Year to Five Year Ten Year Ten Year
Sharpe Date Annualized Annualized Annualized Correlation(3) Ratio(4)
Performance(1) Performance(1) Performance(1) Volatility(2)
AI Multi-Strategy 5 -0.6% -0.3% 3.5% 3.8% 1.00 0.93
HFRI Fund-Weighted Composite Index
2.2% 7.4% 3.1% 6.5% 0.25
0.48 (excess return)
CS / Tremont Hedge Fund Index
2.1% 8.1% 3.8% 5.9% 0.24
0.63 (excess return)
S and P 500 Index (excess return) 3.7% 18.0% 2.9% 15.0% 0.15 0.19
March 2014: Attribution by Strategy Style March 2014: Attribution by Region
0.4% 0.6%
Satellite Carry Momentum
0.3%
0.4%
0.2% 0.07% 0.28%
0.52%
0.1% 0.13% 0.2%
0.15%
0.05% 0.0% -0.06% -0.06%
0.0% -0.02% -0.03%
-0.1% Return Return -0.2% -0.41%
-0.2%
-0.45%
-0.3%
-0.4% -0.4%
-0.13%
-0.5%
-0.6%
-0.6% US (5 strategies) Europe (3 Asia (3 Global (15 Equity Rates FX
Commodities strategies) strategies) strategies)
the aggregate monthly performance of the strategy or asset class that trades in
a particular geographic region. Any asset class that trades in multiple
geographic regions is classified under the heading "Global". Past allocations
should not be considered indicative of the actual weights and performance of
the designated strategies and regions during the term of your investment. J.P.
Morgan provides no assurance or guarantee that the actual performance of the AI
Multi-Strategy 5 would result in attributions and performance by Strategy Style
and Region displayed in the graphs above. The Attributions above reflect the
deduction of the 0.80% p.a. adjustment factor. Numbers in charts above have
been rounded for ease of analysis. Source: J.P. Morgan.
For more information on the Index and for additional key risk information see
Page 9 the Strategy Guide at:
http://www.sec.gov/Archives/edgar/data/19617/000095010312004030/crt_dp32126-fwp
..pdf Key Risks: Any securities we may issue linked to the Index may result in a
loss, and are exposed to J.P. Morgan Chase and Co. credit risk. The Index and
underlying strategies have limited operating history. The reported level of the
Index and most of the underlying strategies will include the deduction of an
adjustment factor. The Index may not be successful, may not outperform any
alternative strategy or achieve its 5% target volatility. The portfolio of
underlying strategies may not be a diversified portfolio. The Index involves
monthly rebalancing and caps the sum of the weights of all underlying
strategies, at rebalance, to 200%. It is possible, although unlikely, for the
weight of a single underlying strategy to be close to 200%. There are risks
associated with momentum, carry, mean reversion or short volatility investment
strategies. The Index comprises only notional assets and liabilities. Some
underlying strategies include notional short positions. Correlation of
performances among the underlying strategies may reduce the performance of the
Index. The Index is an excess return index and reflects the performance of
unfunded or uncollateralized investments in the assets underlying the Index.
Commodity futures contracts underlying some of the strategies are subject to
uncertain legal and regulatory regimes. Our affiliate, J.P. Morgan Securities
plc ("JPMS plc"), is the Sponsor and Calculation Agent for the Index and
underlying strategies. JPMS plc may adjust the Index or any underlying strategy
in a way that affects its level. The Index is subject to risks associated with
currency exchange, interest rates, non-US securities markets and the use of
leverage and futures contracts. 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. Disclaimer SEC Legend: JPMorgan Chase
and Co. has filed a registration statement (including a prospectus) with the SEC
for any offerings to which these materials relate. Before you invest, you should
read the prospectus in that registration statement and the other documents
relating to this offering that JPMorgan Chase and Co. has filed with the SEC for
more complete information about JPMorgan Chase and Co. and this offering. You
may get these documents without cost by visiting EDGAR on the SEC Web site at
www.sec.gov. Alternatively, JPMorgan Chase and Co., any agent or any dealer
participating in this offering will arrange to send you the prospectus and the
prospectus supplement as well as any product supplement, pricing supplement
and/or term sheet if you so request by calling toll-free 800-576-3529. Free
Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No.
333-177923 Investment suitability must be determined individually for each
investor. The financial instruments described herein may not be suitable for all
investors. This information is not intended to provide and should not be relied
upon as providing accounting, legal, regulatory, or tax advice. Investors should
consult with their own advisors on these matters. IRS Circular 230 Disclosure:
JPMorgan Chase and Co. and its affiliates do not provide tax advice.
Accordingly, any discussion of U.S. tax matters contained herein (including any
attachments) is not intended or written to be used, and cannot be used, in
connection with the promotion, marketing, or recommendation by anyone
unaffiliated with JPMorgan Chase and Co. of any of the matters address herein or
for the purpose of avoiding U.S. tax-related penalties. Footnotes
(1) Source: J.P. Morgan and Bloomberg. Past Performance and back-test
performance are not indicative of future results. The Index began publishing on
November 30, 2009. The index is not a hedge fund and does not track the
performance of any hedge fund or group of hedge funds. Data for the AI
Multi-Strategy 5 prior to November 30, 2009 are back-tested. All indices are
normalized to a value of 100 at the start date. The AI Multi-Strategy 5 levels
are net of an 80 bps p.a. adjustment factor and other adjustments relating to
notional transaction costs. 'HFRI Fund Weighted Composite Index (excess
return)', 'CS / Tremont Hedge Fund (excess return)', 'S and P 500' refer to the
HFRI Fund Weighted Composite Index reconstructed using data from Bloomberg
ticker: HFRIFWI Index, the Credit Suisse Tremont Hedge Fund Index (Bloomberg:
HEDGNAV Index), the performance of the S and P 500 Index (Bloomberg: SPX Index),
respectively, each less 3 month LIBOR.
(2) Calculated based on the annualized standard deviation of the monthly
returns of the Index scaled for a 10-year period.
(3) Correlation refers to the degree the applicable index has changed relative
to monthly changes in the JPMorgan Alternative Index Mult-Strategy 5 (USD).
(4) For the above analysis, 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.
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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