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Monthly Performance
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2008 -1.50% 0.72% -1.64% 1.24% 2.17% -1.86% -1.61% -0.05% -8.64% 29.57% 10.80% -0.73% 26.85%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2009 -0.04% 7.38% 0.84% 1.36% 2.83% 3.80% 1.81% 3.17% 3.53% -1.18% 2.96% 4.52% 35.44%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2010 0.21% 0.28% 3.33% -0.62% -0.45% -4.15% 4.82% 1.92% 1.97% 3.59% 1.32% 4.39% 17.53%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2011 1.71% 1.95% 0.14% 2.60% 2.07% -0.07% -1.65% -6.26% 9.03% -5.69% 1.39% 1.55% 6.05%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2012 4.17% 3.28% 2.32% 0.16% 0.94% 1.30% 0.49% 2.14% 1.40% 1.28% 0.48% 1.14% 20.78%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2013 1.16% -0.27% 1.48% -1.10% -0.39% -0.51% 1.67% 0.22% 1.67% 1.35% 0.83% -0.27% 5.94%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
2014 -0.47% -2.90% 1.45% -0.18% 1.38% 1.34% -0.92% 1.49% -0.02% 1.09%
---- ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ------ ---------
Source: J.P. Morgan Past performance is not a guide to future performance.
Performance relates to the period January 1(st), 2008 to Sep 30(th), 2014.
Performance before August 2011 is provided on a back-tested basis only.
DISCLAIMER
This factsheet provides generic information regarding the J.P. Morgan Volemont
Strategy -- U.S. Equity (Series 1) (USD) (the "Strategy"), which may be
referenced by some types of products. Nothing herein constitutes a
recommendation, offer or solicitation to buy or sell any securities,
participate in any transaction or adopt any investment strategy or as legal,
tax, regulatory or accounting advice. The information contained in this
factsheet is as of the date specified below, and neither J.P. Morgan nor any of
its affiliates or subsidiaries or their respective directors, officers,
employees, representatives or agents (each a "Relevant Person") is under any
obligation to update such information. This factsheet has been prepared by the
specific trading area and is not a product of J.P. Morgan's research
department.
None of the Relevant Persons makes any representation or warranty, whatsoever,
express or implied, as to the results that may be obtained through the use of
the J.P. Morgan Volemont Strategy -- U.S. Equity (Series 1) (USD) (the
"Strategy"). Each Relevant Person hereby expressly disclaims all warranties of
accuracy, completeness, merchantability, or fitness for a particular purpose
with respect to any information contained in this document or the Rules
relating to the indices in the Series and no Relevant Person shall have any
liability (direct or indirect, punitive, consequential or otherwise) to any
person even if notified of the possibility of any such damages.
During the course of their normal business, any Relevant Person may enter into
or promote, offer or sell transactions or investments (structured or otherwise)
linked to the Strategy and/or any of the indices referenced in the Strategy. In
addition, any Relevant Person may have, or may have had, interests or
positions, or may buy, sell or otherwise trade positions in or relating to the
Strategy or any of the indices referenced therein or related derivatives, or
may invest or engage in transactions with other persons, or on behalf of such
persons relating to these items. Such activity may or may not have an impact on
the performance of the Strategy. Neither J.P. Morgan nor its affiliates or
subsidiaries have any duty to consider the circumstances of any person when
participating in such transactions or to conduct themselves in a manner that is
favourable to anyone with exposure to the Strategy.
This factsheet is not intended to provide the full details of the Strategy and
should be regarded as illustrative only. Persons interested in the Strategy
should refer to the official "Volemont Strategy Rules" (the "Rules") for a
complete description of the rules and operating methodology. Copies of the
Rules are available from J.P. Morgan. No person should make an evaluation of
the advantages and disadvantages of any financial instrument linked to the
Strategy or otherwise participating in any transaction referencing the Strategy
on the basis of this document. Such evaluation should be made solely on the
basis of the information contained in the relevant offering document or final
transaction documents when available and the Rules. All persons should conduct
their own investigations and consult with their own professional advisors when
evaluating the Strategy without reliance on any Relevant Person (as defined
above). None of the Relevant Persons is a fiduciary or advisor to any person
interested in gaining exposure to the Strategy.
Any "backtesting" information provided herein is illustrative only and derived
from proprietary models based on certain data (which may or may not correspond
with the data that someone else would use to back-test the Strategy) and
assumptions and estimates (not all of which may be specified herein and which
are subject to change without notice). The results obtained from different
models, assumptions, estimates and/or data may be materially different from the
results presented herein and such "backtesting" information should not be
considered indicative of the actual results that might be obtained from an
investment or participation in a financial instrument or transaction
referencing the Strategy. J.P. Morgan expressly disclaims any responsibility
for (i) the accuracy or completeness of the models, assumptions, estimates and
data used in deriving the "backtesting" information, (ii) any errors or
omissions in computing or disseminating the "backtesting" information, and
(iii) any uses to which the "backtesting" information may be put by any
recipient of such information.
The J.P. Morgan Volemont Strategy -- U.S. Equity (Series 1) (USD) has been live
since 30th April 2013.
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
Risk Factors
The description of investment risks that follows is not, and does not purport
to be, exhaustive. This document is a description of the proprietary Strategy
and not of any particular product. Therefore, investors should carefully read
and understand the terms of the particular product prior to investing in it.
Market Risk: The Strategy derives its returns from notional variance swaps
referencing the SandP 500 Index (the "Index"). The underlying equity Index
presents investment risks.
Potential Conflicts of Interest: Potential conflicts of interest may exist in
the structure and operation of the Strategy and in the course of the normal
business activities of J.P. Morgan or any of its affiliates or subsidiaries or
their respective directors, officers, employees, representatives, delegates or
agents.
Lack of Operating History: The Strategy is only recently established and
therefore has limited history to evaluate its likely performance. Any
back-testing or similar analysis performed in respect of the Strategy must be
considered illustrative only and may be based on estimates or assumptions not
used by the Strategy Calculation Agent when determining the level of the Index
pursuant to the Strategy Rules. Past performance should not be considered
indicative of future performance.
Excess Return: The Strategy is an excess return strategy which means it
measures the returns accrued from notional investments in uncollateralised
assets (ex. Futures and swaps). It doesn't reflect the return you might receive
on cash you don't need to post as collateral.
No one may reproduce or disseminate the information contained in this document
without the prior written consent of J.P. Morgan. These materials are not
intended for distribution to, or use by any person or entity in any
jurisdiction or country where such distribution or use would be contrary to law
or regulation. In particular, these materials are not intended for distribution
to any person in the United States or to or for the account of any "U.S.
person," as defined in Regulation S under the US Securities Act. In the United
Kingdom, these materials shall only be available to persons of a kind described
in Article 19(5) of the Financial Services and Markets Act 2000 (Financial
Promotion) Order 2005 and specifically not to any private customers. In other
countries, these materials are available for distribution only to persons
regarded as professional investors (or the equivalent) in their home
jurisdiction.
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All authorised and regulated by the Financial Services Authority.
Copyright 2014 JP Morgan Chase and Co. All Rights reserved. Additional
information is available upon request.
November 11, 2014
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