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) Limited, 125 London Wall, London, EC2Y 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

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