Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
May 04 2015 - 5:07PM
Edgar (US Regulatory)
Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated May 4, 2015
J.P. Morgan Efficiente Plus 5 Index (Net ER)
OVERVIEW
The J.P.Morgan Efficiente Plus 5 Index (Net ER) (the "Index") is a J.P. Morgan
strategy that seeks to provide exposure to a range of asset classes and
geographic regions based on the modern portfolio theory approach to asset
allocation. The index utilizes the rapidly growing investment options available
with ETFs . The Index selects from a basket of 19 ETFs, 1 exchange-traded note
and a cash index ("the Basket Constituents"). The index targets an annualized
realized volatility of 5% by rebalancing monthly into the best performing
portfolio that has an historical realized volatility of less than or equal to
5% using a six-month look back period. The levels of the Index reflect the
performance of the Basket constituents above the cash index and incorporate the
daily deduction of a fee of 0.85% per annum.
[GRAPHIC OMITTED]
Hypothetical and Actual Historical Performance -- November 1, 2007 to April 30,
2015
[GRAPHIC OMITTED]
Hypothetical and Actual Historical Volatility -- May 2, 2008 to April 30, 2015
[GRAPHIC OMITTED]
Key Features of the Index
[] Exposure to developed market equities, bonds, loans, preferred stock,
emerging markets, alternative investments including REITs, MLPs, commodity
futures and gold.
[] Each month, the index rebalances into the best-performing portfolio over the
past six months with volatility at or below 5%, subject to weighting
constraints and diversification criteria.
[] The Index targets an annualized realized volatility of 5%.
[] Index levels published on Bloomberg under the ticker EFPLUS5E.
Historical
Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
2015 2.97% -0.65% 0.31% -1.45% 1.13%**
2014 -1.33% 2.64% 0.19% 0.84% 1.51% 2.09% -0.75% 4.14% -3.18% 1.86% 1.25% 0.46% 9.95%
2013 0.97% 0.23% 1.31% 2.31% -3.42% -0.91% 1.60% -1.25% 1.40% 1.41% 0.85% 0.92% 5.42%
2012 0.90% 0.54% -0.64% 1.35% -1.00% 1.72% 2.35% 0.23% -0.08% 0.07% -1.19% 0.20% 4.47%
2011 0.69% 1.90% 0.35% 1.72% -1.20% -1.45% 2.75% 2.76% 0.14% 1.06% 0.21% 0.72% 9.98%
*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 back tested daily Index closing levels from December 31, 2010 to
December 31, 2014, and the actual historical performance of the Index based on
the daily Index closing levels from January 1, 2015 to April 30, 2015. See Note
6 on page 4 for important information about the limitations of hypothetical
historical performance measures.
**As calculated through April 30, 2015.
[GRAPHIC OMITTED]
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com May 2015
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Comparative Hypothetical and Historical Annualized Returns (%), Annualized
Volatility (%), Sharpe Ratio, and Correlation -- April 30, 2015
Annualized Return Annualized Sharpe Ratio
3 Year Annualized 5 Year Annualized (Since Nov 1, Volatility (Since (Since Nov 1, Correlation (Since
Return(1) Return(1) 2007)(1) Nov 1, 2007)(2) 2007)(3) Nov 1, 2007)(4)
--------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------
Efficiente Plus 5 Index(5) 6.23% 7.11% 6.35% 5.64% 1.13 100.00%
--------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------
S & P 500 Index (Excess
Return) 16.20% 13.75% 5.45% 22.65% 0.24 26.47%
--------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------
Barclays Aggregate Bond
Index (Excess Return) 2.14% 3.60% 3.61% 3.92% 0.92 28.21%
--------------------------- ----------------- ----------------- ----------------- ----------------- ------------- ------------------
J.P. Morgan Efficiente Plus 5 Index (Net ER) Performance Details
J.P. Morgan Efficiente Plus 5 Index (Net ER) Performance(6) -- Bloomberg EFPLUS5E Index
2008 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5E Index 1.47% 1.68% -0.74% -0.71% -0.14% 0.74% -1.23% -0.85% -2.26% -6.34% 2.05% 4.89% -1.84%
2009 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5D Index -2.42% -0.75% 0.74% 0.84% 2.30% -0.22% 2.55% 0.82% 1.90% -0.15% 1.88% 0.12% 7.75%
2010 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5D Index 0.42% 0.92% 2.04% 1.88% -2.93% 1.31% 2.27% 2.72% 1.33% 0.47% -1.40% 0.96% 10.31%
2011 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5D Index 0.69% 1.90% 0.35% 1.72% -1.20% -1.45% 2.75% 2.76% 0.14% 1.06% 0.21% 0.72% 9.98%
2012 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5D Index 0.90% 0.54% -0.64% 1.35% -1.00% 1.72% 2.35% 0.23% -0.08% 0.07% -1.19% 0.20% 4.47%
2013 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5D Index 0.97% 0.23% 1.31% 2.31% -3.42% -0.91% 1.60% -1.25% 1.40% 1.41% 0.85% 0.92% 5.42%
2014 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
EFPLUS5D Index -1.33% 2.64% 0.19% 0.84% 1.51% 2.09% -0.75% 4.14% -3.18% 1.86% 1.25% 0.46% 9.95%
2015 Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
EFPLUS5D Index 2.97% -0.65% 0.31% -1.45% 1.13%
Please see Notes on the next page. Past hypothetical and historical performance
is not a guide to future performance. The levels of the Index incorporate a fee
of 0.85% per annum.
