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JPMorgan Progressive (PMSF)

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Friday 29 May, 2009

JPMorgan Progressive

Interim Results

RNS Number : 0841T
JPMorgan Progressive Multi-Strategy
29 May 2009
 



JPMORGAN PROGRESSIVE MULTI-STRATEGY FUND LIMITED

('the Company')

Registration No: 46407


Registered Office:

2ND FLOOR, REGENCY COURT, GLATEGNY ESPLANADE, ST. PETER PORT, 

GUERNSEY, GY1 3NQ


TELEPHONE: + 44 1481 720 321

FACSIMILE:   + 44 1481 716 117

email: [email protected]


IMMEDIATE ANNOUNCEMENT                    


29 May 2009


UNAUDITED HALF YEAR RESULTS FOR THE SIX MONTHS ENDED 

31ST MARCH 2009


Chairman's Statement 


Markets continued to experience very challenging conditions over the half-year, as deteriorating economic data, tight credit conditions and further concerns about the health of financial institutions continued to undermine confidence across all markets. Against this background the absolute performance of the Company was predictably disappointing; the net asset value return to shareholders over the six months was -19.8%. However when compared to the benchmark, the MSCI World Index, which returned -29.6%, it is evident that the structure of the Company has afforded some protection against the worst of the market falls. It is also comforting that the Company's volatility continues to be markedly lower than the volatility of the benchmark. Although it has increased, the Company's annualised volatility stands at 11.4% in comparison to 20.2% for the benchmark. The share price return to shareholders was -5.7%, reflecting a significant narrowing of the Company's discount.


During the period Chris Complin, the lead Investment Manager, commenced a twelve month sabbatical from JPMorgan Asset Management, the Company's Manager, at the beginning of March 2009. During his absence his role as strategy co-ordinator has been assumed by Michael Barakos. Mr Barakos joins the other members of the Investment Committee, namely Martin Porter (head of the Committee), Chris Blum and James Elliot, in selecting the appropriate strategies. Mr Barakos is a Managing Director in JPMorgan Asset Management's European Equity Group. He joined the group in 1999 and has worked closely with Mr Complin throughout this period.


The Investment Manager's report provides an analysis of the Company's performance for the six months, including the performance of some of the underlying investments held through the Luxembourg-based PM-S Fund. The Company was established with a half-yearly redemption facility under which, subject to certain limitations and at the Directors' discretion, shareholders may request the redemption of all or part of their holdings of shares for cash. Pursuant to the February 2009 redemption, the Directors approved the redemption of 5,402,500 shares at a redemption price of 69.66p per share. When exercising their discretion in respect of redemptions, the Board seeks to balance the interests of continuing and exiting Shareholders. For further information on redemptions, please visit the Company's website at www.jpmprogressivemultistrategy.co.uk


Despite talk of 'green shoots' emerging in the broader economy, it is too early to say whether the recent upturn in equity prices is a sign of genuine recovery or a bear market rally. 


However, when the recovery does arrive, the Manager is confident that the portfolio is well positioned to participate.


Christopher Sherwell

Chairman

29th May 2009


Investment Manager's Report


JPMorgan Progressive Multi-Strategy Fund Limited (the 'Company') aims to deliver equity like returns with significantly lower levels of volatility than the market over the medium to long term. Since writing the last report for shareholders in relation to the year ended 30th September 2008, world stock markets continued to deteriorate with the highest levels of volatility seen in a generation. The Vix (S&P500 volatility index) reached 81 in October 2008, which is higher than at any point since 1990, almost double the previous high of 46 in October 1998. It finished 2008 in the mid-40s and stayed at that level throughout the first quarter of 2009.


Over the period the Company's net asset value returned -19.8% compared with a return of -29.6% from the MSCI World Index (in sterling terms), the Company's benchmark, giving an outperformance of 9.8%. The Company saw a rise in annualised volatility to 11.4%. In contrast the volatility in the benchmark since launch, rose to 20.2%, up from 14.4% last September. 


Investment Performance


Hedge funds struggled over the period with increased demands for collateral, forced de-leveraging and client redemptions all contributing to one of the most difficult periods they have experienced. The HFRX Global Hedge Fund Index returned -12.6% over the 6 months ended 31st March 2009. The 'Pure Alpha' funds within the portfolio fared better than most of their peers, with the JPM Europe Equity Market Neutral Fund and the JPM Highbridge Statistical Market Neutral Fund both producing positive returns over the 6 months. The JPM US Market Neutral Fund performed better than the wider hedge fund peer group but did produce a negative return over the period. Looking at the 'Hybrid Alpha' part of the portfolio, where the funds are not market neutral but are trying to give a positive return over the longer term, the significant falls in equity markets around the globe hurt absolute performance for many of them. However, all of them outperformed relative to the benchmark, and the JF Asia Absolute Return Fund produced a positive absolute return. The biggest detractors to performance came from the JF Japan Absolute Return Fund and the JPM Ultra Emerging Markets Fund, both of which underperformed the HFRX Global Hedge Fund Index over the period.


