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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- as of March 31, 2014
Three Year Five Year Ten Year Ten Year
Ten Year
One Year Return Annualized Return Annualized Return Annualized Return Annualized Volatility
Sharpe Ratio
------------------------------------- --------------- ----------------- ----------------- ----------------- ---------------------
SandP 500[R] Dividend Aristocrats Risk
10.1% 8.3% 9.8% 5.12% 7.97%
0.64
Control 8% Excess Return Index
SandP 500[R] Index (SPX) 19.3% 12.2% 18.6% 5.21% 20.42%
0.26
------------------------------------- --------------- ----------------- ----------------- ----------------- ---------------------
SandP 500[R] Dividend Aristocrats Total
18.7% 17.6% 24.0% 10.27% 19.29%
0.53
Return Index
SandP 500[R] Total Return Index (SPTR) 21.9% 14.7% 21.2% 7.42% 20.42%
0.36
Notes on performance, volatility, leverage and, Sharpe Ratio statistics
Hypothetical, historical performance measures: Represent the performance of the
Index based on, as applicable to the relevant measurement period, the
hypothetical backtested daily Index closing levels from March 31, 2004 through
August 24, 2010, and the actual historical performance of the Index based on the
daily Index closing level from August 25, 2010 through March 31, 2014, as well
as the performance of the SandP 500[R] Index over the same period. For purposes
of these examples, each index was
equal to 100 at the beginning of the relevant measurement period and returns are
calculated arithmetically (not compounded). There is no guarantee the relevant
Index will outperform the SandP 500[R] Total Return Index, the SandP 500[R]
Dividend Aristocrats Total Return Index or any alternative investment strategy.
Sources: Bloomberg and JPMorgan.
Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the SandP 500[R] Total Return Index, the SandP
500[R] Dividend Aristocrats Total Return Index and the SandP 500[R] Dividend
Aristocrats Risk Control 8% Excess Return Index. Volatility represents the
annualized standard deviation of the relevant index's arithmetic daily returns
through September 30, 2013. The index leverage is the hypothetical back-tested
amount of exposure of the Index to the SandP 500[R] Dividend Aristocrats Total
Return Index and should not be considered indicative of the actual leverage that
would be assigned during an investment in the Index. The Sharpe Ratio, which is
a measure of risk-adjusted performance, is computed as the ten year annualized
historical return divided by the ten year annualized volatility.
The back-tested, hypothetical, historical annualized volatility and index
leverage have inherent limitations. These volatility and leverage 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 as shown. Alternative
modeling techniques or assumptions might produce significantly different results
and may prove to be more appropriate. Actual annualized volatilities and
leverage may vary materially from this analysis. Source: Bloomberg and JPMorgan.
Key Risks
The Index has a limited operating history and may perform in unexpected ways.
The Index began publishing on August 25, 2010 and, therefore, has a limited
history. SandP has calculated the returns that hypothetically might have been
generated had the Index existed in the past, but those calculations are subject
to many limitations and do not reflect actual trading, liquidity constraints,
fees and other costs.
The Index may not be successful, may not outperform the SandP 500[R] Dividend
Aristocrats Total Return Index and may not achieve its target volatility. No
assurance can be given that the volatility strategy will be successful or that
the Index will outperform the SandP 500[R] Dividend Aristocrats Total Return
Index or any alternative strategy that might be employed to reduce the level of
risk of the SandP 500[R] Dividend Aristocrats Total Return Index . We also can
give no assurance that the Index will achieve its target volatility of 8%.
The Index is not a total return index, and is subject to short-term money market
fund borrowing costs-- As an "excess return" index, the SandP 500[R] Dividend
Aristocrats Risk Control 8% Excess Return Index calculates the return on a
leveraged or deleveraged investment in the SandP 500[R] Dividend Aristocrats
Total Return Index where the investment was made through the use of borrowed
funds. Investments linked to this "excess return" index, which represents an
unfunded position in the SandP 500[R] Dividend Aristocrats Total Return Index ,
will be subject to short-term money market fund borrowing costs and will not
include the "total return" feature or the cash component of the "total return"
index, which represents a funded position in the SandP 500[R] Dividend
Aristocrats Total Return Index .
The Index represents portfolios consisting of the SandP 500[R] Dividend
Aristocrats Total Return Index and a borrowing cost component accruing interest
based on a synthetically rolling 3-month bond with reference to the 2-month and
3-month U.S. LIBOR rates. The Index dynamically adjusts its exposures to the
SandP 500[R] Dividend Aristocrats Total Return Index based on the SandP 500[R]
Dividend Aristocrats Total Return Index's historic volatility. The Index's'
exposure to the SandP 500[R] Dividend Aristocrats Total Return Index will
decrease when historical volatility causes the risk level of the SandP 500[R]
Dividend Aristocrats Total Return Index to reach a high threshold. If, at any
time, the Index exhibits low exposure to the SandP 500[R] Dividend Aristocrats
Total Return Index and the SandP 500[R] Dividend Aristocrats Total Return Index
subsequently appreciates significantly, the Index will not participate fully in
this appreciation.
Key Risks Continued
J.P. Morgan Securities LLC ("JPMS"), one of our affiliates, worked with SandP
in developing the guidelines and policies governing the composition and
calculation of the Index. The policies and judgments for which JPMS was
responsible could have an impact, positive or negative, on the level of the
Indices. JPMS is under no obligation to consider your interests as an investor.
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.
Index Disclaimers
"Standard and Poor's[R]," "SandP[R]," "SandP 500[R]," "SandP 500[R] Dividend
Aristocrats," and "SandP 500[R] Dividend Aristocrats Risk Control 8% Excess
Return Index" are trademarks of the McGraw-Hill Companies, Inc. and have been
licensed for use by J.P. Morgan Securities LLC. This transaction is not
sponsored, endorsed, sold or promoted by SandP, and SandP makes no
representation regarding the advisability of purchasing securities generally or
financial instruments issued by JPMorgan Chase and Co. SandP has no obligation
or liability in connection with the administration, marketing, or trading of
products linked to the SandP 500[R] Dividend Aristocrats Risk Control 8% Excess
Return Index.
For more information on the Index and for additional key risk information see
Page 4 of the Strategy Guide at:
http://www.sec.gov/Archives/edgar/data/19617/000095010312000084/crt_dp28021-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
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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