Audited Annual Report JPMorgan Investment Funds

Audited Annual Report JPMorgan Investment Funds Société d’Investissement à Capital Variable, Luxembourg (R.C.S. No B 49 663) 31 December 2011 JPMorgan Investment Funds Audited Annual Report As at 31 December 2011 Contents BoardofDirectors 1 ManagementandAdministration 2 BoardofDirectors’Report 3 InvestmentManagers’Report 4 AuditReport 5 Financial Statements and Statistical Information CombinedStatementofNetAssets 7-11 CombinedStatementofOperationsandChangesinNetAssets 13-17 StatementofChangesintheNumberofShares 18-22 StatisticalInformation 23-27 Notestothe FinancialStatements 28-35 Schedule of Investments JPMorganInvestmentFunds-BlueandGreenFund 36 JPMorganInvestmentFunds-EmergingMarketsCorporateBondPortfolioFundI 40 JPMorganInvestmentFunds-EuroLiquidMarketFund 43 JPMorganInvestmentFunds-EuropeBondFund 45 JPMorganInvestmentFunds-EuropeRecoveryFund 48 JPMorganInvestmentFunds-EuropeSelectEquityFund 50 JPMorganInvestmentFunds-EuropeStrategicDividendFund 53 JPMorganInvestmentFunds-GlobalBalancedFund(EUR) 58 JPMorganInvestmentFunds-GlobalBalancedFund(USD) 62 JPMorganInvestmentFunds-GlobalBondFund(EUR) 69 JPMorganInvestmentFunds-GlobalBondFund(USD) 74 JPMorganInvestmentFunds-GlobalCapitalAppreciationFund 79 JPMorganInvestmentFunds-GlobalCapitalPreservationFund(EUR) 83 JPMorganInvestmentFunds-GlobalCapitalPreservationFund(USD) 87 JPMorganInvestmentFunds-GlobalConvertiblesFund(USD) 91 JPMorganInvestmentFunds-GlobalDividendFund 95 JPMorganInvestmentFunds-GlobalEnhancedBondFund 98 JPMorganInvestmentFunds-GlobalFinancialsFund 103 JPMorganInvestmentFunds-GlobalHighYieldBondFund 106 JPMorganInvestmentFunds-GlobalIncomeFund 111 JPMorganInvestmentFunds-GlobalSelect130/30Fund 122 JPMorganInvestmentFunds-GlobalSelectEquityFund 126 JPMorganInvestmentFunds-GlobalTotalReturnFund 130 JPMorganInvestmentFunds-HighbridgeStatisticalMarketNeutralFund 133 JPMorganInvestmentFunds- IncomeOpportunityFund 137 JPMorganInvestmentFunds-Japan50EquityFund 154 JPMorganInvestmentFunds-JapanBehaviouralFinanceEquityFund 156 JPMorganInvestmentFunds-JapanFocusFund 158 JPMorganInvestmentFunds-JapanSelectEquityFund 160 JPMorganInvestmentFunds-JapanStrategicValueFund 161 JPMorganInvestmentFunds-JFAsiaex-JapanFund 163 JPMorganInvestmentFunds-USBondFund 164 JPMorganInvestmentFunds-USEquityFund 168 JPMorganInvestmentFunds-USSelectEquityFund 171 Appendix: Unaudited Additional Disclosures FundTotalExpenseRatios 174 SummaryofInvestmentObjectivesoftheSub-Funds 179 PerformanceandVolatility 181 InterestRateReceived/(Charged)onBankAccounts 186 Sub-FundShareClassesSubjecttoTaxed’AbonnementRateof0.01% 186 Sub-FundShareClassesExemptfromTaxed’Abonnement 186 PortfolioTurnoverRatio 187 Calculationmethodoftheriskexposure 188 HistoricalStatementsofChangesintheNumberofShares 189 For additional information please consult www.jpmorganassetmanagement.com Nosubscriptionscanbereceivedsolelyonthebasisofthisreport.Subscriptionsareonlyvalidifmadeonthebasisofthecurrentprospectus,thecurrentsimplifiedprospectus, supplemented bythe latest audited annual report and, if published thereafter, the latest unaudited semi-annual report. The current prospectus, the current simplified prospectus, the unaudited semi-annual reports, as well as the audited annual report can be obtained free of charge from the registered office of the SICAV and from local paying agent. Following a review of the disclosure of Investment Manager(s) within the Prospectus and Simplified Prospectus, the details of the Investment Manager(s) for the individual Sub-Funds will now be available from the Management Companyat its registered office, or from www.jpmorganassetmanagement.com. JPMorgan Investment Funds Board of Directors As at 31 December 2011 Chairman Iain O.S. Saunders Banker Duine, Ardfern Argyll PA31 8QN United Kingdom Directors Jacques Elvinger Partner Elvinger, Hoss & Prussen 2, place Winston Churchill L-2014 Luxembourg BP 425 Grand Duchy of Luxembourg Jean Frijns Professor, Finance and Investments Antigonelaan 2 NL-5631 LR Eindhoven The Netherlands Berndt May Managing Director JPMorgan Asset Management (Europe) S.