Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated April 4, 2014
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J P M O R G A N E T F E F F I C I E N T E 5 I N D E X H Y P O T H E T I C A L
B A C K - T E S T E D A N D H I S T O R I C A L W E I G H T I N G S
April 4, 2014
1
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S JPMorgan ETF Efficiente 5 Index Historical Weightings
G
J. P. Morgan ETF Efficiente 5 Index (the "Index") Weightings -- Jan 2014 to
Present
2014 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
-------- --- --- --- --- --- --- --- --- --- --- --- --- ----
April 20% 0% 0% 15% 15% 20% 0% 20% 0% 0% 10% 0% 0%
March 20% 10% 0% 10% 20% 20% 0% 0% 0% 0% 0% 20% 0%
-------- --- --- --- --- --- --- --- --- --- --- --- --- ----
February 20% 10% 0% 10% 20% 20% 0% 0% 0% 0% 0% 0% 20%
January 15% 5% 20% 0% 0% 20% 0% 0% 0% 0% 0% 0% 40%
Please see the Glossary on the last page for definitions related to these
exchange traded fund tickers. Please see key risks on the last page for
additional information. Source: J.P. Morgan. The levels of the Index reflect
the performance of the index components above a cash index and incorporate a
daily adjustment factor of 0.50% per annum.
Historical allocations: Represents the monthly allocations of each ETF to the
Index based on the actual historical allocations of the ETFs to the Index from
October 29, 2010 through April 1, 2014. Past allocations to exchange traded
funds are not indicative of actual weights that would be assigned to the ETFs
during the term of your investment.
2
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JPMorgan ETF Efficiente 5 Index Historical Weightings
J. P. Morgan ETF Efficiente 5 Index (the "Index") Weightings -- Jan 2011 to
December 2013
2013 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 20% 10% 5% 0% 0% 10% 0% 0% 5% 0% 0% 0% 50% November 20% 10% 5% 0% 10%
0% 0% 0% 5% 0% 0% 0% 50% October 20% 10% 0% 0% 5% 10% 0% 0% 5% 0% 0% 0% 50%
September 20% 10% 0% 0% 10% 0% 0% 0% 10% 0% 0% 0% 50% August 20% 10% 0% 0% 0%
20% 0% 0% 0% 0% 0% 0% 50% July 20% 10% 0% 0% 0% 20% 0% 0% 0% 0% 0% 0% 50% June
20% 10% 0% 0% 0% 15% 0% 0% 0% 0% 10% 0% 45% May 10% 0% 20% 20% 10% 15% 0% 0% 0%
0% 20% 5% 0% April 0% 10% 20% 15% 0% 20% 0% 0% 0% 0% 20% 0% 15% March 0% 5% 20%
0% 20% 15% 10% 0% 0% 0% 0% 30% 0% February 0% 10% 20% 0% 20% 20% 0% 20% 0% 0%
5% 5% 0% January 0% 0% 20% 0% 20% 20% 5% 20% 0% 0% 0% 15% 0%
2012 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 20% 10% 20% 20% 0% 20% 5% 0% 0% 5% 0% November 0% 0% 20% 20% 20%
10% 0% 20% 0% 10% 0% 0% 0% October 0% 0% 0% 20% 20% 10% 0% 20% 0% 10% 15% 5% 0%
September 10% 0% 0% 20% 15% 15% 0% 20% 0% 0% 20% 0% 0% August 10% 0% 0% 20% 20%
10% 0% 20% 0% 0% 20% 0% 0% July 15% 0% 0% 20% 20% 5% 0% 20% 0% 0% 20% 0% 0%
June 20% 0% 0% 20% 20% 0% 0% 0% 0% 0% 20% 20% 0% May 20% 0% 0% 15% 0% 0% 0% 20%
0% 0% 10% 30% 5% April 20% 0% 0% 10% 15% 10% 0% 20% 0% 0% 0% 25% 0% March 20%
0% 0% 20% 10% 20% 0% 0% 0% 0% 0% 30% 0% February 20% 0% 0% 20% 10% 10% 0% 0% 0%
0% 0% 15% 25% January 0% 0% 0% 20% 0% 20% 0% 10% 0% 0% 0% 10% 40%
2011 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 10% 0% 0% 20% 5% 5% 0% 5% 0% 5% 0% 10% 40% November 15% 0% 0% 20% 5%
0% 0% 5% 0% 10% 0% 5% 40% October 10% 0% 0% 20% 10% 0% 0% 5% 0% 5% 0% 10% 40%
September 10% 0% 0% 20% 0% 0% 0% 15% 0% 10% 0% 15% 30% August 0% 0% 0% 20% 0%
0% 0% 20% 0% 10% 0% 50% 0% July 0% 5% 0% 20% 0% 0% 0% 0% 0% 10% 15% 50% 0% June
20% 0% 0% 0% 20% 20% 0% 0% 0% 10% 15% 15% 0% May 15% 10% 0% 5% 0% 5% 0% 0% 10%
10% 0% 0% 45% April 20% 5% 0% 0% 0% 15% 0% 0% 10% 0% 0% 0% 50% March 20% 5% 0%
0% 0% 15% 0% 0% 10% 0% 0% 15% 35% February 20% 5% 0% 0% 0% 15% 0% 0% 0% 10% 0%
15% 35% January 15% 5% 0% 0% 15% 20% 0% 0% 0% 10% 0% 0% 35%
Please see the Glossary on the last page for definitions related to these
exchange traded fund tickers. Please see key risks on the last page for
additional information. Source: J.P. Morgan. The levels of the Index reflect
the performance of the index components above a cash index and incorporate a
daily adjustment factor of 0.50% per annum.
