|
|
Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- August 28, 2015
Three Year Five Year Annualized Ten Year Annualized Ten Year Annualized
Sharpe
Annualized Return(1) Return(1) Return(1) Volatility(2) Ten Year
Correlation(4) Ratio(4)
------------------------------ -------------------- -------------------- ------------------- -----------------
---------------------------- --------
Optimax Market-Neutral Index -3.00% 1.30% 2.00% 5.60% 100.00%
0.35
------------------------------ -------------------- -------------------- ------------------- -----------------
---------------------------- --------
SandP GSCI Excess Return Index -19.60% -7.90% -10.90% 24.20% 1.50%
-0.45
Notes
1 Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested weekly Index closing
levels from August 31, 2005 through May 2, 2008, and the actual historical
performance of the Index based on the weekly Index closing level from May 6,
2008 through August 28, 2015, as well as the performance of the SandP GSCI[]
Excess Return Index ("SandP GSCI[]") over the same period. For the purpose of
the chart illustrated on page 1, each index was set equal to 100 on August 31,
2005. For calculations of recent performance table on page 1 and comparison of
hypothetical and historical performance table on page 2 actual index levels
have been used. There is no guarantee that Optimax will outperform the SandP
GSCI[] or any alternative strategy. Source: Bloomberg and JPMorgan.
(2) Calculated from the historical returns, as applicable to the relevant
measurement period, of the indices using historical rolling daily returns. For
any given day, represents the annualized volatility of each index's arithmetic
daily returns for the 126-index day period preceding that day. The back-tested,
hypothetical, historical annualized volatility has inherent limitations. These
volatility 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 Index and the SandP GSCI[] will
have the volatilities as shown above or that the Index will outperform any
alternative investment strategy. Alternative modeling techniques or assumptions
might produce significantly different results and may prove to be more
appropriate. Actual annualized volatilities may vary materially from this
analysis. Source: Bloomberg and JPMorgan.
(3) On a monthly basis, J.P. Morgan Securities Ltd., or JPMSL, acting as the
Index calculation agent, will rebalance the Index to take synthetic long and
short positions in the Basket Constituents based on mathematical rules that
govern the Index and track the returns of the synthetic portfolio above cash.
The weights for each Basket Constituent will be adjusted to comply with certain
allocation constraints, including constraints on individual Basket
Constituents, as well as the individual sectors. The sum of the weights is
zero.
(4) Volatility and correlation are based on daily returns over the past ten
years. Correlation refers to the degree the applicable index has changed
relative to changes in the JPMorgan Optimax Market-Neutral Index. The Sharpe
Ratio, which is a measure of risk-adjusted performance, is calculated as the
annualized ten year return divided by the annualized ten year volatility.
Key Risks
[] There are risks associated with a momentum-based investment strategy. 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.
[] 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%.
[] The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Basket Constituents by sector and asset type.
[] Changes in the value of the Basket Constituents may offset each other.
[] The Index was established on May 6, 2008 and has a limited operating
history
[] The Index may perform poorly in non-trending 'choppy' markets characterized
by short-term volatility.
[] The reported level of the Index will include the deduction of a fee assessed
at 0.96% per annum.
[] The momentum strategy embedded in the Index may not outperform other
strategies that do not rebalance monthly.
[] The Index is not representative of a pure long-only commodities allocation
and is not designed to replicate commodities markets.
[] Commodities futures contracts are subject to uncertain legal and regulatory
regimes that may adversely affect the timing and amount of your payment at
maturity.
[] Commodities prices may change unpredictably, affecting the Index in
unforeseeable ways.
[] If a negative weighting is assigned to a Basket Constituent, signifying a
short position relative to such constituent, there is an unlimited loss
exposure to such constituent and such exposure may result in a significant drop
in the level of the Index.
[] Our affiliate, JPMSL, is the Calculation Agent and may adjust the Index in a
way that affects its level. JPMSL is under no obligation to consider your
interest as an investor in securities linked to the Index.
Index Disclaimers
The Optimax Market-Neutral Index is not sponsored, endorsed, sold or promoted
by Standard and Poor's, a division of the McGraw-Hill Companies, Inc. Standard
and Poor's makes no representation or warranty, express or implied, of the
ability of the Standard and Poor's Goldman Sachs Commodity Index Excess Return
(the "SandP GSCI[]") or any component sub-index to track general commodity
market performance or any segment thereof respectively. Standard and Poor's'
only relationship to JPMorgan (in such capacity, the "Licensee") is the
licensing of the SandP GSCI[] and any component sub-indices, all of which are
determined, composed and calculated by Standard and Poor's without regard to
the Licensee or the Index. Standard and Poor's has no obligation to take the
needs of the Licensee or the Index into consideration in determining, composing
or calculating the SandP GSCI[] or any component sub-index. The SandP GSCI[]
and the component sub-indices thereof are not owned, endorsed, or approved by
or associated with Goldman Sachs and Co. or its affiliated companies.
For more information on the Index and for additional key risk information see
Page 9 the Strategy Guide at
http ://www.sec.gov/Archives/edgar/data/19617/000095010312005402/dp3
3524_fwp-opti.htm
http ://www.sec.gov/Archives/edgar/data/19617/000095010312005402/crt_
dp33524-fwp.pdf
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.
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
|