www.jpmorganam.com.hk
JF Asia Absolute Return Fund Audited Annual Report 30 September 2010
This report does not constitute an offer of any units in the fund forming the subject matter of this document (the "Fund"). Subscriptions are only valid if made on the basis of the current information memorandum (or equivalent), supplemented by the most recent financial report. Approved for issue in the UK to Professional Investors only by JPMorgan Asset Management Marketing Limited, Registered in England No. 288553, Registered Office 125 London Wall, London EC2Y 5AJ, which is authorised and regulated by the Financial Services Authority. JPMorgan Asset Management Marketing Limited also provides information on the Fund. UK Investors should note that this product is an unregulated collective investment scheme within the meaning of the UK Financial Services and Markets Act 2000. The normal protections provided by the UK regulatory system do not apply and compensation under the Financial Services Compensation Scheme is not available. There is no right to cancel an agreement to purchase units in the Fund under the Rules of the Financial Services Authority. Although JPMorgan Asset Management (Europe) S.à r.l., under certain administrative services agreements, provides services to the Fund, the Fund is not subject to the laws of Luxembourg nor is it subject to supervision by any supervisory authority in Luxembourg.
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Contents
Page
Statement of Responsibilities of the Manager and the Trustee
2
Report of the Trustee to the Unitholders
2
Independent Auditor's Report to the Unitholders
3
Statement of Financial Position
4
Statement of Comprehensive Income
5
Statement of Changes in Net Assets Attributable to Holders of Redeemable Units
6
Statement of Cash Flows
7
Notes to the Financial Statements
8 – 29
Investment Portfolio – Unaudited
30 - 33
Statement of Movements in Portfolio Holdings – Unaudited
34
Performance Record – Unaudited
35 – 40
Management and Administration
41
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Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Statement of Responsibilities of the Manager and the Trustee Manager's responsibilities
The Manager of the Fund is required by the Code on Unit Trusts and Mutual Funds established by the Securities and Futures Commission of Hong Kong and the Trust Deed to prepare financial statements for each annual accounting period which give a true and fair view of the financial position of the Fund at the end of that period and of the transactions for the period then ended. In preparing these financial statements the Manager is required to:
select suitable accounting policies and then apply them consistently;
make judgments and estimates that are prudent and reasonable; and
prepare the financial statements on the basis that the Fund will continue in operation unless it is inappropriate to presume this.
The Manager is also required to manage the Fund in accordance with the Trust Deed and take reasonable steps for the prevention and detection of fraud and other irregularities.
Trustee's responsibilities The Trustee of the Fund is required to:
ensure that the Fund is managed by the Manager in accordance with the Trust Deed and that the investment and borrowing powers are complied with;
satisfy itself that sufficient accounting and other records have been maintained;
safeguard the property of the Fund and rights attaching thereto; and
report to the unitholders for each annual accounting period on the conduct of the Manager in the management of the Fund.
Report of the Trustee to the Unitholders We hereby confirm that, in our opinion, the Manager of the Fund has, in all material respects, managed the Fund in accordance with the provisions of the Trust Deed dated 6 September 1989, as amended, for the year ended 30 September 2010.
HSBC Trustee (Cayman) Limited, Trustee 11 January 2011
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Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Independent Auditor's Report To the Unitholders of JF Asia Absolute Return Fund (the "Fund")
Report on the the financial statements We have audited the accompanying financial statements of the Fund set out on pages 4 to 29, which comprise the Statement of Financial Position as at 30 September 2010, and the Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable to Holders of Redeemable Units and Statement of Cash Flows for the year then ended, and a summary of significant accounting policies and other explanatory notes.
Management's responsibility for the financial statements The Trustee and the Manager (the “Management”) of the Fund are responsible for the preparation and the true and fair presentation of these financial statements in accordance with Hong Kong Financial Reporting Standards issued by the Hong Kong Institute of Certified Public Accountants and are responsible for ensuring that the financial statements have been properly prepared in accordance with the relevant disclosure provisions of the Trust Deed dated 6 September 1989, as amended (the “Trust Deed”) and the relevant financial statements disclosure provisions specified in Appendix E of the Code on Unit Trusts and Mutual Funds established by the Securities and Futures Commission of Hong Kong (the “SFC Code”). This responsibility includes designing, implementing and maintaining internal control relevant to the preparation and the fair presentation of financial statements that are free from material misstatement, whether due to fraud or error; selecting and applying appropriate accounting policies; and making accounting estimates that are reasonable in the circumstances.
Auditor's responsibility Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with Hong Kong Standards on Auditing issued by the Hong Kong Institute of Certified Public Accountants. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance as to whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the auditor’s judgment, 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 auditor considers internal control relevant to the Fund’s preparation and true and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by Management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion.
Opinion Opinion In our opinion, the accompanying financial statements give a true and fair view of the financial position of the Fund as at 30 September 2010, and of its financial performance and its cash flows for the year then ended in accordance with Hong Kong Financial Reporting Standards.
Report on other legal and regulatory disclosure requirements We report that the financial statements have been properly prepared in accordance with the relevant disclosure provisions of the Trust Deed and the relevant financial statements disclosure provisions specified in the SFC Code.
PricewaterhouseCoopers Cayman Islands, 11 January 2011
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Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Statement of Financial Position As at 30 September 2010
Assets Cash at banks Amounts due from brokers Amounts receivable on allotment Margin deposits Collateral deposits with brokers [Note 9] Derivatives [Notes 3, 4(I)(a)] Investments - long positions [Notes 3, 4(I)(a)] Dividend and other accounts receivable Total assets
Liabilities Amounts due to brokers Amounts payable on redemption Performance fee payable [Note 7(f)] Derivatives [Notes 3, 4(I)(a)] Investments - short positions [Notes 3, 4(I)(a)] Other accounts payable Liabilities (excluding net assets attributable to holders of redeemable units)
2010 US$
2009 US$
25,136,748 13,662,148 15,549,734 14,690,969 55,077,220 248,174,831 572,909 ņņņņņņņņņņņ 372,864,559 ---------------------
39,010,036 3,229,248 10,823,854 7,674,833 30,899,850 207,519 108,649,175 191,761 ņņņņņņņņņņņ 200,686,276 ---------------------
7,592,951 3,522,910 3,323,636 4,491,071 49,306,476 752,759 ņņņņņņņņņņņ 68,989,803 ---------------------
10,517,163 2,935,290 2,739,011 2,354,756 28,408,659 323,528 ņņņņņņņņņņņ 47,278,407 ---------------------
303,874,756
153,407,869
1,201,136 ņņņņņņņņņņņ
479,758 ņņņņņņņņņņņ
305,075,892 őőőőőőőőőőő
153,887,627 őőőőőőőőőőő
Net assets attributable to holders of redeemable units (before fair value adjustment) [Note 3] Fair value adjustment of units of the Fund [Note 3]
Net assets attributab attributable le to holders of redeemable units (after fair value adjustment) [Note 3]
Approved by the Trustee and the Manager on 11 January 2011 Signed By: HSBC Trustee (Cayman) Limited, Trustee
JPMorgan Funds (Asia) Limited, Manager
The notes on pages 8 to 29 form part of these financial statements. -4-
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Statement of Comprehensive Income For the year ended 30 September 2010
Income Net gains on investments and derivatives [Note 5] Dividend income Net foreign currency exchange gains/(losses) Interest on deposits Net expense on swaps Securities borrowing fee (net of interest on collateral deposits) [Note 9] Other income
Expenses Performance fee [Note 7(f)] Transaction costs Management fee [Note 7(e)] Trustee's fee [Note 8] Auditor's fee Safe custody and bank charges Registrar's fee [Note 7(j)] Printing and publication expenses Legal and professional expenses Valuation fee [Note 7(e)] Other operating expenses
2010 US$
2009 US$
19,379,459 1,685,018 59,734 15,639 (68,204) 11,000 ņņņņņņņņņņņ 21,082,646 ---------------------
19,978,259 772,939 (13,086) 206,612 (2,799) 8,147 59,816 ņņņņņņņņņņņ 21,009,888 ---------------------
3,323,636 2,638,056 2,065,465 114,964 47,400 33,088 31,646 11,364 3,800 840 47,756 ņņņņņņņņņņņ 8,318,015 ---------------------
2,739,011 2,209,741 1,275,599 91,268 45,700 17,252 17,105 9,138 66 840 49,307 ņņņņņņņņņņņ 6,455,027 ---------------------
12,764,631
14,554,861
ņņņņņņņņņņņ 12,764,631
(480) ņņņņņņņņņņņ 14,554,381
(173,024) ņņņņņņņņņņņ
(83,550) ņņņņņņņņņņņ
12,591,607
14,470,831
721,378 ņņņņņņņņņņņ
(48,835) ņņņņņņņņņņņ
13,312,985 őőőőőőőőőőő
14,421,996 őőőőőőőőőőő
Net operating profit Finance costs Interest paid Profit before taxation Taxation [Note 6]
Change in cumulative difference arising from the fair value adjustment of units of the Fund
Increase in net assets attributable to holders of redeemable units and total comprehensive income
The notes on pages 8 to 29 form part of these financial statements. -5-
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Statement of Changes in Net Assets Attributable to Holders of Redeemable Units For the year ended 30 September 2010
Net assets attributable to holders of redeemable units at the beginning of the year
2010 US$
2009 US$
153,887,627 ---------------------
174,692,594 ---------------------
160,150,131
56,016,679
(22,274,851) ņņņņņņņņņņņ 137,875,280 ---------------------
(91,243,642) ņņņņņņņņņņņ (35,226,963) ---------------------
291,762,907
139,465,631
13,312,985 ņņņņņņņņņņņ
14,421,996 ņņņņņņņņņņņ
305,075,892 őőőőőőőőőőő
153,887,627 őőőőőőőőőőő
Allotment of redeemable units [Note 3] Redemption of redeemable units [Note 3] Net allotment/(redemption)
Increase in net assets attributable to holders of redeemable units and total comprehensive income
Net assets attributable to holders of redeemable units at the end of the year
The notes on pages 8 to 29 form part of these financial statements. -6-
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Statement of Cash Flows For the year ended 30 September 2010
Operating activities Purchase of investments and derivatives Proceeds from disposal of investments and derivatives Dividend received Interest received Income received on swaps Registrar's fee paid Securities borrowing fee paid (net of interest on collateral deposits) Trustee's fee paid Tax paid Management fee paid Transaction costs paid Performance fee paid (Increase)/decrease in margin deposits (Increase)/decrease in collateral deposits with brokers Others Net cash (outflow)/inflow from operating activities
Financing activities Interest paid Receipts on allotment of redeemable units [Note 12] Payments on redemption of redeemable units [Note 12] Net cash inflow/(outflow) from financing activities activities
(Decrease)/increase in cash and cash equivalents Cash and cash equivalents at the beginning of the year Exchange gains on cash and cash equivalents Cash and cash equivalents at the end of the year
2010 US$
2009 US$
(662,465,789) 552,189,191 1,574,082 15,033 (26,603) (69,059) (111,320) (173,024) (1,944,018) (2,622,429) (2,739,011) (7,016,136) (24,177,370) (156,092) ņņņņņņņņņņņ (147,722,545) ---------------------
(528,256,070) 572,872,671 408,573 339,117 1,394 (20,005) (93,287) (83,550) (1,333,223) (2,195,298) (126,768) 4,988,104 48,777,513 (72,302) ņņņņņņņņņņņ 95,206,869 ---------------------
155,424,251 (21,687,231) ņņņņņņņņņņņ 133,737,020 ---------------------
(480) 45,192,825 (118,619,476) ņņņņņņņņņņņ (73,427,131) ---------------------
(13,985,525) 39,010,036 112,237 ņņņņņņņņņņņ 25,136,748 őőőőőőőőőőő
21,779,738 17,219,796 10,502 ņņņņņņņņņņņ 39,010,036 őőőőőőőőőőő
25,136,748 őőőőőőőőőőő
39,010,036 őőőőőőőőőőő
Analysis of balances of cash and cash equivalents: Cash at banks
The notes on pages 8 to 29 form part of these financial statements. -7-
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Notes to the Financial Statements 1
The Fund JF Asia Absolute Return Fund (the "Fund") was established under a Trust Deed dated 6 September 1989, as amended, and is governed by the laws of the Cayman Islands. The Fund is authorized by the Securities and Futures Commission of Hong Kong ("SFC"). The investment objective of the Fund is to provide investors with long-term capital growth in US$ terms through an aggressively managed portfolio of equities, bonds and currencies, and derivatives of any of these. The Manager seeks to achieve this objective by investing primarily in the Asia-Pacific region (including Japan). The Fund may, as considered appropriate by the Manager, hold substantial amounts of its portfolio in cash and cash-based instruments. In order to ensure that the relevant performance fee charged to holders of redeemable units would relate more accurately to any investment gains in which they have participated, all units issued on a particular monthly dealing day have notionally been regarded as a separate unit class from units issued on other dealing days. Accordingly, a number of different unit classes are created within the Fund. A merging of separate unit classes will normally occur where, as at a year-end date, a management performance fee becomes payable by each of such unit classes. For unit classes to be merged, all units from respective unit class will be redeemed and subsequently subscribed into a merged unit class. The total value of any unitholders' units is not affected by the merger. On 4 October 2010, certain unit classes were merged in respect of this financial year. Pursuant to the Trust Deed, with effect from 20 December 2002, all units for any new unit classes are issued at a fixed price of US$10 per unit (the "Subscription Price"). A preliminary charge per unit of up to 5 per cent of Subscription Price on the issue of unit is charged and paid to the Manager. All unitholders' rights with regard to the convening, voting or otherwise acting at any meeting of unitholders are the same. Refer to Note 3.