Stock markets fell heavily in October and much of November, with the benchmark returning -23% at its low point at the end of November. However Central Bank and government intervention, via a number of fiscal and monetary policies across the globe, supported the financial markets, which saw a slight rebound with MSCI World Index ending the year down 22%. 2009 began nervously for stock markets, range-bound in January before starting a precipitate slide in February. This took markets to new 12 month lows in early March as evidence emerged that the extent of the decline in global GDP in the fourth quarter had been more savage than at first feared. Financial stocks led the decline and were by some distance the worst-performing sector. They were affected by a suspicion that the incoming US administration had not got fully to grips with the problems of the so-called toxic assets on bank balance sheets.


From the second week in March, however, a strong rally began, led by cyclical sectors. Financials bounced somewhat off their lows and defensive sectors lagged the market. The basis for the rally was a sense that the worst of the economic deterioration may now be over. Evidence for this came from the continued upward slope to yield curves in bond markets, a basing-out of commodities prices and anecdotal evidence from some economically-sensitive industries, such as semi-conductors, that the damaging inventory adjustment may have run its course. The 'Equity Beta' component struggled in these conditions, with all of the funds generating negative returns over the 6 months to 31st March 2009. Despite the difficult conditions 6 of the funds in the 'Equity Beta' bucket outperformed the benchmark. Global property fared significantly worse than equities over the 6 months with the S&P Global REIT Index returning -54%. The JPM Global Real Estate Securities fund in the 'Property Beta' allocation was the worst performer in the portfolio, despite outperforming the S&P Global REIT Index, returning -45%.


As might be expected in such market conditions, the 'Bond Beta' allocation was one of the few safe havens for investors with long dated Treasury, Gilt, Japanese Bond and Euro-Bund futures all generating positive returns over the quarter. These returns, from low volatility investments, significantly helped the performance of the portfolio.


Outlook


Your Company continues to behave as we would expect, in market conditions not seen for generations, producing a significantly better return than the MSCI World with nearly half the volatility. When markets recover, we would expect the portfolio to recover alongside them, and in the meantime our prudent assumptions around the construction of the portfolio should ensure greater relative performance against the benchmark while exposing investors to less volatility.


Michael Barakos

Investment Manager

29th May 2009


Interim Management Report 


The Company is required to make the following disclosures in its half year report.


Principal Risks and Uncertainties


The principal risks and uncertainties faced by the Company fall into six broad categories: market; investment and strategy; accounting, legal and regulatory; corporate governance and shareholder relations; operational; and financial. Information on each of these areas is given in the Business Review within the Annual Report and Accounts for the year ended 30th September 2008.


During the market turmoil in the latter part of 2008, JPMAM reacted with heightened management scrutiny of counterparty risk. In addition, reviews were initiated of exposures, policies, procedures and legal arrangements applicable to the major sources of counterparty exposure.


Related Parties Transactions


During the first six months of the current financial year, no transactions with related parties have taken place which have materially affected the financial position or the performance of the Company during the period.


Directors' Responsibilities


The Board of Directors confirms that, to the best of its knowledge:


(i)    the condensed set of financial statements contained within the half yearly financial report has been prepared in accordance with the Accounting Standards Board's Statement 'Half-Yearly Financial Reports'; and


(ii)    the interim management report includes a fair review of the information required by 4.2.7R and 4.2.8R of the UK Listing Authority Disclosure and Transparency Rules.


