


SharesFinancials 32.74Industrials 17.28Materials 17.23Consumer Discretionary 11.62Information Technology 9.47Consumer Staples 6.71Total Shares 95.05Cash and Other Assets/(Liabilities) 4.95

Total 100.00

73

JPMorgan Investment Funds - JF Asia ex-Japan Fund



Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Shares


24,760 0.06


Bonds

UNITED STATES OF AMERICA185,000 Altria Group 10.11.18/9.700% 242,643 0.5995,000 American Express Credit 25.08.14/5.125% 101,970 0.2595,000 Anheuser-Busch InBev Worldwide 15.01.20/5.375% 102,436 0.25

140,000 AT&T 15.05.38/6.400% 148,718 0.36120,000 Capital One Financial 23.05.14/7.375% 136,258 0.3485,000 CBS 15.10.40/5.900% 81,346 0.20

125,000 Citigroup 21.11.17/6.125% 136,847 0.3460,000 Citigroup 09.08.20/5.375% 62,006 0.1580,000 Constellation Brands 01.09.16/7.250% 84,462 0.21

225,000 Cooper 15.02.15/7.125% 232,875 0.57140,000 Crédit Suisse/New York 15.02.18/6.000% 150,541 0.3750,000 Darden Restaurants 15.10.37/6.800% 53,522 0.1370,000 Entergy Arkansas 15.02.21/3.750% 67,108 0.17

100,000 Enterprise Products Operating 15.04.38/7.550% 119,217 0.29205,000 General Electric 06.12.17/5.250% 221,519 0.5460,000 General Electric Capital 14.01.38/5.875% 61,447 0.1540,000 Goldman Sachs Group 18.01.18/5.950% 43,307 0.1195,000 Goldman Sachs Group 01.04.18/6.150% 104,024 0.2650,000 Goldman Sachs Group 15.02.19/7.500% 58,398 0.14

105,000 Host Hotels & Resorts 15.03.15/6.375% 107,307 0.26100,000 Host Hotels & Resorts 01.06.16/6.750% 102,926 0.25200,000 Iron Mountain 01.01.16/6.625% 201,526 0.50110,000 Jarden 01.05.17/7.500% 116,347 0.29250,000 Kraft Foods 11.08.17/6.500% 290,403 0.71110,000 MetLife 01.06.16/6.750% 126,425 0.31265,000 MGM Resorts International 27.02.14/5.875% 246,739 0.60100,000 Nisource Finance 15.01.19/6.800% 115,375 0.2860,000 Pacific Gas & Electric 15.01.40/5.400% 59,361 0.1550,000 Plains All American Pipeline 01.05.18/6.500% 55,826 0.14

400,000 Sealy Mattress 15.06.14/8.250% 408,742 1.00200,000 Service Corp. International 01.10.14/7.375% 216,885 0.53175,000 Sprint Capital 15.03.32/8.750% 176,791 0.43100,000 UBS/Stamford 20.12.17/5.875% 109,973 0.27130,000 Vail Resorts 15.02.14/6.750% 132,275 0.3250,000 Verizon Communications 01.04.19/6.350% 57,660 0.14

345,000 Verizon Wireless Capital 15.11.13/7.375% 399,517 0.9865,000 Watson Pharmaceuticals 15.08.19/6.125% 71,760 0.1850,000 WellPoint 15.08.40/5.800% 50,152 0.1290,000 Williams Partners 01.02.17/7.250% 104,345 0.26

200,000 Windstream 01.08.16/8.625% 209,663 0.51

5,568,642 13.65

CANADA135,000 Canadian Natural Resources 01.12.14/4.900% 146,863 0.3665,000 Canadian Pacific Railway 15.05.19/7.250% 77,116 0.19

100,000 Suncor Energy 01.06.39/6.850% 114,008 0.28

337,987 0.83

UNITED KINGDOM50,000 British Telecommunications 15.12.30/9.875% 66,222 0.17

250,000 Standard Chartered 144A 18.11.14/5.500% 270,405 0.66

336,627 0.83

MEXICO2,210,000 Mexico (United Mexican States) 05.12.24/10.000% 222,581 0.55

222,581 0.55


161,029 0.39


101,157 0.25

BERMUDA75,000 Weatherford International

Bermuda 15.09.40/6.750% 77,849 0.19

77,849 0.19

Total Bonds 6,805,872 16.69


6,830,632 16.75


Bonds

UNITED STATES OF AMERICA325,000 Ally Financial 01.12.14/6.750% 342,469 0.84106,000 Arch Western Finance 01.07.13/6.750% 107,855 0.26

61,482 Banc of America MortgageSecurities 2005-10 1A13 25.11.35/5.500% 60,241 0.15

155,000 Bank of America 15.05.14/7.375% 172,415 0.42130,000 Bank of America 01.04.15/4.500% 132,605 0.33

5,000 Bank of America 01.08.16/6.500% 5,402 0.0165,000 Bank of America 01.05.18/5.650% 66,801 0.1670,000 Bear Stearns Commercial

Mortgage Securities2006-PW12 AM 11.09.38/5.761%* 72,600 0.18

55,000 Bear Stearns CommercialMortgage Securities2006-PW14 AM 11.12.38/5.243% 55,344 0.14

150,000 Biomet 15.10.17/10.375%* 163,908 0.40100,000 Caesars Entertainment Operating 01.06.17/11.250% 112,276 0.28200,000 Case New Holland 144A 01.12.17/7.875% 219,228 0.54205,000 CCO Holdings 144A 30.10.17/7.250% 209,100 0.51

1,084,637 Citigroup Mortgage Loan Trust2005-WF2 AF4 25.08.35/4.964%* 1,038,503 2.55

646,966 Citimortgage Alternative LoanTrust 2007-A1 1A7 25.01.37/6.000% 465,707 1.14

200,000 Clear Channel WorldwideHoldings 15.12.17/9.250% 219,000 0.54

1,170,548 Countrywide Asset-BackedCertificates 2003-5 MF1 25.01.34/5.413%* 771,809 1.89

329,069 Countrywide Asset-BackedCertificates 2005-4 AF3 25.10.35/4.456%* 326,621 0.80

125,000 Crédit Suisse/New York 01.05.14/5.500% 136,881 0.34100,000 Crédit Suisse/New York 15.05.13/5.000% 107,473 0.26

65,000 DCP Midstream 144A 15.03.19/9.750% 82,308 0.20220,000 DirecTV Holdings 15.06.15/6.375% 228,525 0.56250,000 Discover Bank 18.11.19/8.700% 293,256 0.72275,000 DISH 01.02.16/7.125% 283,057 0.69200,000 DJO Finance 15.11.14/10.875% 218,735 0.54

41,383 Fannie Mae Interest Strip 366 18 01.10.35/4.000% 4,220 0.01168,833 Fannie Mae Interest Strip 390 C7 25.07.23/4.000% 20,532 0.05217,890 Fannie Mae Interest Strip 390 C8 25.07.23/4.500% 29,778 0.07

91,537 Fannie Mae Pool No: 254766 01.06.33/5.000% 96,480 0.24193,362 Fannie Mae Pool No: 672379 01.12.17/5.000% 206,400 0.5170,150 Fannie Mae Pool No: 709705 01.06.33/5.000% 73,537 0.18137,215 Fannie Mae Pool No: 713985 01.07.33/5.000% 143,797 0.35139,373 Fannie Mae Pool No: 787565 01.03.35/7.500% 163,166 0.40555,051 Fannie Mae Pool No: 889183 01.09.21/5.500% 597,461 1.46

289,062 Fannie Mae Pool No: 889307 01.07.37/5.000% 302,928 0.74310,917 Fannie Mae Pool No: 919641 01.09.37/6.000% 337,102 0.83191,186 Fannie Mae Pool No: 930796 01.02.35/5.000% 200,417 0.49136,676 Fannie Mae Pool No: 952005 01.11.37/6.000% 148,186 0.36117,512 Fannie Mae Pool No: 965649 01.01.38/6.000% 127,408 0.31

237,729 Fannie Mae Pool No: AA9363 01.08.39/4.500% 243,189 0.6074,402 Fannie Mae REMICS 2003-22 IO 25.04.33/6.000% 15,347 0.04

189,343 Fannie Mae REMICS 2008-17 KS 25.11.37/6.089%* 26,701 0.07228,820 Fannie Mae REMICS 2008-71 SB 25.10.29/6.224%* 19,349 0.05194,867 Fannie Mae REMICS 2009-95 HI 25.12.38/6.000% 32,876 0.08676,850 Fannie Mae REMICS 2010-116 BI 25.08.20/5.000% 69,075 0.17175,000 Ford Motor Credit 01.10.14/8.700% 196,796 0.48547,246 Freddie Mac Gold

Pool No: G01589 01.09.33/5.000% 574,666 1.41456,947 Freddie Mac Non Gold

Pool No: 1G1999 01.06.37/5.373%* 487,010 1.19525,810 Freddie Mac Non Gold

Pool No: 1J0453 01.06.37/5.490%* 560,162 1.37156,005 Freddie Mac REMICS 3612 JI 15.05.24/4.500% 19,390 0.05150,000 Freescale Semiconductor 144A 15.04.18/9.250% 165,750 0.41509,079 GE Capital Commercial Mortgage

2002-1A A3 10.12.35/6.269% 530,485 1.3090,000 General Electric Capital 15.08.11/0.356%* 90,050 0.22155,000 Georgia-Pacific 15.06.15/7.700% 175,664 0.43277,157 Ginnie Mae I Pool No: 713334 15.05.39/4.500% 286,728 0.70


74




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets

1,931,898 GSAA Trust 2006-11 2A2 25.07.36/0.421%* 1,009,937 2.48135,000 Hanesbrands 15.12.14/3.831%* 134,831 0.33273,000 HCA 15.11.16/9.625%* 292,546 0.7285,000 Health Care REIT 15.09.17/4.700% 84,826 0.21

355,000 HSBC Finance 30.06.15/5.000% 376,483 0.922,286,223 Indymac Index Mortgage Loan

Trust 2007-FLX3 A1 25.06.37/0.501%* 1,442,136 3.5463,214 LB-UBS Commercial Mortgage

Trust 2001-C2 A2 15.11.27/6.653% 63,374 0.1660,000 LG&E and KU Energy 144A 15.11.20/3.750% 56,812 0.14

150,000 Lyondell Chemical 01.05.18/11.000% 169,065 0.41100,000 Metropolitan Life Global

Funding I 144A 10.04.13/5.125% 107,332 0.26135,000 Metropolitan Life Global

Funding I 144A 18.09.13/5.200% 146,117 0.3660,000 Midamerican Energy Holdings 15.09.37/6.500% 67,303 0.17

165,000 Morgan Stanley 02.11.15/3.450% 160,913 0.39100,000 Morgan Stanley 01.04.18/6.625% 108,892 0.27691,375 Morgan Stanley Dean Witter

Capital I 2002-TOP7 A2 15.01.39/5.980% 722,988 1.77145,000 NBC Universal 144A 01.04.21/4.375% 140,371 0.34139,737 Neiman-Marcus Group 15.10.15/9.000%* 147,073 0.3660,000 News America 15.12.35/6.400% 63,931 0.1635,000 News America 01.03.39/7.850% 43,215 0.11

155,000 NRG Energy 01.02.16/7.375% 158,532 0.3985,000 Oncor Electric Delivery 144A 30.09.40/5.250% 80,896 0.2085,524 Option One Mortgage Loan Trust

2003-4 A2 25.07.33/0.901%* 69,793 0.1745,000 Oracle 08.07.39/6.125% 50,036 0.1220,000 Oracle 144A 15.07.20/3.875% 19,925 0.05

200,000 PAETEC Holding 15.07.15/9.500% 206,217 0.51225,000 Plains All American Pipeline 15.09.15/3.950% 231,899 0.57205,000 Prudential Financial 15.06.19/7.375% 240,883 0.59

54,573 Residential Accredit Loans2006-QS18 3A3 25.12.21/5.750% 50,260 0.12

130,000 Reynolds Group Issuer 144A 15.04.19/7.125% 132,925 0.3375,000 Sally Holdings 15.11.14/9.250% 79,125 0.19

250,000 Spectrum Brands 144A 15.06.18/9.500% 275,000 0.671,461,282 Structured Asset Securities

2006-OPT1 A4 25.04.36/0.421%* 1,320,893 3.24250,000 Sungard Data Systems 15.08.15/10.250% 261,289 0.64285,000 TRW Automotive 144A 15.03.17/7.250% 309,567 0.7690,000 UnitedHealth Group 15.10.40/5.700% 88,787 0.22

145,000 US Treasury (i) 13.01.11/0.000% 144,992 0.36115,000 US Treasury 15.09.13/0.750% 114,533 0.28375,000 US Treasury 30.06.15/1.875% 375,937 0.92110,000 US Treasury 31.07.15/1.750% 109,502 0.27853,000 US Treasury 31.10.15/1.250% 824,344 2.02

81,000 US Treasury 15.11.21/8.000% 114,337 0.282,000 US Treasury 15.02.37/4.750% 2,137 0.01

195,000 US Treasury 15.02.38/4.375% 195,914 0.4830,000 US Treasury 15.05.38/4.500% 30,750 0.0780,000 US Treasury 15.08.39/4.500% 81,700 0.20

323,000 US Treasury 15.02.40/4.625% 336,475 0.8275,000 US Treasury 15.05.40/4.375% 74,918 0.18

140,000 US Treasury 15.08.40/3.875% 128,209 0.31455,000 Wachovia Bank Commercial

Mortgage Trust 2005-C21 A4 15.10.44/5.204%* 491,034 1.2062,814 Wells Fargo Mortgage Backed

