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					JPMORGAN

India Alpha Fund

        The all-seasons fund for any market condition
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                   Product Rationale

                         JPMorgan India Alpha Fund: What does it do?


                          Market risk has risen sharply: the growth/return
                           expectations of the past is now tempered by the
                           risk of volatility

                          Market volatility could continue in the near
                           future

                          Long-only funds look through the volatility: Alpha
                           funds take advantage of the volatility

                          The “ALPHA” fund: an investment avenue that
                           aims to deliver returns in all seasons by
                           making “paired trades” based on common trends




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                   Product Rationale

                         JPMorgan India Alpha Fund : How does it work?


                          Based on our research we identify an economic trend
                            – Which benefits one stock, but harms another


                          We then create “paired trades”
                            – We buy stocks / futures of the company that is benefiting
                            – We sell / short the stocks/ futures of the company that is losing

                          We try to remain market neutral in rupee terms by re-balancing the “paired trades” daily

                          Pair trades can also be done on stocks and indices

                          Basic premise: “Generate returns” in all market conditions

                                                              Index may go up or down…
                                   as long as the gap between the two stocks remains, the fund delivers returns

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                         JPMorgan India Alpha Fund


                                     PRG Process extended

                         The best stock selection methodology now works
                            to identify non-performers & pairs them with
                                performers to generate returns for you




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                   Investment philosophy & strategies

                         Investment philosophy: Portfolio construction



                          At some points of time, the net position in value terms will be close to zero as the fund
                           endeavors to neutralize the market risk as an integral part of the strategy

                          The portfolio at some point of time could have a higher cash component (apart from
                           margin money) as the fund manager may not foresee any good market neutral strategy




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                   Investment philosophy & strategies

                         Investment strategies
                          Strategy A:
                             – Long stock
                             – Short stock futures


                          Strategy B:
                             – Long stock futures
                             – Short stock futures


                          Strategy C:
                             – Long stock / stock futures
                             – Short index futures


                          Strategy D:
                             – Long index futures
                             – Short stock / futures


                          Strategy E (possible due to stock lending, recently allowed by SEBI):
                             – Long stock
                             – Short stock
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                   Investment philosophy & strategies

                         Investment scenario: Portfolio returns
                          Situation A: Stock A – long stock futures; stock B – short stock futures
                            – Post trade, price of stock A goes up and post trade, price of stock B goes down
                            – This is a best case scenario, where such trades will result in profits in both the legs of the trade
                              resulting in super normal profit

                          Situation B: Stock A – long stock futures; stock B – short stock futures
                            – Post trade, price of stock A goes up more than stock B
                            – Relative out performance of stock A compared with stock B

                          Situation C: Stock A – long stock futures; stock B – short stock futures
                            – Post trade, price of stock A goes down less than stock B
                            – Relative out performance of stock A compared with stock B

                          Situation D: Stock A – long stock futures; stock B – short stock futures
                            – Post trade, price of stock A goes down while stock B goes up (worst case scenario)
                            – Trade going the other way (our fund managers unwind positions quickly, based on internal risk
                              management norms)

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                   Historical Example

                         BSE 200 (excluding Top 20 and Bottom 20 performing stocks)



                                                                                                   BSE 200
                                                   Next best 20   Next worst 20     Spread (%)    return (%)
                               1997                       17.50           -55.00          72.50        -5.00
                               1998                       51.70           -28.40          80.10       15.00
                               1999                      132.50           -46.70        179.20         1.00
                               2000                      107.30           -43.00        150.30        64.00
                               2001                        7.80           -68.10         75.90       -41.00
                               2002                       69.20           -20.80          90.00        7.00
                               2003                       20.00           -44.50          64.50        -9.00
                               2004                      233.20            34.00        199.20       104.00
                               2005                       74.90           -11.60         86.50        18.00
                               2006                      133.50             -1.70       135.20        63.00
                               2007                       29.10           -33.20          62.30       10.00

                         Source : Man Financial.