Christopher Sherwell

Chairman    

29th May 2009


For further information, please contact:

Alison Vincent

For and on behalf of

JPMorgan Asset Management (UK) Limited 

020 7742 6000


Dru Danford

Nominated Adviser

Shore Capital and Corporate Limited

0207 408 4090


Please note that up to date information on the Company, including daily NAV and share prices, factsheets and portfolio information can be found at www.jpmpms.co.uk


Consolidated Income Statement(1)

for the six months ended 31st March 2009

 

(Unaudited)

(Unaudited)

(Audited)

 

Six months ended

Six months ended

Year ended

 

31st March 2009

31st March 2008

30th September 2008


Revenue

Capital

Total

Revenue

Capital

Total

Revenue

Capital

Total


£'000

£'000

£'000

£'000

£'000

£'000

£'000

£'000

£'000

Investment income

36

-

36

120

-

120

179

-

179

Other income

6

-

6

16

-

16

30

-

30


42

-

42

136

-

136

209

-

209

Losses on investments held at fair value through profit or loss



-



(4,567)



(4,567)



-



(548)



(548)



-



(5,777)



(5,777)

  

 

 

 

 

 

 

 

 

 

Net foreign exchange losses

-

(3,567)

(3,567)

-

(1,592)

(1,592)

-

(2,521)

(2,521)

Total income/(loss)

42

(8,134)

(8,092)

136

(2,140)

(2,004)

209

(8,298)

(8,089)

Expenses

 

 

 

 

 

 

 

 

 

Management fee

(108)

-

(108)

(172)

-

(172)

(344)

-

(344)

Other administrative expenses


(129)


-


(129)


(236)


-


(236)


(398)


-


(398)

Loss before finance costs 










  and taxation

(195)

(8,134)

(8,329)

(272)

(2,140)

(2,412)

(533)

( 8,298)

(8,831)

Finance costs

(25)

-

(25)

-

-

-

(4)

-

(4)

Loss before taxation

(220)

(8,134)

(8,354)

(272)

(2,140)

(2,412)

(537)

( 8,298)

(8,835)

Taxation

(6)

-

(6)

(8)

-

(8)

(16)

-

(16)

Net loss

(226)

(8,134)

(8,360)

(280)

(2,140)

(2,420)

(553)

( 8,298)

(8,851)

Attributable to:

 

 

 

 

 

 

 

 

 

  Equity holders of the parent

(179)

(6,658)

(6,837)

(244)

(1,585)

(1,829)

(469)

(6,383)

(6,852)

  Minority interest

(47)

(1,476)

(1,523)

(36)

(555)

(591)

(84)

(1,915)

(1,999)


(226)

(8,134)

(8,360)

(280)

(2,140)

(2,420)

(553)

(8,298)

(8,851)

Loss per share (note 3)

(0.9)p

(32.3)p

(33.2)p

(1.0)p

(6.3)p

(7.3)p

(1.9)p

(25.8)p

(27.7)p


1 The Consolidated Income Statement incorporates the results of PM-S Fund for the period ended 27th February 2009. On that date, the Company sold part of its investment in PM-S Fund and no longer held a controlling interest. The comparative Income Statements for the six months ended 31st March 2008 and the year ended 30th September 2008 both incorporate the results of PM-S Fund as the Company held a controlling interest throughout those periods. Further details are given in notes 1 and 2 to the accounts.


The 'Total' column of this statement represents the Group's Income Statement, prepared in accordance with IFRS. The supplementary 'Revenue' and 'Capital' columns are prepared under guidance published by the Association of Investment Companies. All items in the above statement derive from continuing operations. 


Consolidated Statement of Changes in Equity(1)

 

 

 

Other

 

 

 

 

Six months ended 

Share

Other

capital

Revenue

 

Minority

Total

31st March 2009

capital

reserve

reserves

reserve

Total

interest

equity

(Unaudited)

£'000

£'000

£'000

£'000

£'000

£'000

£'000

Balance at 30th September 2008

-

21,519

(2,078)

(498)

18,943

9,508

28,451

Shares redeemed

-

(3,763)

-

-

(3,763)

-

(3,763)

Exchange gain on translation

-

-

6,814

-

6,814

-

6,814

Loss for the period

-

-

-

(6,837)

(6,837)

(1,523)

(8,360)

Transfer of loss to other capital reserve


-


-


(6,658)


6,658


-


-


-

Adjustment on sale of controlling interest in subsidiary

-

-

(4,007)

248

(3,759)

(7,985)

(11,744)

Balance at 31st March 2009

-

17,756

(5,929)

(429)

11,398

-

11,398









 

 

 

Other

 

 

 

 

Six months ended 

Share

Other

capital

Revenue

 

Minority

Total

31st March 2008

capital

reserve

reserves

reserve

Total

interest

equity

(Unaudited)

£'000

£'000

£'000

£'000

£'000

£'000

£'000

Balance at 30th September 2007

-

24,614

(282)

(29)

24,303

11,199

35,502

Shares subscribed

-

-

-

-

-

375

375

Exchange gain on translation

-

-

856

-

856

-

856

Loss for the period

-

-

-

(1,829)