Securities Trust 2006-11 A8 25.09.36/6.000% 59,265 0.1545,000 Williams Partners 15.04.40/6.300% 46,441 0.11

24,397,991 59.82

CAYMAN ISLANDS448,028 Helios Finance 2007-S1 B1 20.10.14/0.961%* 442,056 1.08100,000 Hutchison Whampoa

International 144A 11.09.15/4.625% 105,502 0.26

547,558 1.34

MEXICO280,000 America Movil 30.03.20/5.000% 292,726 0.72100,000 Grupo Bimbo 144A 30.06.20/4.875% 100,806 0.24

393,532 0.96

NETHERLANDS80,000 NXP/NXP Funding 144A 15.07.13/10.000% 90,000 0.22

150,000 NXP/NXP Funding 144A 01.08.18/9.750% 169,500 0.42

259,500 0.64

CANADA125,000 Quebecor Media 15.03.16/7.750% 130,000 0.3270,000 Xstrata Finance Canada 144A 15.11.16/5.800% 76,666 0.1940,000 Xstrata Finance Canada 144A 15.11.37/6.900% 43,337 0.10

250,003 0.61

UNITED KINGDOM120,000 Nationwide Building Society 144A 25.02.15/4.650% 122,425 0.30

122,425 0.30

BELGIUM95,000 Delhaize Group 144A 01.10.40/5.700% 90,716 0.23

90,716 0.23

Total Bonds 26,061,725 63.90

Commercial Paper

FRANCE2,000,000 BPCE 31.01.11/0.000% 1,999,500 4.90

1,999,500 4.90

JERSEY1,000,000 Argento Variable Funding 04.01.11/0.000% 999,976 2.45

999,976 2.45

Total Commercial Paper 2,999,476 7.35


29,061,201 71.25


Bonds

UNITED STATES OF AMERICA83,662 CVS Pass Through Trust 144A 10.01.32/7.507% 94,875 0.23

10,000,000 Links Finance 144A** 15.06.10/0.000% 0 0.00350,000 Steinway Musical

Instruments 144A 01.03.14/7.000% 354,375 0.87

449,250 1.10




Cash 4,263,756 10.45



* Variable coupon rates are those quoted as at 31 December 2010.** This security is submitted to a fair valuation.(i) Security held as collateral against futures positions by the broker.

75




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets


Fixed Income SecuritiesUnited States of America 74.57France 4.90Jersey 2.45Cayman Islands 1.59Mexico 1.51Canada 1.44United Kingdom 1.13Netherlands 0.64Isle of Man 0.39Belgium 0.23Bermuda 0.19Total Fixed Income Securities 89.04SharesConsumer Discretionary 0.06Total Shares 0.06Cash and Other Assets/(Liabilities) 10.90

Total 100.00


Fixed Income SecuritiesUnited States of America 73.58Cayman Islands 4.62Japan 3.16Norway 3.16Canada 1.80United Kingdom 1.80Luxembourg 1.06Australia 0.50Mexico 0.44Spain 0.40Netherlands 0.30Sweden 0.25Bermuda 0.12Isle of Man 0.11Total Fixed Income Securities 91.30SharesConsumer Discretionary 0.10Total Shares 0.10Cash and Other Assets/(Liabilities) 8.60

Total 100.00

76




Quantity/Nominal

Value


MarketValue

%of

NetAssets

Quantity/Nominal

Value


MarketValue

%of

NetAssets





NominalValue

MarketValue



UNITED STATES OF AMERICA25-Jan-26 Fannie Mae 3.500% 540,000 542,784 (5,653)25-Jan-26 Fannie Mae 4.000% 680,000 698,594 (6,156)15-Jan-39 Freddie Mac 6.000% 500,000 540,234 1,77915-Jan-39 Ginnie Mae 5.000% 750,000 794,766 3,28115-Jan-39 Ginnie Mae 6.000% 240,000 263,588 75025-Jan-39 Fannie Mae 6.500% 260,000 288,722 1,25915-Jan-41 Freddie Mac 4.500% 530,000 540,683 (1,139)15-Jan-41 Freddie Mac 5.500% 960,000 1,021,650 3,12815-Jan-41 Freddie Mac 6.500% 155,000 171,638 77515-Jan-41 Ginnie Mae 4.000% 1,360,000 1,365,738 8,51015-Jan-41 Ginnie Mae 4.500% 545,000 563,820 1,76825-Jan-41 Fannie Mae 4.000% 6,810,000 6,737,644 (44,910)25-Jan-41 Fannie Mae 5.500% 1,175,000 1,255,231 (2,175)25-Jan-41 Fannie Mae 6.000% 30,000 32,559 55

Total 14,817,651 (38,728)


ExpirationDate


NotionalValue


Bond Futures

Mar-11 (5) Euro-Bund Future EUR (839,232) (7,434)Mar-11 4 Long Gilt Future GBP 744,518 11,527Mar-11 (5) US 2 Year Note Future USD (1,093,750) 922Mar-11 (35) US 5 Year Note Future USD (4,113,320) 57,860Mar-11 6 US 10 Year Note Future USD 721,031 (22,750)Mar-11 11 US Long Bond Future USD 1,337,188 (53,883)


Interest Rate Futures

Mar-11 16 3 Month Bank Accept Future CAD 3,950,296 (5,612)Jun-11 (16) 3 Month Bank Accept Future CAD (3,943,080) 9,620

Total Interest Rate Futures4,008

Total (9,750)

Schedule of Investments - Outstanding Interest Rate Swaps (Expressed in USD)


MarketValue


19-Oct-17 Deutsche Bank Receive floating rate USD LIBOR 3 months USD 1,119,000 (180,459) (180,459)Pay fixed rate 5.232%

Total (180,459) (180,459)

77


Shares

UNITED STATES OF AMERICA9,800 Alliance Data Systems 699,622 0.481,300 Alliant Energy 47,950 0.03

31,850 American Electric Power 1,146,441 0.8025,500 AMERIGROUP 1,133,347 0.7953,300 Ameriprise Financial 3,058,887 2.1221,700 Amgen 1,198,491 0.834,900 Anadarko Petroleum 376,761 0.266,100 Apache 729,377 0.51

90,100 Apollo Investment 1,000,560 0.7016,200 Apple 5,216,400 3.6212,900 Assurant 494,908 0.3427,400 AT&T 804,875 0.5611,600 Autoliv 916,980 0.647,800 Autozone 2,134,392 1.48

145,780 Bank of America 1,938,145 1.3419,900 Biogen Idec 1,332,603 0.9255,400 Capital One Financial 2,351,730 1.6359,400 CBS - B Shares 1,132,758 0.7914,804 CenturyLink 685,795 0.4716,500 Cephalon 1,019,947 0.7154,380 Chevron 4,951,027 3.4380,900 Chimera Investment 333,712 0.2320,500 Cigna 744,355 0.52

605,600 Citigroup 2,873,572 1.996,500 Cliffs Natural Resources 507,585 0.35

53,000 Constellation Brands - A Shares 1,172,095 0.817,900 Cooper 442,558 0.318,600 CSX 552,679 0.38

24,000 Cummins 2,624,640 1.8223,700 Darden Restaurants 1,100,983 0.763,500 Devon Energy 273,648 0.196,450 Digital Realty Trust 335,658 0.239,800 DTE Energy 444,577 0.3111,700 Eastman Chemical 982,507 0.68

29,900 Eaton 3,022,741 2.1011,500 Endo Pharmaceuticals Holdings 411,757 0.287,500 Energen 362,850 0.25

15,100 Energizer Holdings 1,101,469 0.7612,000 Equity Residential Property 628,440 0.4486,090 Exxon Mobil 6,292,749 4.3614,300 Family Dollar Stores 715,572 0.5012,123 Fidelity National Information Services 334,049 0.23

15,650 Forest Laboratories 500,409 0.3517,650 Freeport-McMoRan Copper & Gold 2,106,086 1.466,685 Frontier Communications 64,945 0.05

61,300 Gannett 916,741 0.643,500 Genzyme 248,780 0.17

11,600 Harris 525,248 0.3617,000 Helmerich & Payne 829,345 0.5723,630 Hewlett-Packard 991,869 0.6920,100 Humana 1,096,555 0.7668,100 Huntington Bancshares 469,550 0.3335,300 IAC/InterActive 1,030,936 0.7232,270 International Business Machines 4,715,292 3.2732,400 Intersil - A Shares 499,122 0.35

9,100 JM Smucker 596,778 0.413,700 Joy Global 320,587 0.22

25,100 Kimberly-Clark 1,581,300 1.1025,300 Kinetic Concepts 1,053,239 0.7326,850 Lexmark International - A Shares 935,857 0.6548,400 Lincoln National 1,332,694 0.9235,100 Lorillard 2,872,233 1.997,700 Lubrizol 826,941 0.57

47,550 Macy’s 1,197,071 0.837,900 MetLife 350,839 0.24

200,300 Microsoft 5,563,333 3.8622,200 Molson Coors Brewing - B Shares 1,117,104 0.7846,200 National Oilwell Varco 3,092,397 2.1417,050 Norfolk Southern 1,069,376 0.7412,300 Novellus Systems 398,459 0.27

40,000 Nvidia 606,200 0.423,700 Occidental Petroleum 361,305 0.25

31,900 Patterson-UTI Energy 686,329 0.48135,500 Pfizer 2,371,928 1.6426,900 PNC Financial Services Group 1,637,538 1.1426,200 PPG Industries 2,201,193 1.5322,500 Protective Life 604,800 0.4231,200 Prudential Financial 1,818,804 1.2636,300 Qualcomm 1,791,587 1.2452,800 RR Donnelley & Sons 901,560 0.639,500 SanDisk 473,243 0.33

5,610 Simon Property Group 560,018 0.3936,000 SLM 450,180 0.31

5,600 Sotheby’s 252,504 0.1823,600 SunTrust Banks 693,722 0.4826,100 Thomas & Betts 1,264,284 0.8830,166 Time Warner 968,479 0.6724,500 Timken 1,181,145 0.8263,800 Tyson Foods - A Shares 1,107,249 0.7718,200 United Continental Holdings 442,533 0.315,000 United Parcel Service - B Shares 363,475 0.25

49,600 UnitedHealth Group 1,781,880 1.2428,500 Universal Health Services - B Shares 1,244,595 0.8638,850 Verizon Communications 1,390,830 0.9646,900 Viacom - B Shares 1,843,639 1.2868,650 Wal-Mart Stores 3,708,130 2.5778,600 Wells Fargo & Co. 2,428,347 1.6812,200 Whirlpool 1,085,739 0.754,800 Whiting Petroleum 557,952 0.39

21,500 Williams-Sonoma 771,635 0.5350,400 Windstream 704,844 0.4940,700 Wyndham Worldwide 1,217,134 0.84

186,400 Xerox 2,140,804 1.4819,100 Xilinx 555,142 0.38

134,101,025 92.97

BERMUDA18,900 Allied World Assurance 1,125,590 0.7811,800 Endurance Specialty Holdings 544,511 0.3821,850 Marvell Technology Group 400,401 0.2817,600 Signet Jewelers 756,800 0.52

2,827,302 1.96

IRELAND34,900 Warner Chilcott - A Shares 780,190 0.5453,100 XL Group 1,164,749 0.81

1,944,939 1.35

CAYMAN ISLANDS13,700 Herbalife 934,272 0.65

934,272 0.65

SWITZERLAND500 Allied World Assurance Co Holdings 29,778 0.02

29,778 0.02

Total Shares 139,837,316 96.95


139,837,316 96.95


Cash 4,879,454 3.38



78




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets


SharesInformation Technology 18.31Financials 18.18Consumer Discretionary 13.52Energy 12.58Health Care 11.30Industrials 8.69Consumer Staples 5.86Materials 4.59Telecommunication Services 2.53Utilities 1.39Total Shares 96.95Cash and Other Assets/(Liabilities) 3.05

Total 100.00


SharesInformation Technology 20.39Financials 15.69Health Care 13.36Consumer Discretionary 12.65Energy 11.65Industrials 7.80Consumer Staples 5.72Utilities 3.59Materials 3.40Telecommunication Services 2.33Total Shares 96.58Cash and Other Assets/(Liabilities) 3.42

Total 100.00

79




Quantity/Nominal

Value


%of

NetAssets

Quantity/Nominal

Value


%of

NetAssets




ExpirationDate


NotionalValue


Equity Futures

Mar-11 67 SP 500 Emini Future USD 4,189,175 26,660

Total 26,660




AmountSold


14-Jan-11 EUR 8,253,308 USD 10,916,658 138,28814-Jan-11 USD 9,331 EUR 7,032 (88)17-Feb-11 USD 7,550 EUR 5,692 (73)

Total 138,127

80

1. Fund Total Expense Ratios (continued)

For theYear

ended31 Dec 10

For theYear

ended31 Dec 10#

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

For theyear

ended31 Dec 06

CappedExpense

Ratio31 Dec 10

InceptionDate

JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 29-Aug-97JPM Europe Select Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% - - 24-Oct-07JPM Europe Select Equity A (dist) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Europe Select Equity B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% - - 13-Oct-03JPM Europe Select Equity C (acc) - EUR 0.85% - 0.85% 0.85% 0.63% - - 07-Jan-98JPM Europe Select Equity D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% - - 19-Mar-07JPM Europe Select Equity D (acc) - USD 2.65% - 2.65% 2.65% 2.65% - - 20-Dec-07JPM Europe Select Equity I (acc) - EUR 0.57% - - - - - 0.81% 13-Apr-10JPM Europe Select Equity X (acc) - EUR 0.13% - 0.15% 0.15% 0.12% 0.15% 0.15% 21-May-01JPM Europe Select Equity X (acc) - EUR (hedged) 0.13% - 0.15% 0.15% 0.02% - 0.15% 24-Oct-07