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                   Historical Example

                         Nifty



                                                     Top 20 return (%)   Bottom 20 (%)   Spread (%)   Nifty return (%)

                                  1997                        19.6           -27.4          46.9           -1.73
                                  1998                        37.4           -13.5          50.9          15.35
                                  1999                        51.4           -46.7          98.1           -3.48
                                  2000                       109.9           -31.8         141.7          41.78
                                  2001                         8              -46            54           -24.88
                                  2002                         48            -15.6          63.6           -1.62
                                  2003                        14.1           -34.9           49           -13.40
                                  2004                       198.4           46.4           152           81.14
                                  2005                        40.6           -12.2          52.8          14.89
                                  2006                        119            -24.1         143.1          67.15
                                  2007                        23             -22.6          45.6           12.31

                         Source : Bloomberg/Man Financial.


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                   Back testing

                         Results of a back-testing experiment


                         Historical success of long short market neutral strategy:
                         Period under observation               :January’ 03 – April’ 08
                         Data points under observation          :64

                         Monthly superior returns than Nifty :37 out of 64 instances

                         Half yearly superior returns than Nifty:6 out of 10

                         Yearly superior returns than Nifty    : 4 out of 5




                          Source: Edelweiss
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                   Back testing

                         Results of a back-testing experiment (contd.)


                         Correlation between long short market neutral strategy and Nifty:

                          5 year period at monthly intervals : 0.141

                          4 year period at monthly intervals : 0.167

                          3 year period at monthly intervals : 0.167

                          2 year period at monthly intervals : 0.245

                          1 year period at monthly intervals : 0.320




                         Source: Edelweiss
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                   Case studies
                   For illustration purposes only (these are not stock recommendations)


                         Example of a pair trade
                            Trade: Buy Cairn India; sell Jet Airways
                            Logic: High oil prices benefit Cairn (oil producer) but hurt Jet Airways (consumer of oil)
                            Returns: Absolute return of 61% in 5 months




                    11    Source: Bloomberg.
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                   Case studies
                   For illustration purposes only (these are not stock recommendations)


                         Example of a pair trade
                            Trade: Buy Infosys; Sell Wipro
                            Logic: Better growth guidance from Infy but similar valuations, significant compression in valuation discount
                            Returns: Absolute return of 12% in 7 weeks




                    12    Source: Bloomberg.
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                   Case studies
                   For illustration purposes only (these are not stock recommendations)


                         Example of a pair trade
                            Trade: Buy Tata Steel; sell SAIL
                            Logic: Domestic price control to hurt SAIL more than Tata Steel which has an international exposure through Corus
                            Returns: Absolute return of 16% in 5 weeks




                    13   Source: Bloomberg.
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                         Possible disappointments

                         In case of a secular upward trend in the market, there is a probability of the fund under-performing long
                          only funds.




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                   Product positioning & differentiation

                         Product positioning


                          This product is an ideal fit for any investor who owns equity mutual funds or direct equity
                           in his portfolio

                          It is a complement to the existing long-only portfolio as it endeavors to reduce the overall
                           risk (beta) of the portfolio because of the investment strategy

                          The Fund is meant as an alternate investment targeted at the investor who is worried
                           about the market direction in the mid-term

                          The Fund would also be ideal for institutional investors who wish to take equity exposure
                           but would prefer not to take exposure to short-term market volatility




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                   Product positioning & differentiation

                         How is the fund different from an arbitrage fund


                          An arbitrage fund endeavors to capture inefficiencies which might be existing in the cash
                           and derivatives markets, whereas the alpha fund endeavors to benefit from active fund
                           management skills

                          An arbitrage fund takes cash/derivatives positions in the same stock whereas the alpha
                           fund takes positions in cash/derivatives segment in different stocks




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                   Product positioning & differentiation

                         How is the fund different from a 130/30 fund


                          Exposure :
                            – A 130/30 fund would have maximum 130% long position and 30% short position. As a result, the
                              net exposure (130% long – 30% short) to equities would be maximum 100%, in line with other
                              long -only Funds.
                            – JPMorgan India Alpha Fund will endeavor to have a net market exposure of close to zero (in
                              value terms).

