Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- September 30, 2013
Three Year Five Year Ten Year Ten Year
Annualized Annualized Annualized Annualized Ten Year Ten Year Return Return
Return Volatility Sharpe Ratio Correlation
ETF Efficiente Index 5.5% 6.1% 5.5% 5.9% 93.4% 100.0%
S and P 500 Index (Excess Return) 15.6% 8.9% 5.1% 20.4% 24.9% 27.9%
Barclays Aggregate Bond Index
2.3% 4.4% 2.2% 3.8% 57.2% 28.2%
(Excess Return)
Notes
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 through October 28,
2010, and the actual historical performance of the ETFs based on the daily
closing level from October 29, 2010 through September 30, 2013, as well as the
performance of the S and P 500 Index (Excess Return), 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 (Excess Return), the Barclays Aggregate Bond Index (Excess
Return) or any alternative investment strategy. Sources: Bloomberg and JPMorgan.
S and P 500 Index (Excess Return) represents a hypothetical index constructed
from the total returns of the S and P 500 Index with the returns of the Cash
Index deducted. Barclays Aggregate Index (Excess Return) represents a
hypothetical index constructed from the returns of the Barclays Aggregate Index
with the returns of the Cash Index deducted.
Volatility: hypothetical, historical six-month annualized volatility levels are
presented for informational purposes only. Volatility levels are calculated
from the historical returns, as applicable to the relevant measurement period,
of the ETF Efficiente, S and P 500 Index (Excess Return), and the Barclays
Aggregate Bond Index (Excess Return). Volatility represents the annualized
standard deviation of the relevant index's arithmetic daily returns since
September 30, 2003. 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 returns may use substitutes for any
ETF that was not in existence or did not meet the liquidity standards at that
particular time.
The back-tested, hypothetical, historical annualized volatility and index
returns have inherent limitations. These volatility and return 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 returns may vary materially from this analysis. Source: Bloomberg and
JPMorgan.
Key Risks
n 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.
n 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.
n 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 with returns linked to the Index. n 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%. n The investment strategy involves monthly rebalancing and maximum
weighting caps applied to the Basket Constituents by asset type and
geographical region. n Changes in the value of the Basket Constituents may
offset each other. n 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. n 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/19617/000095010313004247/crt_dp39512-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.
333-177923
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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