Sources: Bloomberg and J.P.Morgan.
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com May 2015
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Glossary
-------- --------------------------------------------------------
VOO Vanguard S & P 500 ETF
-------- --------------------------------------------------------
VEA Vanguard FTSE Developed Markets ETF
-------- --------------------------------------------------------
VWO Vanguard FTSE Emerging Markets ETF
-------- --------------------------------------------------------
VB Vanguard Small-Cap ETF
-------- --------------------------------------------------------
SCZ iShares([R]) MSCI EAFE Small-Cap ETF
-------- --------------------------------------------------------
TLT iShares([R]) 20+ Year Treasury Bond ETF
-------- --------------------------------------------------------
IEF iShares([R]) 7-10 Year Treasury Bond ETF
-------- --------------------------------------------------------
LQD iShares([R]) iBoxx $ Investment Grade Corporate Bond ETF
-------- --------------------------------------------------------
TIP iShares([R]) TIPS Bond ETF
-------- --------------------------------------------------------
VCSH Vanguard Short-Term Corporate Bond ETF
-------- --------------------------------------------------------
JNK SPDR([R]) Barclays High Yield Bond ETF
-------- --------------------------------------------------------
HYS PIMCO 0-5 Year High Yield Corporate Bond Index ETF
-------- --------------------------------------------------------
BKLN PowerShares Senior Loan Portfolio
-------- --------------------------------------------------------
PFF iShares([R]) U.S. Preferred Stock ETF
-------- --------------------------------------------------------
EMB iShares([R]) J.P. Morgan USD Emerging Markets Bond ETF
-------- --------------------------------------------------------
GDX Market Vectors([R]) Gold Miners ETF
-------- --------------------------------------------------------
VNQ Vanguard REIT ETF
-------- --------------------------------------------------------
MLPI ETRACS Alerian MLP Infrastructure Index ETN
-------- --------------------------------------------------------
DBC PowerShares DB Commodity Index Tracking Fund
-------- --------------------------------------------------------
IAU iShares([R]) Gold Trust
-------- --------------------------------------------------------
JPCAUS3M JPMorgan Cash Index USD 3 Month
-------- --------------------------------------------------------
Key Risks
[] Our affiliate, J.P. Morgan Securities plc, or JPMS plc, is the index
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 is under no obligation to consider your interest as an investor with
returns linked to the Index.
[] The level of the Index will include the deduction of a fee of 0.85% per annum.
[] The Index was established on December 31, 2014 and therefore has a limited
operating history.
[] There are risks associated with a momentum -based investment strategy. If
market conditions do no represent a continuation of prior observed trends, the
performance of the Index, which is rebalanced based on prior trends, may be
adversely affected.
[] The Index comprises notional assets and liabilities. There is no actual
portfolio of assets to which any person is entitled or in which any person has
any ownership interest.
[] The Index may not be successful, may not outperform any alternative strategy
and may not achieve its target volatility of 5%.
[] The Index may be partially uninvested if the cash index is included in the
Monthly Reference Portfolio.
