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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation - April 30, 2015
Three Year Five Year Ten Year Ten Year Ten Year
One Year Return Annualized Return Annualized Return Annualized Return Annualized Volatility Sharpe Ratio
SandP 500[R] Dividend Aristocrats Risk 6.6% 10.3% 8.0% 5.4% 8.0% 0.68
Control 8% Excess Return Index
SandP 500[R] Index (SPX) 10.7% 14.3% 11.9% 6.1% 20.5% 0.30
SandP 500[R] Dividend Aristocrats Total
13.1% 17.9% 16.1% 10.8% 19.3% 0.56
Return Index
SandP 500[R] Total Return Index (SPTR) 13.0% 16.7% 14.3% 8.3% 20.5% 0.41
Notes on performance, volatility, leverage and, Sharpe Ratio statistics
Hypothetical, historical performance measures: Represent the performance of the
Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing levels from April 29, 2005 through
August 24, 2010, and the actual historical performance of the Index based on the
daily Index closing level from August 25, 2010 through April 30, 2015, as well
as the performance of the SandP 500[R] Index over the same period. 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 relevant Index will outperform the SandP
500[R] Total Return Index, the SandP 500[R] Dividend Aristocrats Total Return
Index or any alternative investment strategy. Sources: Bloomberg and
JPMorgan.Volatility is calculated from the historical returns, as applicable to
the relevant measurement period, of the SandP 500[R] Total Return Index, the
SandP 500[R] Dividend Aristocrats Total Return Index and the SandP 500[R]
Dividend Aristocrats Risk Control 8% Excess Return Index. Volatility represents
the annualized standard deviation of the relevant index's arithmetic daily
returns through April 30, 2015. The index leverage is the hypothetical
back-tested amount of exposure of the Index to the SandP 500[R] Dividend
Aristocrats Total Return Index and should not be considered indicative of the
actual leverage that would be assigned during an investment in the Index. 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 leverage have inherent limitations. These volatility and leverage 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 as shown. Alternative
modeling techniques or assumptions might produce significantly different results
and may prove to be more appropriate. Actual annualized volatilities and
leverage may vary materially from this analysis. Source: Bloomberg and JPMorgan.
Key Risks
O The Index has a limited operating history and may perform in unexpected ways.
The Index began publishing on August 25, 2010 and, therefore, has a limited
history. SandP has calculated the returns that hypothetically might have been
generated had the Index existed in the past, but those calculations are subject
to many limitations and do not reflect actual trading, liquidity constraints,
fees and other costs.
O The Index may not be successful, may not outperform the SandP 500[R] Dividend
Aristocrats Total Return Index and may not achieve its target volatility. No
assurance can be given that the volatility strategy will be successful or that
the Index will outperform the SandP 500[R] Dividend Aristocrats Total Return
Index or any alternative strategy that might be employed to reduce the level of
risk of the SandP 500[R] Dividend Aristocrats Total Return Index . We also can
give no assurance that the Index will achieve its target volatility of 8%.
O The Index is not a total return index, and is subject to short- term money
market fund borrowing costs- As an "excess return" index, the SandP 500[R]
Dividend Aristocrats Risk Control 8% Excess Return Index calculates the return
on a leveraged or deleveraged investment in the SandP 500[R] Dividend
Aristocrats Total Return Index where the investment was made through the use of
borrowed funds. Investments linked to this "excess return" index, which
represents an unfunded position in the SandP 500[R] Dividend Aristocrats Total
Return Index , will be subject to short- term money market fund borrowing costs
and will not include the "total return" feature or the cash component of the
"total return" index, which represents a funded position in the SandP 500[R]
Dividend Aristocrats Total Return Index .
O The Index represents portfolios consisting of the SandP 500[R] Dividend
Aristocrats Total Return Index and a borrowing cost component accruing interest
based on a synthetically rolling 3 - month bond with reference to the 2 - month
and 3 - month U. S. LIBOR rates. The Index dynamically adjusts its exposures to
the SandP 500[R] Dividend Aristocrats Total Return Index based on the SandP
500[R] Dividend Aristocrats Total Return Index's historic volatility. The
Index's' exposure to the SandP 500[R] Dividend Aristocrats Total Return Index
will decrease when historical volatility causes the risk level of the SandP
500[R] Dividend Aristocrats Total Return Index to reach a high threshold. If, at
any time, the Index exhibits low exposure to the SandP 500[R] Dividend
Aristocrats Total Return Index and the SandP 500[R] Dividend Aristocrats Total
Return Index subsequently appreciates significantly, the Index will not
participate fully in this appreciation.
Key Risks Continued
O J. P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with SandP
in developing the guidelines and policies governing the composition and
calculation of the Index. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the
Indices. JPMS is under no obligation to consider your interests as an investor.
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.
Index Disclaimers
"Standard and Poor's[R]," "SandP[R]," "SandP 500[R]," "SandP 500[R] Dividend
Aristocrats," and "SandP 500[R] Dividend Aristocrats Risk Control 8% Excess
Return Index" are trademarks of the McGraw - Hill Companies, Inc. and have been
licensed for use by J. P. Morgan Securities LLC. This transaction is not
sponsored, endorsed, sold or promoted by SandP, and SandP makes no
representation regarding the advisability of purchasing securities generally or
financial instruments issued by JPMorgan Chase and Co. SandP has no obligation
or liability in connection with the administration, marketing, or trading of
products linked to the SandP 500[R] Dividend Aristocrats Risk Control 8% Excess
Return Index.
For more information on the Index and for additional key risk information see
Page 4 of the Strategy Guide at: http://www. sec.
gov/Archives/edgar/data/19617/000095010312003746/dp31802 _fwp-aristocrats. htm
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 May 1, 2015
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