J.P. Morgan U.S. Sector Rotator 8 Index
================================================================================
Performance Update - April 2015
OVERVIEW
The J.P. Morgan US Sector Rotator 8 Index is a notional rules-based proprietary
index that, on a monthly basis, tracks the excess return of a synthetic
portfolio of (i) up to five U.S. Sector Constituents, which are U.S. sector
exchange-traded funds, that are selected according to their past month return
with a volatility feature, and, (ii) if fewer than 5 out of the 10 possible
U.S. Sector Constituents are selected, the Bond Constituent, which is the PIMCO
Total Return Exchange-Traded Fund.
Hypothetical and Actual Historical Performance -March 31, 2005 to March 31,
2015
[GRAPHIC OMITTED]
* See "Notes" on following page
Key Features of the Index
The strategy is based on a universe of 11 investible underlyings (10 ETFs
across U.S. sectors and an ETF representing fixed income exposure) Monthly
rebalancing of portfolio allocation, with all positions financed by short term
borrowing of cash.
Targets a volatility of 8%
Levels published on Bloomberg under the ticker JPUSSC8E.
[GRAPHIC OMITTED]
Hypothetical and Actual Historical Volatility --September 30, 2005 to March 31,
2015
[GRAPHIC OMITTED]
Recent Index Performance
------------------------------- ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
Historical Performance Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Full Year
------------------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
2015 -0.47% -0.50% -1.38% -2.32%
------------------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
2014 -3.79% 2.02% -0.08% 2.01% 1.06% 1.34% -2.10% 3.49% -0.66% 1.92% 1.58% -0.59% 6.13%
------------------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
2013 2.88% 0.71% 3.45% 3.09% -1.85% -0.63% 1.77% -2.32% 2.19% 2.61% 1.48% 2.03% 16.30%
------------------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
2012 0.53% 1.69% 2.42% 0.07% -0.30% 0.59% 0.56% -0.52% 2.00% -0.55% -0.11% 0.23% 6.77%
------------------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
2011 2.04% 2.16% -0.07% 0.07% 0.08% 0.07% 0.07% 0.08% 0.07% 0.08% 0.07% 1.84% 6.61%
------------------------ ------ ------ ------ ----- ------ ------ ------ ------ ------ ------ ------ ------ ---------
Recent Index Composition
[GRAPHIC OMITTED]
J.P. Morgan Structured Investments | 800 576 3529 | JPM_Structured_Investments@jpmorgan.com April 01, 2015
1
|
|
|