[] The investment strategy used to construct the index involves monthly
rebalancing and weighting constraints that are applied to the Basket
Constituents.
[] Changes in the values of the Basket Constituents may offset each other.
[] The commodity futures contracts underlying the PowerShares DB Commodity
Index Tracking Fund are subject to uncertain legal and regulatory regimes.
[] Investments linked to the index may be issued by J.P. Morgan. In this case,
the value of the investment and any payment owed on the investment will be
subject to the credit risk of J.P. Morgan.
[] The performance of the Index, and therefore any return on an investment
linked to the Index, may be based in part on the performance of an ETN issued
by UBS AG. As such, you will be exposed to the credit risk of UBS AG to the
extent the Index has an allocation to the ETN.
[] An investment linked to the Index is subject to risks associated with
non-U.S. securities markets (including emerging markets, and currency exchange
risk), small capitalization stocks, preferred stocks, fixed income securities
and loans (including interest-rate related risks and credit risk), risks
associated with the real estate industry and MLPs, and risks associated with
investments in commodity futures contracts and gold.
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in any relevant product supplement,
underlying supplement, term sheet or pricing supplement." DISCLAIMER
JPMorgan Chase & 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, underlying supplement, the relevant termsheet 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, underlying supplement and termsheet 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.
333-199966
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com May 2015
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Notes
1. Hypothetical, historical performance measures: Represents the performance of
the Index based on the hypothetical back-tested closing levels from November 1,
2007 through December 31, 2014 and actual performance from January 1, 2015 to
April 30, 2015, as well as the actual performance of the S & 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). The "S & P 500 Index (Excess Return)" and
"Barclays Aggregate Bond Index (Excess Return)" refer to hypothetical indices
constructed from the total returns of the relevant index with the returns of
the Cash Index deducted. There is no guarantee the Efficiente Plus 5 Index will
outperform the S & P 500 Index (Excess Return), the Barclays Aggregate Bond Index
(Excess Return) or any alternative investment strategy.
2. Volatility: the annualized standard deviation of the relevant index's
arithmetic daily returns as of November 1, 2007. Volatility levels are
calculated from the hypothetical and historical returns, as applicable to the
relevant measurement period, of the Efficiente Plus 5 Index, S & P 500 Index
(Excess Return), and the Barclays Aggregate Bond Index (Excess Return)." 3.
Sharpe Ratio: a measure of risk-adjusted performance, and is computed as the
annualized hypothetical and historical return since November 1, 2007 divided by
the annualized volatility since November 1, 2007.
4. Correlation: the performance of the relevant index to the Efficiente Plus 5
Index, calculated based on the daily returns since November 1, 2007.
5. For time periods prior to the launch of any Exchange-Traded Constituent and
such Exchange-Trade Constituents' initial satisfaction of a minimum size and
liquidity standard, the hypothetical back-testing uses alternative performance
information derived from a related index, after deducting hypothetical expenses
and fees, rather than performance information for such ETF.
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 back-tested models designed
with the benefit of hindsight. No representation is made that in the future the
relevant indices will have the volatility or returns 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.
6. Hypothetical, historical performance measures: Represents the monthly and
full calendar year performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical back tested daily closing levels
from December 31, 2007 through December 31, 2014, and the actual historical
performance of the Index based on daily closing levels from January 1, 2015
through April 30, 2015. YTD reflects the year to date performance of the Index
from the last business day of the previous calendar year through, and including
April 30, 2015. The hypothetical historical values above have not been verified
by an independent third party. The back-tested, hypothetical historical results
above have inherent limitations. These back-tested results are achieved by
means of a retroactive application of a back-tested model designed with the
benefit of hindsight. No representation is made that an investment linked to
the Index will or is likely to achieve returns similar to those shown.
Alternative modelling techniques or assumptions would produce different
hypothetical historical information that might prove to be more appropriate and
that might differ significantly from the hypothetical historical information in
the table. Actual results will vary, perhaps materially, from the analysis
implied in the hypothetical historical information that forms part of the
information contained in the table.
Please see Key Risks on page 3 for additional information.
