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Dated November 18, 2014
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J . P . M O R G A N U . S . S E C T O R R O T A T O R 5 I N D E X ( S E R I E S 1 ) 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 A C T U A L H I S T O R I C A L W E I G H T I N G S November 2014 |
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J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) Hypothetical Back-Tested and Actual Historical Constituent Weightings J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) (the "Index") Weightings -- 2012 to November 2014 2014 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND November 0.00% 7.80% 0.00% 0.00% 4.37% 4.32% 6.51% 0.00% 0.00% 8.45% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- October 0.00% 11.08% 0.00% 0.00% 8.87% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% September 8.88% 9.72% 0.00% 0.00% 8.15% 8.38% 6.47% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- August 9.59% 0.00% 0.00% 10.88% 8.85% 0.00% 0.00% 0.00% 10.48% 15.84% 0.00% July 13.32% 0.00% 9.06% 13.07% 14.15% 0.00% 8.93% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- June 8.96% 0.00% 0.00% 0.00% 10.37% 0.00% 0.00% 9.66% 10.33% 13.35% 0.00% May 0.00% 12.32% 7.42% 0.00% 0.00% 6.94% 8.98% 0.00% 0.00% 12.59% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- April 0.00% 13.16% 9.05% 7.86% 0.00% 0.00% 9.09% 0.00% 0.00% 0.00% 30.55% March 5.85% 0.00% 6.77% 0.00% 6.42% 0.00% 0.00% 7.02% 7.99% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- February 0.00% 0.00% 0.00% 0.00% 6.87% 0.00% 8.29% 0.00% 0.00% 9.80% 50.03% January 11.09% 0.00% 10.16% 0.00% 0.00% 8.81% 0.00% 8.73% 11.07% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- 2013 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 8.07% 0.00% 0.00% 8.08% 10.06% 11.14% 0.00% 0.00% 11.32% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- November 0.00% 8.17% 7.14% 0.00% 6.48% 7.40% 0.00% 0.00% 7.97% 0.00% 0.00% October 10.01% 0.00% 0.00% 9.00% 0.00% 8.55% 0.00% 7.17% 0.00% 5.57% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- September 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 8.31% 0.00% 0.00% 81.93% August 0.00% 0.00% 0.00% 9.23% 9.92% 7.91% 7.72% 8.78% 0.00% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- July 5.46% 5.19% 0.00% 0.00% 5.27% 0.00% 5.50% 0.00% 0.00% 0.00% 17.51% June 8.79% 0.00% 6.83% 7.47% 7.87% 7.79% 0.00% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- May 6.38% 6.97% 0.00% 0.00% 6.45% 0.00% 8.84% 0.00% 0.00% 7.07% 0.00% April 8.42% 12.88% 0.00% 8.95% 11.12% 0.00% 12.30% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- March 0.00% 10.94% 0.00% 6.40% 9.83% 7.42% 12.14% 0.00% 0.00% 0.00% 0.00% February 7.96% 0.00% 6.31% 7.51% 8.91% 7.25% 0.00% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- January 0.00% 0.00% 0.00% 7.92% 0.00% 9.79% 0.00% 7.75% 0.00% 11.48% 43.60% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- 2012 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- December 6.92% 8.51% 0.00% 0.00% 0.00% 5.88% 0.00% 5.71% 5.76% 0.00% 0.00% November 0.00% 0.00% 0.00% 7.80% 8.05% 0.00% 12.00% 0.00% 0.00% 0.00% 100.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- October 8.26% 0.00% 6.22% 6.50% 12.51% 0.00% 0.00% 5.50% 0.00% 0.00% 0.00% September 10.23% 0.00% 7.54% 9.87% 0.00% 0.00% 0.00% 7.52% 9.38% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- August 0.00% 8.69% 4.52% 0.00% 6.70% 0.00% 10.61% 0.00% 0.00% 7.65% 0.00% July 0.00% 0.00% 0.00% 3.96% 6.96% 0.00% 10.44% 4.40% 0.00% 4.95% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- June 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% May 6.09% 9.71% 0.00% 0.00% 0.00% 0.00% 10.74% 0.00% 0.00% 6.92% 32.46% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- April 8.40% 0.00% 0.00% 4.94% 9.54% 0.00% 0.00% 0.00% 8.64% 9.15% 0.00% March 10.69% 15.32% 8.81% 6.55% 0.00% 0.00% 0.00% 0.00% 10.04% 0.00% 0.00% --------- ------ ------ ------ ------ ------ ------ ------ ----- ------ ------ ------- February 0.00% 0.00% 0.00% 5.98% 0.00% 7.23% 0.00% 5.76% 10.20% 8.81% 0.00% January 0.00% 6.89% 0.00% 3.00% 5.36% 0.00% 5.63% 0.00% 0.00% 4.09% 0.00% 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 level of the Index reflect the performance of the index components above a cash index and incorporates the deduction of a fee of 0.50% per annum. Hypothetical, historical allocations: Represents the hypothetical monthly allocations through May 2013 and the actual allocations from June 2013 through November 2014.