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 1.70% - 1.70% 1.70% 1.70% 1.70% - 04-Apr-03JPM Global Balanced (USD) A (acc) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 01-Jul-97JPM Global Balanced (USD) A (dist) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 15-May-06JPM Global Balanced (USD) B (acc) - USD 1.05% - 1.05% 1.05% 1.05% 1.10% - 01-Jul-97JPM Global Balanced (USD) C (acc) - USD 0.90% - 0.90% 0.90% 0.89% 0.87% - 22-Jul-03JPM Global Balanced (USD) D (acc) - USD 2.15% - 2.15% 2.15% 2.15% 2.15% - 01-Feb-02JPM Global Balanced (USD) X (acc) - USD 0.09% - 0.10% 0.10% 0.10% 0.09% 0.10% 19-Dec-97JPM Global Balanced (USD) X (inc) - USD** - - - - - 0.06% 0.10% 01-Sep-98

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 1.20% - 1.20% 1.20% 1.20% 1.20% - 04-Apr-03JPM Global Bond (USD) A (acc) - USD 1.00% - 1.00% 1.00% 1.00% 1.00% - 06-Nov-97JPM Global Bond (USD) B (acc) - USD** - - - 0.70% 0.70% 0.75% - 15-May-09JPM Global Bond (USD) C (acc) - USD 0.55% - 0.55% 0.55% 0.54% 0.53% - 26-May-98JPM Global Bond (USD) D (acc) - USD 1.40% - 1.40% 1.40% 1.40% 1.40% - 13-Nov-01JPM Global Bond (USD) X (acc) - USD 0.10% - 0.10% 0.10% 0.09% 0.09% 0.10% 03-Sep-98

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 1.45% - 1.45% 1.45% 1.45% 1.45% - 28-Nov-05JPM Global Capital Preservation (USD) B (acc) - USD** - - - - 0.95% 1.05% - 30-Jan-06JPM Global Capital Preservation (USD) C (acc) - USD** - - - - 0.75% 0.74% 0.75% 05-Jan-06JPM Global Capital Preservation (USD) D (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 28-Nov-05JPM Global Capital Preservation (USD) X (acc) - USD** - - - 0.10% 0.10% 0.09% 0.10% 19-Nov-04

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 1.90% - 1.90% - - - - 17-Aug-09JPM Global Convertibles (USD) A (acc) - USD 1.65% - 1.65% 1.65% 1.65% 1.65% - 15-Jun-04JPM Global Convertibles (USD) B (acc) - USD 1.00% - 1.00% 1.00% - - - 23-May-08JPM Global Convertibles (USD) C (acc) - USD 0.95% - 0.95% - - 0.26% - 09-Aug-05JPM Global Convertibles (USD) D (acc) - USD 2.15% - 2.15% 2.15% 2.15% 2.15% - 28-Dec-04JPM Global Convertibles (USD) I (acc) - USD 0.91% - 0.91% 0.89% 0.76% - 0.91% 01-Mar-07JPM Global Convertibles (USD) X (acc) - USD** - - 0.11% - 0.14% 0.10% 0.15% 15-Jun-04

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 1.90% - 1.90% 1.90% 1.90% - - 28-Nov-07JPM Global Dividend A (acc) - EUR 1.90% - - - - - - 04-Oct-10JPM Global Dividend A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% - - 28-Nov-07JPM Global Dividend A (inc) - USD 1.90% - 1.90% - - - - 12-Oct-09JPM Global Dividend A (inc) - EUR (hedged) 1.90% - 1.90% - - - - 12-Feb-09JPM Global Dividend C (acc) - EUR 0.80% - 0.80% - - - - 02-Apr-09JPM Global Dividend D (acc) - USD 2.65% - 2.65% 2.65% 2.65% - - 28-Nov-07JPM Global Dividend D (acc) - EUR (hedged) 2.65% - 2.65% 2.65% 2.65% - - 28-Nov-07

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1.10% - 1.10% 1.10% 1.10% 1.10% - 12-Dec-00JPM Global Enhanced Bond A (inc) - EUR 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-06JPM Global Enhanced Bond B (acc) - EUR 0.75% - 0.75% 0.75% 0.75% 0.80% - 02-Jan-01JPM Global Enhanced Bond C (acc) - EUR 0.60% - 0.60% 0.60% 0.58% 0.59% - 30-May-00JPM Global Enhanced Bond D (acc) - EUR 1.40% - 1.40% 1.40% 1.40% 1.40% - 30-May-01JPM Global Enhanced Bond X (acc) - EUR 0.10% - 0.10% 0.10% 0.09% 0.09% 0.10% 30-May-00JPM Global Enhanced Bond X (inc) - EUR** - - - - - 0.09% 0.10% 09-Sep-04

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 11-Dec-00JPM Global Financials A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 14-Sep-06JPM Global Financials A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Global Financials B (acc) - USD 1.15% - 1.15% 1.15% 1.15% - - 10-Dec-07JPM Global Financials C (acc) - USD 1.05% - 1.05% 1.05% 0.99% 0.99% - 28-Dec-00JPM Global Financials D (acc) - USD 2.90% - 2.90% 2.90% 2.90% 2.90% - 12-Jul-01JPM Global Financials X (acc) - USD 0.15% - 0.20% 0.19% 0.17% 0.14% 0.20% 07-Feb-02

81




For theYear

ended31 Dec 10

For theYear

ended31 Dec 10#

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

For theyear

ended31 Dec 06

CappedExpense

Ratio31 Dec 10

InceptionDate

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 1.25% - 1.25% 1.25% - - - 02-Sep-08JPM Global High Yield Bond A (acc) - EUR (hedged) 1.25% - 1.25% 1.25% 1.25% 1.25% - 24-Mar-00JPM Global High Yield Bond A (inc) - EUR (hedged) 1.25% - 1.25% 1.25% 1.25% 1.25% - 15-May-06JPM Global High Yield Bond A (mth) - USD 1.25% - 1.25% 1.25% - - - 17-Sep-08JPM Global High Yield Bond B (acc) - EUR (hedged) 0.90% - 0.90% 0.90% 0.90% 0.90% - 24-Mar-00JPM Global High Yield Bond C (acc) - USD 0.60% - 0.60% 0.60% - - - 18-Aug-08JPM Global High Yield Bond C (acc) - EUR (hedged) 0.60% - 0.60% 0.60% 0.59% 0.57% - 24-Mar-00JPM Global High Yield Bond D (acc) - USD 1.65% - - - - - - 17-Sep-10JPM Global High Yield Bond D (acc) - EUR (hedged) 1.65% - 1.65% 1.65% 1.65% - - 18-Apr-01JPM Global High Yield Bond I (acc) - USD 0.54% - 0.56% - - - 0.56% 19-Nov-09JPM Global High Yield Bond I (inc) - EUR (hedged) 0.54% - 0.56% 0.54% - - 0.56% 09-Mar-07JPM Global High Yield Bond X (acc) - EUR (hedged) 0.10% - 0.10% 0.09% 0.08% 0.05% 0.10% 24-Mar-00

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 06-Nov-06JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 1.90% - 1.90% 1.90% - - - 12-Aug-08JPM Highbridge Statistical Market Neutral A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 06-Nov-06JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 1.90% - 1.90% 1.90% - - - 24-Jul-08JPM Highbridge Statistical Market Neutral A (dist) - GBP 1.90% - 1.90% 1.90% 1.90% - - 08-Feb-07JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 1.90% - 1.90% 1.90% - - - 11-Jul-08JPM Highbridge Statistical Market Neutral A (inc) - EUR 1.90% - 1.90% 1.90% 1.90% - - 23-Apr-07JPM Highbridge Statistical Market Neutral B (acc) - EUR 1.15% - 1.15% 1.15% 1.15% - - 08-Feb-07JPM Highbridge Statistical Market Neutral B (acc) - USD** - - 1.15% 1.15% - - - 24-Apr-07JPM Highbridge Statistical Market Neutral C (acc) - EUR 1.00% - 1.00% 1.00% 1.00% - - 18-Jan-07JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1.00% - 1.00% 1.00% - - - 23-Jun-08JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 1.00% - 1.00% - - - - 01-Apr-09JPM Highbridge Statistical Market Neutral D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% 2.65% - 06-Nov-06JPM Highbridge Statistical Market Neutral D (acc) - USD 2.65% - 2.65% 2.65% - - - 06-Nov-08JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 2.65% - 2.65% 2.65% - - - 18-Aug-08JPM Highbridge Statistical Market Neutral I (acc) - EUR 0.92% - 0.96% 0.92% 0.90% 0.11% 0.96% 28-Nov-06JPM Highbridge Statistical Market Neutral I (dist) - EUR 0.77% - - - - - 0.96% 16-Mar-10JPM Highbridge Statistical Market Neutral X (acc) - EUR 0.22% - 0.15% 0.12% 0.10% 0.01% 0.15% 20-Nov-06JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)** - - 0.11% - - - 0.15% 12-Mar-09

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JPM Japan 50 Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-04JPM Japan 50 Equity A (dist) - JPY 1.90% - 1.90% 1.90% 1.90% - - 08-May-07JPM Japan 50 Equity C (acc) - JPY 0.95% - 0.95% - - - - 02-Apr-09JPM Japan 50 Equity D (acc) - JPY 2.90% - 2.90% 2.90% 2.90% 2.90% - 26-Jul-06JPM Japan 50 Equity I (acc) - JPY** - - - 0.86% 0.86% 0.53% 0.91% 19-May-06JPM Japan 50 Equity X (acc) - JPY 0.15% - 0.15% 0.12% 0.11% 0.10% 0.15% 20-Dec-04

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% - - 03-Apr-07JPM Japan Behavioural Finance Equity A (acc) - EUR 1.90% - 1.90% 1.90% 1.90% - - 03-Apr-07JPM Japan Behavioural Finance Equity A (dist) - USD 1.90% - 1.90% 1.90% 1.90% - - 03-Apr-07JPM Japan Behavioural Finance Equity C (acc) - USD** - - 0.95% 0.95% 0.20% - - 03-Apr-07JPM Japan Behavioural Finance Equity D (acc) - USD** - - 2.65% - 2.65% - - 03-Apr-07JPM Japan Behavioural Finance Equity D (acc) - EUR 2.65% - 2.65% 2.65% 2.65% - - 03-Apr-07JPM Japan Behavioural Finance Equity I (inc) - EUR** - - 0.91% - 0.56% - 0.91% 31-May-07JPM Japan Behavioural Finance Equity X (acc) - USD 0.13% - 0.15% 0.14% 0.06% - 0.15% 31-May-07

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 12-Dec-97JF Asia ex-Japan A (dist) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 15-May-06JF Asia ex-Japan B (acc) - USD 1.15% - 1.15% 1.15% 1.15% 1.25% - 31-Dec-97JF Asia ex-Japan C (acc) - USD 1.00% - 1.00% 1.00% 0.97% 0.95% - 14-Dec-00JF Asia ex-Japan D (acc) - USD 2.65% - 2.65% 2.65% 2.65% 2.65% - 12-Mar-02JF Asia ex-Japan I (acc) - USD 0.96% - 0.96% 0.90% 0.92% 0.47% 0.96% 26-Jun-06JF Asia ex-Japan X (acc) - USD 0.13% - 0.20% 0.17% 0.17% 0.17% 0.20% 29-Jun-98

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-97JPM US Bond A (inc) - USD 1.10% - 1.10% 1.10% 1.10% 1.10% - 15-May-06JPM US Bond B (acc) - USD 0.75% - 0.75% 0.75% 0.75% 0.80% - 15-May-97JPM US Bond C (acc) - USD 0.60% - 0.60% 0.60% 0.57% 0.57% - 12-Feb-98JPM US Bond D (acc) - USD 1.35% - 1.35% 1.35% 1.35% 1.35% - 13-Nov-01JPM US Bond X (acc) - USD** - - - - 0.08% 0.07% 0.10% 06-Apr-98

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For theYear

ended31 Dec 10

For theYear

ended31 Dec 10#

For theyear

ended31 Dec 09

For theyear

ended31 Dec 08

For theyear

ended31 Dec 07

For theyear

ended31 Dec 06

CappedExpense

Ratio31 Dec 10

InceptionDate

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-06JPM US Equity A (acc) - EUR (hedged) 1.90% - 1.90% 1.90% 1.90% 1.90% - 27-Dec-06JPM US Equity A (dist) - GBP 1.90% - 1.90% - - - - 25-Aug-09JPM US Equity C (acc) - USD 0.85% - 0.85% 0.85% 0.67% - - 22-Mar-07JPM US Equity D (acc) - USD 2.40% - 2.40% 2.40% 2.40% 2.40% - 27-Dec-06JPM US Equity D (acc) - EUR (hedged) 2.40% - 2.40% 2.40% 2.40% 2.40% - 27-Dec-06JPM US Equity X (acc) - USD 0.15% - 0.15% 0.12% 0.12% - 0.15% 21-May-07

Expense ratios are calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association.

* The capped expense ratios and total expense ratios for some share classes may have changed over the previous five years. All details concerning these changes have been disclosed in previous years’financial statements.** Share Class inactive as at end of the year.# These figures include the Performance Fees.

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2. Summary of Investment Objectives of the Sub-Funds

Europe Select Equity FundSeeks to achieve a return in excess of the European equity markets by investing primarily in European companies.

Global Balanced Fund (USD)Seeks to provide long-term capital growth and income by investing primarily in companies and sovereign issuers, globally.