Historical allocations: Represents the monthly allocations of each ETF to the
Index based on the actual historical allocations of the ETFs to the Index from
October 29, 2010 through December 31, 2013. Past allocations to exchange traded
funds are not indicative of actual weights that would be assigned to the ETFs
during the term of your investment.
3
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JPMorgan ETF Efficiente 5 Index Historical and Hypothetical Back-Tested
Historical Weightings
J. P. Morgan ETF Efficiente 5 Index (the "Index") Weightings -- 2009 through
2010
2010 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 5% 0% 20% 20% 5% 20% 0% 0% 0% 30% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 0% 0% 0% 5% 20% 20% 5% 20% 0% 10% 0% 20% 0%
October 0% 0% 0% 20% 20% 5% 0% 20% 0% 10% 5% 20% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 0% 0% 0% 20% 20% 0% 0% 20% 0% 10% 10% 20% 0%
August 0% 0% 0% 20% 20% 10% 0% 20% 0% 10% 10% 0% 10%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 0% 0% 0% 20% 20% 0% 0% 0% 0% 10% 10% 40% 0%
June 0% 5% 0% 20% 20% 0% 0% 0% 0% 0% 15% 25% 15%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 0% 10% 0% 0% 20% 5% 0% 20% 0% 0% 10% 35% 0%
April 5% 0% 0% 0% 20% 20% 0% 20% 0% 0% 10% 25% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 0% 0% 0% 0% 20% 0% 20% 0% 0% 10% 40% 10%
February 10% 0% 0% 0% 0% 15% 0% 15% 0% 10% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 5% 0% 0% 0% 5% 20% 0% 20% 0% 0% 5% 40% 5%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2009 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
December 5% 0% 0% 5% 20% 10% 0% 20% 0% 10% 0% 30% 0%
November 0% 0% 0% 0% 20% 15% 0% 20% 0% 10% 0% 25% 10%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
October 0% 0% 5% 0% 20% 15% 0% 20% 0% 5% 0% 5% 30%
September 0% 0% 5% 0% 15% 10% 0% 20% 0% 0% 0% 5% 45%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
August 0% 0% 0% 0% 15% 5% 5% 20% 0% 5% 0% 5% 45%
July 0% 0% 0% 0% 15% 0% 5% 20% 0% 10% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
June 0% 0% 0% 0% 10% 10% 0% 20% 0% 10% 0% 0% 50%
May 0% 0% 0% 0% 20% 0% 0% 20% 0% 10% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
April 0% 0% 0% 20% 20% 0% 0% 10% 0% 0% 0% 0% 50%
March 0% 0% 0% 20% 15% 0% 0% 10% 0% 5% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
February 0% 0% 0% 20% 15% 0% 0% 5% 0% 10% 0% 0% 50%
January 0% 5% 0% 20% 10% 0% 0% 10% 0% 5% 0% 0% 50%
Please see the Glossary on the last page for definitions related to these
exchange traded fund tickers. Please see key risks on the last page for
additional information. Source: J.P. Morgan. Past allocations to exchange
traded funds are not indicative of actual weights that would be assigned to the
ETFs during the term of your investment. The levels of the Index reflect the
performance of the index components above a cash index and incorporate an daily
adjustment factor of 0.50% per annum.
