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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- March 31, 2014
Ten Year
Three Year Five Year Ten Year Annualized Ten Year Sharpe Ten Year
Annualized Return Annualized Return Annualized Return Volatility Ratio
Correlation
--------------------------------------- ----------------------------------------------------- ----------- ---------------
J.P. Morgan U.S. Sector Rotator 8 Index 7.5% 8.9% 5.3% 6.9% 76.3% 100.0%
--------------------------------------- ------------- --------- ----------------------------- ----------- ---------------
-----------
SandP 500 Index (Excess Return) 14.0% 20.4% 5.0% 20.4% 24.4% 56.0%
--------------------------------------- ------------- --------- ----------------------------- ----------- ---------------
JPM US Gov Bond Index (Excess Return) 2.8% 2.1% 1.8% 4.8% 37.1% -14.3%
Notes
Hypothetical, historical performance measures: Represent the performance of the
U.S. Sector Rotator 8 Index based on, as applicable to the relevant measurement
period, the hypothetical backtested daily closing levels through June 28, 2013,
and the actual historical performance of the Index based on the daily closing
levels from July 1, 2013 through March 31, 2014, as well as the performance of
the SandP 500 Index (Excess Return), and the JPMorgan US Government 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 U.S. Sector Rotator 8 Index will outperform the SandP 500 Index
(Excess Return), the JPMorgan US Government Bond Index (Excess Return) or any
alternative investment strategy. Sources: Bloomberg and JPMorgan.
SandP 500 Index (Excess Return) represents a hypothetical index constructed from
the total returns of the SandP 500 Index with the returns of the Cash Index
deducted. JPMorgan US Government Bond Index (Excess Return) represents a
hypothetical index constructed from the returns of the JPMorgan US Government
Bond 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
U.S. Sector Rotator 8 Index, SandP 500 Index (Excess Return), and the JPMorgan
US Government Bond Index (Excess Return).
Volatility represents the annualized standard deviation of the relevant index's
arithmetic daily returns since March 31, 2004. 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 The payment on any investments linked to the Index that we may issue is
exposed to the credit risk of JPMorgan Chase and Co.
n The levels of the Index will include the deduction of a fee of 0.50% per
annum.
n There are risks associated with a momentum-based investment strategy--The
Strategy seeks to capitalize on positive market price trends based on the
supposition that positive market price trends may continue. This 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 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, JPMS plc, is the Index Sponsor and Calculation Agent and may
adjust the Index in a way that affects its level--The policies and
judgments for which JPMS plc is responsible could have an impact, positive
or negative, on the level of the Index and the value of your investment.
JPMS plc 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 8%.
n The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Basket Constituents by asset type and sector.
n Changes in the value of the Basket Constituents may offset each other.
n The Index was established on July 1, 2013 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
underlying 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/19617/000095010313006180/crt_dp41471-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
underlying 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 (800) 576-3529.
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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