2
Summary of principal accounting policies The principal accounting policies applied in the preparation of these financial statements are set out below. These policies have been consistently applied to all the years presented, unless otherwise stated. (a) Basis Basis of preparation of financial statements The financial statements of the Fund have been prepared in accordance with Hong Kong Financial Reporting Standards ("HKFRS"). The financial statements have been prepared under the historical cost convention, as modified by the revaluation of financial assets and financial liabilities (including derivative financial instruments) held at fair value through profit or loss. The preparation of financial statements in conformity with HKFRS requires the use of certain critical accounting estimates. It also requires the Manager and the Trustee (the "Management") to exercise their judgment in the process of applying the Fund's accounting policies.
Amendments to standards effective from 1 January 2009 and applied from 1 October 2009 Hong Kong Accounting Standard (“HKAS”) 1 (Revised), "Presentation of Financial Statements". The revised standard prohibits the presentation of items of income and expenses (that is, "non-owner changes in equity") in the statement of changes in equity, requiring "non-owner changes in equity" to be presented separately from owner changes in equity. All non-owner changes in equity are required to be shown in a performance statement, but entities can choose whether to present one performance statement (the Statement of Comprehensive Income) or two statements (the Income Statement and Statement of Comprehensive Income). The Fund has applied HKAS 1 (Revised) from 1 October 2009, and has elected to present solely a Statement of Comprehensive Income. The adoption of this revised standard has not resulted in a significant change to the presentation of the Fund's performance statement, as the Fund has no elements of other comprehensive income. HKAS 39 (Amendment), "Financial Instruments: Recognition and Measurement". The definition of financial asset or financial liability at fair value through profit or loss as it relates to items that are held for trading was amended. This clarifies that a financial asset or liability that is part of a portfolio of financial instruments managed together with evidence of an actual recent pattern of short-term profit-taking is included in such a portfolio on initial recognition. Adoption does not have a significant impact on the Fund's financial statements. HKFRS 7 (Amendment), "Financial Instruments: Disclosures". The amendment requires enhanced disclosures about fair value measurement and liquidity risk. In particular, the amendment requires disclosure of fair value measurements by level of a fair value measurement hierarchy. The adoption of the amendment results in additional disclosures but does not have an impact on the Fund's financial position or performance. HKAS 32 (Amendment), "Financial Instruments: Presentation", and HKAS 1 (Amendment), "Presentation of Financial Instruments Puttable Financial Instruments and Obligations Arising on Liquidation" (effective from 1 January 2009) (the "amendment"). The amendment requires puttable financial instruments that meet the definition of a financial liability to be classified as equity where certain strict criteria are met. Those criteria include: the puttable instruments must entitle the holder to a pro-rata share of net assets; the
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Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND
puttable instruments must be the most subordinated class and that class's features must be identical; there must be no contractual obligations to deliver cash or another financial asset other than the obligation on the issuer to repurchase; and the total expected cash flows from the puttable instrument over its life must be based substantially on the profit or loss of the issuer. Where entities restate or reclassify comparative information, they are required to present a restated Statement of Financial Position as at the beginning of the comparative period, in addition to the current requirement to present Statement of Financial Position at the end of the current period and comparative period. As a number of different unit classes are created within the Fund, to ensure that the relevant performance fee charged to holders of redeemable units would relate more accurately to any investment gains in which they have participated, their features are not considered identical. The adoption of these amendments has not therefore resulted in any change in the classification of the Fund’s redeemable shares. (b) Investments Investments and derivatives
Classification The Fund classifies its investments and derivatives as financial assets or financial liabilities at fair value through profit or loss. These financial assets or financial liabilities are held-for-trading as they are acquired or incurred principally for the purpose of selling or repurchasing in the near term or short-term profit taking. All derivatives are carried in assets when amounts are receivable by the Fund and in liabilities when amounts are payable by the Fund. The Fund makes short sales in which a borrowed security is sold in anticipation of a decline in the market value of that security, or it may use short sales for various arbitrage transactions. Short sales are classified as financial liabilities at fair value through profit or loss.
Recognition, derecognition and measurement Purchases and sales of investments and derivatives are accounted for on the trade date basis. Investments and derivatives are initially recognized at fair value and are subsequently re-measured at fair value. Realized and unrealized gains and losses on investments and derivatives are recognized in the Statement of Comprehensive Income. Investments and derivatives are derecognized when the rights to receive cash flows from the investments and derivatives have expired or the Fund has transferred substantially all risks and rewards of ownership.
Fair value estimation Investments that are listed or traded on an exchange and investments with prices quoted in over-the-counter markets or by market makers, are fair valued based on quoted "bid" prices on long investments and quoted "ask" prices on investments sold short. When trading in the securities of an investee company is suspended, the investment is valued at the Manager's estimate of its fair value. Debt securities are fair valued based on quoted prices inclusive of accrued interest. Investments in collective investment schemes are stated at fair value based on the net asset value per unit of the respective funds as determined by the administrators of the relevant funds or stated at “bid” prices if the collective investment schemes are listed or traded on an exchange. Open futures and swap contracts are valued at "bid" prices for long positions and "ask" prices for short positions at the valuation date. The differences between the bid/ask prices and the contract prices are recognized in the Statement of Comprehensive Income. Open options contracts are valued at "bid" prices for long positions and "ask" prices for short positions at the valuation date. The differences between the bid/ask prices and the premium amounts/contract prices are recognized in the Statement of Comprehensive Income. Forward foreign exchange contracts are valued at the forward rates ruling at the valuation date. The differences between the forward rates and the contract rates are recognized in the Statement of Comprehensive Income. (c) Securities lending and borrowing Securities lenders' agreements are entered into with institutions of appropriate financial standing who engage in such arrangements acceptable to the Trustee and on arm's length commercial terms. Securities lent are included in the investment portfolio of the Fund. Relevant securities lending income entitled by the Fund is accounted for in the Statement of Comprehensive Income. Collateral received for the purpose of securities lent generally consist of non-cash collateral which are off-balance sheet transactions and are therefore not included in the financial statements. The Fund may enter into securities borrowing arrangements for short sale purposes. Short positions represent obligations to deliver securities sold but not yet purchased, and are accounted for as investments and valued at their fair value. Securities borrowed during the year are off-balance sheet transactions and are therefore not included in the investment portfolio of the Fund. Collateral placed for the purpose of securities borrowed generally consist of cash collateral and are included in the Statement of Financial Position separately. Refer to Note 9.
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Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND (d) Offsetting financial instruments
Financial assets and liabilities are offset and the net amount reported in the Statement of Financial Position when there is a legally enforceable right to offset the recognized amounts and there is an intention to settle on a net basis, or realize the asset and settle the liability simultaneously. (e) Income and expense Dividend income is recognized on the ex-dividend date with the corresponding foreign withholding tax recorded as an expense and is accounted for in the Statement of Comprehensive Income. Interest income on investments is accounted for as part of net gains/losses on investments and derivatives in the Statement of Comprehensive Income. Interest income on cash at banks and short term deposits is accounted for in the Statement of Comprehensive Income on an effective interest basis. Expenses are accounted for in the Statement of Comprehensive Income on an accrual basis. (f)
Foreign currency translation
Functional and presentation currency The Fund has adopted United States dollar as its functional and presentation currency.
Transactions and balances Foreign currency transactions are translated into the functional currency using the exchange rates prevailing at the dates of the transactions. Foreign exchange gains and losses resulting from the settlement of such transactions and from the translation of assets and liabilities denominated in foreign currencies at year end exchange rates are recognized in the Statement of Comprehensive Income within "Net foreign currency exchange gains/losses". Foreign exchange gains and losses relating to cash and cash equivalents are presented in the Statement of Comprehensive Income within "Net foreign currency exchange gains/losses". Foreign exchange gains and losses relating to the financial assets and liabilities carried at fair value through profit or loss are presented in the Statement of Comprehensive Income within "Net gains/losses on investments and derivatives". (g) Cash and cash equivalents For the purpose of the Statement of Cash Flows, cash and cash equivalents comprise cash at banks and bank deposits with maturity of three months or less from the date of placing the deposits, net of certain short term bank loans which the Fund usually undertakes as overnight bank borrowings. (h) Margin depos deposits its Margin deposits with brokers for trading of futures and swap contracts are stated at amortized cost using the effective interest method. (i)
Amounts due from/to brokers Amounts due from/to brokers represent receivables for investments and derivatives sold and payables for investments and derivatives purchased that have been contracted for but not yet settled by the end of the year.
(j)
Proceeds and payments on allotment and redemption of units The net asset value per unit is computed for each dealing day. The price at which units are allotted or redeemed is calculated by reference to the net asset value per unit as at the close of business on the relevant dealing day in accordance with the provisions of the Fund's Trust Deed dated 6 September 1989, as amended, which may be different from the accounting policies stated in the financial statements. Units of the Fund are redeemable at the option of the holders of redeemable units and are classified as a financial liability in the Statement of Financial Position which represents the net assets attributable to holders of redeemable units (or "net asset value", "net assets" or "NAV") and is carried at the redemption amount that would be payable at the Statement of Financial Position date if the holders of redeemable units exercised the right to redeem units of the Fund.