Historical allocations : Represents the monthly allocations of each ETF to the
Index based on the actual historical allocations of the ETFs to the Index from
October 29, 2010 through December 31, 2010
Hypothetical, historical allocations: Represents the monthly allocations of
each ETF to the Index based on the actual historical allocations of the ETFs to
the Index from October 29, 2010 through December 31, 2010. The hypothetical
monthly allocations are obtained from hypothetical back-testing of the
algorithm used to construct the Index and should not be considered indicative
of the actual weights that would be assigned to the applicable exchange traded
funds during the term of your investment linked to the Index. J.P. Morgan
provides no assurance or guarantee that the actual performance of the Index
would result in the allocations among the exchange traded funds consistent with
the hypothetical allocations displayed in the preceding charts. The
hypothetical historical weights above have not been verified by an independent
third party. The back-tested, hypothetical historical results above have
inherent limitations. Alternative modelling techniques or assumptions would
produce different hypothetical allocation information that might prove to be
more appropriate and that might differ significantly from the hypothetical
historical allocations set forth above. Actual results will vary, perhaps
materially, from the analysis implied in the hypothetical allocations contained
in the table above.
4
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JPMorgan ETF Efficiente 5 Index Hypothetical Back-Tested Historical Weightings
J. P. Morgan ETF Efficiente 5 Index (the "Index") Weightings -- 2006 through
2008
2008 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 0% 20% 15% 0% 0% 10% 0% 5% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 0% 5% 0% 20% 15% 0% 0% 5% 0% 5% 0% 0% 50%
October 0% 0% 0% 20% 0% 0% 0% 20% 0% 10% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 0% 10% 0% 20% 0% 0% 0% 5% 5% 0% 10% 0% 50%
August 0% 10% 0% 0% 0% 20% 0% 5% 10% 5% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 0% 0% 0% 5% 0% 0% 0% 20% 10% 5% 10% 30% 20%
June 0% 0% 0% 0% 0% 20% 0% 10% 10% 10% 0% 15% 35%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 0% 0% 0% 5% 5% 0% 0% 20% 10% 5% 5% 35% 15%
April 0% 0% 0% 5% 0% 5% 0% 20% 10% 10% 0% 25% 25%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 0% 0% 0% 5% 0% 5% 20% 10% 10% 0% 30% 20%
February 0% 0% 0% 0% 0% 10% 0% 20% 10% 10% 0% 45% 5%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 0% 0% 0% 20% 0% 0% 5% 10% 5% 10% 0% 35% 15%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2007 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
December 0% 0% 0% 20% 10% 0% 10% 0% 5% 5% 0% 35% 15%
November 0% 0% 0% 20% 0% 0% 10% 0% 10% 10% 0% 10% 40%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
October 0% 0% 0% 20% 5% 0% 15% 0% 10% 0% 0% 10% 40%
September 0% 0% 0% 20% 0% 0% 15% 0% 10% 5% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
August 0% 0% 0% 20% 5% 0% 15% 0% 10% 0% 0% 35% 15%
July 10% 0% 5% 0% 0% 15% 10% 0% 10% 0% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
June 20% 0% 20% 0% 0% 20% 0% 0% 0% 0% 0% 0% 40%
May 10% 0% 20% 0% 20% 20% 5% 15% 0% 0% 0% 0% 10%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
April 0% 0% 20% 0% 20% 20% 5% 10% 0% 10% 0% 0% 15%
March 0% 0% 20% 5% 20% 20% 0% 15% 0% 0% 20% 0% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
February 20% 0% 20% 0% 0% 20% 0% 5% 0% 0% 20% 0% 15%
January 15% 0% 15% 10% 5% 20% 0% 20% 0% 0% 15% 0% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2006 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 15% 0% 0% 20% 5% 20% 0% 15% 0% 0% 20% 0% 5%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 5% 0% 0% 20% 10% 20% 0% 20% 0% 0% 20% 0% 5%
October 0% 0% 0% 20% 0% 0% 0% 20% 0% 0% 20% 20% 20%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 0% 0% 5% 0% 10% 0% 0% 10% 0% 10% 15% 0% 50%
August 5% 0% 5% 0% 0% 10% 0% 5% 0% 5% 20% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 5% 0% 5% 0% 0% 15% 0% 0% 0% 10% 15% 0% 50%
June 0% 0% 20% 0% 0% 15% 0% 0% 0% 10% 5% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 0% 0% 15% 0% 0% 20% 0% 20% 0% 10% 15% 0% 20%
April 0% 5% 10% 0% 0% 20% 0% 20% 0% 10% 15% 0% 20%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 0% 5% 0% 0% 0% 10% 15% 0% 10% 10% 0% 50%
February 0% 0% 10% 0% 0% 0% 10% 15% 0% 10% 5% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 0% 0% 20% 0% 0% 0% 10% 15% 0% 10% 0% 0% 45%
Please see the Glossary on the last page for definitions related to these
exchange traded fund tickers. Please see key risks on the last page for
additional information. Source: J.P. Morgan. Past allocations to exchange
traded funds are not indicative of actual weights that would be assigned to the
ETFs during the term of your investment. The levels of the Index reflect the
performance of the index components above a cash index and incorporate an daily
adjustment factor of 0.50% per annum.