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. 1 |
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J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) Hypothetical Back-Tested Historical Constituent Weightings J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) (the "Index") Weightings -- 2009 through 2011 2011 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 0.00% 5.67% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 96.37% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- November 0.00% 0.00% 2.54% 2.02% 0.00% 2.89% 0.00% 2.30% 0.00% 2.41% 0.00% October 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 5.73% 0.00% 0.00% 0.00% 100.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- September 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 2.92% 0.00% 0.00% 0.00% 91.45% August 0.00% 0.00% 4.64% 0.00% 0.00% 0.00% 9.26% 0.00% 5.71% 5.51% 47.59% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- July 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% June 0.00% 12.45% 0.00% 0.00% 11.61% 0.00% 10.73% 0.00% 0.00% 0.00% 100.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- May 9.62% 14.87% 0.00% 0.00% 10.08% 0.00% 8.65% 0.00% 0.00% 8.05% 0.00% April 0.00% 9.01% 4.23% 0.00% 7.02% 4.95% 0.00% 4.55% 0.00% 0.00% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- March 5.51% 12.14% 4.81% 5.59% 0.00% 0.00% 0.00% 0.00% 0.00% 7.95% 0.00% February 0.00% 0.00% 6.88% 5.97% 0.00% 9.33% 0.00% 0.00% 8.31% 7.50% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- January 0.00% 0.00% 7.20% 6.19% 0.00% 8.13% 0.00% 7.38% 10.00% 0.00% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- 2010 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- December 6.86% 0.00% 5.01% 0.00% 0.00% 5.96% 0.00% 4.52% 0.00% 0.00% 21.34% November 7.75% 0.00% 6.59% 0.00% 0.00% 0.00% 0.00% 4.70% 7.76% 8.90% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- October 4.77% 0.00% 5.22% 0.00% 6.99% 4.69% 0.00% 0.00% 6.12% 0.00% 0.00% September 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6.62% 0.00% 0.00% 0.00% 100.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- August 0.00% 0.00% 4.19% 0.00% 0.00% 3.61% 5.09% 3.34% 0.00% 3.14% 0.00% July 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- June 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% May 5.61% 0.00% 5.26% 4.11% 0.00% 6.33% 0.00% 0.00% 0.00% 3.54% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- April 8.89% 0.00% 0.00% 8.63% 0.00% 8.80% 0.00% 6.46% 0.00% 6.34% 0.00% March 6.13% 8.42% 0.00% 0.00% 0.00% 4.67% 0.00% 3.71% 0.00% 4.31% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- February 0.00% 0.00% 0.00% 0.00% 6.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% January 8.35% 0.00% 0.00% 0.00% 0.00% 0.00% 7.45% 5.58% 8.31% 4.47% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- 2009 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 4.10% 0.00% 0.00% 0.00% 7.44% 3.73% 0.00% 3.60% 4.85% 0.00% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- November 4.65% 9.77% 3.74% 0.00% 0.00% 0.00% 0.00% 0.00% 5.88% 0.00% 30.85% October 5.80% 0.00% 4.63% 0.00% 0.00% 5.31% 0.00% 4.61% 0.00% 2.57% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- September 4.58% 0.00% 0.00% 3.04% 0.00% 4.53% 0.00% 3.70% 0.00% 2.52% 0.00% August 4.03% 0.00% 0.00% 0.00% 0.00% 3.89% 0.00% 3.40% 4.67% 2.69% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- July 