Global Bond Fund (USD)Seeks to achieve a return in excess of global government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Capital Preservation Fund (USD)Seeks to achieve, over a medium-term horizon (2 to 3 years), a return in excess of its cash benchmark from a portfolio of securities, globally, using derivativestrategies where appropriate.

Global Convertibles Fund (USD)Seeks to provide a return by investing primarily in a diversified portfolio of convertible securities and warrants, globally.

Global Dividend FundSeeks to provide long-term capital growth by investing primarily in companies, globally, that generate high and rising income.

Global Enhanced Bond FundSeeks to achieve a return in excess of global non-government bond markets by investing primarily in global fixed and floating rate debt securities, usingderivative strategies where appropriate.

Global Financials FundSeeks to achieve a high return by investing primarily in companies from the financial, banking, insurance and property sectors (“Financial Companies”),globally.

Global High Yield Bond FundSeeks to achieve a return in excess of global bond markets by investing primarily in below investment grade global fixed and floating rate debt securities,using derivative strategies where appropriate.

Highbridge Statistical Market Neutral FundSeeks to provide a total return in all market environments in excess of the return on short-term instruments, through a market neutral strategy. Derivativeswill be used where appropriate to gain exposure primarily to European and US equity securities.

Japan 50 Equity FundSeeks to achieve a return in excess of the Japanese equity market primarily from a concentrated portfolio of medium to large sized Japanese companies.

Japan Behavioural Finance Equity FundSeeks to provide long-term capital growth by investing primarily in Japanese companies.

JF Asia ex-Japan FundSeeks to provide long-term capital growth by investing primarily in companies in Asia (excluding Japan).

US Bond FundSeeks to achieve a return in excess of US bond markets by investing primarily in US fixed and floating rate debt securities, using derivative strategies whereappropriate.

US Equity FundSeeks to maximise long-term capital growth by investing primarily in an actively managed portfolio of medium to large capitalisation US companies.

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3. Performance and VolatilityPerformance

Returns for periods greater than one year are annualised. Fund performance includes reinvestment of income and is net of all expenses.

Past performance is no indication of current or future performance.

Volatility

The standard deviation (D) of the price is calculated on a daily basis throughout each Fund’s financial year. The details below relate to the year from 1 January 2010to 31 December 2010.

If D is equal to or less than 0.1 then volatility will be LowIf D is greater than 0.1 but less than or equal to 1.0 then volatility will be MediumIf D is greater than 1.0 but less than or equal to 2.4 then volatility will be HighIf D is greater than 2.4 then volatility will be Very High


JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 4.93% 13.15% 6.52% 10.74% 55.15% -17.19% -19.49% -1.78% HighJPM Europe Select Equity A (acc) - USD 3.12% 23.63% 5.61% 3.25% 46.94% -24.49% - - HighJPM Europe Select Equity A (dist) - EUR 4.94% 13.15% 6.51% 10.60% 28.59% -31.20% -33.12% - HighJPM Europe Select Equity B (acc) - EUR 5.14% 13.58% 7.13% 11.58% 57.52% -15.29% - - HighJPM Europe Select Equity C (acc) - EUR 5.21% 13.75% 7.37% 11.91% 58.46% -14.53% - - HighJPM Europe Select Equity D (acc) - EUR 4.73% 12.73% 5.93% 9.92% 52.84% -19.03% - - HighJPM Europe Select Equity D (acc) - USD 2.92% 23.17% 5.00% 2.46% 44.75% -26.17% - - HighJPM Europe Select Equity I (acc) - EUR 5.23% 13.78% - - - - - - HighJPM Europe Select Equity X (acc) - EUR 5.40% 14.15% 7.94% 12.69% 60.67% -12.72% -13.63% 7.22% HighJPM Europe Select Equity X (acc) - EUR (hedged) 4.23% 14.82% 4.34% 8.25% 48.49% -12.79% - - High

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 2.66% 10.63% 6.10% 8.49% 27.06% 3.47% 13.01% 26.43% MediumJPM Global Balanced (USD) A (acc) - USD 2.67% 10.65% 6.14% 8.54% 27.18% 3.62% 13.24% 26.74% MediumJPM Global Balanced (USD) A (dist) - USD 2.67% 10.66% 6.15% 8.48% 26.20% 2.58% 11.98% - MediumJPM Global Balanced (USD) B (acc) - USD 2.83% 11.00% 6.62% 9.20% 28.73% 5.52% 15.94% 30.49% MediumJPM Global Balanced (USD) C (acc) - USD 2.87% 11.08% 6.74% 9.37% 29.11% 5.99% 16.70% 31.68% MediumJPM Global Balanced (USD) D (acc) - USD 2.54% 10.38% 5.74% 8.01% 25.92% 2.08% 10.99% 23.62% MediumJPM Global Balanced (USD) X (acc) - USD 3.07% 11.52% 7.38% 10.24% 31.16% 8.55% 20.47% 36.95% MediumJPM Global Balanced (USD) X (inc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD -2.11% 0.73% 3.37% 5.77% 6.24% -17.46% -16.93% -14.55% MediumJPM Global Bond (USD) A (acc) - USD -2.06% 0.83% 3.52% 5.99% 6.67% -16.96% -16.25% -13.69% MediumJPM Global Bond (USD) B (acc) - USD* - - - - - - - - MediumJPM Global Bond (USD) C (acc) - USD -1.95% 1.06% 3.88% 6.47% 7.63% -15.85% -14.73% -11.71% MediumJPM Global Bond (USD) D (acc) - USD -2.16% 0.62% 3.22% 5.56% 5.82% -17.96% -17.58% -15.39% MediumJPM Global Bond (USD) X (acc) - USD -1.83% 1.29% 4.23% 6.95% 8.60% -14.69% -13.17% -9.70% Medium

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 1.09% 5.17% 1.94% 3.04% 11.64% 3.58% 11.49% 18.59% MediumJPM Global Capital Preservation (USD) B (acc) - USD* - - - - - - - - MediumJPM Global Capital Preservation (USD) C (acc) - USD* - - - - - - - - MediumJPM Global Capital Preservation (USD) D (acc) - USD 1.00% 4.96% 1.61% 2.60% 10.66% 2.20% 9.56% 16.04% MediumJPM Global Capital Preservation (USD) X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD 4.06% 9.46% 3.34% 5.65% - - - - MediumJPM Global Convertibles (USD) A (acc) - USD 4.12% 9.59% 3.54% 5.92% 36.74% 0.98% 9.78% 23.47% MediumJPM Global Convertibles (USD) B (acc) - USD 4.29% 9.95% 4.06% 6.61% 38.54% - - - MediumJPM Global Convertibles (USD) C (acc) - USD 4.30% 9.97% 4.09% 6.66% - - - - MediumJPM Global Convertibles (USD) D (acc) - USD 3.98% 9.32% 3.15% 5.39% 35.38% -0.52% 7.60% 20.42% MediumJPM Global Convertibles (USD) I (acc) - USD 4.32% 10.02% 4.17% 6.75% 38.87% 3.33% - - MediumJPM Global Convertibles (USD) X (acc) - USD* - - - - - - - - Medium

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 4.68% 22.53% 9.50% 8.02% 32.70% -17.09% - - HighJPM Global Dividend A (acc) - EUR - - - - - - - - HighJPM Global Dividend A (acc) - EUR (hedged) 5.12% 15.52% 7.15% 8.70% 27.12% -16.25% - - HighJPM Global Dividend A (inc) - USD 4.68% 22.52% 9.51% 7.98% - - - - HighJPM Global Dividend A (inc) - EUR (hedged) 5.11% 15.51% 7.14% 8.46% - - - - HighJPM Global Dividend C (acc) - EUR 6.80% 12.77% 11.37% 17.13% - - - - HighJPM Global Dividend D (acc) - USD 4.48% 22.07% 8.89% 7.20% 30.73% -18.95% - - HighJPM Global Dividend D (acc) - EUR (hedged) 4.91% 15.08% 6.55% 7.89% 25.24% -18.11% - - HighJPM Global Dividend X (acc) - USD* - - - - - - - - High

85




JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR -0.90% 2.59% 5.27% 11.44% 22.07% -7.08% -10.24% -9.12% MediumJPM Global Enhanced Bond A (inc) - EUR -0.90% 2.59% 5.26% 11.42% 21.67% -7.17% -10.08% - MediumJPM Global Enhanced Bond B (acc) - EUR -0.81% 2.78% 5.55% 11.84% 22.92% -6.10% -9.03% -7.85% MediumJPM Global Enhanced Bond C (acc) - EUR -0.77% 2.85% 5.67% 12.01% 23.29% -5.67% -8.40% -7.03% MediumJPM Global Enhanced Bond D (acc) - EUR -0.97% 2.44% 5.02% 11.12% 21.33% -7.92% -11.32% -10.72% MediumJPM Global Enhanced Bond X (acc) - EUR -0.64% 3.12% 6.07% 12.62% 24.59% -4.24% -6.56% -4.68% MediumJPM Global Enhanced Bond X (inc) - EUR - - - - - - - - Medium

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 2.80% 16.79% -0.14% 2.82% 43.09% -37.20% -40.95% -27.67% HighJPM Global Financials A (acc) - EUR 4.60% 6.90% 0.74% 10.29% 49.28% -31.12% -41.90% - HighJPM Global Financials A (dist) - USD 2.80% 16.79% -0.14% 2.78% 34.86% -40.46% -43.97% - HighJPM Global Financials B (acc) - USD 2.96% 17.30% 0.43% 3.65% 45.31% -35.64% - - HighJPM Global Financials C (acc) - USD 3.02% 17.29% 0.50% 3.70% 45.54% -35.58% -38.87% -24.45% HighJPM Global Financials D (acc) - USD 2.54% 16.20% -0.89% 1.80% 40.25% -39.07% -43.27% -31.21% HighJPM Global Financials X (acc) - USD 3.25% 17.82% 1.18% 4.62% 48.09% -33.88% -36.74% -21.15% High

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 3.67% 10.10% 10.47% 14.03% 71.77% - - - MediumJPM Global High Yield Bond A (acc) - EUR (hedged) 3.60% 9.77% 9.84% 13.40% 70.60% 7.75% 9.08% 16.14% MediumJPM Global High Yield Bond A (inc) - EUR (hedged) 3.59% 9.76% 9.83% 12.59% 60.54% 1.10% 2.32% - MediumJPM Global High Yield Bond A (mth) - USD 3.65% 9.95% 10.17% 13.54% 67.99% - - - MediumJPM Global High Yield Bond B (acc) - EUR (hedged) 3.70% 9.96% 10.13% 13.80% 71.81% 8.89% 10.61% - MediumJPM Global High Yield Bond C (acc) - USD 3.84% 10.46% 11.01% 14.77% 74.01% - - -17.30% MediumJPM Global High Yield Bond C (acc) - EUR (hedged) 3.77% 10.13% 10.37% 14.14% 72.84% 9.88% 11.98% - MediumJPM Global High Yield Bond D (acc) - USD 3.58% - - - - - - - MediumJPM Global High Yield Bond D (acc) - EUR (hedged) 3.50% 9.55% 9.51% 12.95% 69.25% 6.46% 7.35% - MediumJPM Global High Yield Bond I (acc) - USD 3.86% 10.50% 11.06% 14.84% - - - - MediumJPM Global High Yield Bond I (inc) - EUR (hedged) 3.78% 10.14% 10.41% 13.28% 68.76% - - - MediumJPM Global High Yield Bond X (acc) - EUR (hedged) 3.90% 10.41% 10.79% 14.71% 74.56% 11.55% - - Medium

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 0.78% 0.23% -3.28% -2.89% -5.67% 6.34% 5.88% - MediumJPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 0.96% 0.48% -3.07% -2.72% -6.11% - - - MediumJPM Highbridge Statistical Market Neutral A (acc) - USD -0.96% 9.52% -4.12% -9.46% -9.56% -3.03% 7.57% - MediumJPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 0.77% 0.26% -3.10% -2.71% -6.03% - - - MediumJPM Highbridge Statistical Market Neutral A (dist) - GBP 0.23% 5.36% -6.81% -5.95% -14.77% 24.99% - - MediumJPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 0.77% 0.28% -3.14% -2.73% -5.70% - - - MediumJPM Highbridge Statistical Market Neutral A (inc) - EUR 0.78% 0.24% -3.28% -2.88% -5.56% 6.90% - - MediumJPM Highbridge Statistical Market Neutral B (acc) - EUR 0.96% 0.61% -2.73% -2.16% -4.26% 8.64% - - MediumJPM Highbridge Statistical Market Neutral B (acc) - USD - - - - - - - - MediumJPM Highbridge Statistical Market Neutral C (acc) - EUR 1.00% 0.69% -2.62% -2.01% -3.97% 8.85% - - MediumJPM Highbridge Statistical Market Neutral C (acc) - SEK (hedged) - - - - - - - - MediumJPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 1.00% 0.73% -2.49% -1.85% -3.97% - - - MediumJPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) 1.00% 0.72% -2.44% -1.81% - - - - MediumJPM Highbridge Statistical Market Neutral D (acc) - EUR 0.59% -0.14% -3.82% -3.62% -7.08% 4.34% 3.07% - MediumJPM Highbridge Statistical Market Neutral D (acc) - USD -1.15% 9.11% -4.66% -10.14% -10.92% -4.88% 4.70% - MediumJPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 0.59% -0.11% -3.65% -3.44% -7.41% - - - MediumJPM Highbridge Statistical Market Neutral I (acc) - EUR 1.03% 0.73% -2.56% -1.93% -3.78% 9.09% 9.66% - MediumJPM Highbridge Statistical Market Neutral I (dist) - EUR 1.02% 0.73% -2.58% - - - - - MediumJPM Highbridge Statistical Market Neutral X (acc) - EUR 1.23% 1.14% -1.97% -1.15% -2.27% 11.82% 13.30% - MediumJPM Highbridge Statistical Market Neutral X (acc) - USD (hedged) - - - - - - - - Medium