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Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND 3
Net assets attributable to holders of redeemable units and number of units in issue Fair value adjustment of units of the Fund As stated in Note 2(j), units of the Fund are redeemable at the option of the holders of redeemable units and are classified as a financial liability in the Statement of Financial Position which represents the net assets attributable to the holders of redeemable units and is carried at the redemption amount that would be payable at the Statement of Financial Position date, if the holders of redeemable units exercised the right to redeem units of the Fund. The redemption amount is determined based on the net assets attributable to holders of redeemable units calculated in accordance with the provisions of the Fund's Trust Deed dated 6 September 1989, as amended ("Trust Deed NAV").
Net asset attributable to holders of redeemable units (before fair value adjustment)
2010 US$
2009 US$
303,874,756
153,407,869
1,201,136 ņņņņņņņņņņņņ
479,758 ņņņņņņņņņņņņ
305,075,892 őőőőőőőőőőőő
153,887,627 őőőőőőőőőőőő
Fair value adjustment of units of the Fund: Difference between bid/ask prices and last traded prices basis in valuing investments and derivatives as at 30 September (Note a)
Net asset attributable to holders of redeemable units (after fair value adjustment)
Note: a
Listed investments, investments and derivatives with prices quoted in over-the-counter markets or by market makers are stated at the last traded prices for the purpose of the Trust Deed NAV. As stated in Note 2(b), the accounting policy of the Fund for the purpose of compliance with HKAS 39 "Financial Instruments: Recognition and Measurement" and for reporting purposes is to value its investments and derivatives at fair value based on the relevant bid/ask market prices on the Statement of Financial Position date.
Number of units in issue 2010 Class A Units
Class 0709 Units
Class 0710 Units
Class 0711 Units
Class 0712 Units
16,306.748
4,454,873.695
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
552,706.988
31,530.114
15,006.737
(100,196.010) 1,572,295.882 ņņņņņņņņņņņ 2,024,806.860 őőőőőőőőőőő
(31,530.114) ņņņņņņņņņņņ őőőőőőőőőőő
(15,006.737) ņņņņņņņņņņņ őőőőőőőőőőő
(16,306.748) ņņņņņņņņņņņ őőőőőőőőőőő
(4,454,873.695) ņņņņņņņņņņņ őőőőőőőőőőő
US$
US$
US$
US$
US$
133,634,260 őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
66.00 őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
- 11 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Class 0801 Units
Class 0802 Units
Class 0803 Units
Class 0804 Units
Class 0805 Units
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
305,990.281
627,336.303
71,993.558
122,524.911
74,221.774
(305,990.281) ņņņņņņņņņņņ őőőőőőőőőőő
(627,336.303) ņņņņņņņņņņņ őőőőőőőőőőő
(71,993.558) ņņņņņņņņņņņ őőőőőőőőőőő
(122,524.911) ņņņņņņņņņņņ őőőőőőőőőőő
(74,221.774) ņņņņņņņņņņņ őőőőőőőőőőő
US$
US$
US$
US$
US$
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
Class 0806 Units
Class 0807 Units
Class 0808 Units
Class 0810 Units
Class 0811 Units
10,000.000
70,693.893
5,053.589
172,782.520
(301,163.235) ņņņņņņņņņņņ őőőőőőőőőőő
(10,000.000) ņņņņņņņņņņņ őőőőőőőőőőő
(70,693.893) ņņņņņņņņņņņ őőőőőőőőőőő
(5,053.589) ņņņņņņņņņņņ őőőőőőőőőőő
(172,782.520) ņņņņņņņņņņņ őőőőőőőőőőő
US$
US$
US$
US$
US$
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
301,163.235
- 12 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Class 0812 Units
Class 0901 Units
Class 0902 Units
Class 0903 Units
Class 0904 Units
1,217,306.062
318,916.305
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
6,102.812
44,321.197
186,829.558
(6,102.812) ņņņņņņņņņņņ őőőőőőőőőőő
(44,321.197) ņņņņņņņņņņņ őőőőőőőőőőő
(186,829.558) ņņņņņņņņņņņ őőőőőőőőőőő
(1,217,306.062) ņņņņņņņņņņņ őőőőőőőőőőő
(318,916.305) ņņņņņņņņņņņ őőőőőőőőőőő
US$
US$
US$
US$
US$
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
Class 0905 Units
Class 0906 Units
Class 0907 Units
Class 0908 Units
Class 0909 Units
512,740.536
298,280.204
(543,193.559) ņņņņņņņņņņņ őőőőőőőőőőő
(512,740.536) ņņņņņņņņņņņ őőőőőőőőőőő
(15,077.436) ņņņņņņņņņņņ 283,202.768 őőőőőőőőőőő
(5,000.000) ņņņņņņņņņņņ 808,303.774 őőőőőőőőőőő
(900,000.000) ņņņņņņņņņņņ 182,385.383 őőőőőőőőőőő
US$
US$
US$
US$
US$
őőőőőőőőőőő
őőőőőőőőőőő
2,986,634 őőőőőőőőőőő
8,586,443 őőőőőőőőőőő
1,938,113 őőőőőőőőőőő
őőőőőőőőőőő
őőőőőőőőőőő
10.55 őőőőőőőőőőő
10.62 őőőőőőőőőőő
10.63 őőőőőőőőőőő
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
543,193.559
- 13 -
813,303.774
1,082,385.383
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Class 0910 Units
Class 0911 Units
Class 0912 Units
Class 1001 Units
Class 1002 Units
-
-
-
-
-
706,462.542 (59,041.626) ņņņņņņņņņņņ 647,420.916 őőőőőőőőőőő
639,938.003 (100,000.000) ņņņņņņņņņņņ 539,938.003 őőőőőőőőőőő
904,637.878 (14,500.000) ņņņņņņņņņņņ 890,137.878 őőőőőőőőőőő
ņņņņņņņņņņņ 742,332.510 őőőőőőőőőőő
162,081.779 (5,129.000) ņņņņņņņņņņņ 156,952.779 őőőőőőőőőőő
US$
US$
US$
US$
US$
6,806,323 őőőőőőőőőőő
5,668,946 őőőőőőőőőőő
9,286,335 őőőőőőőőőőő
7,752,377 őőőőőőőőőőő
1,617,133 őőőőőőőőőőő
10.51 őőőőőőőőőőő
10.50 őőőőőőőőőőő
10.43 őőőőőőőőőőő
10.44 őőőőőőőőőőő
10.30 őőőőőőőőőőő
Class 1003 Units
Class 1004 Units
Class 1005 Units
Class 1006 Units
Class 1007 Units
-
-
-
-
-
496,642.656 (20,000.000) ņņņņņņņņņņņ 476,642.656 őőőőőőőőőőő
1,506,123.636 (101,900.000) ņņņņņņņņņņņ 1,404,223.636 őőőőőőőőőőő
839,282.228 (308,557.374) ņņņņņņņņņņņ 530,724.854 őőőőőőőőőőő
5,189,021.684 ņņņņņņņņņņņ 5,189,021.684 őőőőőőőőőőő
ņņņņņņņņņņņ 1,873,911.881 őőőőőőőőőőő
US$
US$
US$
US$
US$
4,826,182 őőőőőőőőőőő
14,278,905 őőőőőőőőőőő
5,415,816 őőőőőőőőőőő
53,703,699 őőőőőőőőőőő
18,961,238 őőőőőőőőőőő
10.13 őőőőőőőőőőő
10.17 őőőőőőőőőőő
10.20 őőőőőőőőőőő
10.35 őőőőőőőőőőő
10.12 őőőőőőőőőőő
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
742,332.510
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
- 14 -
1,873,911.881
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Class 1008 Units
Class 1009 Units
-
-
ņņņņņņņņņņņ 1,373,598.531 őőőőőőőőőőő
1,554,973.378 ņņņņņņņņņņņ 1,554,973.378 őőőőőőőőőőő
US$
US$
14,063,754 őőőőőőőőőőő
15,549,734 őőőőőőőőőőő
10.24 őőőőőőőőőőő
10.00 őőőőőőőőőőő
Class A Units
Class 0709 Units
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
1,373,598.531
2009 Class 0710 Units
Class 0711 Units
Class 0712 Units
668,963.265
6,521,306.748
5,204,774.685
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
722,404.256
41,456.222
(169,697.268) ņņņņņņņņņņņ 552,706.988 őőőőőőőőőőő
(9,926.108) ņņņņņņņņņņņ 31,530.114 őőőőőőőőőőő
(653,956.528) ņņņņņņņņņņņ 15,006.737 őőőőőőőőőőő
(6,505,000.000) ņņņņņņņņņņņ 16,306.748 őőőőőőőőőőő
(749,900.990) ņņņņņņņņņņņ 4,454,873.695 őőőőőőőőőőő
US$
US$
US$
US$
US$
34,327,370 őőőőőőőőőőő
353,797 őőőőőőőőőőő
158,923 őőőőőőőőőőő
174,944 őőőőőőőőőőő
47,808,606 őőőőőőőőőőő
62.11 őőőőőőőőőőő
11.22 őőőőőőőőőőő
10.59 őőőőőőőőőőő
10.73 őőőőőőőőőőő
10.73 őőőőőőőőőőő
- 15 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Class 0801 Units
Class 0802 Units
Class 0803 Units
Class 0804 Units
Class 0805 Units
787,500.970
192,177.687
298,469.669
(6,406.396) ņņņņņņņņņņņ 305,990.281 őőőőőőőőőőő
(160,164.667) ņņņņņņņņņņņ 627,336.303 őőőőőőőőőőő
(120,184.129) ņņņņņņņņņņņ 71,993.558 őőőőőőőőőőő
(175,944.758) ņņņņņņņņņņņ 122,524.911 őőőőőőőőőőő
(20,000.000) ņņņņņņņņņņņ 74,221.774 őőőőőőőőőőő
US$
US$
US$
US$
US$
3,367,750 őőőőőőőőőőő
6,688,371 őőőőőőőőőőő
798,881 őőőőőőőőőőő
1,337,804 őőőőőőőőőőő
804,885 őőőőőőőőőőő
11.01 őőőőőőőőőőő
10.66 őőőőőőőőőőő
11.10 őőőőőőőőőőő
10.92 őőőőőőőőőőő
10.84 őőőőőőőőőőő
Class 0806 Units
Class 0807 Units
Class 0808 Units
Class 0810 Units
Class 0811 Units
336,089.839
15,000.000
-
-
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
312,396.677
94,221.774
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
189,952.333
(34,926.604) ņņņņņņņņņņņ 301,163.235 őőőőőőőőőőő
(5,000.000) ņņņņņņņņņņņ 10,000.000 őőőőőőőőőőő
(119,258.440) ņņņņņņņņņņņ 70,693.893 őőőőőőőőőőő
5,053.589 ņņņņņņņņņņņ 5,053.589 őőőőőőőőőőő
172,782.520 ņņņņņņņņņņņ 172,782.520 őőőőőőőőőőő
US$
US$
US$
US$
US$
3,314,292 őőőőőőőőőőő
111,113 őőőőőőőőőőő
787,733 őőőőőőőőőőő
60,065 őőőőőőőőőőő
2,010,082 őőőőőőőőőőő
11.00 őőőőőőőőőőő
11.11 őőőőőőőőőőő
11.14 őőőőőőőőőőő
11.89 őőőőőőőőőőő
11.63 őőőőőőőőőőő
- 16 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Class 0812 Units
Class 0901 Units
Class 0902 Units
Class 0903 Units
Class 0904 Units
-
-
-
-
-
ņņņņņņņņņņņ 6,102.812 őőőőőőőőőőő
ņņņņņņņņņņņ 44,321.197 őőőőőőőőőőő
186,829.558 ņņņņņņņņņņņ 186,829.558 őőőőőőőőőőő
1,501,106.062 (283,800.000) ņņņņņņņņņņņ 1,217,306.062 őőőőőőőőőőő
435,568.621 (116,652.316) ņņņņņņņņņņņ 318,916.305 őőőőőőőőőőő
US$
US$
US$
US$
US$
70,130 őőőőőőőőőőő
492,682 őőőőőőőőőőő
2,056,288 őőőőőőőőőőő
13,193,668 őőőőőőőőőőő
3,312,786 őőőőőőőőőőő
11.49 őőőőőőőőőőő
11.12 őőőőőőőőőőő
11.01 őőőőőőőőőőő
10.84 őőőőőőőőőőő
10.39 őőőőőőőőőőő
Class 0905 Units
Class 0906 Units
Class 0907 Units
Class 0908 Units
Class 0909 Units
-
-
-
-
-
543,193.559 ņņņņņņņņņņņ 543,193.559 őőőőőőőőőőő
512,740.536 ņņņņņņņņņņņ 512,740.536 őőőőőőőőőőő
298,280.204 ņņņņņņņņņņņ 298,280.204 őőőőőőőőőőő
813,303.774 ņņņņņņņņņņņ 813,303.774 őőőőőőőőőőő
1,082,385.383 ņņņņņņņņņņņ 1,082,385.383 őőőőőőőőőőő
US$
US$
US$
US$
US$
5,568,649 őőőőőőőőőőő
5,180,411 őőőőőőőőőőő
2,954,956 őőőőőőőőőőő
8,129,587 őőőőőőőőőőő
10,823,854 őőőőőőőőőőő
10.25 őőőőőőőőőőő
10.10 őőőőőőőőőőő
9.91 őőőőőőőőőőő
10.00 őőőőőőőőőőő
10.00 őőőőőőőőőőő
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
6,102.812
44,321.197
Number of units in issue: At the beginning of the year Total allotments Total redemptions Merger [Note 1 and 12] At the end of the year
Net assets attributable to holders of redeemable units (after fair value adjustment)
Net assets attributable to holders of redeemable units (per unit)
4
Financial risk management (I)
Financial risk factors The Fund's activities expose it to a variety of financial risks: market risk (including market price risk, interest rate risk and currency risk), credit risk and liquidity risk.