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com May 2015
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J.P. Morgan Efficiente Plus 5 Index (Net ER) Hypothetical Back-Tested and
Historical Weightings J.P. Morgan Efficiente Plus 5 Index (Net ER) Weightings -- 2013 to Present
2015 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
May 0% 10% 15% 10% 0% 15% 20% 0% 0% 10% 0% 0% 0% 10% 0% 0% 0% 0% 0% 0% 10%
April 10% 10% 0% 0% 0% 20% 15% 0% 0% 0% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 25%
March 20% 10% 0% 0% 0% 20% 20% 0% 5% 5% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 0%
February 20% 10% 0% 0% 0% 20% 20% 0% 10% 0% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 0%
January 20% 10% 0% 0% 0% 20% 20% 0% 10% 0% 0% 0% 0% 10% 0% 10% 0% 0% 0% 0% 0%
2014 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 20% 10% 0% 0% 0% 20% 20% 0% 5% 0% 0% 0% 0% 10% 0% 10% 0% 5% 0% 0% 0%
November 20% 0% 0% 0% 5% 20% 20% 0% 0% 0% 0% 0% 0% 10% 5% 10% 0% 10% 0% 0% 0%
October 20% 0% 0% 0% 15% 20% 10% 0% 0% 0% 0% 0% 0% 10% 10% 5% 0% 10% 0% 0% 0%
September 10% 0% 0% 0% 20% 20% 0% 0% 10% 0% 0% 0% 0% 10% 10% 10% 0% 10% 0% 0% 0%
August 20% 0% 0% 0% 20% 20% 0% 0% 0% 0% 0% 0% 0% 10% 10% 10% 0% 10% 0% 0% 0%
July 10% 0% 0% 0% 5% 20% 0% 10% 0% 0% 5% 0% 0% 10% 10% 10% 10% 10% 0% 0% 0%
June 20% 0% 0% 5% 0% 20% 0% 0% 10% 0% 0% 0% 0% 10% 10% 10% 5% 10% 0% 0% 0%
May 20% 0% 0% 5% 0% 20% 0% 0% 0% 0% 15% 0% 0% 10% 0% 10% 0% 10% 10% 0% 0%
April 20% 5% 0% 5% 0% 10% 0% 0% 20% 0% 20% 5% 0% 10% 0% 5% 0% 0% 0% 0% 0%
March 10% 10% 0% 10% 0% 10% 0% 0% 20% 0% 20% 10% 0% 10% 0% 0% 0% 0% 0% 0% 0%
February 10% 10% 0% 10% 0% 0% 0% 0% 20% 5% 20% 10% 10% 5% 0% 0% 0% 0% 0% 0% 0%
January 20% 0% 10% 10% 0% 0% 0% 0% 0% 10% 15% 10% 10% 0% 0% 0% 0% 0% 0% 0% 15%
2013 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 15% 10% 0% 10% 0% 0% 0% 0% 0% 5% 5% 10% 10% 0% 0% 0% 0% 0% 0% 0% 35%
November 20% 10% 0% 5% 0% 0% 0% 0% 0% 5% 0% 5% 0% 0% 0% 0% 0% 5% 0% 0% 50%
October 15% 10% 0% 10% 0% 0% 0% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 0% 0% 0% 50%
September 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 50%
August 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 50%
July 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 50%
June 20% 10% 0% 0% 0% 5% 0% 0% 0% 10% 5% 10% 10% 10% 0% 5% 0% 10% 0% 0% 5%
May 0% 0% 20% 10% 0% 20% 5% 0% 0% 0% 10% 10% 0% 5% 0% 10% 0% 10% 0% 0% 0%
April 0% 10% 5% 10% 0% 5% 5% 0% 5% 0% 20% 10% 0% 10% 0% 10% 0% 10% 0% 0% 0%
March 0% 0% 15% 10% 0% 0% 0% 0% 20% 5% 20% 10% 0% 10% 0% 0% 0% 10% 0% 0% 0%
February 0% 0% 20% 10% 0% 5% 5% 0% 0% 0% 20% 10% 10% 10% 0% 0% 0% 10% 0% 0% 0%
January 0% 0% 20% 10% 0% 5% 0% 0% 20% 0% 20% 10% 5% 0% 10% 0% 0% 0% 0% 0% 0%
Please see the Glossary on page 3 for definitions related to the
exchange-traded constituent tickers. Please see Key Risks on page 3 for
additional information. Source: J.P. Morgan.