3.53% 5.55% 0.00% 0.00% 4.56% 0.00% 4.64% 0.00% 5.15% 0.00% 0.00% June 0.00% 5.12% 2.66% 1.45% 5.45% 0.00% 4.11% 0.00% 0.00% 0.00% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- May 2.62% 0.00% 0.00% 1.10% 0.00% 2.34% 0.00% 2.49% 0.00% 1.04% 0.00% April 1.97% 0.00% 0.00% 0.89% 0.00% 1.77% 0.00% 2.06% 2.35% 0.00% 0.00% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- March 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% February 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 4.91% 0.00% 0.00% 0.00% 72.43% --------- ----- ------ ----- ----- ------ ----- ------ ----- ------ ----- ------- January 1.85% 0.00% 0.00% 0.00% 3.18% 0.00% 0.00% 0.00% 0.00% 0.76% 46.64% 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 level of the Index reflect the performance of the index components above a cash index and incorporates the deduction of a fee 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. 2 |
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J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) Hypothetical Back-Tested Historical Constituent Weightings J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) (the "Index") Weightings -- 2006 through 2008 2008 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 1.42% 0.00% 0.00% 0.00% 47.91% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- November 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 52.15% October 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 61.11% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- September 3.11% 5.76% 0.00% 0.00% 0.00% 4.08% 0.00% 0.00% 5.98% 2.85% 0.00% August 0.00% 7.33% 0.00% 1.43% 6.64% 3.46% 0.00% 0.00% 0.00% 1.83% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- July 0.00% 0.00% 3.22% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 57.32% June 0.00% 0.00% 3.69% 0.00% 7.49% 0.00% 6.97% 4.25% 5.03% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- May 0.00% 0.00% 4.66% 2.82% 0.00% 0.00% 7.28% 0.00% 4.59% 3.54% 0.00% April 0.00% 6.88% 0.00% 0.00% 0.00% 3.68% 4.55% 0.00% 0.00% 2.44% 13.96% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- March 0.00% 7.91% 3.73% 0.00% 0.00% 5.51% 0.00% 4.68% 0.00% 0.00% 16.69% February 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 79.11% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- January 0.00% 0.00% 4.22% 0.00% 0.00% 0.00% 6.40% 3.48% 5.09% 0.00% 15.82% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- 2007 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- December 0.00% 6.86% 0.00% 0.00% 5.92% 0.00% 0.00% 0.00% 0.00% 0.00% 57.36% November 0.00% 13.90% 0.00% 0.00% 9.76% 0.00% 6.49% 4.99% 5.83% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- October 0.00% 0.00% 4.76% 0.00% 0.00% 5.08% 5.80% 4.27% 0.00% 3.96% 0.00% September 0.00% 6.12% 0.00% 2.81% 6.26% 0.00% 3.28% 0.00% 0.00% 2.92% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- August 0.00% 0.00% 4.13% 0.00% 0.00% 5.65% 0.00% 0.00% 7.65% 0.00% 58.64% July 0.00% 0.00% 4.31% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- June 0.00% 0.00% 5.66% 9.77% 0.00% 12.16% 0.00% 6.97% 8.34% 0.00% 0.00% May 0.00% 0.00% 7.02% 0.00% 11.20% 7.57% 9.10% 0.00% 10.83% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- April 0.00% 9.28% 6.01% 0.00% 0.00% 0.00% 6.97% 5.51% 6.80% 0.00% 0.00% March 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 6.02% 5.87% 0.00% 0.00% 85.73% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- February 11.52% 17.78% 0.00% 0.00% 12.43% 0.00% 0.00% 8.67% 0.00% 7.88% 0.00% January 13.46% 16.52% 0.00% 11.75% 17.98% 0.00% 0.00% 8.11% 0.00% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- 2006 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 0.00% 0.00% 4.60% 0.00% 0.00% 9.79% 0.00% 8.46% 8.78% 5.14% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- November 9.04% 0.00% 0.00% 0.00% 0.00% 0.00% 11.70% 8.26% 8.56% 9.90% 0.00% October 7.94% 0.00% 0.00% 11.86% 0.00% 9.42% 0.00% 0.00% 7.28% 