(a) Market risk (i)
Market price risk The Fund's investments and derivatives are subject to the market price risk inherent in all investments and derivatives i.e. the value of
- 17 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND
holdings may fall as well as rise. The Fund's market risk is managed through (i) deliberate stocks selection, and (ii) diversification of the investment portfolio in accordance with specific investment restrictions and guidelines. As at 30 September, the fair value of investments and derivatives and its estimated market sensitivity were as follows: 2010
Listed/Quoted Investments Assets Equities, Convertibles and Warrants - China - Japan - Korea - Hong Kong - Others
Debt Securities - Korea - China - Others
Collective Investment Schemes
Derivatives - Futures
Liabilities Equities, Convertibles and Warrants - Hong Kong - Japan - Others
Derivatives - Forward foreign exchange contracts - Futures
Total Listed/Quoted Investments
Fair value of investments US$
2009 % of net assets
Fair value of investments US$
% of net assets
65,317,743 39,657,530 34,787,256 8,365,107 41,712,922 ņņņņņņņņņņņņ 189,840,558 -----------------------
21.4 13.0 11.4 2.7 13.7 ņņņņņ 62.2 ----------
19,629,764 15,149,206 11,354,712 13,606,185 11,747,453 ņņņņņņņņņņņņ 71,487,320 -----------------------
12.8 9.8 7.4 8.9 7.6 ņņņņņ 46.5 ----------
15,147,385 9,443,214 33,743,674 ņņņņņņņņņņņņ 58,334,273 -----------------------
5.0 3.1 11.0 ņņņņņ 19.1 ----------
7,800,493 11,953,114 14,464,525 ņņņņņņņņņņņņ 34,218,132 -----------------------
5.1 7.8 9.3 ņņņņņ 22.2 ----------
-----------------------
----------
2,943,723 -----------------------
1.9 ----------
-----------------------
----------
207,519 -----------------------
0.1 ----------
248,174,831 -----------------------
81.3 ----------
108,856,694 -----------------------
70.7 ----------
(16,859,490) (19,790,399) (12,656,587) ņņņņņņņņņņņņ (49,306,476) -----------------------
(5.5) (6.5) (4.1) ņņņņņ (16.1) ----------
(10,393,849) (8,985,202) (9,029,608) ņņņņņņņņņņņņ (28,408,659) -----------------------
(6.8) (5.8) (5.9) ņņņņņ (18.5) ----------
(680,799) (3,810,272) ņņņņņņņņņņņņ (4,491,071) -----------------------
(0.2) (1.3) ņņņņņ (1.5) ----------
(1,509,044) (845,712) ņņņņņņņņņņņņ (2,354,756) -----------------------
(1.0) (0.5) ņņņņņ (1.5) ----------
(53,797,547) -----------------------
(17.6) ----------
(30,763,415) -----------------------
(20.0) ----------
194,377,284 őőőőőőőőőőőő
63.7 őőőőő
78,093,279 őőőőőőőőőőőő
50.7 őőőőő
- 18 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Also, refer to Note 11 for the exposures on derivative contracts.
The Investment Manager monitors the Fund's market price sensitivity primarily through the Fund's volatility, which helps to describe the likely range of the Fund's return, on a regular basis. In statistical terms, it is the standard deviation of the return distribution. Greater volatility of monthly fund returns means that there is a wider range of likely returns in the future, or greater uncertainty regarding the fund returns. Most investors would equate this greater uncertainty with greater risk. The table below summarizes the volatility of the Fund expressed in quarterly terms and the estimated impact on the net asset value.
Quarterly volatility (Note*)
2010
2009
3.74%
4.65%
If the above volatility were to be applied to the Fund's net asset value as of 30 September 2010 US$305,075,892 (2009: US$153,887,627) and assuming that the Fund's returns are normally distributed with its mean return equals to nil and with one standard deviation away from the mean return (i.e. a probability of 68%), the estimated reasonable possible change in the Fund's net asset value would be between US$293,666,054 and US$316,485,730; or within +/- US$11,409,838 (2009: between US$146,731,852 and US$161,043,402; or within +/- US$7,155,775) over a three-month period based on the Fund's historical quarterly volatility percentage as a result of the market price fluctuation, assuming that all other variables are held constant. Note: *
Volatility is calculated based on the monthly Fund's returns over the maximum of past 36 months or the number of months since portfolio inception. For funds launched within a period of less than 12 months, volatility is calculated based on the weekly Fund's returns since the Fund's launch. Volatility is expressed in quarterly volatility by applying the square root of time adjustment. Volatility may not cover stressed market events, nor represent the Investment Manager's forecast of the Fund's range of future returns.
(ii) Interest rate risk Interest rate risk is the risk that the value of a financial instrument or future cash flow will fluctuate due to changes in market interest rates. The Fund is exposed to risks associated with the effects of fluctuations in the prevailing levels of market interest rates on its investments, derivatives and cash deposits. The table below summarizes the Fund's financial assets and liabilities as at 30 September which expose it to the risk associated with the effects of fluctuations in the prevailing levels of market interest rates, categorized by remaining maturity dates. Less than 1 year US$
1-5 years US$
Over 5 years US$
Non-interest bearing US$
Total US$
2010 Cash at banks Margin deposits Collateral deposits with brokers Derivatives Investments – long positions (Note*) Total interest sensitivity gap
25,136,748 14,690,969 55,077,220 2,050,389 ņņņņņņņņņņ 96,955,326 őőőőőőőőőő
53,790,933 ņņņņņņņņņņ 53,790,933 őőőőőőőőőő
5,635,207 ņņņņņņņņņņ 5,635,207 őőőőőőőőőő
(1,288,017) ņņņņņņņņņņ (1,288,017) őőőőőőőőőő
25,136,748 14,690,969 55,077,220 (1,288,017) 61,476,529 ņņņņņņņņņņ 155,093,449 őőőőőőőőőő
39,010,036 7,674,833 30,899,850 ņņņņņņņņņņ 77,584,719 őőőőőőőőőő
24,874,417 ņņņņņņņņņņ 24,874,417 őőőőőőőőőő
11,333,215 ņņņņņņņņņņ 11,333,215 őőőőőőőőőő
(141,187) ņņņņņņņņņņ (141,187) őőőőőőőőőő
39,010,036 7,674,833 30,899,850 (141,187) 36,207,632 ņņņņņņņņņņ 113,651,164 őőőőőőőőőő
2009 Cash at banks Margin deposits Collateral deposits with brokers Derivatives Investments – long positions (Note*) Total interest sensitivity gap
- 19 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Note: *
The coupon rate of the investments ranged between 2.00% p.a. – 11.75% p.a. (2009: 4.63% p.a. – 8.80% p.a.).
Any cash and cash equivalents are placed/borrowed at short term market interest rates and the Investment Manager considers that the Fund is not subject to significant amount of risk due to the stable and low fluctuation in the prevailing levels of market interest rates. The Fund held 19.1% (2009: 22.2%) of net asset value in debt securities with an average duration of 2.89 (2009: 3.53). If the interest rates were to rise by 25 basis points with all other variables held constant, this would result in a decrease in the fair value of debt securities by approximately US$421,465 (2009: US$301,975). Conversely, if the interest rates were to fall by 25 basis points, this would result in an increase in the fair value of debt securities by the same amount. (iii) Currency risk The Fund holds assets and liabilities denominated in a number of currencies . HKFRS 7 considers the foreign exchange exposure relating to non-monetary assets and liabilities to be a component of market price risk not currency risk. The Investment Manager monitors the exposure on all foreign currency denominated assets and liabilities as part of overall market exposures. The Fund enters in some forward foreign exchange contracts to hedge some of its foreign currency exposures to maintain limited exposure to non-US$ currencies. The realized profits or losses are normally quoted and settled net in United States dollar. Refer to Note 11(a) for the outstanding forward foreign exchange contracts as at year end. The table below summarizes the Fund's exposure to currency risk as at 30 September together with the percentage of reasonable possible change in foreign currencies and the estimated impact on net asset value.
US$ equivalent
Net currency exposures (Note*)
% of reasonable possible change against US$ (Note**)
Estimated impact on net asset value US$
2010 Australian Dollar Chinese Yuan Hong Kong Dollar Indonesian Rupiah Japanese Yen Korean Won Malaysian Ringgit Singapore Dollar Taiwan Dollar Thai Baht
(13,167,711) 59,429,744 54,791,654 276,634 (20,615,389) 19,814,316 5,444,358 (2,155,211) 11,169,422 2,741,351 ņņņņņņņņņņ 117,729,168 őőőőőőőőőő
+14.6 +1.3 +0.3 +1.6 +5.9 +7.2 +4.9 +6.1 +2.8 +6.7
(1,922,486) 772,587 164,375 4,426 (1,216,308) 1,426,631 266,774 (131,468) 312,744 183,671 ņņņņņņņņņņ (139,054) őőőőőőőőőő
(5,015,096) 10,259,448 26,005,646 (10,248,100) 13,235,700 (345,275) (10,602,688) 3,718,278 (6,490) ņņņņņņņņņņ 27,001,423 őőőőőőőőőő
+9.2 +0.1 -0.0 +7.8 +8.1 +2.7 +4.8 +2.1 +2.0
(461,389) 10,259 (0) (799,352) 1,072,092 (9,322) (508,929) 78,084 (130) ņņņņņņņņņņ (618,687) őőőőőőőőőő
2009 Australian Dollar Chinese Yuan Hong Kong Dollar Japanese Yen Korean Won Singapore Dollar Swiss Franc Taiwan Dollar Thai Baht
If the foreign currency fluctuations were to move in the opposite direction, this would result in an opposite movement in the net asset value of the Fund by the same amount, assuming that all other variables are held constant.
