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Comparative Hypothetical Total Returns (%), Volatility (%) and Correlation --
June 30, 2015
Annualized Return Annualized Volatility Sharpe Ratio
since Correlation since
Three Year Five Year since December since December 31st, December
31st, December 31st,
back tested daily Index closing le Annualized Return Annualized Return 31st, 2007 2007 2007
2007
----------------------------------------- ----------------- ----------------- ----------------- ---------------------
------------------ -----------------
JPMorgan ETF Efficiente 10 TR Series X
7.55% 8.98% 7.42% 8.94% 0.83
100.00%
Index
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------------------ -----------------
SandP 500 Total Return Index 17.29% 17.33% 6.94% 22.44% 0.31
41.36%
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Barclays U.S. Aggregate Bond Index (Total
1.83% 3.35% 4.43% 3.92% 1.13
12.17%
Return)
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Notes
Hypothetical, historical performance measures: Represents the performance of
the JP Morgan ETF Efficiente 10 TR Series X Index based on, as applicable to
the relevant measurement period, the hypothetical backtested daily closing
levels through September 28, 2014, and the actual historical performances from
September 29, 2014 through June 30, 2015, as well as the actual performance of
the SandP 500 Total Return Index and the Barclays U.S. Aggregate Bond Index
(Total 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 JPMorgan ETF Efficiente 10 TR Series X Index will outperform the
SandP 500 Total Index, the Barclays U.S. Aggregate Bond Index (Total Return) or
any alternative investment strategy. Sources: Bloomberg and JPMorgan.
SandP 500 Total Return Index represents the total returns of the SandP 500 Index.
Barclays U.S. Aggregate Bond Index (Total Return) represents the returns of the
Barclays U.S. Aggregate Bond Index
Volatility: hypothetical, historical annualized volatility levels are presented
for informational purposes only. Volatility levels are calculated from the
hypothetical returns, as applicable to the relevant measurement period, of the
JPMorgan ETF Efficiente 10 TR Series X, SandP 500 Total Return Index, and the
Barclays Aggregate Bond Index.
Volatility represents the annualized standard deviation of the relevant index's
arithmetic daily returns since December 31, 2007. The Sharpe Ratio, which is a
hypothetical measure of risk-adjusted performance, is computed as the
annualized historical return since December 31, 2007 divided by the annualized
volatility since December 31, 2007.
Correlation : Correlation refers to the performance of the relevant index to
the JP Morgan ETF Efficiente 10 TR Series X Index.
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
JPMorgan ETF Efficiente 10 TR Series X Index (the "Index") is different from a
strategy that seeks long-term exposure to a portfolio consisting of constant
components with fixed weights. The Index 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 constituents may reduce the performance
of the Index--performances among the constituents comprising the index from
time to time (the "Constituents") may become highly correlated from time to
time during the term of your investment. High correlation during periods of
negative returns among 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 Index.
Our affiliate, JPMS plc, is the Index sponsor 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.
The Index may not be successful, may not outperform any alternative strategy
related to the Constituents, or may not achieve its target volatility of 10%.
The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Constituents by asset type and geographical region that may
reduce your return.
Changes in the value of the 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 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 was established on September 29, 2014 and has a limited operating
history.
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.
You may access the Index Rules at www.sec.gov as follows:
http://www.sec.gov/Archives/edgar/data/19617/000095010314007301/crt_dp50333.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
July 01, 2015
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