9.92% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- September 0.00% 14.11% 0.00% 0.00% 14.01% 0.00% 0.00% 7.94% 7.12% 7.47% 0.00% August 0.00% 8.31% 0.00% 6.16% 7.30% 0.00% 9.90% 0.00% 0.00% 5.45% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- July 0.00% 10.25% 2.95% 0.00% 0.00% 0.00% 7.79% 0.00% 0.00% 6.20% 25.79% June 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- May 11.15% 0.00% 4.62% 8.65% 0.00% 8.90% 0.00% 6.40% 0.00% 0.00% 0.00% April 0.00% 0.00% 4.67% 0.00% 0.00% 10.66% 0.00% 6.99% 8.94% 5.44% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- March 0.00% 12.75% 0.00% 8.96% 9.83% 10.12% 0.00% 0.00% 0.00% 9.52% 0.00% February 0.00% 0.00% 3.84% 0.00% 0.00% 0.00% 8.08% 6.36% 6.43% 7.19% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ----- ------ ----- ------- January 0.00% 0.00% 4.78% 0.00% 12.71% 10.75% 8.52% 7.69% 0.00% 0.00% 0.00% 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 level of the Index reflect the performance of the index components above a cash index and incorporates the deduction of a fee 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. 3 |
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J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) Hypothetical Back-Tested Historical Constituent Weightings J. P. Morgan U.S. Sector Rotator 5 Index (Series 1) (the "Index") Weightings -- 2003 through 2005 2005 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 0.00% 0.00% 0.00% 8.04% 0.00% 9.15% 0.00% 7.29% 9.77% 5.76% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- November 0.00% 0.00% 0.00% 6.55% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% October 0.00% 10.27% 4.10% 8.52% 0.00% 9.42% 7.90% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- September 0.00% 0.00% 5.30% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% August 9.37% 0.00% 4.21% 0.00% 0.00% 0.00% 0.00% 6.38% 8.79% 7.15% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- July 0.00% 0.00% 5.31% 14.62% 12.94% 0.00% 11.81% 0.00% 0.00% 10.37% 0.00% June 7.29% 0.00% 3.90% 0.00% 0.00% 7.14% 0.00% 0.00% 9.14% 7.38% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- May 0.00% 0.00% 0.00% 0.00% 7.71% 0.00% 6.72% 0.00% 0.00% 7.35% 70.47% April 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 100.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- March 0.00% 0.00% 4.44% 0.00% 8.70% 0.00% 6.54% 6.59% 0.00% 6.78% 0.00% February 0.00% 15.08% 5.70% 0.00% 0.00% 0.00% 9.34% 0.00% 0.00% 0.00% 98.71% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- January 11.00% 10.32% 0.00% 9.68% 6.82% 0.00% 0.00% 0.00% 0.00% 7.18% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- 2004 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- December 0.00% 0.00% 4.74% 0.00% 0.00% 8.20% 5.80% 6.30% 5.94% 0.00% 0.00% November 7.88% 0.00% 0.00% 0.00% 0.00% 8.45% 8.99% 0.00% 5.63% 7.65% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- October 10.07% 0.00% 5.99% 0.00% 0.00% 9.58% 0.00% 7.95% 6.56% 0.00% 0.00% September 0.00% 10.31% 0.00% 8.07% 0.00% 0.00% 13.21% 5.75% 0.00% 6.28% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- August 0.00% 0.00% 8.71% 0.00% 0.00% 0.00% 8.96% 0.00% 0.00% 0.00% 69.73% July 0.00% 0.00% 5.95% 0.00% 0.00% 10.63% 0.00% 7.12% 6.71% 6.83% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- June 0.00% 0.00% 0.00% 6.97% 0.00% 6.22% 0.00% 3.80% 5.82% 4.78% 0.00% May 7.62% 8.34% 4.96% 0.00% 7.22% 7.36% 0.00% 0.00% 0.00% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- April 7.35% 0.00% 0.00% 0.00% 0.00% 0.00% 7.01% 0.00% 0.00% 8.10% 68.01% March 0.00% 9.95% 7.81% 8.38% 7.35% 0.00% 0.00% 5.41% 0.00% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- February 0.00% 0.00% 6.49% 8.25% 0.00% 13.42% 0.00% 0.00% 4.91% 6.56% 0.00% January 0.00% 0.00% 6.59% 0.00% 0.00% 11.15% 9.99% 6.20% 0.00% 9.34% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- 2003 XLY XLP XLE XLF XLV XLI XLU XLB XLK IYR BOND December 0.00% 7.58% 0.00% 0.00% 14.40% 8.21% 0.00% 5.85% 0.00% 