                          Market risk :
                            – The market risk (beta) remains in case of a 130/30 fund as there are long positions in the funds,
                            – JPMorgan India Alpha Fund will endeavor to minimise market risk (in value terms) due to the pair
                              trade strategy..




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                   Why JPMorgan Asset Management

                         Group competitive advantages



                          Our experience: The JPMorgan group has over 14 years of experience in managing
                           client money in India through FII route

                          Our people: JPMorgan Asset Management India has four portfolio managers and one
                           analyst. Our culture encourages rapid decision making and fosters individual
                           responsibility

                          Our size: Our US$8.0* billion dedicated assets under management in India through FIIs
                           gives us unparalleled corporate access

                            – In CY2007, we have made over 700 company visits


                          Our compliance: Our unit holders are protected by our strong commitment to risk
                           control

                         * As at 31/03/08.


                         ... a strong platform gives us a strong advantage
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                   Scheme features

                         Scheme type – Interval Scheme


                          As the fund will be investing primarily in equity derivatives, it may take time to unwind
                           some of the strategies adopted by the fund, hence it is prudent for us to impose
                           additional restrictions on exit apart from exit load

                          Redemption

                           – Where the application is received on any given Business Day up to 3:00 pm on the 7 th of each
                             month

                              Closing NAV of the last Business Day of the month

                           – Where the application is received after 3:00 pm on the 7 th day of each month

                              Closing NAV of the last Business Day of the next month


                             *   In case 7th of the month is a non-Business Day, the application received by the last Business Day immediately
                                 prior to 7th of the month would be processed at the closing NAV of last Business Day of that month
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                   Scheme features

                         Entry Load
                          Of less than Rs 5 crores – 2.25%

                          Of Rs 5 Crores or more – Nil

                          By a FOF (irrespective of the amount of purchase) – Nil

                          As a result of dividend re-investment – Nil

                          Through SIP where single instalment is less than Rs. 5 Crores – 2.25%

                          Through SIP where single instalment is more than or equal to Rs. 5 Crores – Nil

                          Through STP where a single instalment is less than Rs. 5 crores – 2.25%

                          Through switch-in or STP, provided that Units are switched out from the Scheme or any other equity
                           scheme of the Fund to another scheme of the Fund and to the Scheme within 90 days of switch-
                           out/STP – Nil

                          Through systematic transfers other than above Entry Load as applicable to any Purchase (as
                           mentioned in point (i) and (ii) above

                          Through switch-in from other equity schemes of the Fund – NIL

                          Applications / switch applications received directly by the AMC, collection centre, Investor Service
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                           Centre or through the internet (as and when available) – NIL
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                   Scheme features

                         Exit load


                          For each redemption exit load (% of applicable NAV): Within 6 months from the date of
                           allotment in respect of purchase made other than through SIP – 1.00%

                          Within 24 months from the date of allotment in respect of the first purchase made
                           through SIP – 1.00%

                          A switch-out shall also attract an exit load like any redemption. No entry/exit loads will
                           be chargeable in case of switches made between different options of the scheme

                          Exit load flows to NAV benefiting investors




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                   Asset Allocation

                         Asset allocation pattern
                             Under normal circumstances it is anticipated that the asset allocation shall be as follows**




                         * Offshore Securities, ADRs and GDRs up-to 50% of the net assets of the scheme. Investment in securitised debt may be made to the extent of
                               20% of net assets of the Scheme. The notional value of derivatives shall not exceed the AUM of the scheme.