Hypothetical and Historical weightings: Represents the monthly allocations to
each exchange-traded constituent in the Index based on the hypothetical
allocations of the exchange-traded constituents from January 1, 2013 to
December 31, 2014 and actual historical allocations of the exchange-traded
constituents to the Index from January 1, 2015 through April 30, 2015. The
hypothetical monthly allocations are obtained from hypothetical back-testing of
the algorithm used to construct the Index and should not be considered
indicative of the actual weights that would be assigned to the applicable
exchange-traded constituents during the term of your investment linked to the
Index. J.P. Morgan provides no assurance or guarantee that the actual
performance of the Index would result in the allocations among the
exchange-traded constituents consistent with the hypothetical allocations
displayed in the preceding charts. The hypothetical historical weights above
have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. Alternative
modeling techniques or assumptions would produce different hypothetical
allocation information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical allocations set forth
above. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical allocations contained in the table above.
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com April 2015
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J.P. Morgan Efficiente Plus 5 Index (Net ER) Hypothetical Back-Tested
Weightings J.P. Morgan Efficiente Plus 5 Index (Net ER) Weightings -- 2010 to 2012
2012 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 0% 0% 10% 0% 0% 0% 0% 0% 20% 0% 20% 10% 0% 10% 10% 0% 0% 10% 10% 0% 0%
November 0% 0% 0% 0% 0% 10% 0% 0% 20% 10% 5% 10% 10% 10% 10% 0% 15% 0% 0% 0% 0%
October 0% 0% 0% 0% 0% 20% 5% 0% 20% 0% 20% 0% 0% 10% 10% 0% 10% 0% 0% 5% 0%
September 0% 0% 0% 0% 0% 20% 0% 0% 20% 0% 20% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0%
August 10% 0% 0% 0% 0% 20% 10% 0% 20% 0% 0% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0%
July 0% 0% 0% 0% 0% 20% 0% 0% 20% 0% 20% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0%
June 20% 0% 0% 0% 0% 20% 0% 0% 20% 0% 10% 10% 0% 10% 0% 10% 0% 0% 0% 0% 0%
May 20% 0% 0% 0% 0% 15% 15% 0% 0% 0% 0% 10% 10% 10% 0% 10% 0% 10% 0% 0% 0%
April 15% 0% 0% 0% 0% 15% 0% 5% 5% 0% 5% 10% 10% 10% 10% 5% 0% 10% 0% 0% 0%
March 20% 5% 0% 0% 0% 20% 5% 10% 5% 0% 0% 10% 10% 5% 0% 0% 0% 10% 0% 0% 0%
February 15% 0% 0% 0% 0% 20% 10% 0% 0% 0% 5% 10% 10% 5% 0% 0% 0% 10% 0% 0% 15%
January 10% 0% 0% 0% 0% 20% 15% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 5% 0% 0% 40%
2011 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 5% 0% 0% 0% 0% 20% 5% 0% 0% 0% 0% 0% 5% 0% 0% 0% 0% 10% 0% 5% 50%
November 15% 0% 0% 0% 0% 15% 20% 5% 0% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 25%
October 5% 0% 0% 0% 0% 20% 20% 0% 0% 0% 10% 0% 0% 0% 10% 0% 0% 0% 0% 0% 35%
September 10% 0% 0% 0% 0% 15% 20% 10% 0% 5% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 20%
