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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation - March 31, 2011
Three Year Five Year Annualized Ten Year Ten Year Ten Year Ten Year
nnualized Return1 Annualized
Annualized Return1 Return1 A Volatility4 Sharpe Ratio5 Correlation6
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Efficiente Index 2.77% 4.00% 7.02% 8.59% 0.817 100.00%
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MSCI World Index -2.44% 0.00% 2.32% 17.64% 0.132 62.21%
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Dow Jones - UBS -5.61% 0.52% 4.87% 18.49% 0.263 53.15%
Commodity Index
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JPMorgan Global Bond 3.61% 4.73% 4.63% 2.84% 1.630 -13.62%
Index (USD Hedged)
Notes
1 Represents the performance of the Index based on, as applicable to the relevant measurement period, the hypothetical
backtested weekly Index closing levels from March 30, 2001 through June 29, 2007, and the actual historical performance of the
Index based on the weekly Index closing level from July 6, 2007 through March 31, 2011, as well as the performance of the MSCI
World Index ("MSCI World"), the Dow Jones - UBS Commodity IndexSM ("DJ-UBS") and the JPMorgan GBI (USD Hedged) Global Bond Index
("JPM GBI") over the same period. For purposes of these examples, each index was set equal to 100 at the beginning of the
relevant measurement period and returns calculated arithmetically (not compounded). There is no guarantee of any future
performance for these three indices based on this information. Source: Bloomberg and JPMorgan.
2 Calculated from the historical returns, as applicable to the relevant measurement period, of the indices over a six-month
observation period. For any given day, represents the annualized standard deviation of each index's arithmetic daily returns for
the 126-index day period preceding that day. The back-tested, hypothetical, historical six-month annualized volatility has inherent
limitations. These volatility 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 Index, the MSCI World, DJ-UBS and JPM GBI
will have the volatilities as shown above or that the Index will outperform any alternative investment strategy. Alternative
modeling techniques or assumptions might produce significantly different results and may prove to be more appropriate. Actual
six-month annualized volatilities may vary materially from this analysis. Source: Bloomberg and JPMorgan.
3 On a quarterly basis (each January, April, July, and October), J.P. Morgan Securities Ltd., or JPMSL, acting as the Index
calculation agent, will rebalance the Index to take synthetic long positions in the Basket Constituents based on mathematical
rules that govern the Index and track the returns of the synthetic portfolio above cash. The weights for each Basket Constituent
will be adjusted to comply with certain allocation constraints, including constraints on individual Basket Constituents, as well
as the individual sectors.
4 Calculated based on the annualized standard deviation for the ten year period prior to March 31, 2011.
5 For the above analysis, the Sharpe Ratio, which is a measure of risk-adjusted performance, is computed as the ten year
annualized historical return divided by the ten year annualized volatility.
6 Correlation refers to the degree the applicable index has changed relative to daily changes in the JPMorgan Efficiente (USD)
Index.
Key Risks
|X| There are risks associated with a momentum-based investment Index Disclaimers
strategy- Efficiente is different from a strategy that seeks
long-term exposure to a portfolio consisting of constant "Dow JonesSM," "UBS", "Dow Jones-UBS Commodity Index Excess ReturnSM,"
components with fixed weights. The Index may fail to realize "Dow Jones-UBS Commodity IndexSM," and "DJ-UBSCISM" are service marks
gains that could occur from holding assets that have experienced of Dow Jones and Company, Inc. and UBS Securities LLC ("UBS"), as the
price declines, but experience a sudden price spike thereafter. case may be, and have been licensed for use for certain purposes by
JPMorgan Chase and Co. JPMorgan Chase and Co's securities based on the
|X| Correlation of performances among the Basket Constituents may Dow Jones- UBS Commodity Index Total ReturnSM, are not sponsored,
reduce the performance of the Index amongst the Basket endorsed, sold or promoted by Dow Jones, UBS, or any of their
Constituents-High correlation during periods of negative returns respective subsidiaries or affiliates, and none of Dow Jones, UBS, or
among Basket Constituents representing any one sector or asset any of their respective subsidiaries or affiliates, makes any
type which have a substantial weighting in the Index could have a representation regarding the advisability of investing in such
material adverse effect on the performance of the Strategy. product(s). The MSCI indices are the exclusive property of MSCI Inc.
("MSCI"). "MSCI" and the MSCI index names are service mark(s) of MSCI
|X| Our affiliate, JPMSL, is the Calculation Agent and may adjust the or its affiliates and have been licensed for use for certain purposes
Index in a way that affects its level-The policies and judgments by J.P. Morgan Chase and Co. (the "Licensee"). The financial securities
for which JPMSL is responsible could have an impact, positive or referred to herein are not sponsored, endorsed, or promoted by MSCI,
negative, on the level of the Index and the value of your and MSCI bears no liability with respect to any such financial
investment. JPMSL is under no obligation to consider your securities. No purchaser, seller or holder of this product, or any
interest as an investor in securities linked to the Index. other person or entity, should use or refer to any MSCI trade name,
trademark or service mark to sponsor, endorse, market or promote this
|X| The Index may not be successful, may not outperform any product without first contacting MSCI to determine whether MSCI's
alternative strategy related to the Basket Constituents, or may permission is required. Under no circumstances may any person or
not achieve its target volatility of 8%. entity claim any affiliation with MSCI without the prior written
permission of MSCI.
|X| The investment strategy involves quarterly rebalancing and
maximum weighting caps applied to the Basket Constituents by For more information on the Index and for additional key risk
asset type and geographical region. information see Page 9 the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010311001329/
|X| Changes in the value of the Basket Constituents may offset each crt-dp22006_fwp.pdf
other.
|X| 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.
|X| The Index was established on July 2, 2007 and has a limited
operating history
The risks identified above are not exhaustive. You should also
review carefully the related "Risk Factors" section in the
relevant product supplement and the "Selected Risk
Considerations" in the relevant 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. 333-155535
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