JPMorgan Research Market Neutral Fund I Class · NASDAQ:JMNSX
JPMorgan Research Market Neutral Fund I Class — J.P. Morgan Research Market Neutral Fund — Investor Presentation (2024)
27 slides from JPMorgan Research Market Neutral Fund I Class's investor presentation, 2024
Slide 1: J.P. Morgan Research Market Neutral Fund (JMNSX)
First Quarter 2024 J.P. Morgan Research Market Neutral Fund (JMNSX) For Institutional Use Only | Not For Public Distribution
Slide 2: Capabilities
Capabilities 2 For Institutional Use Only | Not For Public Distribution
Slide 3: Research led: Local equity expertise integrated globally
Research led: Local equity expertise integrated globally Actively sharing our expertise equity professionals companies under annual global technology platform 380+ in 12 locations worldwide ~2500 coverage with over 5000 contacts per year USD >150 equity research M* budget 1 (Spectrum) connecting a w
Slide 4: Equities assets under management
Equities assets under management As of March 31, 2024, J.P. Morgan Asset Management’s Equity teams manage USD 918 billion Equities U.S. Equity USD 918bn total assets under management USD 648bn total assets under management USD 153bn USD 142bn 17% USD 210bn 22% 30% USD 117bn USD 648bn 13% 70% USD 150
Slide 5: Executive summary
Executive summary JPMorgan Research Market Neutral (JMNSX) Expertise Strategy Role in Portfolio Construction Experienced portfolio managers Low correlation, low beta market Equity alpha on fixed income beta leveraging a time-tested process neutral strategy seeking alpha with little to no equity beta
Slide 6: Expertise
Expertise 6 For Institutional Use Only | Not For Public Distribution
Slide 7: Research Market Neutral portfolio management team and investment philosophy
Research Market Neutral portfolio management team and investment philosophy Lee Spelman Steven Lee Managing Director Managing Director Head of U.S. Equity Portfolio Manager Experience: 48 / 35 Experience: 31 / 20 “A market neutral approach allows for the purest capture of our analysts’ insights and
Slide 8: A team of skilled research analysts with 20+ years of experience
A team of skilled research analysts with 20+ years of experience David Small Danielle Hines Managing Director Executive Director Director of U.S. Research Associate Director of U.S. Research Experience: 24 / 19 Experience: 15 / 15 Consumer Healthcare Bartjan Lisa S. Sadioglu Greg Fowlkes Ryan Vineya
Slide 9: Research Market Neutral Fund
Research Market Neutral Fund 9 FOR INSTITUTIONAL USE ONLY | NOT FOR PUBLIC DISTRIBUTION
Slide 10: Fund's role in a portfolio: true alpha & diversification
Research Market Neutral’s role in a portfolio: true alpha & diversification 16.00 S&P 500 14.00 12.00 10.00 Total Return (%) 8.00 Research Market Neutral Fund Equity Long/Short (JMNSX) Category 6.00 Equity Market Neutral 4.00 Category High Yield 2.00 Equity 3 Month Treasury U.S. Aggregate Fixed Inco
Slide 11: Total return levers: ABCs of Research Market Neutral
Total return levers: ABCs of Research Market Neutral As of March 31, 2024 Three sources of potential return Alpha Beta Cash Returns Research rankings have Ability to participate in equity Normalized interest rates added value for 3 decades market opportunities Historical Alpha : 2 - 3% Research Rang
Slide 12: Our analysts' long-term forecasts drive our ranking of stocks in each sector
Our analysts’ long-term forecasts drive our ranking of stocks in each sector Our focus: normalized sustainable earnings and growth rates Research process Earnings forecasts Ranking Focus on: ● Competitive advantage Quintile 1 ● Industry frameworks Most attractive ● Structural change Normalized earni
Slide 13: Our research rankings have added value for three decades
Our research rankings have added value for three decades January 1, 1987 – March 31, 2024 Quintile Performance vs. S&P 500 Index 4.0% On average, undervalued stocks have outperformed… …and expensive stocks have underperformed. 3.0% 2.0% 1.0% Alpha Percent 0.0% -1.0% -2.0% -3.0% -4.0% Quintile 1 Quin
Slide 14: Pair trade opportunities