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 9.89% 6.61% -7.72% 3.68% 18.30% -33.25% -42.20% - HighJPM Japan 50 Equity A (acc) - EUR 15.01% 6.44% 6.46% 26.04% 38.72% 2.04% - - HighJPM Japan 50 Equity A (dist) - JPY 9.90% 6.60% -7.72% 3.62% 18.23% -33.28% -42.23% - HighJPM Japan 50 Equity C (acc) - JPY 10.14% 7.12% -7.06% 4.67% - - - - HighJPM Japan 50 Equity D (acc) - JPY 9.60% 6.06% -8.42% 2.63% 15.94% -35.23% -44.48% - HighJPM Japan 50 Equity I (acc) - JPY - - - - - - - - HighJPM Japan 50 Equity X (acc) - JPY 10.37% 7.56% -6.48% 5.54% 22.60% -29.58% -37.92% -30.83% High

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - USD 14.19% 20.27% 10.07% 18.01% 19.94% -18.64% - - HighJPM Japan Behavioural Finance Equity A (acc) - EUR 16.19% 10.07% 11.04% 25.98% 26.68% -10.73% - - HighJPM Japan Behavioural Finance Equity A (dist) - USD 14.18% 20.27% 10.06% 18.01% 19.49% 18.93% - - HighJPM Japan Behavioural Finance Equity C (acc) - USD - - - - - - - - HighJPM Japan Behavioural Finance Equity D (acc) - USD - - - - - - - - HighJPM Japan Behavioural Finance Equity D (acc) - EUR 15.96% 9.65% 10.39% 25.01% 24.75% -12.40% - - HighJPM Japan Behavioural Finance Equity I (inc) - EUR - - - - - - - - HighJPM Japan Behavioural Finance Equity X (acc) - USD 14.68% 21.33% 11.53% 20.11% 24.23% -14.23% - - High

JPMorgan Investment Funds - JF Asia ex-Japan FundJF Asia ex-Japan A (acc) - USD 6.26% 29.02% 18.94% 20.25% 103.16% -10.58% 30.19% 70.44% HighJF Asia ex-Japan A (dist) - USD 6.26% 29.02% 18.94% 20.25% 95.35% -14.00% 24.55% - HighJF Asia ex-Japan B (acc) - USD 6.46% 29.51% 19.61% 21.15% 106.20% -8.55% 33.98% 76.41% HighJF Asia ex-Japan C (acc) - USD 6.50% 29.60% 19.75% 21.33% 106.84% -8.12% 34.96% 78.21% HighJF Asia ex-Japan D (acc) - USD 6.06% 28.54% 18.27% 19.35% 100.13% -12.57% 26.43% 64.38% HighJF Asia ex-Japan I (acc) - USD 6.53% 29.68% 19.86% 21.48% 107.28% -7.86% 35.41% - HighJF Asia ex-Japan X (acc) - USD 6.74% 30.17% 20.54% 22.39% 110.35% -5.80% 39.46% 85.53% High

86




JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD -0.34% 3.38% 7.79% 10.34% 33.80% 7.33% 3.06% 6.82% MediumJPM US Bond A (inc) - USD -0.34% 3.39% 7.79% 10.34% 33.80% 7.07% 2.77% - MediumJPM US Bond B (acc) - USD -0.25% 3.56% 8.07% 10.72% 34.72% 8.46% 4.46% 8.59% MediumJPM US Bond C (acc) - USD -0.21% 3.65% 8.19% 10.90% 35.13% 8.97% 5.20% 9.61% MediumJPM US Bond D (acc) - USD -0.40% 3.26% 7.59% 10.07% 33.13% 6.53% 2.03% 5.49% MediumJPM US Bond X (acc) - USD - - - - - - - - Medium

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 10.14% 20.59% 5.79% 10.22% 41.19% -13.26% -11.25% - HighJPM US Equity A (acc) - EUR (hedged) 10.20% 20.17% 5.04% 9.13% 37.92% -15.87% -15.03% - HighJPM US Equity A (dist) - GBP 11.45% 16.01% 2.81% 14.47% - - - - HighJPM US Equity C (acc) - USD 10.42% 21.23% 6.63% 11.37% 44.19% -10.48% - - HighJPM US Equity D (acc) - USD 9.99% 20.29% 5.39% 9.67% 39.79% -14.55% -13.00% - HighJPM US Equity D (acc) - EUR (hedged) 10.05% 19.85% 4.63% 8.58% 36.55% -17.15% -16.73% - HighJPM US Equity X (acc) - USD 10.62% 21.65% 7.18% 12.16% 46.23% -8.56% - - High

* Share Class inactive as at end of the Year.

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

Basis for Bank Interest Rates

The rates are based on the JPMorgan Chase Treasury rates and consequently may change on a daily basis. The bank interest amount is posted to each of theFund’s bank accounts on a monthly basis on the first business day of the subsequent month based on the bank balances from the prior month.

5. Sub-Fund Share Classes Subject to Taxe d’Abonnement Rate of 0.01%

The following Sub-Fund share classes have been subject to an asset based tax of 0.01% per annum:

Share Class Name

JPM Europe Select Equity X (acc) - EURJPM Europe Select Equity I (acc) - EURJPM Europe Select Equity X (acc) - EUR (hedged)JPM Global Balanced (USD) X (acc) - USDJPM Global Bond (USD) X (acc) - USDJPM Global Convertibles (USD) I (acc) - USDJPM Global Convertibles (USD) X (acc) - USDJPM Global Enhanced Bond X (acc) - EURJPM Global Dividend X (acc) - USDJPM Global Financials X (acc) - USDJPM Global High Yield Bond I (acc) - USDJPM Global High Yield Bond I (inc) - EUR (hedged)JPM Global High Yield Bond X (acc) - EUR (hedged)JPM Highbridge Statistical Market Neutral I (acc) - EURJPM Highbridge Statistical Market Neutral I (dist) - EURJPM Highbridge Statistical Market Neutral X (acc) - EURJPM Highbridge Statistical Market Neutral X (acc) - USD (hedged)JPM Japan 50 Equity X (acc) - JPYJPM Japan Behavioural Finance Equity X (acc) - USDJF Asia ex-Japan I (acc) - USDJF Asia ex-Japan X (acc) - USDJPM US Equity X (acc) - USD

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6. Portfolio Turnover Ratio

The Portfolio Turnover Ratio is an indicator of the relevance of the additional costs incurred by a fund when buying and selling investments according to itsinvestment policy. The portfolio turnover rate is calculated in accordance with the guidelines dated 16 May 2008 issued by the Swiss Fund Association asoutlined below:

(Total securities’ purchases and sales - total subscriptions and redemptions of Sub-Fund units)

Average net Sub-Fund assets in Sub-Fund currency

The Portfolio Turnover Ratio is expressed as a percentage and in the case the outcome of the calculation is negative, a zero value has been published.

Sub-Fund Portfolio Turnover Ratio

JPMorgan Investment Funds - Europe Select Equity Fund 152.27

JPMorgan Investment Funds - Global Balanced Fund (USD) 5.29

JPMorgan Investment Funds - Global Bond Fund (USD) 122.30

JPMorgan Investment Funds - Global Capital Preservation Fund (USD) 22.81

JPMorgan Investment Funds - Global Convertibles Fund (USD) 0.00

JPMorgan Investment Funds - Global Dividend Fund 84.32

JPMorgan Investment Funds - Global Enhanced Bond Fund 106.39

JPMorgan Investment Funds - Global Financials Fund 32.60

JPMorgan Investment Funds - Global High Yield Bond Fund 0.00

JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund 0.00

JPMorgan Investment Funds - Japan 50 Equity Fund 41.15

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund 145.05

JPMorgan Investment Funds - JF Asia ex-Japan Fund 141.98

JPMorgan Investment Funds - US Bond Fund 0.00

JPMorgan Investment Funds - US Equity Fund 131.65

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7. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 16,656.442 94,735.747 29,485.336 81,906.853JPM Europe Select Equity A (acc) - USD 34.860 2,913.800 2,780.951 167.709JPM Europe Select Equity A (dist) - EUR 3,168.062 1,342.826 4,297.461 213.427JPM Europe Select Equity B (acc) - EUR 41,812.041 155,279.516 52,033.499 145,058.058JPM Europe Select Equity C (acc) - EUR 397,336.432 638,715.280 154,647.425 881,404.287JPM Europe Select Equity D (acc) - EUR 21,435.173 109,103.030 46,855.364 83,682.839JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity X (acc) - EUR 101,630.344 327,488.105 109,113.367 320,005.082JPM Europe Select Equity X (acc) - EUR (hedged) 844,138.363 - - 844,138.363

JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)JPM Europe Select Mega Cap A (acc) - EUR 79,296.459 1,780.944 81,077.403 -JPM Europe Select Mega Cap A (dist) - EUR 66.913 - 66.913 -JPM Europe Select Mega Cap B (acc) - EUR 3,958.587 - 3,958.587 -JPM Europe Select Mega Cap C (acc) - EUR 3,582.551 - 3,582.551 -JPM Europe Select Mega Cap D (acc) - EUR 63,784.486 487.936 64,272.422 -JPM Europe Select Mega Cap X (acc) - EUR 26,158.461 373.021 26,531.482 -

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 11,040.731 124,666.642 6,080.066 129,627.307JPM Global Balanced (USD) A (acc) - USD 798,641.815 580,422.323 351,201.715 1,027,862.423JPM Global Balanced (USD) A (dist) - USD 50.000 - - 50.000JPM Global Balanced (USD) B (acc) - USD 466,287.514 199.626 5,032.615 461,454.525JPM Global Balanced (USD) C (acc) - USD 157,382.507 285,731.290 39,909.616 403,204.181JPM Global Balanced (USD) D (acc) - USD 110,573.620 102,970.829 38,037.479 175,506.970JPM Global Balanced (USD) X (acc) - USD 1,340,264.788 611,038.748 1,214,697.420 736,606.116

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 87,594.148 7,312.128 92,259.467 2,646.809JPM Global Bond (USD) A (acc) - USD 242,922.924 17,102.368 47,838.534 212,186.758JPM Global Bond (USD) B (acc) - USD* 599.999 0.001 600.000 -JPM Global Bond (USD) C (acc) - USD 4,058.676 713.206 1,313.208 3,458.674JPM Global Bond (USD) D (acc) - USD 57,332.850 13,723.652 22,539.762 48,516.740JPM Global Bond (USD) X (acc) - USD 237,256.664 - 877.810 236,378.854

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 437,699.978 208,252.618 189,367.713 456,584.883JPM Global Capital Preservation (USD) D (acc) - USD 190,691.876 107,272.997 108,204.858 189,760.015JPM Global Capital Preservation (USD) X (acc) - USD* 6,263.113 - 6,263.113 -

JPMorgan Investment Funds - Global Convertibles Fund (USD)JF Global Convertibles (USD) A (acc) - USD - 2,425.699 0.001 2,425.698JPM Global Convertibles (USD) A (acc) - USD 1,112,950.931 3,076,025.578 1,253,649.123 2,935,327.386JPM Global Convertibles (USD) B (acc) - USD 40,000.000 351,276.184 71,203.673 320,072.511JPM Global Convertibles (USD) C (acc) - USD - 314,629.446 85,928.951 228,700.495JPM Global Convertibles (USD) D (acc) - USD 292,900.055 204,022.223 118,319.975 378,602.303JPM Global Convertibles (USD) I (acc) - USD 64,597.000 500,759.374 416,521.469 148,834.905JPM Global Convertibles (USD) X (acc) - USD - 212,445.001 17,149.001 195,296.000

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 7,500.000 113,421.991 7,590.310 113,331.681JPM Global Dividend A (inc) - USD - 1,161.117 0.001 1,161.116JPM Global Dividend A (acc) - EUR (hedged) 8,608.776 6,111.635 857.315 13,863.096JPM Global Dividend A (inc) - EUR (hedged) - 2,662.100 0.001 2,662.099JPM Global Dividend C (acc) - EUR - 187,104.464 6,093.495 181,010.969JPM Global Dividend D (acc) - USD 8,189.892 4,333.634 937.276 11,586.250JPM Global Dividend D (acc) - EUR (hedged) 8,569.067 15,594.109 8,522.604 15,640.572

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 204,106.306 31,270.345 86,304.631 149,072.020JPM Global Enhanced Bond A (inc) - EUR 54.718 1.000 14.000 41.718JPM Global Enhanced Bond B (acc) - EUR 4,319.054 9,508.000 9,508.000 4,319.054JPM Global Enhanced Bond C (acc) - EUR 66,703.995 - 43,756.874 22,947.121JPM Global Enhanced Bond D (acc) - EUR 49,707.567 3,764.764 34,068.008 19,404.323JPM Global Enhanced Bond X (acc) - EUR 2,072.717 170.000 - 2,242.717

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 915,853.151 944,086.104 1,011,859.452 848,079.803JPM Global Financials A (acc) - EUR 29,053.662 520,643.198 187,532.099 362,164.761JPM Global Financials A (dist) - USD 7,859.140 180,228.756 - 188,087.896JPM Global Financials B (acc) - USD 8,906.326 995,002.076 591,343.018 412,565.384JPM Global Financials C (acc) - USD 610,657.762 182,551.146 781,398.291 11,810.617JPM Global Financials D (acc) - USD 67,827.112 105,485.228 97,881.377 75,430.963JPM Global Financials X (acc) - USD 10,938.618 731.055 950.000 10,719.673

(1) This Sub-Fund merged into Europe Select Equity Fund on 12 June 2009.

