Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated September 2, 2015
 |
J.P. Morgan Efficiente Plus DS 5 Index (Net ER)
Performance Update - September 2015
OVERVIEW
The J.P.Morgan Efficiente Plus DS 5 Index (Net ER) (the "Index") is a J.P.
Morgan strategy that seeks to provide exposure to a range of asset classes and
geographic regions based on the modern portfolio theory approach to asset
allocation. The index utilizes the rapidly growing investment options available
with ETFs . The Index selects from a basket of 19 ETFs, 1 exchange-traded note
and a cash index ("the Basket Constituents"). The index targets an annualized
realized volatility of 5% on a daily basis by varying the exposure it takes to
a basket whose weights are allocated monthly in accordance with a rules-based
methodology (the "Monthly Reference Portfolio"). The Index increases its
exposure to the Monthly Reference Portfolio when the volatility of the
portfolio decreases and decreases the exposure when the volatility of the
Monthly Reference Portfolio increases. The Index levels incorporate the daily
deduction of a fee of 0.85% per annum.
Hypothetical and Actual Historical Performance -November 01, 2007 to August 31,
2015
250
Efficiente Plus DS 5 Index
SandP 500 Index (Excess Return)
200 Barclays Aggregate Bond Index (Excess Return)
Hypothetical and Actual Historical Volatility -- from May 02, 2008 through
August 31, 2015
70%
Efficiente Plus DS 5 Index SandP 500 Index (Excess Return)
60% Barclays Aggregate Bond Index (Excess Return) Target Volatility
50%
Key Features of the Index
Exposure to developed market equities, bonds, loans, preferred stock,
emerging markets, alternative investments including REITs, MLPs, commodity
futures and gold Each month, the index rebalances into the best-performing
portfolio over the past six months with volatility at or below 5%, subject to
weighting constraints and diversification criteria .
The Index targets an annualized realized volatility of 5% on a daily basis
using a mechanism that varies the exposure of the Index to the Monthly
Reference Portfolio, based on the one month historical volatility of the
portfolio, and reflects the weighted performance of its underlying assets in
excess of a cash index.
Index levels published on Bloomberg under the ticker EFPLUS5D.
Historical
Performance* Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ------ ----- ---------
2015 2.65% -0.75% -0.07% -1.96% -0.57% -1.79% 0.21% -3.83% -6.07%**
------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ------ ----- ---------
2014 -1.48% 2.11% 0.19% 0.84% 1.51% 2.10% -0.76% 2.67% -2.69% 1.15% 1.23% 0.30% 7.27%
------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ------ ----- ---------
2013 0.97% 0.23% 1.22% 1.75% -3.15% -0.89% 0.85% -1.88% 1.59% 1.61% 1.07% 1.39% 4.71%
------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ------ ----- ---------
2012 1.44% 0.53% -0.69% 1.35% -1.04% 1.56% 2.35% 0.23% -0.07% 0.06% -1.26% 0.25% 4.74%
------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ------ ----- ---------
2011 0.74% 2.12% -0.14% 2.05% -1.75% -1.06% 2.49% 1.23% -0.18% 1.01% 0.20% 1.20% 8.10%
------------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ----- ------ ----- ---------
*Represents the monthly and full calendar year performance of the Index based
on, as applicable to the relevant monthly or annual measurement period, the
hypothetical back tested daily Index closing levels from December 31, 2010 to
December 31, 2014, and the actual historical performance of the Index based on
the daily Index closing levels from January 1, 2015 to August 31, 2015. See the
last paragraph under "Notes" on page 2 for important information about the
limitations of using hypothetical historical performance measures.
** As calculated through August 31, 2015
iShares iBoxx
Vanguard Vanguard $ Investment
Vanguard
FTSE FTSE iShares MSCI iShares 20+ iShares 7-10 Grade
Short-Term
Vanguard Developed Emerging Vanguard EAFE Small- Year Treasury Year Treasury Corporate
iShares TIPS Corporate
SandP 500 ETF Markets ETF Markets ETF Small-Cap ETF Cap ETF Bond ETF Bond ETF Bond ETF
Bond ETF Bond ETF
------------- ----------- ----------- ------------- ------------ ----------- ------------ -------------
------------ ----------
Recent Index Composition VOO VEA VWO VB SCZ TLT IEF LQD
TIP VCSH
------------------------ ------------- ----------- ----------- ------------- ------------ ----------- ------------ -------------
------------ ----------
September 15 0.0% 0.0% 0.0% 0.0% 10.0% 0.0% 20.0% 0.0%
0.0% 10.0%
------------------------ ------------- ----------- ----------- ------------- ------------ ----------- ------------ -------------
------------ ----------
August 15 20.0% 10.0% 0.0% 0.0% 10.0% 0.0% 0.0% 0.0%
0.0% 0.0%
PIMCO 0-5
Year High iShares J.P.
