Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated October 2, 2015
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J.P. Morgan TargetTracker: U.S. Equities 18/6 (USD) Index
Performance Update - October 2015
OVERVIEW
The J.P. Morgan TargetTracker: U.S. Equities 18/6 (USD)
Index (ticker: EQJPTU18) (the "Index") is an investable
index intended to provide exposure to the performance of
the SandP500 Index. The Index targets an annualized
volatility of 18% on a daily basis by dynamically adjusting
its exposure between the SandP500 Index and the cash
component with a maximum exposure to the SandP500 Index of
200%. The Index is also subject to monthly return caps of
6% (72% per annum).
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Hypothetical Back-Tested Data and Actual Historical
Performance
- September 30, 2005 to September 30, 2015
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Hypothetical and Actual Historical Volatility -
through September 30, 2015
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Key Features of the Index
Exposure to SandP 500 is dynamically adjusted on a daily
basis to target a realized volatility of 18%. This means
that exposure to SandP 500 is increased
in the case realized volatility is below 18% (up to maximum
of 200%) and decreased if realized volatility is above 18%.
Monthly (21- day rolling periods) performance is capped at
6% (72% per annum). The Index is constructed of 21 equally
weighted overlapping
capped baskets used to reduce the impact of the monthly cap
and smooth any effect of market timing. This allows the
Index to always have exposure to
the market.
Index levels published on Bloomberg under the ticker
EQJPTU18.
Recent Index Performance
Historical
Performance* Jan Feb Mar
------------ ------ ----- ------
2015 -3.88% 6.28% -2.73%
------------ ------ ----- ------
2014 -6.55% 4.89% 0.78%
------------ ------ ----- ------
2013 6.59% 1.30% 5.42%
------------ ------ ----- ------
2012 3.17% 3.86% 3.72%
------------ ------ ----- ------
2011 3.27% 4.40% -0.94%
------------ ------ ----- ------
Apr May Jun Jul
------ ------ ------ ------
0.97% 1.57% -3.74% 2.47%
------ ------ ------ ------
-0.21% 3.60% 3.21% -3.10%
------ ------ ------ ------
2.31% 1.70% -2.29% 5.71%
------ ------ ------ ------
-1.20% -8.42% 3.59% 1.58%
------ ------ ------ ------
4.15% -2.05% -3.55% -2.73%
------ ------ ------ ------
Aug Sep Oct Nov
------- ------ ------ ------
-12.81% -2.04%
------- ------ ------ ------
6.18% -2.96% 0.56% 2.73%
------- ------ ------ ------
-5.43% 4.66% 5.91% 4.45%
------- ------ ------ ------
2.21% 3.42% -3.13% -0.45%
------- ------ ------ ------
-7.57% -3.99% 5.91% -0.13%
------- ------ ------ ------
Dec Full Year
------ ---------
-14.16%
------ ---------
-1.39% 7.20%
------ ---------
3.91% 39.19%
------ ---------
0.97% 8.88%
------ ---------
0.66% -3.43%
------ ---------
*Represents the monthly and full calendar year performance
of the Index based on, as applicable to the relevant
monthly or annual measurement period, the hypothetical
backtested daily Index closing levels from December 31,
2010 to July 15, 2014, and the actual historical
performance as based on the daily Index closing levels from
July 16, 2014 to September 30, 2015.
See the last paragraph under ""Notes"" on page 2 for
important information about the limitations of using
hypothetical historical performance measures."
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com October 01, 2015
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Comparative Hypothetical and Historical Total Returns (%),
Volatility (%), Correlation (%), and Leverage (%) --
September 30, 2015
5 Year
1 Year Annualized
Return Return
------------------------ ------- ----------
U.S. Equities 18/6 Index -12.55% 8.43%
------------------------ ------- ----------
SandP 500 Index -2.65% 10.96%
10 Year 10 Year
Annualized Annualized 10 Year
Return Volatility Sharpe Ratio
---------- ----------- ------------
4.87% 17.68% 0.28
---------- ----------- ------------
4.56% 20.69% 0.22
1 Year
10 Year Average
Correlation Leverage
----------- --------
- 167.80%
----------- --------
83.98%
--------
5 Year 10 Year
Average Average
Leverage Leverage
-------- --------
125.25% 127.35%
Hypothetical and Historical Capped Return Percentages --
September 30, 2015
1 Year Percentage of 5 Year Percentage of 10 Year Percentage of
Capped Returns Capped Returns Capped Returns
------------------------ -------------------- -------------------- ---------------------
U.S. Equities 18/6 Index 13.15% 10.64% 8.77%
Notes
Hypothetical, historical performance measures: Represents
the performance of the J.P. Morgan TargetTracker: U.S.
Equities 18/6 (USD) Index based on, as applicable to the
relevant measurement period, the hypothetical backtested
daily closing levels through July 15, 2014, and the actual
historical performance from July 16, 2014 through September
30, 2015 and the actual historical performance of the SandP
500 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 J.P.Morgan TargetTracker: U.S.
Equities 18/6 (USD) Index will outperform the SandP500
Index, or any other alternative investment strategy.
Sources: Bloomberg and JPMorgan.
Volatility: 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 J.P. Morgan TargetTracker: U.S. Equities 18/6 (USD)
Index, and the SandP500 Index. Volatility represents the
annualized standard deviation of the relevant index's
arithmetic daily returns. 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.
Index Live Date: 07/16/2014
Key Risks
The Index may not be successful. It may not outperform an
alternative strategy related to the Equity Component or
achieve its target volatility.
Our affiliate, JPMS plc, is the index calculation agent
and Index Sponsor and may adjust the index in a way that
affects its level and has no obligation to consider your
interests.
The Index has a limited operating history and may perform
in unanticipated ways.
The Index is subject to short-term borrowing costs when
exposure to Equity Component is greater than 100%.
The Index may underperform its Equity Component or a
direct investment in the component equity securities of its
Equity Component.
The daily adjustment of the exposure of the Index to its
Equity Component will vary, and the Index may be partially
uninvested in its Equity Component or may have
leveraged exposure to its Equity Component.
The Index is subject to monthly (21- day rolling periods)
performance return caps of 6% (72% per annum).
If the value of the Equity Component changes, the level of
the Index and the market value of your CDs may not change
in the same manner.
The Index comprises notional assets and liabilities.
The Index is subject to market risks.
The investment strategy used to construct the Index
involves daily adjustments to its synthetic exposure to its
Equity Component.
The Equity Component of the Index may be replaced by a
substitute index in certain extraordinary events.
The risks identified above are not exhaustive. You should
review carefully the related "Risk Factors" section in the
relevent product supplement and underlying
supplement and the "Selected Risk Considerations" in the
relevant term sheet or pricing supplement.
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 October 01, 2015
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