J.P. Morgan U.S. Sector Rotator 5 Index (Series 1)
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Performance Update - April 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 -March 31, 2005 to March 31,
2015
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* See "Notes" on following page
Key Features of the Index
o The strategy is based on a universe of 11 investible underlyings (10 ETFs
across U.S. sectors and an ETF representing fixed income exposure)
o Monthly rebalancing of portfolio allocation, with all positions financed by short term
borrowing of cash.
o Targets a volatility of 5%
o Daily deduction of a fee of 0.50% per annum
p Levels published on Bloomberg under the ticker JPUSSC5E.
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Hypothetical and Actual Historical Volatility --September 27, 2005 to March 31,
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% -1.50%
----------- ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
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 March 31, 2015
Recent Index Composition
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J.P. Morgan Structured Investments | 800 576 3529 | JPM_Structured_Investments@jpmorgan.com April 01, 2015
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