- 20 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Note: *
Net currency exposures on assets and liabilities include both monetary and non-monetary assets and liabilities.
**
% of reasonable possible change is based on the actual historical change in the respective currencies against the functional currency of the Fund in the past three months and does not include remote or "worst case" scenarios or "stress tests" nor represent the Investment Manager's forecast of the Fund's future returns.
(b) Credit risk Credit risk is the risk that a counterparty will not be able to pay amounts in full when due. As at 30 September, the Fund's maximum exposure to credit risk before any credit enhancements was as follows:
Cash at banks Amounts due from brokers Amounts receivable on allotment Collateral deposits with brokers Investments and derivatives issued by brokers Investments – debt securities Dividend and other accounts receivable
2010 US$
2009 US$
25,136,748 13,662,148 15,549,734 55,077,220 10,895,693 58,334,273 572,909 ņņņņņņņņņņņņ 179,228,725 őőőőőőőőőőőő
39,010,036 3,229,248 10,823,854 30,899,850 1,260,843 34,218,132 191,761 ņņņņņņņņņņņņ 119,633,724 őőőőőőőőőőőő
All transactions in listed investments are settled on a delivery versus payment basis using approved brokers. The risk of default is considered minimal, as delivery of investments sold is only made when the Fund's custodian bank has received payment. For a purchase, payment is made once the investments have been received by the Fund's custodian bank. The trade will fail if either party fails to meet the obligation. As at 30 September 2010, the Fund held 19.1% (2009: 22.2%) of net asset value in debt securities and therefore the Fund is exposed to credit risk that the issuers may not be able to repay the principal amount and interest at maturity. The table below summarizes the debt securities by credit rating as at 30 September.
S&P(AAA)/Moody's(Aaa)/FITCH(AAA) S&P(AA)/Moody's(Aa)/FITCH(AA) S&P(A)/Moody's(A)/FITCH(A) S&P(BBB)/Moody's(Baa)/FITCH(BBB) S&P(BB)/Moody's(Ba)/FITCH(BB) S&P(B)/Moody's(B)/FITCH(B)
2010 % of net assets
2009 % of net assets
1.2 7.5 1.7 7.8 0.9 ņņņņņņņņņņņņ 19.1 őőőőőőőőőőőő
1.7 2.2 6.3 1.9 10.1 ņņņņņņņņņņņņ 22.2 őőőőőőőőőőőő
The table below summarizes the credit rating of the financial assets other than debt securities placed with banks/brokers and the financial assets issued by brokers as at 30 September.
Bank balances S&P(AA)/Moody's(Aa)/FITCH(AA) Collateral deposits with brokers and investments and derivatives issued by brokers S&P(AA)/Moody's(Aa)/FITCH(AA)
- 21 -
2010 Exposure to counterparties US$
2009 Exposure to counterparties US$
25,136,748
39,010,036
65,972,913 őőőőőőőőőőőő
32,160,693 őőőőőőőőőőőő
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND (c) Liquidity risk
The Fund is exposed to monthly redemption of units, the majority of its assets in investments are traded in an active market which can be readily disposed of. The Manager may also limit the total number of units which may be redeemed on any dealing day to 10% or more of the total number of units in issue on any dealing day. The Fund has the ability to enter into borrowing arrangements subject to the investment restrictions and guidelines. The table below summarizes the Fund's financial liabilities into relevant maturity groupings based on the remaining period as at 30 September to the contractual maturity date. The amounts in the table are the contractual undiscounted cash flows. 2010
Amounts due to brokers Amounts payable on redemption Performance fee payable Derivatives Investments - short positions Other accounts payable Net assets attributable to holders of redeemable units Total financial liabilities
2009
Less than 1 month US$
1 to 12 months US$
Less than 1 month US$
1 to 12 months US$
7,592,951 3,522,910 3,323,636 1,027,427 49,306,476 752,759
5,268,298 -
10,517,163 2,935,290 2,739,011 1,160,437 28,408,659 323,528
1,213,503 -
305,075,892 ņņņņņņņņņņņņ ņņņņņņņņņņņņ 370,602,051 5,268,298 őőőőőőőőőőőő őőőőőőőőőőőő
153,887,627 ņņņņņņņņņņņņ ņņņņņņņņņņņņ 199,971,715 1,213,503 őőőőőőőőőőőő őőőőőőőőőőőő
The Investment Manager manages the Fund's liquidity risk by investing predominantly in investments that the Investment Manager expects to be able to liquidate within 1 month to meet the total financial liabilities and making short term bank borrowing. (II) Capital risk management The capital of the Fund is represented by the net assets attributable to holders of redeemable units which is subject to subscriptions and redemptions of redeemable units. The Fund's objective for capital management is to provide returns and long-term capital growth for unitholders. In order to maintain the capital structure, the Management perform the following:
Monitor subscriptions and redemptions activities relative to the liquid assets.
To protect the interest of unitholders and in exceptional circumstances, the Manager may also limit the total number of units which may be redeemed on any dealing day to 10% or more of the total number of units in issue on any dealing day.
Monitor fund investment guidelines and restrictions, in accordance with the constitutional documents, to maintain sufficient liquidity through diversification.
(III) Fair value estimation As at 30 September 2010 and 2009, the Management consider that the carrying values of assets and liabilities were reasonable approximations of their fair value. The Fund adopted the amendment to HKFRS 7 with effect from 1 October 2009. This requires the Fund to classify fair value measurements using a fair value hierarchy that reflects the significance of the inputs used in making the measurements. The fair value hierarchy has the following levels:
Quoted prices (unadjusted) in active markets for identical assets or liabilities (level 1).
Inputs other than quoted prices included within level 1 that are observable for the asset or liability, either directly (that is, as prices) or indirectly (that is, derived from prices) (level 2).
Inputs for the asset or liability that are not based on observable market data (that is, unobservable inputs) (level 3).
- 22 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND
The table below summarizes the Fund's investments and derivatives within the fair value hierarchy measured at fair value as at 30 September 2010: Level 1 US$
Listed/Quoted Investments Assets Equities and Convertibles Debt Securities Total financial assets at fair value through profit and loss
Liabilities Equities and Convertibles Derivatives Total financial liabilities at fair value through profit and loss
5
Level 3 US$
Total US$
177,607,263 12,233,295 189,840,558 58,334,273 58,334,273 ņņņņņņņņņņņ ņņņņņņņņņņņ ņņņņņņņņņņņ ņņņņņņņņņņņ 177,607,263 70,567,568 248,174,831 őőőőőőőőőőő őőőőőőőőőőő őőőőőőőőőőő őőőőőőőőőőő
(49,306,476) (49,306,476) (3,810,272) (680,799) (4,491,071) ņņņņņņņņņņņ ņņņņņņņņņņņ ņņņņņņņņņņņ ņņņņņņņņņņņ (53,116,748) (680,799) (53,797,547) őőőőőőőőőőő őőőőőőőőőőő őőőőőőőőőőő őőőőőőőőőőő
Net gains on investments and derivatives
Change in unrealized gains/losses in value of investments and derivatives Realized gains on sale of investments and derivatives
6
Level 2 US$
2010 US$
2009 US$
5,008,654 14,370,805 ņņņņņņņņņņņņ 19,379,459 őőőőőőőőőőőő
14,867,776 5,110,483 ņņņņņņņņņņņņ 19,978,259 őőőőőőőőőőőő
Taxation No provision for Hong Kong profits tax has been made as the Fund was authorized as a collective investment scheme under Section 104 of the Securities and Futures Ordinance and is therefore exempt from profits tax under Section 26A(1A) of the Inland Revenue Ordinance. Under current laws of the Cayman Islands, there are no income, capital gains or other taxes payable by the Fund. As a result, no provision for income taxes has been made in the financial statements. Overseas withholding tax was charged on certain dividend and interest income received during the year.
7
Transactions with the Trustee and its affiliates and the Manager and its Connected Persons The following is a summary of transactions entered into during the year between the Fund and the Trustee and its affiliates and the Manager and its Connected Persons. Connected Persons of the Manager are those as defined in the Code on Unit Trusts and Mutual Funds established by the SFC. All such transactions were entered into in the ordinary course of business and were on normal commercial terms. (a) Investment transactions with Connected Persons of the Manager are set out below: Aggregate value of purchases and sales of investments US$
Name of company
Commission paid US$
% of the Fund's total commission paid in the year
Average commission rate %
134,331 11,399 13,762 117,975
7.20 0.61 0.74 6.32
0.11 0.18 0.19 0.01
2010 JP Morgan Chase Bank, N.A. – Singapore Branch J.P. Morgan Securities (Asia Pacific) Limited J.P. Morgan Securities (Far East) Limited J.P. Morgan Securities Australia Limited J.P. Morgan Securities Limited
1,579,046 123,461,972 6,395,272 7,248,663 821,684,073*
- 23 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Aggregate value of purchases and sales of investments US$
Name of company
Commission paid US$
% of the Fund's total commission paid in the year
Average commission rate %
159,155 19,165 9,087 40,963
9.62 1.16 0.55 2.48
0.11 0.14 0.12 0.01
2009 J.P. Morgan Securities (Asia Pacific) Limited J.P. Morgan Securities (Far East) Limited J.P. Morgan Securities Australia Limited J.P. Morgan Securities Limited *
138,873,353* 13,665,210 7,534,260 352,757,716*
These amounts include futures transactions totalling US$811,663,252 (2009: US$350,352,421).
(b) Balances with the Manager and its Connected Persons as at year end:
Cash at banks Margin deposits Collateral deposits Accounts receivable Accounts payable
2010 US$
2009 US$
3,262,644 989,281 22,200,420 820,909 (3,579,532) őőőőőőőőőőőő
9,521,718 1,049,670 11,433,000 1,512,001 (3,456,957) őőőőőőőőőőőő
The Fund held the following investments issued by a Connected Person of the Manager:
Holding
Fair value US$
% of net assets
200,000 őőőőőőőőőőőő
1,528,875 őőőőőőőőőőőő
0.5 őőőőő
As at 30 September 2010 Power Finance PN 26/08/14 (J.P. Morgan)
As at 30 September 2009 Nil (c)
The Fund may utilize the brokerage, custodian, agency and banking services of the Trustee and its affiliates and the Manager and its Connected Persons.
(d) For the year ended 30 September 2010, the income accruing to the Manager relating to allotments and redemptions in the Fund, net of commission paid to agents, amounted to US$42,311 (2009: US$45,244). (e) Management fee of 1% per annum of the net asset value of the Fund is paid to JPMorgan Funds (Asia) Limited. Management fee is accrued on each dealing day and is payable monthly in arrears. The Manager also receives a valuation fee of US$40 per valuation if the Fund's net asset value is larger than US$5 million but smaller than US$20 million, or US$70 per valuation if the Fund's net asset value is larger than US$20 million. (f)
The Manager is entitled to a performance fee calculated on 20% of the excess of the net asset value per unit of a particular class of units over the high water mark per unit of that particular class as at year-end date or the redemption date (as the case may be). The high water mark per unit of that particular class of units as at year-end date or the redemption date (as the case may be) will be the higher of: (i) the net asset value per unit of that particular class of units on the dealing day on which such units were issued (and, for this purpose, all units as at 30 September 2001 shall be treated as having been issued on that date); and (ii) the highest net asset value per unit of that particular class of units as at the last dealing day in any previous financial year of the Fund in which such particular class of units was in issue, after deduction of any performance fee accrued in respect of such units. Performance fee is accrued monthly for the purpose of the monthly valuation process for dealing purposes and recalculated at relevant year end date in accordance with the above basis and payable at year end or at redemption of units (if any). The accrued performance fee will be paid (if at all) out of the assets of the Fund annually in arrears within 30 days of the last day of each financial year of the Fund.