                         ** The corpus of the assets of the Scheme shall be predominantly invested in equity and equity related Securities including equity derivatives.
                              However, due to market conditions and where the fund manager do not foresee investment opportunities in equity or equity related securities
                              or derivatives, the AMC may invest beyond the range set out above in debt, money market instruments and mutual fund units. Such
                              deviations shall be for defensive considerations and with the intention of protecting the interests of the Unit Holders

                                                                                   Equity exposure of the fund
                                              Scenario 1                                    Scenario 2                                   Scenario 3
                                   (assuming 30% margin requirement)            (assuming 30% margin requirement)             (assuming 30% margin requirement)
                                        Max gross total exposure                      Min gross total exposure               Max exposure without using cash equity

                               Long equity                          70      Long equity                           0      Long equity                          0
                               Long futures                         15      Long futures                          0      Long futures                        50
                               Short futures                        85      Short futures                         0      Short futures                       50
                               Gross total exposure                 170     Gross total exposure                  0      Gross total exposure               100
                               Net total exposure                    0      Net total exposure                    0      Net total exposure                   0
                               Gross futures exposure               100     Gross futures exposure                0      Gross futures exposure             100
                               Margin                               30      Margin                                0      Margin                              30
                               Cash                                  0      Cash                                 100     Cash                                70


                          Minimum Cash availability at all times to be maintained at 15-20% of the Assets Under Management (AUM)
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                         Disclaimer


                          Investment objective: The investment objective of the Scheme is to achieve a total return in excess of the return on short-term instruments
                           through various strategies of buying and selling equity and equity-linked Securities including derivatives. The strategies would be designed to
                           minimise market exposure for investors with a medium to long term horizon. However, there can be no assurance that the investment objective of
                           the Scheme will be realized. • Asset allocation pattern: Equity Derivatives exposure - 40-100%, Equity and equity related securities 25-100% &
                           Debt, money market instruments and mutual fund units 0-35%. *Offshore Securities, ADRs and GDRs up-to 50% of the net assets of the
                           scheme. Investment in securitised debt may be made to the extent of 20% of net assets of the Scheme. The notional value of derivatives shall
                           not exceed the AUM of the scheme.

                          Minimum initial application: Rs. 5,000 per application (and in multiples of Re. 1 thereof)

                          Minimum additional / SIP application: Rs. 1,000 per application (and in multiples of Re. 1 thereof) • Entry load: - Less than Rs. 5 crores: 2.25%. -
                           Rs. 5 crores and above: Nil. • Exit Load – 1% (Within 6 months from the date of allotment in respect of Purchase made other than through SIP or
                           Within 24 months from the date of allotment in respect of the first Purchase made through SIP).

                          Risk Factors: Mutual funds and Securities investments are subject to market risks and there is no assurance or guarantee against loss in the
                           Scheme or that the Scheme's objectives will be achieved.As with any investment in securities, the NAV of the Units issued under the Scheme
                           can go up or down depending on various factors and forces affecting capital markets.Past performance of the Sponsor / AMC / Mutual Fund does
                           not indicate the future performance of the Scheme. Investors in the Scheme are not being offered a guaranteed or assured rate of return.
                           JPMorgan India Alpha Fund is the name of the Scheme, and this does not in any manner indicate the quality of the Scheme or its future
                           prospects and returns.

                          For scheme specific risk factors, please refer to the Offer Document. Terms of Issue and Mode of Sale and Terms of issue: Issue of Units of Rs.
                           10 per Unit plus Applicable Load (if any) during the New Fund Offering (NFO) period and at Net Asset Value (NAV) subject to applicable Entry
                           and Exit Loads thereafter. Investor benefit and General services: NAVs will be calculated on all business days and published in at least two daily
                           newspapers. Purchase on all business days. Redemptions on an interval basis. Statutory details: Sponsor: JPMorgan Asset Management (Asia)
                           Inc. Trustee: JPMorgan Mutual Fund India Private Limited, a company incorporated under the Companies Act, 1956. Asset Managem ent
                           Company: JPMorgan Asset Management India Private Limited, a company incorporated under the Companies Act, 1956. JPMorgan Mutu al Fund
                           has been established as a Trust under the Indian Trusts Act, 1882, by JPMorgan Asset Management (Asia) Inc., liability restricted to initial
                           contribution of Rs.1 lakh. Please refer to the Offer Document before investing. Offer Documents, Key Information Memorandum and application
                           forms are available at Investor Service Centres and distributors.




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