Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated September 2, 2015
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J. P. Morgan ETF Efficiente 5 Index
Performance Update - September 2015
OVERVIEW
JPMorgan ETF Efficiente 5 Index (the "Index") is a J. P. Morgan strategy that
seeks to generate returns through investing in exchange traded funds ("ETFs")
and a cash index to provide exposure to a universe of diverse assets based on
the efficient frontier portfolio analysis approach. The Index levels incorporate
an adjustment fee of 0.50% per annum.
Hypothetical and Actual Historical Performance -August 31, 2005 to August 31,
2015
[GRAPHIC OMITTED]
Hypothetical and Actual Historical Volatility -through August 31, 2015
[GRAPHIC OMITTED]
Key Features of the Index
o The strategy is based on a universe of 12 ETFs covering a broad range of
assets and geographic regions, and a cash index.
o Monthly rebalancing of portfolio allocation, with all positions financed
by short term borrowing of cash.
o Targets a volatility of 5% .
o Levels published on Bloomberg under the ticker EEJPUS5E.
Historical
Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
2015 2.85% -0.75% 0.17% -2.04% -0.36% -1.57% 0.04% -2.79% -4.47%
2014 -1.68% 1.74% -0.14% 1.10% 1.72% 0.43% -0.70% 2.96% -3.84% 2.87% 1.70% 0.53% 6.67%
2013 -0.37% 0.14% 0.34% 2.93% -4.25% -0.93% 2.21% -1.19% 0.69% 1.25% 0.95% 0.82% 2.41%
2012 0.73% 0.28% -0.85% 1.28% -0.39% 1.43% 2.65% 0.27% 0.03% -0.16% 0.75% 0.72% 6.90%
2011 -0.15% 1.76% 0.51% 1.38% -0.95% -1.26% 3.89% 3.07% 0.45% 1.44% 0.41% 0.64% 11.62%
*Represents the monthly and full calendar year performance of the Index based on
the actual historical performance of the index based on the daily closing
levels from December 31, 2010 to August 31, 2015.
iShares iBoxx $ iShares JP
Investment iShares iBoxx $ Morgan USD
Recent Index iShares 20+ Grade High Yield iShares MSCI Emerging iShares SandP JPMorgan Cash
SPDR SandP 500 iShares Russell iShares MSCI Year Treasury Corporate Bond Corporate Bond Emerging Markets Bond GSCI Cmdty- SPDR Gold iShares DJ US iShares TIPS Index USD 3
Composition ETF Trust 2000 ETF EAFE ETF Bond ETF ETF
ETF Markets ETF ETF Indexed Trust Trust Real Estate ETF Bond ETF Month
September 15 0.00% 0.00% 0.00% 20.00% 10.00% 0.00% 0.00% 20.00% 0.00% 0.00% 0.00% 0.00% 50.00%
August 15 20.00% 10.00% 10.00% 0.00% 0.00% 0.00% 0.00% 10.00% 0.00% 0.00% 0.00% 0.00% 50.00%
July 15 0.00% 10.00% 20.00% 0.00% 0.00% 5.00% 0.00% 20.00% 0.00% 0.00% 0.00% 0.00% 45.00%
June 15 0.00% 10.00% 20.00% 10.00% 0.00% 20.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 40.00%
May 15 5.00% 10.00% 20.00% 20.00% 5.00% 0.00% 0.00% 0.00% 0.00% 5.00% 0.00% 0.00% 35.00%
Asset and Sector
Caps
Asset Cap 20.00% 10.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00% 10.00% 10.00% 20.00% 50.00% 50.00%
Sector Cap 50.00% 50.00% 25.00% 25.00% 50.00%
J.P. Morgan Structured Investments | 800 576 3529 | JPM _ Structured _
Investments@jpmorgan.com
September 01, 2015
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation - August 31, 2015
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 1.88% 4.53% 4.49% 5.87% 0.76 100.00%
SandP 500 Index (Excess Return) 13.85% 15.31% 5.01% 20.62% 0.24 31.04%
Barclays Aggregate Bond Index (Excess 1.12% 2.49% 2.37% 3.74% 0.63 25.94%
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 ETF Efficiente Index based on the daily
closing level from October 29, 2010 through August 31, 2015, 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 Index, 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 August
31, 2005. 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
o 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.
o 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.
o 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 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.
o 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%.
o 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.
o Changes in the value of the Basket Constituents may offset each other.
o 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.
o 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.
333-199966
J.P. Morgan Structured Investments | 800 576 3529 | JPM _ Structured _
Investments@jpmorgan.com September 01, 2015
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