- 24 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND
(g) The Fund has a securities lender's agreement with J.P. Morgan Securities Limited, a Connected Person of the Manager. However, the Fund does not intend to carry out any securities lending transactions. The arrangement is mainly intended to allow the Fund to carry out securities borrowing transactions. Refer to Note 9 for other securities lenders' agreements. (h) The Fund allows the Manager and its Connected Persons to subscribe for, and redeem, units of the Fund. All such transactions are entered into in the ordinary course of business and are on normal commercial terms.
8
(i)
Refer to Note 8 for fee paid to the Trustee.
(j)
JPMorgan Funds (Asia) Limited, the registrar agent and Manager, receives a registrar's fee which varies depending on the number of unitholders in the Fund and the number of transactions which occur. The range agreed with the Trustee is between 0.015% and 0.5% per annum of the Fund's net asset value. The registrar's fee is payable quarterly in arrears.
Trustee's fee Trustee's fee of 0.125% per annum of the net asset value of the Fund for the first US$40 million, 0.08% per annum for the balance from US$40 million to US$70 million, and 0.03% per annum for the balance in excess of US$70 million, subject to a minimum charge of US$8,000 per annum, is paid to the Trustee. Trustee's fee is accrued on each dealing day and is payable monthly in arrears.
9
Securities borrowing borrowing and collateral deposits In addition to the securities lender's agreement with J.P. Morgan Securities Limited [Note 7(g)], the Fund also entered into the securities lenders' agreements with Deutsche Bank, Goldman Sachs International and UBS Limited. Details of securities borrowing transactions were as follows: 2010 US$
2009 US$
21,140,663 30,970,434 ņņņņņņņņņņņņ 52,111,097 őőőőőőőőőőőő
10,962,655 18,996,889 ņņņņņņņņņņņņ 29,959,544 őőőőőőőőőőőő
Aggregate value of securities borrowed at year end - J.P. Morgan Securities Limited - UBS Limited
As at 30 September 2010, the Fund provided collateral deposits to counterparties amounting to US$55,077,220 (2009: US$30,899,850) and representing not less than 105% of the value of securities borrowed at the commencement of such loans. If at any time the aggregate value of the collateral in respect of all loans of securities outstanding under the agreements falls below the aggregate of required collateral values in respect of all such loans, the borrower shall on demand provide such further collateral to the lenders to maintain the required collateral values.
10 Soft commission arrangements The Investment Manager has entered into soft commission arrangements with brokers under which certain goods and services used to support investment decision making are received by the Investment Manager. The Investment Manager does not make direct payment for these services but transacts an agreed amount of business with the brokers on behalf of the Fund. Commission is paid from the Fund on these transactions. The goods and services must be of demonstrable benefit to the Fund and may include research and advisory services; economic and political analysis; portfolio analysis, including valuation and performance measurement; market analysis, data and quotation services, computer hardware and software incidental to the above goods and services; clearing and custodian services and investment-related publications.
- 25 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND 11
Derivatives (a) Outstanding forward foreign exchange contracts as at year end were as follows:
Contract to deliver
In exchange for
Settlement date
Unrealized gains/(losses) US$
2010 Open contracts: US$3,532,092 US$11,799,410 US$4,440,497 US$19,482,952 US$22,796,353
JPY500,000,000 JPY500,000,000 JPY600,000,000 KRW8,000,000,000 KRW8,000,000,000 A$15,000,000 KRW10,000,000,000 A$8,000,000 JPY1,000,000,000 JPY1,000,000,000 JPY400,000,000
JPY300,000,000 CNY80,000,000 CNY30,000,000 CNY130,000,000 CNY150,000,000
US$5,782,687 US$5,983,581 US$6,969,532 US$6,816,633 US$6,766,472 US$13,335,300 US$8,540,439 US$7,586,080 US$11,888,203 US$11,884,106 US$4,773,839
26 October 2010 10 June 2011 20 June 2011 12 August 2011 28 September 2011
59,602 344,573 116,268 324,658 125,034 ņņņņņņņņņņņņ Total unrealized gains 970,135 ----------------------26 October 2010 26 October 2010 10 November 2010 12 November 2010 22 November 2010 23 November 2010 17 December 2010 30 December 2010 28 February 2011 7 March 2011 15 March 2011
(203,488) (2,593) (214,970) (190,004) (236,143) (1,099,200) (200,287) (77,120) (104,678) (110,012) (24,372) ņņņņņņņņņņņņ Total unrealized losses (2,462,867) ----------------------(1,492,732) -----------------------
Closed but not yet settled contracts: US$4,420,997 CNY30,000,000 US$7,235,052 S$10,000,000 US$10,899,579 S$15,000,000
CNY30,000,000 US$4,482,295 S$10,000,000 US$7,563,552 S$15,000,000 US$11,344,300
US$4,492,363 CNY30,000,000 US$11,967,091 CNY80,000,000
CNY30,000,000 US$4,482,295 CNY80,000,000 US$11,954,573
8 October 2010 8 October 2010 21 October 2010 21 October 2010 13 January 2011 13 January 2011
61,298 328,500
444,721 ņņņņņņņņņņņņ Total unrealized gains 834,519 ----------------------8 October 2010 8 October 2010 13 October 2010 13 October 2010
(10,068)
(12,518) ņņņņņņņņņņņņ Total unrealized losses (22,586) ----------------------811,933 ----------------------Net unrealized losses
- 26 -
(680,799) őőőőőőőőőőőő
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Contract to deliver
In exchange for
Settlement date
Unrealized gains/(losses) US$
2009 Open contracts: JPY300,000,000 JPY300,000,000 CHF3,000,000 JPY300,000,000 CHF5,000,000 CHF3,000,000 JPY300,000,000 JPY300,000,000 US$5,977,733 US$4,421,518
US$3,231,261 US$3,205,128 US$2,790,827 US$3,177,293 US$4,697,041 US$2,835,351 US$3,173,260 US$3,173,260 CNY40,000,000 CNY30,000,000
13 October 2009 20 October 2009 21 October 2009 22 October 2009 28 October 2009 9 November 2009 19 November 2009 24 November 2009 9 June 2010 8 September 2010
(119,649) (145,951) (100,739) (173,835) (122,236) (56,494) (178,538) (178,658) (117,781) (22,022) ņņņņņņņņņņņņ Total unrealized losses (1,215,903) -----------------------
Closed but not yet settled contracts: US$3,090,171 JPY300,000,000 US$4,231,312 THB150,000,000
JPY300,000,000 US$3,185,051 THB150,000,000 US$4,250,496
US$3,159,058 JPY300,000,000 US$2,097,843 JPY200,000,000 US$4,945,598 PHP250,000,000 US$4,945,598 PHP250,000,000 US$8,486,563 M$30,000,000 US$8,515,469 M$30,000,000 US$3,464,043 S$5,000,000
JPY300,000,000 US$3,129,074 JPY200,000,000 US$2,097,337 PHP250,000,000 US$4,910,626 PHP250,000,000 US$4,910,626 M$30,000,000 US$8,467,401 M$30,000,000 US$8,339,124 S$5,000,000 US$3,352,779
13 October 2009 13 October 2009 27 October 2009 27 October 2009
94,880
19,184 ņņņņņņņņņņņņ Total unrealized gains 114,064 ----------------------7 October 2009 7 October 2009 8 October 2009 8 October 2009 23 October 2009 23 October 2009 23 October 2009 23 October 2009 26 October 2009 26 October 2009 29 October 2009 29 October 2009 29 October 2009 29 October 2009
(29,984) (506) (34,972) (34,972) (19,162) (176,345)
(111,264) ņņņņņņņņņņņņ Total unrealized losses (407,205) ----------------------(293,141) ----------------------Net unrealized losses
- 27 -
(1,509,044) őőőőőőőőőőőő
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND (b) Open futures contracts as at year end were as follows: No. of contracts long/(short)
Contract value US$
Settlement date
Unrealized gains/(losses) US$
(340) (60) (400) (150) (600) (1,700) 600 (65) (400) (250)
(26,927,620) (8,624,311) (9,500,235) (8,368,115) (17,386,260) (20,587,923) 60,102,076 (110,422,552) (41,040,254) (14,056,440)
October 2010 October 2010 October 2010 October 2010 October 2010 October 2010 December 2010 December 2010 December 2010 December 2010
(171,386) (6,408) (55,969) (180,180) (79,740) (305,077) (119,714) (1,168,303) (1,722,298) (1,197)
(110) 60 30 (150) (700) (50) 220 (21) 270 (190) (20) (40)
(8,468,339) 8,081,238 1,342,862 (4,063,750) (6,996,320) (1,361,665) 20,048,232 (32,572,960) 24,852,451 (17,500,955) (5,208,250) (4,164,445)
October 2009 October 2009 October 2009 October 2009 October 2009 October 2009 December 2009 December 2009 December 2009 December 2009 December 2009 December 2009
91,361 4,387 23,165 (38,750) (143,680) (3,272) (121,232) (108,561) 88,606 (346,064) (58,250) (25,903)
2010 Hang Seng China Enterprises Index (HFE) Futures Hang Seng Index (HFE) Futures Kuala Lumpur Composite Index (KLO) Futures MSCI Singapore Index (SGX) Futures MSCI Taiwan Index (SGX) Futures SGX CNX Nifty Index (SGX) Futures Australia 3Years Bond (SFE) Futures JGB 10Years Bond (TSE) Futures KOSPI 200 (KFE) Futures Nikkei 225 (SGX) Futures
2009 Hang Seng China Enterprises Index (HFE) Futures Hang Seng Index (HFE) Futures MSCI Singapore Index (SGX) Futures MSCI Taiwan Index (SGX) Futures SGX CNX Nifty Index (SGX) Futures TWSE Bank & Insurance Index (FTX) Futures Australia 3Years Bond (SFE) Futures JGB 10Years Bond (TSE) Futures Korea 3Years Bond (KFE) Futures KOSPI 200 (KFE) Futures S&P 500 Index (CME) Futures Share Price Index 200 (SFE) Futures
- 28 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND 12 NonNon-cash transactions For the year ended, non-cash activities include:
Subscription of Class A units Redemption of Class 0709 units Redemption of Class 0710 units Redemption of Class 0711 units Redemption of Class 0712 units Redemption of Class 0801 units Redemption of Class 0802 units Redemption of Class 0803 units Redemption of Class 0804 units Redemption of Class 0805 units Redemption of Class 0806 units Redemption of Class 0807 units Redemption of Class 0808 units Redemption of Class 0810 units Redemption of Class 0811 units Redemption of Class 0812 units Redemption of Class 0901 units Redemption of Class 0902 units Redemption of Class 0903 units Redemption of Class 0904 units Redemption of Class 0905 units Redemption of Class 0906 units
2010 US$
2009 US$
97,651,860 (353,797) (158,923) (174,944) (47,808,606) (3,367,750) (6,688,371) (798,881) (1,337,804) (804,885) (3,314,292) (111,113) (787,733) (60,065) (2,010,082) (70,130) (492,682) (2,056,288) (13,193,668) (3,312,786) (5,568,649) (5,180,411) őőőőőőőőőőőő
őőőőőőőőőőőő
The above non-cash activities were to accommodate the units from respective unit classes which were redeemed and subsequently subscribed into a merged unit class. Refer to Note 1 for the merging of separate unit classes.
