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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- March 31, 2011
Three Year Five Year Ten Year Ten Year Ten Year Correlation
Annualized Return Annualized Return Annualized Return Annualized Volatility Sharpe Ratio
----------------------- ----------------- ----------------- ----------------- --------------------- ------------ -----------
ETF Efficiente Index 3.80% 4.16% 5.31% 5.60% 0.949 100.00%
----------------------- ----------------- ----------------- ----------------- --------------------- ------------ -----------
S and P 500 (Price Return) 0.08% 0.47% 1.47% 21.61% 0.068 23.70%
----------------------- ----------------- ----------------- ----------------- --------------------- ------------ -----------
Barclays Aggregate Bond
Index (Excess Return) 3.75% 2.97% 2.85% 4.04% 0.705 32.19%
-----------------------
Notes on performance, volatility, leverage and Sharpe Ratio statistics
Hypothetical, historical performance measures: Represent the performance of the
ETF Efficiente Index based on, as applicable to the relevant measurement
period, the hypothetical backtested daily closing levels from March 30, 2001
through March 31, 2011, and the actual historical performance of the ETF based
on the daily closing level from October 29, 2010 through March 31, 2011, as
well as the performance of the S and P 500 Index ("S and P 500"), and the Barclays
Aggregate Bond Index (Excess Return) over the same periods. For purposes of
these examples, each index was set equal to 100 at the beginning of the
relevant measurement period and returns are calculated arithmetically (not
compounded). There is no guarantee the ETF Efficiente Index will outperform the
S and P 500 Index, the Barclays Aggregate Bond Index (Excess Return) or any
alternative investment strategy. Sources: Bloomberg and JPMorgan.
Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the S and P 500 Index and the Barclays Aggregate
Bond Index (Excess Return). Volatility represents the annualized standard
deviation of the relevant index's arithmetic daily returns since March 30,
2001. The Sharpe Ratio, which is a measure of risk-adjusted performance, is
computed as the ten year annualized historical return divided by the ten year
annualized volatility.
The back-tested, hypothetical, historical annualized volatility and index
leverage have inherent limitations. These volatility and leverage results were
achieved by means of a retroactive application of a back-tested volatility
model designed with the benefit of hindsight. No representation is made that in
the future the relevant indices will have the volatility shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual annualized volatilities
and leverage may vary materially from this analysis. Source: Bloomberg and
JPMorgan.
Key Risks
[] There are risks associated with a momentum-based investment strategy--The
ETF Efficiente Index (the "Strategy") is different from a strategy that seeks
long-term exposure to a portfolio consisting of constant components with fixed
weights. The Strategy may fail to realize gains that could occur from holding
assets that have experienced price declines, but experience a sudden price
spike thereafter.
[] Correlation of performances among the basket constituents may reduce the
performance of strategy--performances among the basket constituents comprising
the index from time to time (the "Basket Constituents") may become highly
correlated from time to time during the term of your investment.
High correlation during periods of negative returns among Basket Constituents
representing any one sector or asset type that have a substantial weighting in
the Strategy could have a material adverse effect on the performance of the
Strategy.
[] Our affiliate, JPMSL, is the Calculation Agent and may adjust the Index in a
way that affects its level--The policies and judgments for which JPMSL is
responsible could have an impact, positive or negative, on the level of the
Index and the value of your investment. JPMSL is under no obligation to
consider your interest as an investor in securities linked to the Index.
[] The Index may not be successful, may not outperform any alternative strategy
related to the Basket Constituents, or may not achieve its target volatility of
5%.
[] The investment strategy involves quarterly rebalancing and maximum weighting
caps applied to the Basket Constituents by asset type and geographical region.
[] Changes in the value of the Basket Constituents may offset each other.
[] An investment linked to the Index is subject to risks associated with non-U.
S. securities markets, such as emerging markets and currency exchange risk.
[] The Index was established on October 29, 2010 and has a limited operating
history
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in the relevant product supplement and the
"Selected Risk Considerations" in the relevant term sheet or pricing
supplement.
For more information on the Index and for additional key risk information see
Page 9 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010311001330/crt-dp22007_fwp
.pdf
DISCLAIMER
JPMorgan Chase and Co. ("J.P. Morgan") has filed a registration statement
(including a prospectus) with the Securities and Exchange Commission (the
"SEC") for any offerings to which these materials relate. Before you invest in
any offering of securities by J.P. Morgan, you should read the prospectus in
that registration statement, the prospectus supplement, as well as the
particular product supplement, the relevant term sheet or pricing supplement,
and any other documents that J.P. Morgan will file with the SEC relating to
such offering for more complete information about J.P. Morgan and the offering
of any securities. You may get these documents without cost by visiting EDGAR
on the SEC Website at www.sec.gov. Alternatively, J.P. Morgan, any agent, or
any dealer participating in the particular offering will arrange to send you
the prospectus and the prospectus supplement, as well as any product supplement
and term sheet or pricing supplement, if you so request by calling toll-free
(866) 535-9248.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-155535
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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