Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 06 2015 - 6:02AM
Edgar (US Regulatory)
Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated October 5, 2015
J.P. Morgan U.S. Sector Rotator 5 Index (Series 1)
Performance Update - October 2015
OVERVIEW
The J.P. Morgan U.S. Sector Rotator 5 Index (Series 1) (the "Index" or "U.S.
Sector Rotator 5 Index") is a notional rules-based proprietary index that, on a
monthly basis, tracks the excess return of a synthetic portfolio of (i) up to
five U.S. Sector Constituents, which are U.S. sector exchange-traded funds,
that are selected according to their past month return with a volatility
feature, or, (ii) the U.S. Sector Constituents that meet the selection criteria
and the Bond Constituent, which is the PIMCO Total Return Active
Exchange-Traded Fund.
Hypothetical and Actual Historical Performance -September 30, 2005 to September
30, 2015
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* See "Notes" on following page
Key Features of the Index
The strategy is based on a universe of 11 investible underlyings (10 ETFs
across U.S. sectors and an ETF representing fixed income exposure) Monthly
rebalancing of portfolio allocation, with all positions financed by short term
borrowing of cash.
Targets a volatility of 5%
Daily deduction of a fee of 0.50% per annum
Levels published on Bloomberg under the ticker JPUSSC5E.
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Hypothetical and Actual Historical Volatility --March 30, 2006 to September 30,
2015
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Recent Index Performance
Historical
Performance Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2015 -0.31% -0.32% -0.88% -0.77% 0.17% -0.56% 0.79% -2.46% -0.87% -5.12%
----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2014 -2.39% 1.25% -0.07% 1.24% 0.65% 0.83% -1.33% 2.16% -0.43% 1.41% 0.97% -0.38% 3.88%
----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2013 1.78% 0.43% 2.14% 1.91% -1.18% -0.41% 1.09% -1.47% 1.67% 1.62% 0.91% 1.25% 10.12%
----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2012 0.32% 1.04% 1.50% 0.03% -0.21% 0.60% 0.33% -0.34% 1.23% -0.36% 0.20% 0.13% 4.55%
----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2011 1.26% 1.34% -0.06% 1.14% 0.78% -0.92% 0.91% -1.08% -1.66% 0.89% -0.14% 1.69% 4.16%
----------- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
** As calculated though September 30, 2015
Recent Index Composition
Consumer Consumer
Month Discretionary Staples Select Energy Select Financial Health Care Industrial Utilities Select Materials
Technology iShares US
Select Sector Sector SPDR Sector SPDR Select Sector Select Sector Select Sector Sector SPDR Select Sector
Select Sector Real Estate PIMCO Total Return Active
SPDR Fund Fund Fund SPDR Fund SPDR Fund SPDR Fund Fund SPDR Fund
SPDR Fund ETF Exchange-Traded Fund
------------ ------------- -------------- ------------- ------------- ------------- ------------- ---------------- -------------
------------- ----------- -------------------------
October 15 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.79% 0.00%
0.00% 5.39% 55.31%
------------ ------------- -------------- ------------- ------------- ------------- ------------- ---------------- -------------
------------- ----------- -------------------------
September 15 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00%
0.00% 0.00% 100.00%
------------- -------------- ------------- ------------- ------------- ------------- ---------------- -------------
------------- ----------- -------------------------
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- September 30, 2015
Three Year Five Year Annualized Ten Year Annualized Ten Year Annualized Ten Year
Sharpe
Annualized Return Return Return Volatility Ratio
Ten Year Correlation
--------------------------------------- ----------------- -------------------- ------------------- -------------------
--------------- --------------------
J.P. Morgan U.S. Sector Rotator 5 Index
2.75% 3.99% 3.31% 4.60% 0.72
100.00%
(Series 1)
--------------------------------------- ----------------- -------------------- ------------------- -------------------
--------------- --------------------
S&P 500 Index (Excess Return) 11.93% 12.79% 4.69% 20.70% 0.23
54.38%
--------------------------------------- ----------------- -------------------- ------------------- -------------------
--------------- --------------------
JPM US Gov Bond Index (Excess Return) 1.00% 2.18% 2.43% 4.79% 0.51
-16.21%
Notes
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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 underlying 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 (800) 576-3529.
Free Writing Prospectus filed pursuant to Rule 433; Registration Statement No.
333-199966
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