à r.l. Austrian Branch Führichgasse 8 A-1010 Vienna Austria Deputy Chairman Pierre Jaans Economist 3, rue de Kahler L-8356 Garnich Grand Duchy of Luxembourg James B. Broderick Managing Director JPMorgan Asset Management (UK) Limited 20 Finsbury Street London EC2Y 9AQ United Kingdom Robert Van der Meer Professor of Finance 12 Lange Vijverberg NL-2513 AC The Hague The Netherlands Registered Office European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg 1 JPMorgan Investment Funds Management and Administration As at 31 December 2011 Management Company, Registrar and Transfer Agent, Global Distributor and Domiciliary Agent JPMorgan Asset Management (Europe) S.à r.l. European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Investment Managers J.P. Morgan Investment Management Inc. 245 Park Avenue New York, NY 10167 United States of America JPMorgan Asset Management (Japan) Limited Tokyo Building 7-3 Marunouchi 2-Chome Chiyoda-Ku Tokyo 100-6432, Japan JPMorgan Asset Management (UK) Limited 20 Finsbury Street London EC2Y 9AQ United Kingdom JF Asset Management Limited 21st Floor, Chater House 8 Connaught Road Central, Hong Kong Highbridge Capital Management LLC 9 West 57th Street New York, NY 10019 United States of America JPMorgan Asset Management (Singapore) Limited 168 Robinson Road 17th Floor, Capital Tower Singapore 068912 Custodian, Corporate and Administrative Agent J.P. Morgan Bank Luxembourg S.A. European Bank & Business Centre 6, route de Trèves L-2633 Senningerberg Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers S.à r.l. 400, Route d’Esch BP 1443 L-1014 Luxembourg Grand Duchy of Luxembourg Legal Adviser Elvinger, Hoss & Prussen 2, place Winston Churchill BP 425 L-2014 Luxembourg Grand Duchy of Luxembourg 2 JPMorgan Investment Funds Board of Directors’ Report As at 31 December 2011 The Board of Directors is pleased to present the Audited Annual Report for the year ended 31 December 2011. Structure and Size of the Fund The Fund is a variable capital investment companywith multiple Sub-Funds, organised as a “société anonyme”, under the laws of the Grand Duchyof Luxembourg, organised as an “umbrella” with a number of Sub-Funds, each of which has its own investment policy and restrictions. At the year end the Fund had issued shares in 34 Sub-Funds. During the year, the total net assets of the Fund decreased from USD 18.3 billion to USD 16.1 billion at year end. TheFundqualifiesasanUndertakingforCollectiveInvestmentsinTransferableSecuritiesundertheamendedECDirective85/611of20December1985and maytherefore be offered for sale in European Union Member States, subject to registration in countries other than the Grand Duchyof Luxembourg. In addition, applications to register the Fund and its Sub-Funds may be made in other countries. The Fund and the Sub-Funds are currently registered for offer and distribution in the Grand Duchy of Luxembourg and in the following jurisdictions: Austria,Bahrain,Belgium,Chile,Cyprus,Denmark,Finland,France,Germany,Greece,HongKong,Hungary,Ireland,Italy,Jersey,Macau,TheNetherlands, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, Taiwan and United Kingdom. Responsibility of the Directors TheresponsibilityoftheDirectorsoftheFundisgovernedbyLuxembourglaw.WithrespecttotheannualaccountsoftheFund,thedutiesoftheDirecto rs aregovernedbygeneralcorporatelawandthelawof19December2002on,interalia,theaccountingandannualaccountsofundertakingsandbythelawof 17 December 2010 relating to undertakings for collective investments. Change in the Board of Directors Inearly2011MsAndreaL.HazeninformedtheBoardofherintentiontoretirefromtheBoardofDirectorsanditwasagreedthatthiswouldbeeffectivefrom 31March2011.MsHazenhadbeenaDirectoroftheCompanysinceSeptember2005andtheBoardwouldliketotakethisopportunitytorecordtheirthanks for her services. In addition, the Board would like to advise that with effect from 31 March 2011 Mr James B. Broderick was co-opted as a Director and his appointment was approved by Shareholders during the last Annual General Meeting dated 29 April 2011. ALFI Code of Conduct FollowingitsintroductiontheBoardofDirectorshasadoptedtheALFICodeofConduct(the“Code”)whichsetsoutprinciplesofgoodgovernance.TheBoard ofDirectorsconsidersthattheFundhasbeenincompliancewiththeCodeinallmaterialaspectsthroughoutthefinancialyearended31December2011. Annual General Meeting The next Annual General Meeting of the Company will be held on 27 April 2012. The Board of Directors Luxembourg, 21 March 2012 3 ... - tailieumienphi.vn