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7. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2009 (continued)JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - USD 107,530.516 1,031,866.355 361,586.649 777,810.222JPM Global High Yield Bond A (acc) - EUR (hedged) 395,886.052 1,015,940.154 769,452.049 642,374.157JPM Global High Yield Bond A (inc) - EUR (hedged) 85,394.679 425,892.193 446,119.733 65,167.139JPM Global High Yield Bond A (mth) - USD 1,359.720 280,755.181 101,515.602 180,599.299JPM Global High Yield Bond B (acc) - EUR (hedged) 8,962.730 54,691.087 9,431.955 54,221.862JPM Global High Yield Bond C (acc) - USD 2,150.000 223,086.571 31,301.791 193,934.780JPM Global High Yield Bond C (acc) - EUR (hedged) 416,620.633 711,382.721 648,022.008 479,981.346JPM Global High Yield Bond D (acc) - EUR (hedged) 86,047.587 118,452.833 48,178.908 156,321.512JPM Global High Yield Bond I (acc) - USD - 360,000.001 0.001 360,000.000JPM Global High Yield Bond I (inc) - EUR (hedged) 131,000.000 156,254.250 113,500.000 173,754.250JPM Global High Yield Bond X (acc) - EUR (hedged) 36,505.870 25,061.247 25,433.967 36,133.150

JPMorgan Investment Funds - Global Short Duration Fund (2)JPM Global Short Duration A (acc) - USD 13,518.138 - 13,518.138 -JPM Global Short Duration C (acc) - USD 225,530.507 - 225,530.507 -JPM Global Short Duration D (acc) - USD 10,847.808 - 10,847.808 -

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 8,399,271.396 5,096,003.886 7,680,685.653 5,814,589.629JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) 56,189.598 283,229.360 151,626.356 187,792.602JPM Highbridge Statistical Market Neutral A (acc) - USD 257,862.521 82,446.597 177,021.635 163,287.483JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) 294,917.477 828,993.308 741,544.716 382,366.069JPM Highbridge Statistical Market Neutral A (dist) - GBP 84,925.765 187,276.457 231,087.551 41,114.671JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) 392,942.593 665,322.601 630,296.057 427,969.137JPM Highbridge Statistical Market Neutral A (inc) - EUR 78,105.069 27,562.596 23,174.641 82,493.024JPM Highbridge Statistical Market Neutral B (acc) - EUR 803,731.335 790,743.463 688,193.214 906,281.584JPM Highbridge Statistical Market Neutral B (acc) - USD 1,906.214 - - 1,906.214JPM Highbridge Statistical Market Neutral C (acc) - EUR 3,471,704.609 4,580,064.651 3,430,285.641 4,621,483.619JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) 410,225.603 1,143,614.350 339,908.395 1,213,931.558JPM Highbridge Statistical Market Neutral C (dist) - USD (hedged) - 177,747.927 41,083.429 136,664.498JPM Highbridge Statistical Market Neutral D (acc) - EUR 10,119,774.407 4,475,059.844 6,762,850.573 7,831,983.678JPM Highbridge Statistical Market Neutral D (acc) - USD 46,631.915 45,643.924 51,522.693 40,753.146JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) 45,469.095 59,966.811 54,498.779 50,937.127JPM Highbridge Statistical Market Neutral I (acc) - EUR 793,769.216 191,516.000 397,411.378 587,873.838JPM Highbridge Statistical Market Neutral X (acc) - EUR 94,625.507 11,566.468 41,945.848 64,246.127JPM Highbridge Statistical Market Neutral X (acc) - USD (hedged) - 448,857.146 435,769.939 13,087.207

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 275,551.609 116,484.905 339,879.611 52,156.903JPM Japan 50 Equity A (acc) - JPY 218,496.308 621,653.374 543,933.795 296,215.887JPM Japan 50 Equity A (dist) - JPY 2,108.030 2,177.651 141.654 4,144.027JPM Japan 50 Equity C (acc) - JPY - 241,630.517 22,398.255 219,232.262JPM Japan 50 Equity D (acc) - JPY 3,634.907 4,992.729 3,956.063 4,671.573JPM Japan 50 Equity I (acc) - JPY* 4,002,103.435 94,513.649 4,096,617.084 -JPM Japan 50 Equity X (acc) - JPY 941,904.592 668,704.328 675,420.771 935,188.149

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - EUR 257,054.291 15,328.003 250,785.695 21,596.599JPM Japan Behavioural Finance Equity A (acc) - USD 169,510.758 34,663.087 183,689.042 20,484.803JPM Japan Behavioural Finance Equity A (dist) - USD 58,534.874 17,968.264 58,598.035 17,905.103JPM Japan Behavioural Finance Equity C (acc) - USD* 39,570.190 - 39,570.190 -JPM Japan Behavioural Finance Equity D (acc) - EUR 345.561 287.778 295.342 337.997JPM Japan Behavioural Finance Equity X (acc) - USD 174,966.493 - 150,962.100 24,004.393

JPMorgan Investment Funds - JF Asia Ex-Japan FundJF Asia Ex-Japan A (acc) - USD 936,215.019 1,024,816.613 734,605.108 1,226,426.524JF Asia Ex-Japan A (dist) - USD 58,805.816 163,826.068 43,268.323 179,363.561JF Asia Ex-Japan B (acc) - USD 52,265.654 219,251.126 98,069.656 173,447.124JF Asia Ex-Japan C (acc) - USD 615,225.128 640,927.998 466,138.797 790,014.329JF Asia Ex-Japan D (acc) - USD 214,100.841 152,120.730 103,709.366 262,512.205JF Asia Ex-Japan I (acc) - USD 2,599,067.020 2,945,664.375 229,683.067 5,315,048.328JF Asia Ex-Japan X (acc) - USD 98,255.743 250,162.260 92,276.943 256,141.060

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 390,580.210 69,757.252 265,889.652 194,447.810JPM US Bond A (inc) - USD 2,617.000 - 1,075.000 1,542.000JPM US Bond B (acc) - USD 7,133.057 27.119 1,238.129 5,922.047JPM US Bond C (acc) - USD 1,988.126 3,631.072 219.000 5,400.198JPM US Bond D (acc) - USD 158,561.074 12,648.196 46,608.655 124,600.615

JPMorgan Investment Funds - US Equity FundJPM US Equity A (acc) - USD 154,664.749 988,133.638 214,163.514 928,634.873JPM US Equity A (acc) - EUR (hedged) 116,895.546 85,880.540 91,254.282 111,521.804JPM US Equity A (dist) - GBP - 2,470.405 - 2,470.405JPM US Equity C (acc) - USD 43,918.465 114,062.512 85,004.973 72,976.004JPM US Equity D (acc) - USD 5,665.643 11,217.590 6,107.292 10,775.941JPM US Equity D (acc) - EUR (hedged) 4,888.678 35,790.411 10,650.092 30,028.997JPM US Equity X (acc) - USD 18,421.539 6,827.370 23,852.539 1,396.370

(2) This Sub-Fund was liquidated on 30 January 2009.* Share Class inactive as at the end of the year.

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8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 171,490.663 16,939.943 171,774.164 16,656.442JPM Europe Select Equity A (acc) - USD 34.860 - - 34.860JPM Europe Select Equity A (dist) - EUR 54,233.360 1,412.163 52,477.461 3,168.062JPM Europe Select Equity B (acc) - EUR 89,273.612 71,372.782 118,834.353 41,812.041JPM Europe Select Equity C (acc) - EUR 267,209.237 427,482.669 297,355.474 397,336.432JPM Europe Select Equity D (acc) - EUR 41,364.284 30,010.470 49,939.581 21,435.173JPM Europe Select Equity D (acc) - USD 34.860 - - 34.860JPM Europe Select Equity X (acc) - EUR 286,597.337 22,051.896 207,018.889 101,630.344JPM Europe Select Equity X (acc) - EUR (hedged) 846,138.363 - 2,000.000 844,138.363

JPMorgan Investment Funds - Europe Select Mega Cap FundJPM Europe Select Mega Cap A (acc) - EUR 266,215.403 79,336.063 266,255.007 79,296.459JPM Europe Select Mega Cap A (dist) - EUR 83.162 28.789 45.038 66.913JPM Europe Select Mega Cap B (acc) - EUR 19,005.350 - 15,046.763 3,958.587JPM Europe Select Mega Cap C (acc) - EUR 19,407.323 - 15,824.772 3,582.551JPM Europe Select Mega Cap D (acc) - EUR 94,398.338 55,631.691 86,245.543 63,784.486JPM Europe Select Mega Cap X (acc) - EUR 55,435.778 1,733.144 31,010.461 26,158.461

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 14,111.205 3,853.125 6,923.599 11,040.731JPM Global Balanced (USD) A (acc) - USD 1,088,347.041 176,149.105 465,854.331 798,641.815JPM Global Balanced (USD) A (dist) - USD 50.000 - - 50.000JPM Global Balanced (USD) B (acc) - USD 468,553.512 4,694.799 6,960.797 466,287.514JPM Global Balanced (USD) C (acc) - USD 157,382.507 - - 157,382.507JPM Global Balanced (USD) D (acc) - USD 115,868.691 69,401.263 74,696.334 110,573.620JPM Global Balanced (USD) X (acc) - USD 1,415,826.141 - 75,561.353 1,340,264.788

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 184,618.107 3,524.806 100,548.765 87,594.148JPM Global Bond (USD) A (acc) - USD 1,194,838.421 58,828.465 1,010,743.962 242,922.924JPM Global Bond (USD) B (acc) - USD 181,999.679 - 181,399.680 599.999JPM Global Bond (USD) C (acc) - USD 413,983.108 62,282.001 472,206.433 4,058.676JPM Global Bond (USD) D (acc) - USD 105,997.188 37,870.451 86,534.789 57,332.850JPM Global Bond (USD) X (acc) - USD 560,673.314 - 323,416.650 237,256.664

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 256,549.993 479,055.271 297,905.286 437,699.978JPM Global Capital Preservation (USD) D (acc) - USD 223,365.250 208,530.159 241,203.533 190,691.876JPM Global Capital Preservation (USD) X (acc) - USD 8,334.239 - 2,071.126 6,263.113

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 1,174,955.684 1,304,157.945 1,366,162.698 1,112,950.931JPM Global Convertibles (USD) B (acc) - USD - 40,633.619 633.619 40,000.000JPM Global Convertibles (USD) D (acc) - USD 168,854.472 373,446.087 249,400.504 292,900.055JPM Global Convertibles (USD) I (acc) - USD 88,334.000 35,322.000 59,059.000 64,597.000JPM Global Convertibles (USD) X (acc) - USD* 83,364.000 23,498.000 106,862.000 -

JPMorgan Investment Funds - Global Dividend FundJPM Global Dividend A (acc) - USD 7,500.000 - - 7,500.000JPM Global Dividend A (acc) - EUR (hedged) 7,442.598 1,166.178 - 8,608.776JPM Global Dividend D (acc) - USD 7,500.000 910.561 220.669 8,189.892JPM Global Dividend D (acc) - EUR (hedged) 7,442.598 1,813.048 686.579 8,569.067

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 962,963.395 177,724.254 936,581.343 204,106.306JPM Global Enhanced Bond A (inc) - EUR 103.392 15.990 64.664 54.718JPM Global Enhanced Bond B (acc) - EUR 4,319.054 - - 4,319.054JPM Global Enhanced Bond C (acc) - EUR 178,091.773 4.291 111,392.069 66,703.995JPM Global Enhanced Bond D (acc) - EUR 154,361.824 12,432.660 117,086.917 49,707.567JPM Global Enhanced Bond X (acc) - EUR 55,673.842 16.591 53,617.716 2,072.717

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 963,261.037 952,725.752 1,000,133.638 915,853.151JPM Global Financials A (acc) - EUR 20,154.980 60,040.938 51,142.256 29,053.662JPM Global Financials A (dist) - USD 330.357 10,638.494 3,109.711 7,859.140JPM Global Financials B (acc) - USD 18,900.924 252,603.060 262,597.658 8,906.326JPM Global Financials C (acc) - USD 18,804.000 1,197,420.787 605,567.025 610,657.762JPM Global Financials D (acc) - USD 82,008.484 59,635.746 73,817.118 67,827.112JPM Global Financials X (acc) - USD 11,518.658 2,579.960 3,160.000 10,938.618

JPMorgan Investment Funds - Global High Yield Bond Fund (1)JPM Global High Yield Bond A (acc) - EUR (hedged) 481,167.189 1,163,996.906 1,249,278.043 395,886.052JPM Global High Yield Bond A (inc) - EUR (hedged) 6,901.390 211,640.467 133,147.178 85,394.679JPM Global High Yield Bond B (acc) - EUR (hedged) 11,863.057 66,889.369 69,789.696 8,962.730JPM Global High Yield Bond C (acc) - EUR (hedged) 790,179.664 459,341.332 832,900.363 416,620.633JPM Global High Yield Bond D (acc) - EUR (hedged) 174,004.523 92,387.365 180,344.301 86,047.587JPM Global High Yield Bond I (inc) - EUR (hedged) - 131,000.000 - 131,000.000JPM Global High Yield Bond X (acc) - EUR (hedged) 88,242.703 6,262.791 57,999.624 36,505.870JPM Global High Yield Bond A (acc) - USD - 189,148.053 81,617.537 107,530.516JPM Global High Yield Bond A (mth) - USD - 2,020.434 660.714 1,359.720JPM Global High Yield Bond C (acc) - USD - 160,960.898 158,810.898 2,150.000(1) This Sub-Fund changed its currency to USD on 1 August 2008.