13 Distribution No distribution was made during the year (2009: nil).
- 29 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Investment Portfolio As at 30 September 2010 (Unaudited)
Holding
Fair value US$
% of net assets
600,000 80,000 USD1,000,000 250,000
2,962,845 1,025,570 994,176 4,177,999
1.0 0.3 0.3 1.4
China (19.6%) Air China 'H' Aluminum Corp of China 'H' Bank of China 'H' BYD Co 'H' China CITIC Bank 'H' China Coal Energy 'H' China Dongxiang Group China High Speed Transmission China Minsheng Banking 'H' China Petroleum & Chemical 'H' China Resources Enterprise China Resources Land China Shipping Development 'H' China Unicom (Hong Kong) Cosco Pacific Jiangxi Copper 'H' Li Ning Co Nine Dragons Paper Hldgs PetroChina Co 'H' Poly Hong Kong Investment Sichuan Expressway 'H' Yanzhou Coal Mining 'H' Zijin Mining Group 'H'
2,000,000 1,500,000 14,000,000 250,000 10,000,000 1,000,000 2,000,000 1,000,000 1,500,000 5,500,000 (900,000) 1,800,000 1,226,000 (1,000,000) 2,800,000 2,000,000 1,000,000 1,500,000 4,000,000 2,500,000 2,000,000 1,150,000 3,000,000
2,735,985 1,410,501 7,339,757 2,006,260 6,376,237 1,651,381 1,149,011 2,169,209 1,340,942 4,867,194 (4,086,588) 3,658,800 1,686,634 (1,468,467) 4,212,696 5,064,922 3,033,543 2,589,139 4,652,721 2,672,867 1,331,925 2,817,524 2,550,495
0.9 0.5 2.4 0.7 2.1 0.5 0.4 0.7 0.4 1.6 (1.3) 1.2 0.6 (0.5) 1.4 1.7 1.0 0.8 1.5 0.9 0.4 0.9 0.8
Hong Kong (-2.8%) Cathay Pacific Airways CLP Hldgs Henderson Land Development Hong Kong Exchanges & Clearing Hongkong Land Hldgs (CDP) HSBC Hldgs (HK Listing) Li & Fung Yue Yuen Industrial (Hldgs)
(1,700,000) (400,000) 600,000 (100,000) (442,000) 400,000 (500,000) (400,000)
(4,642,416) (3,191,983) 4,258,553 (1,969,549) (2,744,820) 4,106,554 (2,824,222) (1,486,500)
(1.5) (1.1) 1.4 (0.6) (0.9) 1.3 (0.9) (0.5)
80,000 200,000 100,000 400,000
4,412,596 1,528,875 4,456,000 3,149,568
1.5 0.5 1.5 1.0
264,000 2,681,000
292,840 1,620,616
0.1 0.5
Listed/Quoted Investments (63.7%) (I) Equities and Convertibles (46.1%) Australia (3.0%) AMP Ltd (AU Listing) Energy Resources of Australia Paladin Energy CB 4.5% 15/12/11 QBE Insurance Group
India (4.5%) Bharat Heavy Elec PN 18/11/11 (CS) Power Finance PN 26/08/14 (JPM)* Reliance Ind GDR (144A) Rural Electrificat PN 18/06/13(UBS) Indonesia (0.6%) Bank Rakyat Indonesia Indofood CBP Sukses Makmur (Reg S)
- 30 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Investment Portfolio (Continued) As at 30 September 2010 (Unaudited)
Japan (6.5%) East Japan Railway Hitachi Ltd Keyence Corp Konica Minolta Hldgs Mitsubishi Estate Nintendo Co Nippon Express Nippon Paper Group NSK Ltd NTT DoCoMo Oji Paper Rakuten Inc Ricoh Co Shimano Inc Shin-Etsu Chemical Shiseido Co Softbank Corp Stanley Electric Sumitomo Heavy Industries Suzuki Motor Takeda Pharmaceutical THK Co Tokyo Tatemono Toyota Motor Toyota Tsusho Yamada Denki Korea (11.4%) Daelim Industrial Dongsuh Co KB Financial Group Korea Electric Power KT & G LG Display LG Electronics POSCO Samsung C&T Samsung Electronics Samsung Techwin Malaysia (0.7%) Cherating EB (PLUS) VRN 2% 05/07/12 Singapore (-0.8%) DBS Group Hldgs (CDP) Singapore Airlines (CDP) Singapore Exchange Singapore Press Hldgs (CDP) Taiwan (2.5%) Advanced Semiconductor Eng Catcher Technology Simplo Technology Taiwan Semiconductor Mfg Taiwan Semiconductor Mfg ADR
- 31 -
Holding
Fair value US$
% of net assets
60,000 (1,000,000) 10,000 150,000 100,000 8,000 500,000 120,000 300,000 (2,000) 350,000 2,000 120,000 (20,000) 60,000 (170,000) (150,000) 130,000 300,000 100,000 (50,000) 70,000 300,000 40,000 150,000 40,000
3,612,641 (4,369,164) 2,173,809 1,457,780 1,624,372 1,995,691 1,885,324 2,999,282 2,028,968 (3,327,747) 1,541,776 1,462,772 1,689,251 (1,060,570) 2,915,968 (3,819,607) (4,918,003) 2,064,999 1,544,170 2,099,593 (2,295,308) 1,307,996 1,138,377 1,433,565 2,208,523 2,470,673
1.2 (1.4) 0.7 0.5 0.5 0.6 0.6 1.0 0.7 (1.1) 0.5 0.5 0.5 (0.3) 1.0 (1.3) (1.6) 0.7 0.5 0.7 (0.8) 0.4 0.4 0.5 0.7 0.8
18,670 50,000 154,580 140,000 6,918 80,000 25,000 8,499 42,800 12,000 20,000
1,380,295 1,572,024 6,635,993 3,609,735 411,955 2,760,798 2,106,994 3,838,619 2,330,963 8,166,629 1,973,251
0.4 0.5 2.2 1.2 0.1 0.9 0.7 1.3 0.8 2.7 0.6
USD1,800,000
2,148,080
0.7
200,000 200,000 (800,000) (500,000)
2,140,875 2,481,469 (5,485,992) (1,615,540)
0.7 0.8 (1.8) (0.5)
3,000,809 700,000 224,000 1,000,000 28,000
2,425,313 1,613,239 1,276,251 1,981,339 283,920
0.8 0.5 0.4 0.7 0.1
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Investment Portfolio (Continued) As at 30 September 2010 (Unaudited)
Holding Thailand (0.9%) IRPC Public Co (F)
Fair value US$
% of net assets
20,000,000
2,741,351 ņņņņņņņņņņ 140,534,082 -------------------
0.9 ņņņņņ 46.1 ----------
Australia (1.1%) PTTEP Aust Intl 4.152% 07/15-RegS SPI Electricity & Gas 5% 04/11/14
USD1,000,000 USD2,000,000
1,033,004 2,204,233
0.4 0.7
Canada (1.2%) Sino-Forest 10.25% 28/07/14 (RegS)
USD3,000,000
3,537,321
1.2
Cayman Islands (1.1%) Country Garden 10.5% 11/08/15 Country Garden 11.75% 10/09/14-RegS
USD2,000,000 USD1,000,000
2,130,767 1,100,454
0.7 0.4
China (3.1%) Parkson Retail 7.875% 14/11/11 Shimao Property 8% 01/12/16-RegS
USD7,000,000 USD2,000,000
7,472,281 1,970,933
2.5 0.6
Hong Kong (1.0%) Hut Wham Int09/16 4.625% 09/15-RegS
USD3,000,000
3,215,608
1.0
Indonesia (1.2%) Perusahaan Penerb 8.8% 04/14-RegS
USD3,000,000
3,723,367
1.2
Korea (5.0%) Hana Bank 6.5% 09/04/12 (Reg S) Kookmin Bank 7.25% 05/14 (RegS) POSCO 8.75% 26/03/14 (Reg S)
USD4,000,000 USD3,000,000 USD6,000,000
4,389,022 3,563,071 7,195,292
1.4 1.2 2.4
Malaysia (2.7%) Malaysian Govt No0409 3.741% 02/15 Malaysian Govt No0507 3.7% 05/13 Malaysian Govt No2/04 5.094% 04/14 Prime Hldgs (Labuan) 5.375% 09/14
MYR5,000,000 MYR5,000,000 MYR5,000,000 USD3,000,000
1,649,621 1,667,959 1,752,288 3,252,431
0.5 0.5 0.6 1.1
Singapore (0.5%) Yanlord Land 9.5% 04/05/17 (RegS)
USD1,500,000
1,620,138
0.5
Thailand (0.9%) True Move 10.375% 01/08/14 (RegS)
USD2,600,000
2,761,958
0.9
Virgin Islands (1.3%) PCCW-HKT Cap No4 4.25% 24/02/16 Road King Infra 2004 6.25% 15/07/11
USD2,000,000 USD2,000,000
2,044,136 2,050,389 ņņņņņņņņņņ 58,334,273 -------------------
(II) Debt Securities (19.1%)
- 32 -
0.6 0.7 ņņņņņ 19.1 ----------
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Investment Portfolio (Continued) As at 30 September 2010 (Unaudited)
Holding
Fair value US$
% of net assets
(680,799)
(0.2)
(119,714) (171,386) (6,408) (1,168,303) (55,969) (1,722,298) (180,180) (79,740) (1,197) (305,077) ņņņņņņņņņņ (4,491,071) -------------------
(0.0) (0.1) (0.0) (0.4) (0.0) (0.6) (0.1) (0.0) (0.0) (0.1) ņņņņņ (1.5) ----------
(III) Derivatives (-1.5%) Forward foreign exchange contr contracts acts (-0.2%) Futures (-1.3%) Aust 3Yr Bond (SFE) Fut 12/10 HSCEI (HFE) Fut 10/10 HSI (HFE) Fut 10/10 JGB 10Yr Bond (TSE) Fut 12/10 KLCI (KLO) Fut 10/10 KOSPI 200 (KFE) Fut 12/10 MSCI Sing Idx (SGX) Fut 10/10 MSCI Taiwan Idx (SGX) Fut 10/10 Nikkei 225 (SGX) Fut 12/10 SGX CNX Nifty Idx (SGX) Fut 10/10
600 (340) (60) (65) (400) (400) (150) (600) (250) (1,700)
Total Listed/Quoted Investments Cash at banks
194,377,284
63.7
25,136,748
8.2
Other net assets
85,561,860 ņņņņņņņņņņ
28.1 ņņņņņ
Net assets attributable to holders of redeemable units at 30 September 2010
305,075,892 őőőőőőőőőő
100.0 őőőőő
Total investments, at cost less proceeds on short positions
190,745,631 őőőőőőőőőő
* Issued by a Connected Person of the Manager
- 33 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Statement of Movements in Portfolio Holdings For the year ended 30 September 2010 (Unaudited)
% holdings of net assets 2010
2009
19.6 11.4 6.5 4.5 3.0 2.5 0.9 0.7 0.6 (0.8) (2.8)
12.8 7.4 4.0 1.4 (3.5) 1.4 1.3 1.3 (0.2) 2.1
5.0 3.1 2.7 1.3 1.2 1.2 1.1 1.1 1.0 0.9 0.5 -
5.1 7.8 1.9 2.3 1.3 2.1 1.7
-
1.9
Listed/Quoted Investments Equities, Convertibles and Warrants China Korea Japan India Australia Taiwan Thailand Malaysia Indonesia Singapore Hong Kong Debt Securities Korea China Malaysia Virgin Islands Indonesia Canada Australia Cayman Islands Hong Kong Thailand Singapore United States Collective Investment Schemes China Derivatives Forward foreign exchange contracts Futures
(0.2) (1.3) ņņņņņ 63.7
Total Listed/Quoted Investments Cash at banks
8.2
(1.0) (0.4) ņņņņņ 50.7 25.4
Other net assets
28.1 ņņņņņ
23.9 ņņņņņ
Net assets attributable to holders of redeemable units at 30 September
100.0 őőőőő
100.0 őőőőő
- 34 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Performance Record - Unaudited Net Asset Values Net asset value of the Fund US$
At financial period ended