(1,829)

(591)

(2,420)

Transfer of loss to other capital reserve


-


-


(1,585)


1,585


-


-


-

Balance at 31st March 2008

-

24,614

(1,011)

(273)

23,330

10,983

34,313









 

 

 

Other

 

 

 

 

Year ended 

Share

Other

capital

Revenue

 

Minority

Total

30th September 2008

capital

reserve

reserves

reserve

Total

interest

equity

(Audited)

£'000

£'000

£'000

£'000

£'000

£'000

£'000

Balance at 30th September 2007

-

24,614

(282)

(29)

24,303

11,199

35,502

Shares subscribed

-

-

-

-

-

375

375

Shares redeemed

-

(3,095)

-

-

(3,095)

(67)

(3,162)

Exchange gain on translation

-

-

4,587

-

4,587

-

4,587

Loss for the year

-

-

-

(6,852)

(6,852)

(1,999)

(8,851)

Transfer of loss to other capital reserve


-


-


(6,383)


6,383


-


-


-

Balance at 30th September 2008

-

21,519

(2,078)

(498)

18,943

9,508

28,451


1The Consolidated Statement of Changes in Equity incorporates the results of PM-S Fund for the period ended 27th February 2009. On that date, the Company sold part of its investment in PM-S Fund and no longer held a controlling interest. The comparative Statements of Changes in Equity for the six months ended 31st March 2008 and the year ended 30th September 2008 both incorporate the results of PM-S Fund as the Company held a controlling interest throughout those periods. Further details are given in notes 1 and 2 to the accounts.





Balance Sheet(1)

as at 31st March 2009


 

(Unaudited)

(Unaudited)

(Audited)

 

31st March 2009 

31st March 2008 

30th September 2008

 

£'000 

£'000 

£'000 

Non current assets

 

 

 

Investments held at fair value through profit or loss:

10,907

33,573

29,221

Current assets

 

 

 

Other receivables

14

39

46

Derivative financial instruments at fair value through 

 

 

 

  profit or loss

24,081

-

782

Cash and cash equivalents

424

1,330

676


24,519

1,369

1,504

Current liabilities

 

 

 

Other payables

(71)

(142)

(116)

Bank overdrafts

-

-

(1,597)

Derivative financial instruments at fair value through 

 

 

 

  profit or loss

(23,957)

(487)

(561)

Net current assets/(liabilities)

491

740

(770)

Net assets

11,398

34,313

28,451

Equity attributable to equity holders

 

 

 

Called up share capital

-

-

-

Other reserve

17,756

24,614

21,519

Capital reserves

(5,929)

(1,011)

(2,078)

Revenue reserve

(429)

(273)

(498)

Equity attributable to equity holders of the parent

11,398

23,330

18,943

Minority interest

-

10,983

9,508

Total equity

11,398

34,313

28,451

Net asset value per share (note 4)

70.3p

93.1p

87.7p


1 The Balance Sheet presented as at 31st March 2009 is the Company's balance sheet only as the Company sold part of its investment in PM-S Fund on 27th February and no longer held a controlling interest at the period end. The comparative Balance Sheets at 31st March 2008 and 30th September 2008 both incorporate the balance sheets of PM-S Fund as the Company held a controlling interest at both those dates. Further details are given in notes 1 and 2 to the accounts. 


Consolidated Cash Flow Statement(1)

for the six months ended 31st March 2009


 

(Unaudited)

(Unaudited)

(Audited)

 

Six months ended

Six months ended

Year ended

 

31st March 2009

31st March 2008

30th September 2008

 

£'000 

£'000 

£'000

Operating activities

 

 

 

Loss before taxation

(8,354)

(2,412)

(8,835)

Add back interest paid

25

-

4

Add back losses on investments held at fair value 

 

 

 

  through profit or loss

4,567

548

5,777

Increase/(decrease) of foreign exchange contracts

97

282

(426)

Net sales of investments held at fair value 

 

 

 

  through profit or loss

3,577

814

3,750

Decrease in other receivables

27

12

5

(Decrease)/increase in other payables

(41)

8

(24)

Net cash (outflow)/inflow from operating activities 

 

 

 

  before interest payable and taxation

(102)

(748)

251

Interest paid

(29)

-

-

Tax paid

(6)

(8)

(16)

Net cash (outflow)/inflow from operating activities

(137)

(756)

235

Investing activities

 

 

 

Proceeds of sale of controlling interest in subsidiary

4,714

-

-

Adjustment on sale of controlling interest in subsidiary

(956)

