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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- July 31, 2014
Three Year Five Year Ten Year Annualized Ten Year Annualized Ten Year Sharpe
Ten Year
Annualized Return Annualized Return Return Volatility Ratio
Correlation
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
ETF Efficiente Index 6.0% 6.8% 5.5% 5.7% 0.95
100.0%
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
SandP 500 Index (Excess Return) 16.2% 16.2% 5.6% 20.4% 0.27
28.7%
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
Barclays Aggregate Bond Index (Excess
2.5% 3.9% 2.5% 3.7% 0.67
27.9%
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 July 31, 2014, as well as the
performance of the SandP 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 SandP 500
Index (Excess Return), the Barclays Aggregate 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. 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, SandP 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 July 30, 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
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, JPMS PLC, 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.
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 monthly rebalancing and maximum weighting
caps applied to the Basket Constituents by asset type and geographical region
that may reduce your return.
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 Index may be partially uninvested. Any uninvested portion will earn no
return.
The Index has an adjustment factor fee, which causes the Index to trail the
value of a hypothetical identically constituted synthetic portfolio without a
similar fee.
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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