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8. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2008 (continued)JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 368,623.811 7,602.041 362,707.714 13,518.138JPM Global Short Duration B (acc) - USD* 92,944.753 - 92,944.753 -JPM Global Short Duration C (acc) - USD 322,811.321 1,200.000 98,480.814 225,530.507JPM Global Short Duration D (acc) - USD 21,651.558 18,014.900 28,818.650 10,847.808JPM Global Short Duration X (acc) - USD* 689,535.523 5,385.923 694,921.446 -

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 8,961,629.375 9,883,126.070 10,445,484.049 8,399,271.396JPM Highbridge Statistical Market Neutral A (acc) - SEK (hedged) - 73,017.512 16,827.914 56,189.598JPM Highbridge Statistical Market Neutral A (acc) - USD 290,093.538 509,052.492 541,283.509 257,862.521JPM Highbridge Statistical Market Neutral A (acc) - USD (hedged) - 375,635.172 80,717.695 294,917.477JPM Highbridge Statistical Market Neutral A (dist) - GBP 318,583.443 97,360.534 331,018.212 84,925.765JPM Highbridge Statistical Market Neutral A (dist) - GBP (hedged) - 435,237.595 42,295.002 392,942.593JPM Highbridge Statistical Market Neutral A (inc) - EUR 66,777.132 58,790.364 47,462.427 78,105.069JPM Highbridge Statistical Market Neutral B (acc) - EUR 127,647.375 1,758,645.641 1,082,561.681 803,731.335JPM Highbridge Statistical Market Neutral B (acc) - USD - 1,906.214 - 1,906.214JPM Highbridge Statistical Market Neutral C (acc) - EUR 3,979,962.360 7,789,642.784 8,297,900.535 3,471,704.609JPM Highbridge Statistical Market Neutral C (dist) - GBP (hedged) - 430,660.965 20,435.362 410,225.603JPM Highbridge Statistical Market Neutral D (acc) - EUR 9,495,536.762 5,378,366.423 4,754,128.778 10,119,774.407JPM Highbridge Statistical Market Neutral D (acc) - USD 13,146.401 117,624.742 84,139.228 46,631.915JPM Highbridge Statistical Market Neutral D (acc) - USD (hedged) - 46,217.000 747.905 45,469.095JPM Highbridge Statistical Market Neutral I (acc) - EUR 1,905,496.326 635,698.746 1,747,425.856 793,769.216JPM Highbridge Statistical Market Neutral X (acc) - EUR 122,924.171 44,872.249 73,170.913 94,625.507

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR 14,020.477 365,446.441 103,915.309 275,551.609JPM Japan 50 Equity A (acc) - JPY 295,838.031 1,341,687.750 1,419,029.473 218,496.308JPM Japan 50 Equity A (dist) - JPY 5,543.400 2,418.654 5,854.024 2,108.030JPM Japan 50 Equity D (acc) - JPY 6,891.078 6,833.598 10,089.769 3,634.907JPM Japan 50 Equity I (acc) - JPY 3,904,448.663 477,751.772 380,097.000 4,002,103.435JPM Japan 50 Equity X (acc) - JPY 1,536,200.706 656,629.823 1,250,925.937 941,904.592

JPMorgan Investment Funds - Japan Behavioural Finance Equity FundJPM Japan Behavioural Finance Equity A (acc) - EUR 609,959.032 165,868.475 518,773.216 257,054.291JPM Japan Behavioural Finance Equity A (acc) - USD 51,209.878 263,680.357 145,379.477 169,510.758JPM Japan Behavioural Finance Equity A (dist) - USD 13,903.611 57,183.858 12,552.595 58,534.874JPM Japan Behavioural Finance Equity C (acc) - USD 56,000.000 79,757.277 96,187.087 39,570.190JPM Japan Behavioural Finance Equity D (acc) - EUR 25,364.349 798.559 25,817.347 345.561JPM Japan Behavioural Finance Equity D (acc) - USD* 25,000.000 - 25,000.000 -JPM Japan Behavioural Finance Equity I (inc) - EUR* 170,000.000 60,392.685 230,392.685 -JPM Japan Behavioural Finance Equity X (acc) - USD 154,496.360 56,200.574 35,730.441 174,966.493

JPMorgan Investment Funds - JF Asia ex-Japan Fund (2)JF Asia ex-Japan A (acc) - USD 1,884,998.195 954,132.148 1,902,915.324 936,215.019JF Asia ex-Japan A (dist) - USD 28,672.246 64,959.486 34,825.916 58,805.816JF Asia ex-Japan B (acc) - USD 144,367.778 69,353.675 161,455.799 52,265.654JF Asia ex-Japan C (acc) - USD 600,262.426 538,229.080 523,266.378 615,225.128JF Asia ex-Japan D (acc) - USD 365,614.994 70,846.367 222,360.520 214,100.841JF Asia ex-Japan I (acc) - USD 1,520,321.652 1,686,251.239 607,505.871 2,599,067.020JF Asia ex-Japan X (acc) - USD 302,239.754 63,472.703 267,456.714 98,255.743

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1,467,364.334 66,358.319 1,143,142.443 390,580.210JPM US Bond A (inc) - USD 5,794.760 210.000 3,387.760 2,617.000JPM US Bond B (acc) - USD 135,487.710 774.586 129,129.239 7,133.057JPM US Bond C (acc) - USD 471,590.355 32,033.858 501,636.087 1,988.126JPM US Bond D (acc) - USD 613,481.238 97,235.961 552,156.125 158,561.074JPM US Bond X (acc) - USD* 3,268,414.513 - 3,268,414.513 -

* Share Class inactive as at end of the year.(2) This Sub-Fund changed its name from JF Asia Diversified Fund on 31 March 2008.

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9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 43,180.695 382,771.340 254,461.372 171,490.663JPM Europe Select Equity A (acc) - USD - 34.860 - 34.860JPM Europe Select Equity A (dist) - EUR 1,492.063 90,169.441 37,428.144 54,233.360JPM Europe Select Equity B (acc) - EUR - 111,617.617 22,344.005 89,273.612JPM Europe Select Equity C (acc) - EUR - 648,148.712 380,939.475 267,209.237JPM Europe Select Equity D (acc) - EUR - 553,733.560 (512,369.276) 41,364.284JPM Europe Select Equity D (acc) - USD - 34.860 - 34.860JPM Europe Select Equity X (acc) - EUR 84,277.551 1,291,369.812 1,089,050.026 286,597.337JPM Europe Select Equity X (acc) - EUR (hedged) - 849,133.091 (2,994.728) 846,138.363

JPMorgan Investment Funds - Europe Select Mega Cap Fund (1)JPM Europe Select Mega Cap A (acc) - EUR 206,194.062 188,843.248 128,821.907 266,215.403JPM Europe Select Mega Cap A (dist) - EUR 38.718 44.444 - 83.162JPM Europe Select Mega Cap B (acc) - EUR 17,275.934 30,756.852 29,027.436 19,005.350JPM Europe Select Mega Cap C (acc) - EUR 6,539.782 27,166.524 14,298.983 19,407.323JPM Europe Select Mega Cap D (acc) - EUR 70,097.505 182,551.163 158,250.330 94,398.338JPM Europe Select Mega Cap X (acc) - EUR 46,479.308 8,956.470 - 55,435.778

JPMorgan Investment Funds - Global Balanced Fund (USD)JF Global Balanced (USD) A (acc) - USD 11,606.090 9,404.932 6,899.817 14,111.205JPM Global Balanced (USD) A (acc) - USD 1,317,559.795 255,402.776 484,615.530 1,088,347.041JPM Global Balanced (USD) A (dist) - USD 50.000 120.805 120.805 50.000JPM Global Balanced (USD) B (acc) - USD 588,121.004 - 119,567.492 468,553.512JPM Global Balanced (USD) C (acc) - USD 157,177.507 205.000 - 157,382.507JPM Global Balanced (USD) D (acc) - USD 60,497.178 88,633.844 33,262.331 115,868.691JPM Global Balanced (USD) X (acc) - USD 1,582,928.290 31,160.374 198,262.523 1,415,826.141

JPMorgan Investment Funds - Global Bond Fund (USD)JF Global Bond (USD) A (acc) - USD 180,056.503 144,376.280 139,814.676 184,618.107JPM Global Bond (USD) A (acc) - USD 2,196,852.675 1,145,825.379 2,147,839.633 1,194,838.421JPM Global Bond (USD) B (acc) - USD 547,739.534 23,720.121 389,459.976 181,999.679JPM Global Bond (USD) C (acc) - USD 269,157.912 509,649.293 364,824.097 413,983.108JPM Global Bond (USD) D (acc) - USD 87,308.984 72,967.793 54,279.589 105,997.188JPM Global Bond (USD) X (acc) - USD 1,252,658.022 151,843.918 843,828.626 560,673.314

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 272,296.841 146,568.381 162,315.229 256,549.993JPM Global Capital Preservation (USD) B (acc) - USD 50,170.154 - 50,170.154 -JPM Global Capital Preservation (USD) C (acc) - USD 169,825.168 - 169,825.168 -JPM Global Capital Preservation (USD) D (acc) - USD 144,348.847 155,272.265 76,255.862 223,365.250JPM Global Capital Preservation (USD) X (acc) - USD 9,320.803 - 986.564 8,334.239

JPMorgan Investment Funds - Global Convertibles Fund (USD)JPM Global Convertibles (USD) A (acc) - USD 435,496.043 1,243,457.768 503,998.127 1,174,955.684JPM Global Convertibles (USD) D (acc) - USD 66,025.083 174,079.588 71,250.199 168,854.472JPM Global Convertibles (USD) I (acc) - USD - 225,501.000 137,167.000 88,334.000JPM Global Convertibles (USD) X (acc) - USD 26,513.000 56,851.000 - 83,364.000

JPMorgan Investment Funds - Global Dividend Fund (2)JPM Global Dividend A (acc) - EUR (hedged) - 7,442.598 - 7,442.598JPM Global Dividend A (acc) - USD - 7,500.000 - 7,500.000JPM Global Dividend D (acc) - EUR (hedged) - 7,442.598 - 7,442.598JPM Global Dividend D (acc) - USD - 7,500.000 - 7,500.000

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1,251,958.193 654,283.568 943,278.366 962,963.395JPM Global Enhanced Bond A (inc) - EUR 38.718 83.674 19.000 103.392JPM Global Enhanced Bond B (acc) - EUR 53,401.959 2,732.833 51,815.738 4,319.054JPM Global Enhanced Bond C (acc) - EUR 315,546.627 4,840.839 142,295.693 178,091.773JPM Global Enhanced Bond D (acc) - EUR 259,266.766 134,201.128 239,106.070 154,361.824JPM Global Enhanced Bond X (acc) - EUR 72,997.527 11,116.317 28,440.002 55,673.842JPM Global Enhanced Bond X (inc) - EUR 300,000.000 - 300,000.000 -

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 1,272,455.761 1,052,898.925 1,362,093.649 963,261.037JPM Global Financials A (acc) - EUR 1,596.401 20,350.919 1,792.340 20,154.980JPM Global Financials A (dist) - USD 50.000 1,726.490 1,446.133 330.357JPM Global Financials B (acc) - USD - 18,900.924 - 18,900.924JPM Global Financials C (acc) - USD 19,268.704 9,300.000 9,764.704 18,804.000JPM Global Financials D (acc) - USD 68,048.252 101,198.247 87,238.015 82,008.484JPM Global Financials X (acc) - USD 19,073.446 3,211.816 10,766.604 11,518.658

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - EUR 1,208,051.670 1,512,251.305 2,239,135.786 481,167.189JPM Global High Yield Bond A (inc) - EUR 2,992.718 29,302.672 25,394.000 6,901.390JPM Global High Yield Bond B (acc) - EUR 2,394.762 16,028.096 6,559.801 11,863.057JPM Global High Yield Bond C (acc) - EUR 790,358.033 759,154.974 759,333.343 790,179.664JPM Global High Yield Bond D (acc) - EUR 196,705.103 526,988.135 549,688.715 174,004.523JPM Global High Yield Bond I (inc) - EUR - 44,860.000 44,860.000 -JPM Global High Yield Bond X (acc) - EUR - 1,161,611.438 1,073,368.735 88,242.703

(1) This Sub-Fund changed its name from Europe Select Large Cap on 1 November 2007.(2) This Sub-Fund was launched on 28 November 2007.