August 0% 0% 0% 0% 0% 20% 20% 10% 0% 0% 10% 0% 0% 0% 10% 10% 0% 0% 10% 10% 0%
July 0% 10% 0% 0% 0% 20% 20% 10% 0% 0% 0% 0% 0% 10% 0% 10% 0% 0% 10% 10% 0%
June 10% 5% 0% 0% 0% 10% 0% 0% 5% 0% 20% 10% 5% 10% 0% 10% 0% 0% 10% 5% 0%
May 5% 10% 0% 0% 0% 0% 0% 5% 0% 5% 0% 10% 10% 10% 0% 0% 0% 10% 10% 10% 15%
April 10% 10% 0% 0% 0% 0% 0% 5% 0% 0% 0% 10% 10% 10% 0% 0% 0% 10% 10% 0% 25%
March 10% 10% 0% 0% 0% 0% 0% 5% 0% 10% 10% 10% 10% 0% 0% 0% 0% 10% 10% 0% 15%
February 0% 10% 0% 0% 0% 0% 0% 5% 5% 10% 20% 10% 10% 0% 0% 0% 0% 10% 10% 0% 10%
January 0% 10% 0% 0% 0% 0% 5% 0% 0% 10% 10% 10% 10% 10% 0% 0% 0% 10% 5% 10% 10%
2010 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 0% 0% 0% 10% 5% 0% 20% 0% 5% 0% 10% 10% 10% 10% 10% 0% 0% 10% 0% 0% 0%
November 0% 0% 0% 0% 5% 0% 20% 0% 20% 0% 10% 10% 0% 10% 10% 0% 0% 10% 0% 5% 0%
October 0% 0% 0% 0% 0% 20% 20% 0% 10% 0% 0% 10% 0% 5% 10% 5% 0% 10% 0% 10% 0%
September 0% 0% 0% 0% 0% 20% 20% 0% 10% 0% 0% 10% 0% 5% 10% 5% 0% 10% 0% 10% 0%
August 0% 0% 0% 0% 0% 20% 20% 0% 5% 0% 5% 10% 0% 0% 10% 10% 0% 10% 0% 10% 0%
July 0% 0% 0% 0% 0% 20% 20% 0% 10% 0% 0% 10% 0% 0% 10% 10% 0% 10% 0% 10% 0%
June 0% 10% 0% 0% 0% 20% 20% 0% 0% 5% 0% 10% 10% 10% 0% 5% 0% 10% 0% 0% 0%
May 0% 5% 0% 0% 0% 0% 5% 0% 15% 10% 5% 10% 10% 10% 10% 10% 0% 10% 0% 0% 0%
April 0% 0% 0% 0% 0% 0% 0% 10% 15% 10% 10% 10% 10% 10% 5% 10% 0% 10% 0% 0% 0%
March 0% 0% 0% 0% 0% 0% 15% 10% 0% 10% 20% 10% 10% 10% 0% 5% 0% 10% 0% 0% 0%
February 0% 0% 0% 0% 0% 0% 0% 10% 10% 10% 20% 10% 10% 0% 10% 0% 0% 10% 0% 10% 0%
January 5% 0% 0% 0% 0% 0% 0% 5% 15% 10% 15% 10% 10% 5% 10% 0% 0% 10% 0% 5% 0%
Please see the Glossary on page 3 for definitions related to the
exchange-traded constituent tickers. Please see Key Risks on page 3 for
additional information. Source: J.P. Morgan.
Hypothetical and Historical weightings: Represents the monthly allocations to
each exchange-traded constituent in the Index based on the hypothetical
allocations of the exchange-traded constituents from January 1, 2010 to
December 31, 2012. The hypothetical monthly allocations are obtained from
hypothetical back-testing of the algorithm used to construct the Index and
should not be considered indicative of the actual weights that would be
assigned to the applicable exchange-traded constituents during the term of your
investment linked to the Index. J.P. Morgan provides no assurance or guarantee
that the actual performance of the Index would result in the allocations among
the exchange-traded constituents consistent with the hypothetical allocations
displayed in the preceding charts. The hypothetical historical weights above
have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. Alternative
modeling techniques or assumptions would produce different hypothetical
allocation information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical allocations set forth
above. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical allocations contained in the table above.
