JPMorgan Europe Equity Absolute Alpha Fund

Investment rationale

This fund is designed to provide total return from European equities through a long/short strategy while maintaining low market exposure, making it distinct from traditional long-only regional equity funds. It is intended for investors who plan to stay invested for at least 5 years, understand the risk of capital loss, seek long-term capital growth with potentially lower volatility, and want low net exposure to the European equity market. The summary risk indicator is 3 out of 7, and the fund can be used as part of an investment portfolio rather than as a complete investment plan. Its role is therefore more consistent with a specialist or satellite allocation focused on European equity absolute return rather than a core directional equity holding.

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How the strategy works

The stated objective is to achieve a total return through long and short investments in European companies while maintaining low market exposure, by investing directly or through derivatives. At least 67% of assets are invested, directly or via derivatives, in equities of companies domiciled in, or carrying out the main part of their economic activity in, a European country, and the fund may invest in small capitalisation companies. Long positions will not typically exceed 130% of net assets, short positions achieved through derivatives will not typically exceed 130%, and net market exposure will typically range from -40% to +40%; at times exposure may be obtained entirely through derivatives, with up to 100% of assets held in deposits, money market instruments and money market funds. The benchmark is the ICE BofA ESTR Overnight Rate Index Total Return in EUR, used for performance comparison and performance fee calculation, while the fund is actively managed without reference or constraints relative to it. Derivatives are used for investment purposes, efficient portfolio management and hedging; expected TRS including CFD exposure is 140% with a 260% maximum, expected leverage from derivatives is 300%, the global exposure method is absolute VaR, the share class is accumulation, and the recommended holding period is 5 years.

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Investment philosophy

• The portfolio is built from a broad European equity universe using a bottom-up stock selection process, with at least 67% of assets invested directly or through derivatives in equities of companies domiciled in, or mainly active in, Europe; small capitalisation companies may also be included.

• The investment approach combines fundamental research insights and quantitative analysis, and uses a long/short structure by buying securities considered attractive and selling short securities considered unattractive.

• ESG is embedded in the process: at least 51% of long positions are in companies with positive environmental and/or social characteristics and good governance practices, at least 20% of long positions are invested in Sustainable Investments, and ESG analysis is systematically included in decisions on at least 90% of securities purchased.

• The fund applies values- and norms-based screening to exclude certain sectors, companies, issuers or practices, using third-party data to identify participation in or revenue from excluded activities.

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Management team

The named portfolio managers are Michael Barakos, Nicholas Horne, Ben Stapley and Matt Jones. Michael Barakos was named on the fund from its launch in December 2013 until January 2022 and was renamed on the fund in May 2026. As part of a team-based approach, he was managing the fund throughout that period.

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Distinctive features

The fund is differentiated by its European equity absolute return mandate that combines long and short positions with low net market exposure rather than taking a fully directional stance on the region. Its process uses both fundamental research and quantitative analysis across the full breadth of the eligible equity universe, including the ability to invest through derivatives and to short unattractive securities. The ESG structure is specific and measurable, with Article 8 classification, minimum thresholds for positive environmental and/or social characteristics and sustainable investments, and systematic ESG analysis on at least 90% of securities purchased. Daily dealing, no entry or exit charge at fund level, and an accumulation share class structure are also stated features.

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Risks

The fund has a summary risk indicator of 3 out of 7, described as a medium-low risk class, and the risk may be significantly higher if held for less than the recommended 5-year holding period. Named investment risks and technique-related risks include derivatives, hedging, short positions, equities and smaller companies, with other associated risks including currency, liquidity and market risk. The structure of the fund contributes to these risks because it uses derivatives for investment, hedging and portfolio management, can obtain exposure entirely through derivatives, can employ substantial long and short positions, and uses leverage with an expected level of 300% that may significantly exceed that level from time to time. The fund seeks low net European equity exposure, but shareholders could still lose some or all of their money, the share price will fluctuate, and the fund may fail to meet its objective.

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Asset manager

The management company is JPMorgan Asset Management (Europe) S.à r.l., a member of JPMorgan Chase & Co. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. and its affiliates worldwide. JPMorgan Asset Management (Europe) S.à r.l. is based at 6, route de Trèves, L-2633 Senningerberg, Luxembourg. The fund is authorised in Luxembourg and regulated by the CSSF.

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