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9. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2007 (continued)JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 401,477.117 224,977.224 257,830.530 368,623.811JPM Global Short Duration B (acc) - USD 186,864.211 20,889.194 114,808.653 92,944.752JPM Global Short Duration C (acc) - USD 146,858.165 220,839.708 44,886.552 322,811.321JPM Global Short Duration D (acc) - USD 27,276.010 38,214.957 43,839.409 21,651.558JPM Global Short Duration X (acc) - USD 809,203.857 2,814.660 122,482.994 689,535.523

JPMorgan Investment Funds - Highbridge Statistical Market Neutral FundJPM Highbridge Statistical Market Neutral A (acc) - EUR 767,424.034 42,483,599.412 34,289,394.071 8,961,629.375JPM Highbridge Statistical Market Neutral A (acc) - USD 17,835.017 1,006,735.586 734,477.065 290,093.538JPM Highbridge Statistical Market Neutral A (dist) - GBP - 5,441,028.622 5,122,445.179 318,583.443JPM Highbridge Statistical Market Neutral A (inc) - EUR - 441,221.911 374,444.779 66,777.132JPM Highbridge Statistical Market Neutral B (acc) - EUR - 1,131,067.988 1,003,420.613 127,647.375JPM Highbridge Statistical Market Neutral B (acc) - USD - 88,209.350 88,209.350 -JPM Highbridge Statistical Market Neutral C (acc) - EUR - 19,731,129.460 15,751,167.100 3,979,962.360JPM Highbridge Statistical Market Neutral D (acc) - EUR 62,695.925 18,969,950.469 9,537,109.632 9,495,536.762JPM Highbridge Statistical Market Neutral D (acc) - USD 15,731.928 41,507.049 44,092.576 13,146.401JPM Highbridge Statistical Market Neutral I (acc) - EUR 363,878.731 3,044,193.819 1,502,576.224 1,905,496.326JPM Highbridge Statistical Market Neutral X (acc) - EUR 15,686.000 1,159,685.749 1,052,447.578 122,924.171

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - EUR - 16,296.680 2,276.203 14,020.477JPM Japan 50 Equity A (acc) - JPY 746,698.309 982,852.087 1,433,712.365 295,838.031JPM Japan 50 Equity A (dist) - JPY 55.337 10,995.980 5,507.917 5,543.400JPM Japan 50 Equity D (acc) - JPY 1,264.061 7,706.432 2,079.415 6,891.078JPM Japan 50 Equity I (acc) - JPY 3,893,656.453 10,792.210 - 3,904,448.663JPM Japan 50 Equity X (acc) - JPY 1,312,039.960 270,041.355 45,880.609 1,536,200.706

JPMorgan Investment Funds - Japan Behavioural Finance Equity Fund (3)JPM Japan Behavioural Finance Equity A (acc) - EUR - 721,593.750 111,634.718 609,959.032JPM Japan Behavioural Finance Equity A (acc) - USD - 52,194.147 984.269 51,209.878JPM Japan Behavioural Finance Equity A (dist) - USD - 13,903.611 - 13,903.611JPM Japan Behavioural Finance Equity C (acc) - USD - 56,000.000 - 56,000.000JPM Japan Behavioural Finance Equity D (acc) - EUR - 25,364.349 - 25,364.349JPM Japan Behavioural Finance Equity D (acc) - USD - 25,000.000 - 25,000.000JPM Japan Behavioural Finance Equity I (inc) - EUR - 170,000.000 - 170,000.000JPM Japan Behavioural Finance Equity X (acc) - USD - 154,738.139 241.779 154,496.360

JPMorgan Investment Funds - JF Asia Diversified FundJF Asia Diversified A (acc) - USD 1,442,883.229 2,234,676.038 1,792,561.072 1,884,998.195JF Asia Diversified A (dist) - USD 7,877.719 23,300.378 2,505.851 28,672.246JF Asia Diversified B (acc) - USD 193,182.620 51,850.455 100,665.297 144,367.778JF Asia Diversified C (acc) - USD 455,510.332 318,213.572 173,461.478 600,262.426JF Asia Diversified D (acc) - USD 167,254.521 422,065.764 223,705.291 365,614.994JF Asia Diversified I (acc) - USD 649,062.117 1,182,984.759 311,725.224 1,520,321.652JF Asia Diversified X (acc) - USD 197,907.808 186,082.785 81,750.839 302,239.754

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 2,086,020.538 2,556,709.689 3,175,365.893 1,467,364.334JPM US Bond A (inc) - USD 542.000 7,409.423 2,156.663 5,794.760JPM US Bond B (acc) - USD 462,859.543 84,366.192 411,738.025 135,487.710JPM US Bond C (acc) - USD 1,918,927.938 1,084,070.201 2,531,407.784 471,590.355JPM US Bond D (acc) - USD 456,027.776 499,838.914 342,385.452 613,481.238JPM US Bond I (acc) - USD - 34,000.000 34,000.000 -JPM US Bond X (acc) - USD 4,283,824.370 629,004.075 1,644,413.932 3,268,414.513

(3) This Sub-Fund was launched on 3 April 2007.

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10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2006 (continued)JPMorgan Investment Funds - Europe Select Equity FundJPM Europe Select Equity A (acc) - EUR 7,753.585 45,156.121 9,729.011 43,180.695JPM Europe Select Equity A (dist) - EUR - 1,492.063 - 1,492.063JPM Europe Select Equity X (acc) - EUR 37,595.245 61,874.431 15,192.125 84,277.551

JPMorgan Investment Funds - Europe Select Large Cap FundJPM Europe Select Large Cap A (acc) - EUR 217,644.801 126,401.516 137,852.255 206,194.062JPM Europe Select Large Cap A (dist) - EUR - 38.718 - 38.718JPM Europe Select Large Cap B (acc) - EUR 11,489.108 6,439.843 653.017 17,275.934JPM Europe Select Large Cap C (acc) - EUR 6,819.782 - 280.000 6,539.782JPM Europe Select Large Cap D (acc) - EUR 47,287.250 76,750.070 53,939.815 70,097.505JPM Europe Select Large Cap X (acc) - EUR 73,649.153 - 27,169.845 46,479.308

JPMorgan Investment Funds - Global Balanced Fund (USD) (1)JPM Global Balanced (USD) A (acc) - USD 1,441,280.582 238,433.137 362,153.924 1,317,559.795JF Global Balanced (USD) A (acc) - USD 11,040.095 4,295.910 3,729.915 11,606.090JPM Global Balanced (USD) A (dist) - USD - 50.000 - 50.000JPM Global Balanced (USD) B (acc) - USD 573,601.974 42,075.435 27,556.405 588,121.004JPM Global Balanced (USD) C (acc) - USD 786,552.733 5,588.990 634,964.216 157,177.507JPM Global Balanced (USD) D (acc) - USD 26,132.909 45,460.182 11,095.913 60,497.178JPM Global Balanced (USD) X (acc) - USD 1,751,332.196 260,206.355 428,610.261 1,582,928.290JPM Global Balanced (USD) X (inc) - USD (4) 194,231.456 - 194,231.456 -

JPMorgan Investment Funds - Global Bond Fund (USD) (2)JPM Global Bond (USD) A (acc) - USD 2,559,519.377 1,059,373.110 1,422,039.812 2,196,852.675JF Global Bond (USD) A (acc) - USD 3,641.901 358,681.521 182,266.919 180,056.503JPM Global Bond (USD) B (acc) - USD 165,052.397 590,595.051 207,907.914 547,739.534JPM Global Bond (USD) C (acc) - USD 330,844.079 143,156.726 204,842.893 269,157.912JPM Global Bond (USD) D (acc) - USD 61,618.642 61,559.780 35,869.438 87,308.984JPM Global Bond (USD) X (acc) - USD 2,455,932.681 431,189.888 1,634,464.547 1,252,658.022

JPMorgan Investment Funds - Global Capital Preservation Fund (USD)JPM Global Capital Preservation (USD) A (acc) - USD 82,840.820 495,797.805 306,341.784 272,296.841JPM Global Capital Preservation (USD) B (acc) - USD - 100,090.283 49,920.129 50,170.154JPM Global Capital Preservation (USD) C (acc) - USD - 322,547.834 152,722.666 169,825.168JPM Global Capital Preservation (USD) D (acc) - USD 785.000 230,316.016 86,752.169 144,348.847JPM Global Capital Preservation (USD) X (acc) - USD - 27,463.299 18,142.496 9,320.803

JPMorgan Investment Funds - Global Convertibles Fund (USD) (3)JPM Global Convertibles (USD) A (acc) - USD 209,568.396 592,137.940 366,210.293 435,496.043JPM Global Convertibles (USD) C (acc) - USD 106,103.089 - 106,103.089 -JPM Global Convertibles (USD) D (acc) - USD 5,275.974 89,997.290 29,248.181 66,025.083JPM Global Convertibles (USD) X (acc) - USD 3,681.490 28,825.001 5,993.491 26,513.000

JPMorgan Investment Funds - Global Enhanced Bond FundJPM Global Enhanced Bond A (acc) - EUR 1,449,578.140 594,547.876 792,167.823 1,251,958.193JPM Global Enhanced Bond A (inc) - EUR - 38.718 - 38.718JPM Global Enhanced Bond B (acc) - EUR 70,970.442 654.597 18,223.080 53,401.959JPM Global Enhanced Bond C (acc) - EUR 305,534.518 151,709.638 141,697.529 315,546.627JPM Global Enhanced Bond D (acc) - EUR 207,868.735 183,151.311 131,753.280 259,266.766JPM Global Enhanced Bond X (acc) - EUR 91,287.799 5,181.429 23,471.701 72,997.527JPM Global Enhanced Bond X (inc) - EUR 300,000.000 - - 300,000.000

JPMorgan Investment Funds - Global Financials FundJPM Global Financials A (acc) - USD 972,010.727 1,382,005.530 1,081,560.496 1,272,455.761JPM Global Financials A (acc) - EUR - 1,890.401 294.000 1,596.401JPM Global Financials A (dist) - USD - 169,705.064 169,655.064 50.000JPM Global Financials C (acc) - USD 32,037.824 22,730.000 35,499.120 19,268.704JPM Global Financials D (acc) - USD 44,596.018 131,089.848 107,637.614 68,048.252JPM Global Financials X (acc) - USD 14,251.394 8,521.992 3,699.940 19,073.446

JPMorgan Investment Funds - Global High Yield Bond FundJPM Global High Yield Bond A (acc) - EUR 745,904.687 1,312,858.601 850,711.618 1,208,051.670JPM Global High Yield Bond A (inc) - EUR - 2,993.718 1.000 2,992.718JPM Global High Yield Bond B (acc) - EUR 2,394.762 6,604.784 6,604.784 2,394.762JPM Global High Yield Bond C (acc) - EUR 629,370.964 764,123.454 603,136.385 790,358.033JPM Global High Yield Bond D (acc) - EUR 114,784.746 162,246.465 80,326.108 196,705.103JPM Global High Yield Bond X (acc) - EUR 92,567.052 23,000.001 115,567.053 -

JPMorgan Investment Funds - Global Short Duration FundJPM Global Short Duration A (acc) - USD 687,016.001 273,105.336 558,644.220 401,477.117JPM Global Short Duration B (acc) - USD 108,053.984 242,328.991 163,518.764 186,864.211JPM Global Short Duration C (acc) - USD 399,736.842 90,576.918 343,455.595 146,858.165JPM Global Short Duration D (acc) - USD 23,594.658 22,601.574 18,920.222 27,276.010JPM Global Short Duration X (acc) - USD 1,465,050.863 64,619.340 720,466.346 809,203.857

(1) This Sub-Fund changed its name from USD Global Balanced Fund on 2 October 2006.(2) This Sub-Fund changed its name from USD Global Bond Fund on 29 August 2006.(3) This Sub-Fund changed its name from Global Convertible Bond Fund (USD) on 29 August 2006.(4) This Share Class changed its name from JPM Global Balanced (USD) X (dist) - USD on 1 June 2006.

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10. Historical Statement of Changes in the Number of Shares - for the year ended 31 December 2006 (continued)JPMorgan Investment Funds - Highbridge Statistical Market Neutral Fund (5)JPM Highbridge Statistical Market Neutral A (acc) - EUR - 771,603.216 4,179.182 767,424.034JPM Highbridge Statistical Market Neutral A (acc) - USD - 33,584.272 15,749.255 17,835.017JPM Highbridge Statistical Market Neutral D (acc) - EUR - 62,695.925 - 62,695.925JPM Highbridge Statistical Market Neutral D (acc) - USD - 15,731.928 - 15,731.928JPM Highbridge Statistical Market Neutral I (acc) - EUR - 363,878.731 - 363,878.731JPM Highbridge Statistical Market Neutral X (acc) - EUR - 15,686.000 - 15,686.000

JPMorgan Investment Funds - Japan 50 Equity FundJPM Japan 50 Equity A (acc) - JPY 110,334.872 856,112.373 219,748.936 746,698.309JPM Japan 50 Equity A (dist) - JPY - 6,428.898 6,373.561 55.337JPM Japan 50 Equity D (acc) - JPY - 1,264.061 - 1,264.061JPM Japan 50 Equity I (acc) - JPY - 3,897,256.278 3,599.825 3,893,656.453JPM Japan 50 Equity X (acc) - JPY 698,207.593 665,312.657 51,480.290 1,312,039.960

JPMorgan Investment Funds - JF Asia Diversified FundJF Asia Diversified A (acc) - USD 1,548,854.342 1,063,438.125 1,169,409.238 1,442,883.229JF Asia Diversified A (dist) - USD - 21,050.202 13,172.483 7,877.719JF Asia Diversified B (acc) - USD 55,970.735 212,760.664 75,548.779 193,182.620JF Asia Diversified C (acc) - USD 497,357.901 615,645.616 657,493.185 455,510.332JF Asia Diversified D (acc) - USD 65,683.117 214,503.453 112,932.049 167,254.521JF Asia Diversified I (acc) - USD - 649,062.117 - 649,062.117JF Asia Diversified X (acc) - USD 609,243.433 103,514.406 514,850.031 197,907.808

JPMorgan Investment Funds - US Bond FundJPM US Bond A (acc) - USD 1,559,906.278 2,038,229.225 1,512,114.965 2,086,020.538JPM US Bond A (inc) - USD - 886.000 344.000 542.000JPM US Bond B (acc) - USD 456,157.734 116,642.960 109,941.151 462,859.543JPM US Bond C (acc) - USD 636,937.548 1,672,121.731 390,131.341 1,918,927.938JPM US Bond D (acc) - USD 239,850.113 370,618.710 154,441.047 456,027.776JPM US Bond X (acc) - USD 2,905,114.894 1,924,463.732 545,754.256 4,283,824.370

(5) This Sub-Fund was launched on 6 November 2006.

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