Free Writing Prospectus - Filing Under Securities Act Rules 163/433 (fwp)
October 06 2015 - 5:02AM
Edgar (US Regulatory)
Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-199966
Dated October 5, 2015
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JP MORGAN ETF EFFICIENTE 5 INDEX PERFORMANCE DETAILS
October 2015
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JPMorgan ETF Efficiente 5 Peformance Details
J. P. Morgan ETF Efficiente 5 Index (the "Index") Performance -- Bloomberg
EEJPUS5E Index
2006 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index 3.33% (0.43%) 0.87% 1.30% (2.25%) (0.31%) 0.58%
0.89% (0.19%) 1.37% 1.67% (0.73%) 6.16%
2007 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index 1.20% (1.12%) (0.52%) 1.34% 0.28% (1.57%) (0.71%)
0.30% 2.85% 2.91% (0.21%) (0.20%) 4.52%
2008 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index 1.54% 2.23% (1.20%) 0.25% 0.15% 0.54% (1.34%)
(0.93%) (2.07%) (6.08%) 3.31% 5.30% 1.26%
2009 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index (3.29%) (0.97%) 0.89% (0.35%) 2.05% (0.02%) 1.93%
0.46% 2.25% 0.11% 2.70% (1.58%) 4.06%
2010 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index (0.12%) 0.19% 1.84% 2.08% (2.24%) 0.74% 0.87%
2.92% 1.08% 0.54% (1.94%) 0.56% 6.59%
2011 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index (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%
2012 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index 0.72% 0.28% (0.85%) 1.28% (0.39%) 1.43% 2.65%
0.27% 0.03% (0.16%) 0.75% 0.72% 6.90%
2013 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index (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%
2014 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec Full Year
EEJPUS5E Index (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%
I E N T E 5 I N D E X P E R F O R M A N C E D E T A I L S 2015 Jan Feb Mar Apr May Jun Jul
Aug Sep Oct Nov Dec YTD
EEJPUS5E Index 2.85% (0.75%) 0.17% (2.04%) (0.36%) (1.57%) 0.04%
(2.65%) (1.15%) (5.56%)
Please see key risks on the next page for additional
information. Source: J.P. Morgan. Past performance is not a guide to future
performance. "EEJPUS5E Index" refers to the E F F I C performance of J.P.
Morgan ETF Efficiente 5 Index (Bloomberg: EEJPUS5E Index). The levels of the
Index incorporate an adjustment factor of 0.50% per annum.
Hypothetical, historical performance measures: Represents the
monthly and full calendar year performance of the Index based on as applicable
to the relevant measurement period, the hypothetical back tested daily closing
levels from December 31, 2005 through October 28, 2010, and the actual
historical performance of the Index E T F based on daily closing levels from
October 29, 2010 through September 30, 2015. The hypothetical historical values
above have not been verified by an independent third party. The back-tested,
hypothetical historical results above have inherent limitations. These
back-tested results are achieved by means of a retroactive application of a
back-tested model designed with the benefit of hindsight. No representation is
made that an investment linked to the Index will or is likely to achieve
returns similar to those shown.
Alternative modelling techniques or assumptions would produce different
hypothetical historical information that might prove to be more appropriate and
that might differ significantly from the hypothetical historical information
set forth above. Hypothetical back-tested results are neither an indicator nor
a guarantee of future returns. Actual results will vary, perhaps materially,
from the analysis implied in the hypothetical historical information that forms
part of the information contained in the table above.
J P M O R G A N 1
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Key Risks
[] 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 the
performance of the Index.
[] Our affiliate, JPMSL, is the Calculation Agent and may adjust
the Index in a way that affects its level--the policies and judgements for
which JPMSL is responsible could have an impact, positive or negative, on the
level of the Index and the value D E T A I L S of your investment. JPMSL 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 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 by asset type and geographical region.
P E R F O R M A N C E[] Changes in the value of the Index 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.
I N D E X[] The Index was established on October 29, 2010 and has a limited
operating history.
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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, underlying supplement, the relevant
termsheet or pricing supplement, and any other E F F I C I E N T E 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 E
T F 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
J P M O R G A N 2
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