Net asset value per unit US$
30/9/10 - Class A - Class 0709 - Class 0710 - Class 0711 - Class 0712 - Class 0801 - Class 0802 - Class 0803 - Class 0804 - Class 0805 - Class 0806 - Class 0807 - Class 0808 - Class 0810 - Class 0811 - Class 0812 - Class 0901 - Class 0902 - Class 0903 - Class 0904 - Class 0905 - Class 0906 - Class 0907 - Class 0908 - Class 0909 - Class 0910 - Class 0911 - Class 0912 - Class 1001 - Class 1002 - Class 1003 - Class 1004 - Class 1005 - Class 1006 - Class 1007 - Class 1008 - Class 1009
133,634,260 2,986,634 8,586,443 1,938,113 6,806,323 5,668,946 9,286,335 7,752,377 1,617,133 4,826,182 14,278,905 5,415,816 53,703,699 18,961,238 14,063,754 15,549,734
66.00 10.55 10.62 10.63 10.51 10.50 10.43 10.44 10.30 10.13 10.17 10.20 10.35 10.12 10.24 10.00
30/9/09 - Class A - Class 0709 - Class 0710 - Class 0711 - Class 0712 - Class 0801 - Class 0802 - Class 0803 - Class 0804 - Class 0805 - Class 0806 - Class 0807 - Class 0808 - Class 0810 - Class 0811 - Class 0812 - Class 0901 - Class 0902 - Class 0903 - Class 0904
34,327,370 353,797 158,923 174,944 47,808,606 3,367,750 6,688,371 798,881 1,337,804 804,885 3,314,292 111,113 787,733 60,065 2,010,082 70,130 492,682 2,056,288 13,193,668 3,312,786
62.11 11.22 10.59 10.73 10.73 11.01 10.66 11.10 10.92 10.84 11.00 11.11 11.14 11.89 11.63 11.49 11.12 11.01 10.84 10.39
- 35 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Performance Record - Unaudited (Continued) Net Asset Values Net asset value of the Fund US$
Net asset value per unit US$
30/9/09 (Continued) - Class 0905 - Class 0906 - Class 0907 - Class 0908 - Class 0909
5,568,649 5,180,411 2,954,956 8,129,587 10,823,854
10.25 10.10 9.91 10.00 10.00
30/9/08 - Class A - Class 0604 - Class 0612 - Class 0701 - Class 0702 - Class 0704 - Class 0705 - Class 0706 - Class 0707 - Class 0708 - Class 0709 - Class 0710 - Class 0711 - Class 0712 - Class 0801 - Class 0802 - Class 0803 - Class 0804 - Class 0805 - Class 0806 - Class 0807 - Class 0808
39,001,928 404,370 6,078,779 60,211,345 48,074,774 2,976,160 7,215,403 1,849,245 2,815,873 881,517 3,201,489 144,573 1,837,138
53.99 9.75 9.09 9.23 9.24 9.53 9.16 9.62 9.43 9.36 9.53 9.64 9.67
At financial period ended
Performance Fee 2010
2009
Performance fee
US$3,323,636 őőőőőőőőőőő
US$2,739,011 őőőőőőőőőőő
As a percentage of average net asset value*
1.61% őőőőőőőőőőő
2.15% őőőőőőőőőőő
* Average net asset value is calculated from the monthly net asset value of the Fund during the financial period. Highest Offer/Lowest Bid Prices Prices Highest offer US$
Financial period ended
30/9/10 - Class A - Class 0709 - Class 0710 - Class 0711 - Class 0712 - Class 0801 - Class 0802 - Class 0803 - Class 0804 - Class 0805 - Class 0806 - Class 0807
-
- 36 -
Lowest bid US$
62.77 -*** -*** -*** -*** -*** -*** -*** -*** -*** -*** -***
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Performance Record - Unaudited (Continued) Highest Offer/Lowest Bid Prices Financial period ended
Highest offer US$
Lowest bid US$
30/9/10 (Continued) - Class 0808 - Class 0810 - Class 0811 - Class 0812 - Class 0901 - Class 0902 - Class 0903 - Class 0904 - Class 0905 - Class 0906 - Class 0907 - Class 0908 - Class 0909 - Class 0910 - Class 0911 - Class 0912 - Class 1001 - Class 1002 - Class 1003 - Class 1004 - Class 1005 - Class 1006 - Class 1007 - Class 1008 - Class 1009
10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
-*** -*** -*** -*** -*** -*** -*** -*** -*** -*** 10.03 10.10 10.10 10.01 10.05 9.98 10.08 9.94 9.73 9.78 9.82 10.10 9.85 10.23 10.00
30/9/09 - Class A - Class 0709 - Class 0710 - Class 0711 - Class 0712 - Class 0801 - Class 0802 - Class 0803 - Class 0804 - Class 0805 - Class 0806 - Class 0807 - Class 0808 - Class 0810 - Class 0811 - Class 0812 - Class 0901 - Class 0902 - Class 0903 - Class 0904 - Class 0905 - Class 0906 - Class 0907 - Class 0908 - Class 0909
10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
51.62 9.32 8.68 8.82 8.83 9.11 8.76 9.20 9.02 8.94 9.10 9.21 9.24 10.20 10.11 10.32 10.09 10.15 10.43 10.13 10.14 10.10 9.90 9.99 10.00
30/9/08 - Class A - Class 0604 - Class 0612 - Class 0701
-
- 37 -
53.98 -*** -*** -***
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Performance Record - Unaudited (Continued) Highest Offer/Lowest Bid Prices Financial period ended
Highest offer US$
Lowest bid US$
30/9/08 (Continued) - Class 0702 - Class 0704 - Class 0705 - Class 0706 - Class 0707 - Class 0708 - Class 0709 - Class 0710 - Class 0711 - Class 0712 - Class 0801 - Class 0802 - Class 0803 - Class 0804 - Class 0805 - Class 0806 - Class 0807 - Class 0808
10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
-*** -*** -*** -*** -*** -*** 9.75 9.08 9.23 9.23 9.52 9.16 9.62 9.43 9.35 9.52 9.63 9.67
30/9/07 - Class A - Class 0312 - Class 0401 - Class 0402 - Class 0412 - Class 0501 - Class 0502 - Class 0503 - Class 0504 - Class 0511 - Class 0602 - Class 0604 - Class 0605 - Class 0607 - Class 0608 - Class 0612 - Class 0701 - Class 0702 - Class 0703 - Class 0704 - Class 0705 - Class 0706 - Class 0707 - Class 0708 - Class 0709
10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
42.97 -*** -*** -*** -*** -*** -*** -*** -*** -*** -*** 9.86 -*** -*** -*** 10.10 10.09 10.19 10.44 10.32 10.45 9.81 9.59 10.48 10.00
30/9/06 - Class A - Class 0310 - Class 0312 - Class 0401 - Class 0402 - Class 0409 - Class 0410 - Class 0411 - Class 0412 - Class 0501 - Class 0502 - Class 0503
-
- 38 -
36.31 9.43 9.07 9.22 8.78 -*** -*** -*** 9.55 9.61 9.24 9.39
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Performance Record - Unaudited (Continued) Highest Offer/Lowest Bid Prices Financial period ended
Highest offer US$
Lowest bid US$
30/9/06 (Continued) - Class 0504 - Class 0505 - Class 0507 - Class 0508 - Class 0511 - Class 0602 - Class 0604 - Class 0605 - Class 0607 - Class 0608
10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
9.47 9.56 -*** -*** 10.22 10.29 9.08 9.93 9.93 10.20
30/9/05 - Class A - Class0310 - Class 0311 - Class 0312 - Class 0401 - Class 0402 - Class 0409 - Class 0410 - Class 0411 - Class 0412 - Class 0501 - Class 0502 - Class 0503 - Class 0504 - Class 0505 - Class 0507 - Class 0508
10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
35.79 9.19 9.37 8.83 8.98 8.55 10.11 10.36 10.04 9.76 9.83 9.44 9.60 9.68 9.77 9.95 10.00
30/9/04 - Class A - Class G - Class L - Class M - Class 0303 - Class 0304 - Class 0305 - Class 0306 - Class 0307 - Class 0308 - Class 0310 - Class 0311 - Class 0312 - Class 0401 - Class 0402 - Class 0409
10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
35.39 -*** -*** -*** -*** -*** -*** -*** -*** -*** 9.06 9.24 8.71 8.86 8.43 10.00
30/9/03 - Class A - Class B - Class C - Class D - Class E - Class F - Class G - Class H - Class I - Class K
-
- 39 -
30.30 31.92 31.92 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Performance Record - Unaudited (Continued) Highest Offer/Lowest Bid Prices Financial period ended
Highest offer US$
Lowest bid US$
30/9/03 (Continued) - Class L - Class M - Class 0301 - Class 0303 - Class 0304 - Class 0305 - Class 0306 - Class 0307 - Class 0308
32.90 10.50** 10.50** 10.50** 10.50** 10.50** 10.50** 10.50**
31.17 31.73 9.94 9.97 10.04 10.10 10.32 10.32 10.26
30/9/02 - Class A - Class B - Class C - Class D - Class E - Class F - Class G - Class H - Class I - Class K - Class L
25.34 26.95 29.26 32.41 32.81 32.23 34.35 32.33 34.43 33.31 33.07
25.16 27.21 29.89 30.45 30.45 30.60 30.63 31.38 31.56 31.98 31.34
30/9/01
25.98
17.04
** Subscription Price plus preliminary charge (see Note 1). *** These notional classes were merged into notional Class A. Therefore, there were no bid prices during the year for these notional classes.
- 40 -
Annual report for the year ended 30 September 2010
JF ASIA ABSOLUTE RETURN FUND Management and Administration Manager and Service Provider JPMorgan Funds (Asia) Limited 21/F, Chater House 8 Connaught Road Central Hong Kong Investment Manager JF Asset Management Limited 21/F, Chater House 8 Connaught Road Central Hong Kong
Directors of the Manager as at 11 January 2011 Ann Kui Ching Kao Edwin Tsun Kay Chan Elsie Pui Shan Leung Ken Wai Ming Tam Leo Ka Kui Cheung Lily Suet Lai Lau Marco Ka Nam Tang Terry San Kong Pan Trustee and Registrar HSBC Trustee (Cayman) Limited P.O. Box 484 HSBC House 68 West Bay Road Grand Cayman KY1-1106 Cayman Islands Auditor PricewaterhouseCoopers P.O. Box 258 Strathvale House Grand Cayman KY1-1104 Cayman Islands British West Indies
- 41 -
www.jpmorganam.com.hk
JF Asia Absolute Return Fund Audited Annual Report 30 September 2010
