Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated March 4, 2015
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J.P. Morgan ETF Efficiente 5 Index
Performance Update - March 2015
OVERVIEW
JPMorgan ETF Efficiente 5 Index (the "Index") is a J.P. Morgan strategy that
seeks to generate returns through investing in exchange traded funds ("ETFs")
and a cash index to provide exposure to a universe of diverse assets based on
the efficient frontier portfolio analysis approach. The Index levels
incorporate an adjustment fee of 0.50% per annum.
Hypothetical and Actual Historical Performance -February 28, 2005 to February
27, 2015
ETF Efficiente
SandP 500 Index (Excess Return)
Barclays Aggregate Bond Index (Excess Return)
Hypothetical and Actual Historical Volatility --through February 27, 2015
ETF Efficiente
SandP 500 Index (Excess Return)
Barclays Aggregate Bond Index (Excess Return) Target Volatility
Key Features of the Index
The strategy is based on a universe of 12 ETFs covering a broad range of assets
and geographic regions, and a cash index. Monthly rebalancing of portfolio
allocation, with all positions financed by short term borrowing of cash.
Targets a volatility of 5%.
Levels published on Bloomberg under the ticker EEJPUS5E.
Historical
Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ----- ----- ---------
2015 2.85% -0.75% 2.07%
------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ----- ----- ---------
2014 -1.68% 1.74% -0.14% 1.10% 1.72% 0.43% -0.70% 2.96% -3.84% 2.87% 1.70% 0.53% 6.67%
------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ----- ----- ---------
2013 -0.37% 0.14% 0.34% 2.93% -4.25% -0.93% 2.21% -1.19% 0.69% 1.25% 0.95% 0.82% 2.41%
------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ----- ----- ---------
2012 0.73% 0.28% -0.85% 1.28% -0.39% 1.43% 2.65% 0.27% 0.03% -0.16% 0.75% 0.72% 6.90%
------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ----- ----- ---------
2011 -0.15% 1.76% 0.51% 1.38% -0.95% -1.26% 3.89% 3.07% 0.45% 1.44% 0.41% 0.64% 11.62%
------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ----- ----- ---------
*Represents the monthly and full calendar year performance of the Index based
on the actual historical performance of the index based on the daily closing
levels from December 31, 2010 to February 27, 2015.
iShares iBoxx $ iShares JP
Investment iShares iBoxx $ Morgan USD
Recent Index iShares 20+ Grade High Yield iShares MSCI Emerging
iShares SandP JPMorgan Cash
SPDR SandP 500 iShares Russell iShares MSCI Year Treasury Corporate Bond Corporate Bond Emerging Markets Bond GSCI
Cmdty- SPDR Gold iShares DJ US iShares TIPS Index USD 3
Composition ETF Trust 2000 ETF EAFE ETF Bond ETF ETF ETF Markets ETF ETF
Indexed Trust Trust Real Estate ETF Bond ETF Month
------------ ------------ --------------- ------------ ------------- --------------- --------------- ------------ ------------
------------- --------- --------------- ------------ -------------
March 15 20.00% 0.00% 0.00% 20.00% 20.00% 0.00% 0.00% 0.00%
0.00% 0.00% 20.00% 0.00% 20.00%
------------ ------------ --------------- ------------ ------------- --------------- --------------- ------------ ------------
------------- --------- --------------- ------------ -------------
February 15 20.00% 5.00% 0.00% 20.00% 20.00% 0.00% 0.00% 0.00%
0.00% 0.00% 20.00% 0.00% 15.00%
------------ ------------ --------------- ------------ ------------- --------------- --------------- ------------ ------------
------------- --------- --------------- ------------ -------------
January 15 20.00% 5.00% 0.00% 20.00% 15.00% 0.00% 0.00% 0.00%
0.00% 0.00% 20.00% 0.00% 20.00%
------------ ------------ --------------- ------------ ------------- --------------- --------------- ------------ ------------
------------- --------- --------------- ------------ -------------
December 14 20.00% 5.00% 0.00% 20.00% 20.00% 0.00% 0.00% 10.00%
0.00% 0.00% 20.00% 0.00% 5.00%
------------ ------------ --------------- ------------ ------------- --------------- --------------- ------------ ------------
------------- --------- --------------- ------------ -------------
November 14 20.00% 5.00% 0.00% 20.00% 15.00% 0.00% 0.00% 15.00%
0.00% 0.00% 20.00% 5.00% 0.00%
============ ============ =============== ============ ============= =============== =============== ============ ============
============= ========= =============== ============ =============
Asset Cap 20.00% 10.00% 20.00% 20.00% 20.00% 20.00% 20.00% 20.00%
10.00% 10.00% 20.00% 50.00% 50.00%
