Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 05 2015 - 2:47PM
Edgar (US Regulatory)
Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated October 5, 2015
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JPMorgan U.S. Sector Rotator TR Series X Index
Performance Update - October 2015
OVERVIEW
JPMorgan U.S. Sector Rotator TR Series X Index (the "Index") is a J.P. Morgan
index that tracks the total return of a monthly reconstituted portfolio of
exchange-traded funds ("ETFs") selected out of a pool of ten U.S. sector ETFs
and a U.S. short term treasury bond ETF based on a momentum and
equal-volatility weighted approach.
Hypothetical and Actual Historical Performance -September 30, 2005 to September
30, 2015
Hypothetical and Actual Historical Volatility - through September 30, 2015
Key Features of the Index
The Index selects from a universe of 11 ETFs covering 10 US Sector ETFs and 1
Short Term Treasury Bond ETF.
Monthly rebalancing on the top 5 positive performing US Sector ETFs with an
allocation to the Short Term Treasury Bond ETF otherwise Volatility mitigation
monthly mechanism as the strategy deleverages by allocating to the Short Term
Treasury Bond ETF in high volatility regime.
Hypothetical and
Actual Historical
Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
----------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2015 -0.53% -0.40% -2.38% -1.22% 0.50% -1.14% 1.01% -5.86% 0.29% -9.47%
----------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2014 -4.67% 2.95% 0.06% 2.96% 1.31% 1.62% -2.17% 3.82% -0.89% 1.88% 3.11% -0.59% 8.84%
----------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2013 3.75% 1.26% 4.70% 3.69% -3.05% -0.93% 4.22% -3.25% 1.05% 4.19% 2.58% 2.69% 22.53%
----------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2012 1.43% 4.16% 3.07% 0.27% -1.64% 0.74% 1.24% -0.83% 2.92% -0.75% -1.09% 0.56% 10.37%
----------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2011 3.38% 3.68% -0.09% 4.01% 1.73% -0.84% 0.28% -2.68% -0.04% 0.74% -0.38% 0.59% 10.68%
----------------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
*Represents the monthly and full calendar year performance of the Index based
on, as applicable to the relevant or annual measurement period, the
hypothetical back tested daily Index closing levels from December 31, 2010 to
August 17, 2014, and the actual historical performance of the index based on
the daily closing levels from August 18, 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.
**As calculated through September 30, 2015
Consumer Consumer
Discretionary Staple Select Energy Select Financial Select Health Care Industrial Utilities Select
Materials Technology SPDR Dow iShares 1-3
Select Sector Sector SPDR Sector SPDR Sector SPDR Select Sector Select Sector Sector SPDR
Select Sector Select Sector Jones REIT Year Treasury
Recent Index Composition SPDR Fund Fund Fund Fund SPDR Fund SPDR Fund Fund
SPDR Fund SPDR Fund ETF Bond ETF
------------------------ ------------- ------------- ----------- ------------------ ------------- ------------- ----------------
------------- ------------- ---------- -------------
October 15 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 21.4%
0.0% 0.0% 18.6% 60.0%
------------------------ ------------- ------------- ----------- ------------------ ------------- ------------- ----------------
------------- ------------- ---------- -------------
September 15 0.0% 0.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 0.0% 0.0% 100.0%
------------- ------------- ----------- ------------------ ------------- ------------- ----------------
------------- ------------- ---------- -------------
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
*Represents the
October 01, 2015
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- September 30, 2015
Three Year Five Year Ten Year Annualized Ten Year Annualized Ten Year Sharpe
Ten Year
Annualized Return Annualized Return Return Volatility Ratio
Correlation
---------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
JPMorgan U.S. Sector Rotator TR Series X
6.20% 10.61% 9.13% 12.54% 0.73
100.00%
Index
---------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
SandP 500 Total Return Index 12.38% 13.34% 6.80% 20.67% 0.33
68.04%
---------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
Barclays U.S. Aggregate Bond Index
1.71% 3.09% 4.63% 3.75% 1.24
-22.72%
(Total Return)
---------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
-----------
Notes
Hypothetical, historical performance measures: Represents the performance of
the JPMorgan U.S. Sector Rotator TR Series X Index based on, as applicable to
the relevant measurement period, the hypothetical backtested daily closing
levels through August 17, 2014 and actual performance from August 18, 2014
through September 30, 2015, as well as the actual performance of the SandP 500
Total Return Index and the Barclays U.S. Aggregate Bond Index 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 US
Sector Rotator TR Series X Index will outperform the SandP 500 Total Return
Index , the Barclays U.S. Aggregate Bond Index 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 historical returns, as applicable to the relevant measurement
period, of the JPMorgan US Sector Rotator TR Series X Index, SandP 500 Total
Return Index, and the Barclays U.S. Aggregate Bond Index.
Volatility represents the annualized standard deviation of the relevant index's
arithmetic hypothetical daily returns since September 30, 2005. The Sharpe
Ratio, which is an hypothetical measure of risk-adjusted performance, is
computed as the ten year annualized historical return divided by the ten year
annualized volatility.
Correlation : Correlation refers to the performance of the relevant index to
the JPMorgan U.S. Sector Rotator 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 U.S. Sector Rotator 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 Index 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 and may not outperform any alternative
strategy related to the Constituents.
The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Constituents by asset type that may reduce your return.
Changes in the value of the Constituents may offset each other.
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 August 18, 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/19617/000095010314007302/crt_dp50334-fwp
.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
October 01, 2015
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