Hypothetical, historical allocations: The hypothetical monthly allocations are
obtained from hypothetical back-testing of the algorithm used to construct the
Index and should not be considered indicative of the actual weights that would
be assigned to the applicable exchange traded funds during the term of your
investment linked to the Index. J.P. Morgan provides no assurance or guarantee
that the actual performance of the Index would result in the allocations among
the exchange traded funds consistent with the hypothetical allocations
displayed in the preceding charts. The hypothetical historical weights above
have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. Alternative
modelling techniques or assumptions would produce different hypothetical
allocation information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical allocations set forth
above. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical allocations contained in the table above.
5
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JPMorgan ETF Efficiente 5 Index Hypothetical Back-Tested Historical Weightings
J. P. Morgan ETF Efficiente 5 Index (the "Index") Weightings -- 2003 through
2005
2005 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 5% 0% 0% 10% 20% 5% 0% 10% 0% 0% 50%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 0% 0% 5% 0% 0% 20% 10% 15% 10% 10% 5% 0% 25%
October 0% 0% 0% 20% 0% 0% 15% 10% 10% 10% 5% 0% 30%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 0% 0% 0% 20% 0% 0% 5% 15% 10% 0% 15% 5% 30%
August 0% 0% 0% 10% 0% 10% 15% 0% 10% 0% 15% 0% 40%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 0% 0% 0% 20% 0% 0% 10% 10% 10% 0% 15% 5% 30%
June 0% 0% 0% 20% 0% 0% 5% 20% 10% 0% 0% 45% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 0% 0% 0% 20% 0% 0% 20% 5% 0% 5% 0% 20% 30%
April 0% 0% 20% 15% 0% 10% 15% 0% 5% 0% 0% 5% 30%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 0% 15% 15% 0% 20% 20% 5% 5% 5% 0% 5% 10%
February 0% 0% 10% 20% 5% 20% 20% 5% 0% 5% 5% 10% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 0% 0% 0% 10% 5% 20% 20% 5% 0% 5% 20% 15% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2004 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
December 0% 0% 0% 15% 0% 20% 15% 10% 5% 10% 10% 15% 0%
November 0% 0% 0% 0% 0% 20% 0% 20% 5% 0% 20% 35% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
October 0% 0% 0% 15% 0% 20% 0% 5% 10% 0% 10% 35% 5%
September 0% 0% 0% 0% 0% 20% 0% 20% 10% 0% 15% 0% 35%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
August 0% 0% 0% 0% 0% 20% 0% 20% 10% 0% 0% 40% 10%
July 15% 10% 0% 0% 0% 10% 0% 0% 10% 0% 5% 10% 40%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
June 20% 0% 5% 0% 0% 15% 0% 0% 10% 0% 0% 35% 15%
May 10% 0% 20% 0% 10% 20% 0% 0% 10% 0% 0% 10% 20%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
April 0% 0% 5% 0% 0% 10% 10% 15% 5% 0% 20% 35% 0%
March 0% 0% 10% 0% 0% 20% 15% 0% 5% 0% 20% 30% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
February 0% 0% 20% 0% 10% 20% 15% 5% 0% 10% 15% 5% 0%
January 0% 0% 15% 0% 0% 20% 20% 5% 5% 10% 10% 10% 5%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2003 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 15% 0% 0% 20% 20% 5% 0% 10% 10% 5% 15%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 0% 10% 10% 0% 0% 20% 20% 5% 5% 10% 0% 10% 10%
October 0% 5% 15% 0% 0% 20% 20% 5% 0% 10% 5% 20% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 0% 10% 5% 10% 0% 20% 20% 5% 0% 0% 10% 0% 20%
August 0% 10% 0% 0% 10% 20% 15% 10% 0% 0% 20% 15% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 0% 10% 0% 0% 20% 20% 5% 20% 0% 0% 20% 5% 0%
June 0% 10% 0% 0% 20% 20% 5% 20% 10% 10% 0% 5% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 0% 0% 0% 0% 20% 20% 5% 20% 10% 0% 0% 25% 0%
April 15% 0% 0% 0% 20% 20% 5% 20% 10% 10% 0% 0% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 0% 0% 0% 20% 20% 0% 20% 10% 10% 0% 20% 0%
February 0% 0% 0% 0% 20% 20% 0% 20% 10% 10% 0% 20% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 0% 0% 0% 0% 20% 0% 0% 20% 10% 10% 0% 40% 0%
Please see the Glossary on the last page for definitions related to these
exchange traded fund tickers. Please see key risks on the last page for
additional information. Source: J.P. Morgan. Past allocations to exchange
traded funds are not indicative of actual weights that would be assigned to the
ETFs during the term of your investment. The levels of the Index reflect the
performance of the index components above a cash index and incorporate an daily
adjustment factor of 0.50% per annum.