PowerShares
SPDR[R] Yield Morgan USD ETRACS DB
Barclays High Corporate PowerShares iShares U.S. Emerging Market Alerian MLP Commodity
Yield Bond Bond Index Senior Loan Preferred Markets Bond Vectors[R] Gold Vanguard Infrastructure Index
iShares Gold JPMorgan Cash
Recent Index Composition ETF ETF Portfolio Stock ETF ETF Miners ETF REIT ETF Index ETN Tracking
Fund Trust Index USD 3 Month
---------- ------------ ----------- ------------ ------------ ---------- ----------
-------------------------- ------------ -----------------
(Continued) JNK HYS BKLN PFF EMB GDX VNQ MLPI DBC
IAU JPCAUS3M
------------------------ ---------- ------------ ----------- ------------ ------------ ---------- ---------- --------------
----------- ------------ -----------------
September 15 0.0% 0.0% 0.0% 10.0% 5.0% 0.0% 0.0% 0.0% 0.0%
0.0% 45.0%
------------------------ ---------- ------------ ----------- ------------ ------------ ---------- ---------- --------------
----------- ------------ -----------------
August 15 0.0% 0.0% 5.0% 5.0% 0.0% 0.0% 0.0% 0.0% 0.0%
0.0% 50.0%
September 01, 2015
|
 |
Comparative Hypothetical and Historical Annualized Returns (%), Annualized
Volatility (%), Sharpe Ratio, Correlation and Average Allocations -- August 31,
2015
Annualized
Average
3 Year 5 Year Annualized Volatility Sharpe Ratio Correlation
Allocation
Annualized Annualized Return (Since (Since Nov 1, (Since Nov 1, (Since Nov 1, 3 Year Average 5 Year
Average (Since Nov 1,
Return Return Nov 1, 2007) 2007) 2007) 2007) Allocation Allocation
2007)
----------------------------- ---------- ---------- ------------- ------------- ------------- ------------- ------------
---------------- -------------
Efficiente Plus DS 5 Index 1.45% 3.84% 5.26% 5.27% 1.00 100.00% 86.00% 85.87%
80.70%
----------------------------- ---------- ---------- ------------- ------------- ------------- ------------- ------------
---------------- -------------
SandP 500 (Excess Return) 13.85% 15.31% 4.55% 22.42% 0.20 29.11% N/A N/A
N/A
----------------------------- ---------- ---------- ------------- ------------- ------------- ------------- ------------
---------------- -------------
Barclays Aggregate Bond Index
1.12% 2.49% 3.33% 3.93% 0.85 26.42% N/A N/A
N/A
(Excess Return)
----------------------------- ---------- ---------- ------------- ------------- ------------- ------------- ------------
---------------- -------------
Notes
Hypothetical, historical performance measures: Represents the performance of
the Index based on the hypothetical back-tested closing levels from November 1,
2007 through December 31, 2014 and actual performance from January 1, 2015 to
August 31, 2015. As well as the actual performance of the SandP 500 (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). The "SandP 500 Index (Excess Return)" and
"Barclays Aggregate Bond Index (Excess Return)" refer to hypothetical indices
constructed from the total returns of the relevant index with the returns of
the Cash Index deducted. There is no guarantee the Efficiente Plus DS 5 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.
Average Allocations: the sum of the weights of the Exchange-Trade Constituents
within the monthly portfolio (or, in the event the Index is in the process of
rebalancing, the weighted average of each weight within the respective monthly
portfolios), multiplied by the exposure of the Index to the relevant portfolio
or portfolios.
Correlation: the performance of the relevant index to the Efficiente Plus DS 5
Index, calculated based on the ten year annualized return.
Volatility: the annualized standard deviation of the relevant index's
arithmetic daily returns since May 2, 2008. Volatility levels are calculated
from the hypothetical and historical returns, as applicable to the relevant
measurement period, of the Efficiente Plus DS 5 Index, SandP 500 Index (Excess
Return), and the Barclays Aggregate Bond Index (Excess Return)." Sharpe Ratio:
a measure of risk-adjusted performance, and is computed as the annualized
hypothetical and historical return since November 1, 2007 divided by the
annualized volatility since November 1, 2007.
For time periods prior to the launch of any Exchange-Traded Constituent and
such Exchange-Trade Constituents' initial satisfaction of a minimum size and
liquidity standard, the hypothetical back-testing uses alternative performance
information derived from a related index, after deducting hypothetical expenses
and fees, rather than performance information for such ETF.
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
Our affiliate, J.P. Morgan Securities PLC, or JPMS PLC, is the index
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 is under no obligation to consider your interest as an investor with
returns linked to the Index. The level of the Index will include the deduction
of a fee of 0.85% per annum.
The Index was established on December 31, 2014 and therefore has a limited
operating history. There are risks associated with a momentum -based investment
strategy.
The Index comprises notional assets and liabilities. There is no actual
portfolio of assets in which any person is entitled or in which any person has
any ownership interest. The Index may not be successful, may not outperform any
alternative strategy and may not achieve its target volatility of 5%.
The Index may be partially uninvested if the cash index is included in the
Monthly Reference Portfolio or if the exposure of the Index to the monthly
reference portfolio is less than 100% on any day. The Index may provide
exposure to any Basket Constituent in excess of the weighting constraint
specified for that Basket Constituent.
The investment strategy used to construct the index involves monthly
rebalancing and weighting constraints that are applied to the Basket
Constituents and daily adjustments to the exposure to the Monthly Reference
Portfolio.
Changes in the values of the Basket Constituents may offset each other.
Each Basket Constituent composing the Index may be replaced by a substitute
constituent.
The commodity futures contracts underlying the PowerShares DB Commodity Index
Tracking Fund are subject to uncertain legal and regulatory regimes.
CDs linked to the Index may be subject to the credit risk of two issuers since
any return on an investment linked to the Index that reflects the performance
of the Index is subject to the credit risk of us, as well as the issuer of the
exchange-traded note.
The Index should not be compared to any other index or strategy sponsored by
any of our affiliates and cannot necessarily be considered a revised, enhanced
or modified version of any other J.P. Morgan index.
An investment linked to the Index is subject to risks associated with non-U.S.
securities markets (including emerging markets, and currency exchange risk),
small capitalization stocks, preferred stocks, fixed income securities and
loans (including interest-rate related risks and credit risk), risks associated
with the real estate industry and MLPs, and risks associated with investments
in
The risks identified above are not exhaustive. You should also review carefully
the related "Risk Factors" section in any relevant product supplement,
underlying supplement, term sheet or pricing supplement.
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
|