JPMorgan Asset Management Reports June 2026 Derivative Exposure for Global Research Enhanced Index ETFs

JREG Reports $67.1 Million NAV with Listed Derivative Exposure of $1.84 Million

As at 30 June 2026, the JPMorgan Global Research Enhanced Index Equity Active ETF (JREG) held a net asset value of $67,117,075.36. The fund’s notional listed derivative exposure was $1,838,605.16, equating to 2.7394% of NAV. There was no OTC derivative exposure excluding foreign exchange hedging, which remained at zero.

The company clarifies that the notional derivative exposure reflects the total market value of securities underlying the derivative contracts, rather than the profit or loss from those contracts. This distinction is important for investors assessing the fund’s risk profile, as notional exposure can overstate actual economic risk. The 2.74% figure indicates a relatively conservative use of listed derivatives in relation to the portfolio size.

JRHG Hedged ETF Holds $27.5 Million NAV with Matching 2.74% Derivative Exposure

The JPMorgan Global Research Enhanced Index Equity (Hedged) Active ETF (JRHG) reported a net asset value of $27,532,418.33 as at 30 June 2026. Its notional listed derivative exposure was $754,223.07, also 2.7394% of NAV, mirroring the unhedged JREG fund. Similar to JREG, JRHG recorded no OTC derivative exposure aside from currency risk management instruments.

The identical derivative exposure ratios suggest a consistent investment approach under the Global Research Enhanced Index strategy. The key difference is JRHG’s currency hedging overlay, designed to mitigate the impact of foreign exchange fluctuations on Australian dollar returns. Currency hedging derivatives are excluded from OTC derivative exposure figures, per ASX rules.

ASX Operating Rule 10A.3.1(e): Active ETF Derivative Disclosure Requirements

This disclosure complies with ASX Operating Rule 10A.3.1(e), which applies to active ETFs listed on the ASX. Unlike passive ETFs, active ETFs may use derivatives as part of their strategy, necessitating transparent reporting. The rule requires managers to report notional derivative exposure for both listed and OTC derivatives (excluding FX hedging) as a percentage of NAV.

The disclosure provides investors and market participants with visibility into derivative usage, enabling assessment of leverage or synthetic exposure relative to total assets. For JREG and JRHG, derivative use remains below 3% of NAV with no OTC derivatives beyond currency hedging. Investors should view these monthly disclosures as routine transparency rather than signals of strategic shifts.

Investment Objective: Exceeding a Global Equity Benchmark Excluding Australia

Both JREG and JRHG aim to deliver long-term returns exceeding their benchmarks while maintaining comparable risk profiles. They invest primarily in a globally diversified portfolio excluding Australian-listed companies, offering Australian investors international equity exposure without direct foreign share ownership complexities.

The "research enhanced" approach reflects JPMorgan Asset Management’s active process to modestly outperform by adjusting portfolio weights based on proprietary research, while preserving broad benchmark diversification. The disclosed listed derivatives likely support portfolio construction, such as improving index replication or tactical positioning. The update does not specify the exact nature or purpose of the derivatives held as of 30 June 2026.

Clarifying Notional Exposure Versus Actual Derivative Profit and Loss

The update emphasizes the difference between notional derivative exposure and actual financial results from those contracts. Notional exposure—$1,838,605.16 for JREG and $754,223.07 for JRHG—represents the market value of securities underlying the derivatives, not realized or unrealized gains or losses.

This distinction matters because notional values can be large compared to the cost of entering contracts. For example, futures contracts may have notional values far exceeding margin requirements. Expressing notional exposure as a percentage of NAV standardizes comparisons across active ETFs, though it does not directly measure financial risk or leverage. For both funds, the under-3% notional exposure indicates derivatives are a minor portfolio component.

Fund Management and Issuer Details

JPMorgan Asset Management (Australia) Limited (ABN 55 143 832 080, AFSL 376919) manages both JREG and JRHG. The funds are issued by Perpetual Trust Services Limited (ABN 48 000 142 049, AFSL 236648), acting as responsible entity and issuer. This structure, separating asset management from trustee and issuer roles, is common for ASX-listed managed funds and ETFs.

JPMorgan Asset Management is the Australian branch of J.P. Morgan Asset Management, a leading global investment manager, headquartered at Level 31, 101 Collins Street, Melbourne. Investors seeking further information are advised to contact the Manager at 1800 576 468. The filing did not include additional commentary, portfolio details, or forward guidance.

Comparing Fund Sizes, Hedging, and Derivative Usage

JREG’s net assets of approximately $67.1 million are about 2.4 times larger than JRHG’s $27.5 million as at June 2026. Both funds maintain an identical derivative exposure ratio of 2.7394%, indicating consistent derivative usage relative to size.

JRHG’s currency hedging is designed for investors seeking global equity exposure without currency risk from AUD fluctuations against major currencies like the US dollar, euro, and yen. This hedging aims to align returns more closely with underlying international equities in local currency terms. Investors should consider hedging costs and size differences when allocating between the two ETFs.

Ongoing Monthly Derivative Disclosures Enhance Investor Transparency

This disclosure marks the end of June 2026 reporting and appears part of a regular monthly schedule for active ETFs under ASX Operating Rule 10A.3.1(e). Monitoring these reports over time enables investors and advisers to observe changes in derivative usage, such as increases before market volatility or strategic adjustments.

The next disclosure for the month ending 31 July 2026 will be a key update. Market-driven NAV changes will affect absolute derivative exposure values even if percentages remain stable. This routine compliance filing is unlikely to impact secondary market trading significantly.

Investor Considerations for JREG and JRHG

The June 2026 disclosure reassures investors that both funds carry no significant OTC derivative exposure beyond currency hedging and maintain listed derivative use below 3% of NAV. Such transparency is a notable feature of ASX-listed active ETFs compared to unlisted managed funds, where detailed periodic disclosures may not be required.

Investors should monitor NAV trends and derivative exposure percentages in coming months as global equity markets respond to macroeconomic factors. Significant changes in derivative allocations could indicate shifts in tactical positioning or portfolio construction. Reviewing each fund’s Product Disclosure Statement (PDS) and consulting licensed financial advisers is recommended before making investment decisions based on these disclosures.