Hypothetical, historical allocations: The hypothetical monthly allocations are
obtained from hypothetical back-testing of the algorithm used to construct the
Index and should not be considered indicative of the actual weights that would
be assigned to the applicable exchange traded funds during the term of your
investment linked to the Index. J.P. Morgan provides no assurance or guarantee
that the actual performance of the Index would result in the allocations among
the exchange traded funds consistent with the hypothetical allocations
displayed in the preceding charts. The hypothetical historical weights above
have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. Alternative
modelling techniques or assumptions would produce different hypothetical
allocation information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical allocations set forth
above. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical allocations contained in the table above.
6
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JPMorgan ETF Efficiente 5 Index Hypothetical Back-Tested Historical Weightings
J. P. Morgan ETF Efficiente 5 Index (the "Index") Weightings -- 2000 through
2002
2002 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 0% 20% 0% 0% 0% 20% 10% 0% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 0% 0% 0% 20% 20% 0% 0% 0% 10% 0% 0% 50% 0%
October 0% 0% 0% 20% 10% 0% 0% 0% 10% 10% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 0% 0% 0% 20% 10% 0% 0% 0% 10% 10% 0% 50% 0%
August 0% 0% 0% 20% 5% 0% 0% 0% 10% 10% 5% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 0% 0% 0% 20% 5% 0% 0% 0% 10% 10% 5% 50% 0%
June 0% 0% 0% 0% 0% 0% 20% 5% 10% 10% 5% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 0% 10% 5% 0% 0% 20% 20% 5% 5% 10% 10% 0% 15%
April 0% 10% 0% 0% 0% 20% 20% 5% 0% 10% 15% 0% 20%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 5% 0% 20% 20% 0% 20% 5% 0% 10% 0% 10% 10%
February 0% 5% 0% 20% 20% 0% 20% 5% 0% 10% 0% 0% 20%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 0% 10% 0% 20% 20% 0% 0% 20% 0% 10% 0% 0% 20%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2001 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
December 0% 0% 0% 20% 20% 0% 0% 0% 0% 10% 0% 50% 0%
November 0% 0% 0% 20% 20% 0% 0% 0% 0% 10% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
October 0% 0% 0% 20% 20% 0% 0% 0% 0% 10% 0% 50% 0%
September 0% 0% 0% 20% 20% 0% 0% 0% 0% 0% 20% 40% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
August 0% 0% 0% 10% 20% 0% 0% 0% 0% 0% 20% 50% 0%
July 0% 10% 0% 0% 0% 0% 0% 20% 0% 0% 20% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
June 0% 10% 0% 0% 0% 20% 0% 20% 0% 0% 0% 50% 0%
May 0% 0% 0% 0% 20% 0% 0% 10% 0% 0% 20% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
April 0% 0% 0% 20% 20% 10% 0% 0% 0% 0% 0% 50% 0%
March 0% 0% 0% 20% 20% 10% 0% 0% 0% 0% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
February 0% 0% 0% 10% 20% 20% 0% 20% 10% 0% 0% 20% 0%
January 0% 0% 0% 20% 20% 0% 0% 20% 10% 0% 15% 15% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
2000 SPY IWM EFA TLT LQD HYG EEM EMB GSG GLD IYR TIP Cash
December 0% 0% 0% 20% 0% 0% 0% 20% 10% 0% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
November 0% 0% 0% 20% 20% 10% 0% 20% 10% 0% 0% 20% 0%
October 0% 0% 0% 0% 20% 20% 0% 20% 10% 0% 15% 15% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
September 15% 0% 0% 0% 0% 20% 0% 0% 10% 0% 15% 40% 0%
August 0% 0% 0% 5% 0% 0% 0% 20% 5% 0% 20% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
July 0% 5% 0% 0% 0% 0% 0% 20% 10% 0% 15% 50% 0%
June 0% 5% 0% 0% 0% 0% 0% 20% 10% 0% 15% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
May 5% 5% 0% 0% 0% 0% 5% 20% 10% 0% 10% 45% 0%
April 0% 5% 0% 10% 0% 0% 20% 5% 10% 0% 0% 50% 0%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
March 0% 10% 0% 0% 0% 0% 15% 10% 10% 10% 0% 0% 45%
February 0% 10% 5% 0% 0% 0% 20% 5% 10% 10% 0% 0% 40%
--------- --- --- --- --- --- --- --- --- --- --- --- --- ----
January 0% 0% 20% 0% 0% 0% 20% 5% 10% 10% 0% 0% 35%
Please see the Glossary on the last page for definitions related to these
exchange traded fund tickers. Please see key risks on the last page for
additional information. Source: J.P. Morgan. Past allocations to exchange