Pair trade opportunities Trane Technologies (TT) vs Johnson Controls Advanced Micro Devices (AMD) vs Intel (INTC) International (JCI) AMD gains share while INTC continues to cede Operating Margin TT 250bps - 350bps above JCI Comparing datacenter revenue share of AMD vs INTC 100% 18% 90% 17% 16% 80%
Slide 15: Managing risk and opportunity through gross and net levers
Managing risk and opportunity through gross and net levers Research Market Neutral Gross and Net Exposure Since 2015, we have proactively managed exposure relative to the cycle 14% 250% 12% 200% 10% RMN % Gross RMN % Net 8% 150% In 2011, we stayed 6% fully invested 100% 4% Beta 2% 50% 0% -2% 0% 2010
Slide 16: Portfolio construction: strategy parameters
Portfolio construction: strategy parameters Typical Holdings Focus on Q1/Q2 vs Q4/Q5 Long positions: 110 – 140 Short positions: 120 – 160 Capture idiosyncratic long / short Average long: 40 - 80bps Stock Sizing opportunities Average short: 35 - 75bps Max position size: 300bps long or short Sector Si
Slide 17: Portfolio
Portfolio 17 For Institutional Use Only | Not For Public Distribution
Slide 18: Performance
Performance Research Market Neutral Fund as of March 31, 2024 Market value Fund $249 mm Annualized performance (%) 1Q One Three Five Ten 2024 year years years years Fund (I shares at NAV) 4.27 13.33 5.90 6.08 3.43 B of A Merrill Lynch 3-Mo. U.S. T-Bill Index 1.29 5.24 2.58 2.02 1.38 Excess 2.98 8.09
Slide 19: Performance Contribution: 1Q 2024
Performance Contribution: 1Q 2024 Research Market Neutral Fund as of March 31, 2024 Stock attribution Average Contribution Average Contribution Top contributors Top detractors weight (%)1 (%) weight (%)1 (%) Nvidia 1.70 1.12 Applied Materials* -2.45 -0.63 Taiwan Semiconductor 2.09 0.67 ARM Holdings*
Slide 20: Performance Contribution: One Year
Performance Contribution: One Year Research Market Neutral Fund as of March 31, 2024 Stock attribution Average Contribution Average Contribution Top contributors Top detractors weight (%)1 (%) weight (%)1 (%) Nvidia 1.36 1.75 Broadcom* -1.69 -1.45 Meta Platforms 1.81 1.70 Applied Materials* -2.45 -1
Slide 21: Portfolio characteristics
Portfolio characteristics Research Market Neutral Fund as of March 31, 2024 Long Short BARRA tilts Number of Stocks 158 166 Average Long Weight 0.54% Momentum 0.21 Average Short Weight -0.48% Size 0.17 Gross Exposure 172% Growth 0.15 Net Exposure 0% Leverage -0.06 Turnover (TTM) 225% P/E Ratio1 17.7
Slide 22: Portfolio weightings
Portfolio weightings Research Market Neutral Fund as of March 31, 2024 Long vs. Short sector exposure Long Short 9.3% 9.5% 9.5% 9.6% 8.4% 9.4% 9.2% 9.2% 7.5% 7.3% 7.1%7.2% 6.7%6.4% 6.3% 5.1% 4.7% 3.8% 3.7% 3.6% 3.3% 3.2% 2.3% 2.6% 1.8% 2.5% 1.8% 1.7% 1.4% 0.6%0.9% 0.5% Banks Financial Insurance REIT
Slide 23: Appendix
Appendix 23 For Institutional Use Only | Not For Public Distribution
Slide 24: Biographies
Biographies Steven G. Lee, managing director, is a portfolio manager in the U.S. Equity Group. Before assuming this role in January 2014, Steven spent the prior ten years as an analyst in the U.S. Equity Research Group, responsible for covering the autos, transportation and aerospace/defense sectors
Slide 25: Biographies
Biographies Karen Coyle, executive director, is a U.S. Equity investment specialist. An employee since 2000, Karen is responsible for communicating investment performance, outlook and strategy positioning on behalf of the U.S. Equity portfolio management team. Karen spent the first 11 years of her c
Slide 26: J.P. Morgan Asset Management
J.P. Morgan Asset Management Contact JPMorgan Distribution Services at 1-800-338-4345 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider the investment objectives and risks as well as charges and expenses of the mutual fund before investing. Th
Slide 27: J.P. Morgan Asset Management
J.P. Morgan Asset Management Total return assumes reinvestment of dividends and capital gains distributions and reflects the deduction of any sales charges, where applicable. Performance may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the i
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