10.46% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- November 5.38% 0.00% 0.00% 7.35% 0.00% 11.87% 0.00% 7.06% 5.47% 0.00% 0.00% October 0.00% 0.00% 0.00% 6.28% 8.36% 6.47% 11.25% 0.00% 0.00% 9.18% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- September 7.28% 0.00% 6.19% 0.00% 0.00% 6.52% 0.00% 5.32% 6.93% 0.00% 0.00% August 0.00% 0.00% 0.00% 5.65% 0.00% 6.95% 0.00% 16.23% 3.87% 5.40% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- July 4.93% 8.36% 0.00% 0.00% 3.26% 3.08% 0.00% 0.00% 4.78% 0.00% 0.00% June 0.00% 8.58% 5.83% 0.00% 0.00% 0.00% 5.09% 9.56% 4.92% 0.00% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- May 3.98% 0.00% 0.00% 3.90% 0.00% 4.18% 6.78% 4.62% 0.00% 0.00% 0.00% April 5.24% 14.44% 0.00% 0.00% 0.00% 0.00% 6.38% 0.00% 3.16% 6.32% 0.00% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- March 0.00% 0.00% 3.97% 0.00% 0.00% 0.00% 0.00% 0.00% 0.00% 10.65% 100.00% February 9.82% 0.00% 0.00% 0.00% 9.40% 6.94% 0.00% 0.00% 0.00% 0.00% 66.23% --------- ------ ------ ----- ------ ------ ------ ------ ------ ----- ------ ------- January 0.00% 10.49% 0.00% 0.00% 0.00% 0.00% 5.97% 0.00% 0.00% 0.00% 91.53% 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 level of the Index reflect the performance of the index components above a cash index and incorporates the deduction of a fee 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. 4 |
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Glossary
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XLY The Consumer Discretionary Select Sector SPDR[R] Fund
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XLP The Consumer Staples Select Sector SPDR[R] Fund
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XLE The Energy Select Sector SPDR[R] Fund
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XLF The Financial Select Sector SPDR[R] Fund
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XLV The Health Care Select Sector SPDR[R] Fund
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XLI The Industrial Select Sector SPDR[R] Fund
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XLU The Utilities Select Sector SPDR[R] Fund
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XLB The Materials Select Sector SPDR[R] Fund
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XLK The Technology Select Sector SPDR[R] Fund
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IYR iShares[R] U.S. Real Estate ETF
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BOND PIMCO Total Return Active Exchange-Traded Fund
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Key Risks
[] The Index comprises notional assets and liabilities.
[] The Index may use leverage to increase the return from any Constituent
because the sum of the weights of the Basket Constituents included in the
synthetic portfolio underlying the Index may be greater than 100%, up to a
maximum total weight of 220%. In particular, the use of leverage will magnify
any negative performance of the relevant Constituents which in turn could cause
you to receive a lower payment at maturity than you would otherwise receive.
[] The level of the Index includes the deduction of a fee of 0.50% per annum.
[] 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, JPMS plc, is the Index Sponsor and Index Calculation Agent
and is responsible for calculating and maintaining the Index and developing
guidelines and policies governing the Index. We and our affiliates are
entitled to exercise discretion in good faith and a commercially reasonable
manner in relation to the securities and the Index. JPMS plc 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. [] Changes in the value of the Index
constituents may offset each other.
[] The Index was established on June 21, 2013 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
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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.
333-199966
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