traded funds are not indicative of actual weights that would be assigned to the
ETFs during the term of your investment. The levels of the Index reflect the
performance of the index components above a cash index and incorporate an daily
adjustment factor of 0.50% per annum.
Hypothetical, historical allocations: The hypothetical monthly allocations are
obtained from hypothetical back-testing of the algorithm used to construct the
Index and should not be considered indicative of the actual weights that would
be assigned to the applicable exchange traded funds during the term of your
investment linked to the Index. J.P. Morgan provides no assurance or guarantee
that the actual performance of the Index would result in the allocations among
the exchange traded funds consistent with the hypothetical allocations
displayed in the preceding charts. The hypothetical historical weights above
have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. Alternative
modelling techniques or assumptions would produce different hypothetical
allocation information that might prove to be more appropriate and that might
differ significantly from the hypothetical historical allocations set forth
above. Actual results will vary, perhaps materially, from the analysis implied
in the hypothetical allocations contained in the table above.
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Glossary
-------- ------------------------------------------------------
SPY SPDR[R] SandP 500[R] ETF Trust
-------- ------------------------------------------------------
IWM iShares[R] Russell 2000 ETF
-------- ------------------------------------------------------
EFA iShares[R] MSCI EAFE ETF
-------- ------------------------------------------------------
TLT iShares[R] 20+ Year Treasury Bond ETF
-------- ------------------------------------------------------
LQD iShares[R] iBoxx $ Investment Grade Corporate Bond ETF
-------- ------------------------------------------------------
HYG iShares[R] iBoxx $ High Yield Corporate Bond ETF
-------- ------------------------------------------------------
EEM iShares[R] MSCI Emerging Markets ETF
-------- ------------------------------------------------------
EMB iShares[R] J.P. Morgan USD Emerging Markets Bond ETF
-------- ------------------------------------------------------
GSG iShares[R] SandP GSCI[] Commodity-Indexed Trust
-------- ------------------------------------------------------
GLD SPDR[R] Gold Trust
-------- ------------------------------------------------------
IYR iShares[R] U.S. Real Estate ETF
-------- ------------------------------------------------------
TIP iShares[R] TIPS Bond ETF
-------- ------------------------------------------------------
Cash JPMorgan Cash Index USD 3 Month
Key Risks
[] 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.
[] There are risks associated with a momentum-based investment strategy - 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 performance among the Index constituents may reduce Index
performance.
[] Our affiliate, JPMSL, is the Calculation Agent and may adjust the Index in a
way that affects its level--the policies and judgements for which JPMSL is
responsible could have an impact, positive or negative, on the level of the
Index and the value of your investment. JPMSL is under no obligation to
consider your interest as an investor with returns linked to the Index.
[] The Index may be partially uninvested, may not be successful, may not
outperform any alternative strategy related to the Index constituents, or may
not achieve its target volatility of 5%.
[] The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Index constituents by asset type and geographical region.
[] Changes in the value of the Index constituents may offset each other.
[] An investment linked to the Index is subject to risks associated with non-U.
S securities markets, such as emerging markets and currency exchange risk.
[] The Index was established on October 29, 2010 and has a limited operating
history.
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, underlying supplement, the relevant termsheet 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, underlying supplement and termsheet 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.
333-177923
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