-

-

Net cash inflow from investing activities

3,758

-

-

Financing activities

 

 

 

Proceeds of share subscriptions

-

375

375

Cost of shares redeemed

(3,763)

-

(3,162)

Net cash (outflow)/inflow from financing activities

(3,763)

375

(2,787)

Decrease in cash and cash equivalents

(142)

(381)

(2,552)

Cash and cash equivalents at the start of the period

 

 

 

  (including bank overdrafts)

(921)

740

740

Effect of foreign exchange translation

1,487

971

891

Cash and cash equivalents at the end of the period

 

 

 

  (including bank overdrafts)

424

1,330

(921)


1The Consolidated Cash Flow Statement incorporates the cash flows of PM-S Fund for the period ended 27th February 2009. On that date, the Company sold part of its investment in PM-S Fund and no longer held a controlling interest. The comparative Cash Flow Statements for the six months ended 31st March 2008 and the year ended 30th September 2008 both incorporate the cash flows of PM-S Fund as the Company held a controlling interest throughout those periods. Further details are given in notes 1and 2 to the accounts. 


Notes to the Accounts

for the six months ended 31st March 2009


1.    Principal activity

The principal activity of JPMorgan Progressive Multi-Strategy Fund Limited (the 'Company') is that of an investment company, incorporated and domiciled in Guernsey. The principal activity of its only investment, JPMorgan Progressive Multi-Strategy Fund ('PM-S Fund'), a sub-fund of JPMorgan Portfolio Strategies II (a Luxembourg SICAV), is also that of an investment company.


2.    Accounting policies

(a)    Basis of accounting

The accounting policies applied to these interim accounts are consistent with those applied in the accounts for the year ended 30th                       September  2008.


All of the Company's operations are of a continuing nature.


(b)    Basis of accounts preparation

The accounts incorporate the results of PM-S Fund for the period ended 27th February 2009. On that date, the Company sold part of  its  investment in PM-S Fund and no longer held a controlling interest. The Balance Sheet presented as at 31st March 2009 is therefore the Company's balance sheet only. The comparative accounts for the six months ended 31st March 2008 and the year ended 30th September 2008 both incorporate the accounts of PM-S Fund, as the Company held a controlling interest in PM-S Fund throughout those periods.


3.    Loss per share

 

(Unaudited)

(Unaudited)

(Audited)

 

Six months ended

Six months ended

Year ended

 

31st March 2009

31st March 2008

30th September 2008

 

£'000 

£'000 

£'000

Revenue loss attributable to shareholders 

(179)

(244)

(469)

Capital loss attributable to shareholders 

(6,658)

(1,585)

(6,383)

Total loss attributable to shareholders

(6,837)

(1,829)

(6,852)

Weighted average number of shares in issue during 

 

 

 

  each period

20,571,058

25,060,000

24,734,528

Revenue loss per share

(0.9)p

(1.0)p

(1.9)p

Capital loss per share

(32.3)p

(6.3)p

(25.8)p

Total loss per share 

(33.2)p

(7.3)p

(27.7)p


4.     Net asset value per share

 

(Unaudited)

(Unaudited)

(Audited)

 

Six months ended

Six months ended

Year ended

 

31st March 2009

31st March 2008

30th September 2008

 

£'000 

£'000 

£'000

Shareholders funds (£'000) 

11,398

23,330

18,943

Number of shares in issue at each period end 

16,207,500

25,060,000

21,610,000

Net asset value per share 

70.3p

93.1p

87.7p


5.    Publication of non-statutory accounts

The financial information for the six months ended 31st March 2009 is unaudited and does not constitute statutory accounts for the purposes of the Companies (Guernsey) Law, 1994.


6.    Comparative Information

The information for the year ended 30th September 2008 has been extracted from the latest published audited financial statements. Those accounts included the report of the auditors which was unqualified.


7.    Availability of Accounts

Copies of these interim results are available from Butterfield Fulcrum Group (Guernsey) Limited, 2nd Floor, Regency Court, Glategny Esplanade, St Peter Port, Guernsey GY1 3NQ and JPMorgan Asset Management (UK) Limited125 London WallLondonEC2Y 5AJ. Alternatively a downloadable version is available from the following web address: http://www.jpmpms.co.uk, and clicking on the section marked 'AIM Company Announcements'. 


JPMORGAN ASSET MANAGEMENT (UK) LIMITED


www.jpmpms.co.uk




This information is provided by RNS
The company news service from the London Stock Exchange
 
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