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com April 2015
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J.P. Morgan Efficiente Plus 5 Index (Net ER) Hypothetical Back-Tested
Weightings J.P. Morgan Efficiente Plus 5 Index (Net ER) Weightings -- November 2007 to 2009
2009 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 0% 0% 0% 5% 0% 5% 0% 5% 20% 10% 5% 10% 10% 0% 10% 0% 0% 10% 0% 10% 0%
November 0% 0% 0% 5% 0% 0% 0% 10% 20% 10% 5% 10% 10% 5% 10% 0% 0% 5% 0% 5% 5%
October 0% 0% 0% 10% 0% 0% 0% 0% 20% 10% 5% 10% 10% 5% 10% 0% 0% 0% 0% 0% 20%
September 0% 0% 0% 5% 0% 0% 5% 0% 0% 10% 0% 10% 10% 10% 0% 0% 0% 0% 0% 0% 50%
August 0% 0% 0% 5% 5% 0% 0% 5% 0% 10% 5% 10% 10% 0% 10% 0% 0% 0% 0% 0% 40%
July 0% 0% 0% 0% 5% 0% 0% 10% 0% 10% 0% 10% 10% 0% 10% 0% 0% 5% 0% 5% 35%
June 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 5% 10% 10% 0% 10% 0% 5% 0% 0% 5% 45%
May 0% 0% 0% 0% 0% 0% 10% 0% 15% 10% 0% 10% 10% 0% 10% 0% 0% 0% 0% 10% 25%
April 0% 0% 0% 0% 0% 5% 20% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 5% 0% 5% 50%
March 0% 0% 0% 0% 0% 5% 20% 0% 0% 0% 0% 10% 5% 0% 5% 0% 0% 0% 0% 5% 50%
February 0% 0% 0% 0% 0% 10% 15% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 5% 0% 5% 50%
January 5% 0% 0% 0% 0% 20% 5% 0% 0% 0% 0% 10% 5% 0% 0% 0% 0% 0% 0% 5% 50%
2008 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 0% 5% 0% 0% 0% 20% 10% 0% 0% 0% 0% 10% 0% 0% 5% 0% 0% 0% 0% 5% 45%
November 0% 0% 0% 0% 0% 20% 5% 0% 0% 0% 0% 10% 10% 0% 0% 0% 0% 0% 0% 5% 50%
October 0% 0% 0% 0% 0% 20% 10% 0% 0% 0% 0% 5% 10% 0% 0% 0% 0% 0% 0% 10% 45%
September 0% 10% 0% 0% 0% 20% 0% 0% 0% 0% 0% 0% 10% 0% 0% 10% 0% 0% 0% 0% 50%
August 0% 5% 0% 0% 0% 0% 0% 10% 0% 0% 0% 0% 10% 0% 0% 10% 0% 0% 10% 5% 50%
July 0% 0% 0% 0% 0% 0% 10% 10% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 10% 10% 50%
June 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 15% 0% 0% 5% 0% 0% 0% 0% 10% 10% 50%
May 0% 0% 0% 0% 0% 10% 20% 10% 0% 0% 0% 0% 0% 0% 0% 10% 0% 0% 10% 10% 30%
April 0% 0% 0% 0% 0% 5% 20% 10% 0% 5% 0% 0% 0% 0% 5% 0% 0% 0% 10% 10% 35%
March 0% 0% 0% 0% 5% 10% 20% 10% 0% 5% 0% 0% 0% 0% 10% 0% 0% 0% 10% 10% 20%
February 0% 0% 0% 0% 0% 15% 20% 10% 0% 5% 0% 0% 0% 0% 10% 0% 0% 0% 10% 10% 20%
January 0% 0% 0% 0% 5% 20% 20% 10% 0% 0% 0% 0% 0% 0% 10% 0% 0% 0% 10% 10% 15%
2007 VOO VB VEA SCZ VWO TLT IEF TIP LQD VCSH JNK HYS BKLN PFF EMB VNQ GDX MLPI DBC IAU Cash
December 0% 0% 0% 0% 10% 20% 20% 10% 0% 0% 0% 0% 0% 0% 5% 0% 0% 0% 5% 10% 20%
November 0% 0% 0% 0% 15% 10% 20% 10% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 10% 0% 35%
Please see the Glossary on page 3 for definitions related to the
exchange-traded constituent tickers. Please see Key Risks on page 3 for
additional information. Source: J.P. Morgan.
Hypothetical and Historical weightings: Represents the monthly allocations to
each exchange-traded constituent in the Index based on the hypothetical
allocations of the exchange-traded constituents from November 1, 2007 to
December 31, 2009. The hypothetical monthly allocations are obtained from
hypothetical back-testing of the algorithm used to construct the Index and
should not be considered indicative of the actual weights that would be
assigned to the applicable exchange-traded constituents during the term of your
investment linked to the Index. J.P. Morgan provides no assurance or guarantee
that the actual performance of the Index would result in the allocations among
the exchange-traded constituents consistent with the hypothetical allocations
displayed in the preceding charts. The hypothetical historical weights above
have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. Alternative
modeling techniques or assumptions would produce different hypothetical
allocation information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical allocations set forth
above. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical allocations contained in the table above.
J.P. Morgan Structured Investments | 800 579 3529 | JPM_Structured_Investments@jpmorgan.com April 2015
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