------------ ------------ --------------- ------------ ------------- --------------- --------------- ------------ ------------
------------- --------- --------------- ------------ -------------
Sector Cap 50.00% 50.00% 25.00%
25.00% 50.00%
------------ ------------ ------------- ---------------
------------- ---------------
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
March 02, 2015
|
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- February 27, 2015
Three Year Five Year Ten Year Annualized Ten Year Annualized Ten Year Sharpe
Ten Year
Annualized Return Annualized Return Return Volatility Ratio
Correlation
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
ETF Efficiente Index 5.67% 7.22% 5.27% 5.79% 0.91
100.00%
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
SandP 500 Index (Excess Return) 17.44% 15.61% 5.69% 20.47% 0.28
29.68%
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
Barclays Aggregate Bond Index (Excess
2.27% 3.78% 2.59% 3.70% 0.70
27.34%
Return)
------------------------------------- ----------------- ----------------- ------------------- ------------------- ---------------
Notes
Hypothetical, historical performance measures: Represent the performance of the
ETF Efficiente Index based on, as applicable to the relevant measurement
period, the hypothetical backtested daily closing levels through October 28,
2010, and the actual historical performance of the ETF Efficiente Index based
on the daily closing level from October 29, 2010 through February 27, 2015, as
well as the performance of the SandP 500 Index (Excess Return), and the Barclays
Aggregate Bond Index (Excess Return)
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 ETF
Efficiente Index will outperform the SandP 500 Index (Excess Return), the
Barclays Aggregate Bond Index (Excess Return) or any alternative investment
strategy. Sources: Bloomberg and JPMorgan.
SandP 500 Index (Excess Return) represents a hypothetical index constructed from
the total returns of the SandP 500 Index with the returns of the Cash Index
deducted. Barclays Aggregate Index (Excess Return) represents a hypothetical
index constructed from the returns of the Barclays Aggregate Index with the
returns of the Cash Index deducted.
Volatility: hypothetical, historical six-month annualized volatility levels are
presented for informational purposes only. Volatility levels are calculated
from the historical returns, as applicable to the relevant measurement period,
of the ETF Efficiente Index, SandP 500 Index (Excess Return), and the Barclays
Aggregate Bond Index (Excess Return).
Volatility represents the annualized standard deviation of the relevant index's
arithmetic daily returns since February 28, 2005. 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
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
ETF Efficiente Index (the "Strategy") is different from a strategy that seeks
long-term exposure to a portfolio consisting of constant components with
fixed weights. The Strategy 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 basket constituents may reduce the
performance of strategy--performances among the basket constituents
comprising the index from time to time (the "Basket Constituents") may become
highly correlated from time to time during the term of your investment. High
correlation during periods of negative returns among Basket Constituents
representing any one sector or asset type that have a substantial weighting in
the Strategy could have a material adverse effect on the performance of the
Strategy.
Our affiliate, JPMS plc, is the Calculation Agent 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, may not outperform any alternative strategy
related to the Basket Constituents, or may not achieve its target volatility of
5%.
The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Basket Constituents by asset type and geographical region
that may reduce your return.
Changes in the value of the Basket 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 The Index may be partially uninvested. Any uninvested portion will
earn no return.
The Index has an adjustment factor fee, which causes the Index to trail the
value of a hypothetical identically constituted synthetic portfolio without a
similar fee.
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.
For more information on the Index and for additional key risk information see
Page 9 of the Strategy Guide at
http ://www.sec.gov/Archives/edgar/data/19617/000095010313004247/crt_dp39512-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
March 02, 2015
|