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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated May 7, 2013
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J.P. Morgan Efficiente EM 5 Index
Performance Update - May 2013
OVERVIEW
The J.P. Morgan Efficiente EM 5 Index (the "Index") is part of J.P. Morgan's
family of Efficiente indices, which generally seek to provide exposure to the
relevant underlying assets based on the modern portfolio theory approach to
asset allocation. Efficiente EM provides exposure to a diverse range of asset
classes with focus on emerging market investments. The Index selects from a
basket of 15 assets (the "Basket Constituents") including equities, bonds,
emerging and developed markets, alternative investments, and the JPMorgan Cash
Index USD 3 Month (the "Cash Index"). The Index levels incorporate a daily
deduction
Hypothetical and Actual Historical Performance -April 30, 2003 to April 30,
2013
Key Features of the Index
Exposure to emerging markets equities, bonds (including emerging and
developed markets), and alternative investments (agriculture, gold, and energy
Monthly rebalancing of portfolio allocation, with all positions financed by
short term borrowing of cash Targets an annualized volatility of 5% or less
Recent Index Performance
April 2013 March 2013 February 2013 Year to Date(1)
-------------------- ---------- ---------- ------------- ---------------
Historical Return(1) -0.03% -0.03% -1.80% -3.30%
-------------------- ---------- ---------- ------------- ---------------
Recent Index Composition
iShares[R] S and P[R]
J.P. Morgan
MSCI GSCI[]
iShares[R] 30-Year US
Mexico J.P. Morgan Energy 3- S and P[R] S and P[R]
J.P. Morgan J.P. Morgan Treasury
iShares[R] Capped Latin J.P. Morgan iShares[R] WisdomTre J.P. Morgan Month GSCI[] GSCI[]
USD US Treasury bond JPMorgan
MSCI Brazil Investable America RDX Total EMEA FTSE China e India Asian Forward Gold Sub Agriculture
Emerging Note Futures Cash Index
Capped Market Satellite Return in Satellite 25 Index Earnings Satellite Index Total Index Total Index
Total Markets Futures Tracker USD 3
Index Fund Index Fund Basket USD Basket Fund Fund Basket Return Return Return
Bond Fund Tracker (Net) Month
May 13 0.0% 15.0% 0.0% 0.0% 10.0% 0.0% 10.0% 10.0% 0.0% 0.0% 0.0%
10.0% 20.0% 20.0% 5.0%
April 13 0.0% 15.0% 0.0% 0.0% 10.0% 5.0% 0.0% 10.0% 15.0% 0.0% 0.0%
0.0% 20.0% 20.0% 5.0%
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- April 30, 2013
Three Year Five Year Ten Year Ten Year Ten Year Sharpe
Ten Year
Annualized Return Annualized Return Annualized Return Annualized Volatility Ratio
Correlation
-------------------------------------- ----------------- ----------------- ----------------- --------------------- ---------------
J.P. Morgan Efficiente EM 5 Index 4.5% 4.0% 7.8% 6.0% 1.30
100.0%
-------------------------------------- ----------------- ----------------- ----------------- --------------------- ---------------
MSCI Daily TR Net World USD (Excess
8.9% 0.6% 5.8% 18.0% 0.32
28.9%
Return)
-------------------------------------- ----------------- ----------------- ----------------- --------------------- ---------------
Dow Jones-UBS Commodity Index -0.3% -8.5% 1.7% 19.1% 0.09
46.5%
-------------------------------------- ----------------- ----------------- ----------------- --------------------- ---------------
MSCI Daily TR Net Emerging Markets USD
2.5% -1.5% 13.4% 22.3% 0.60
37.5%
(Excess Return)
-------------------------------------- ----------------- ----------------- ----------------- --------------------- ---------------
(1)Hypothetical, historical performance measures: Represents the performance of
the Efficiente EM Index based on, as applicable to the relevant measurement
period, the hypothetical back tested daily closing levels through January 31,
2013, and the actual historical performance of the ETFs based on the daily
closing level from February 4, 2013 through April 30, 2013, as well as the
performance of the MSCI Daily TR Net World USD Index (Excess Return), the Dow
Jones-UBS Commodity Index, and the MSCI Daily TR Net Emerging Markets USD Index
(USD) over the same periods. For purposes of these examples, each index was set
equal to 100 at the beginning of the relevant measurement period and returns
are calculated arithmetically (not compounded). There is no guarantee the
Efficiente EM Index will outperform the MSCI Daily TR Net World USD Index
(Excess Return), the Dow Jones-UBS Commodity Index, the MSCI Daily TR Net
Emerging Markets USD Index (Excess Return), or any alternative investment
strategy. Sources: Bloomberg and JPMorgan. The Index reflects the weighted
performance of the Basket Constituents in excess of a cash index.
Year to Date is the performance of the Index from the last business day of the
previous calendar year through and including April 30, 2013
Volatility: hypothetical, historical six-month annualized volatility levels are
presented for informational purposes only. Volatility levels are calculated
from the historical returns, as applicable to the relevant measurement period.
The back-tested, hypothetical, historical annualized volatility and index
returns may use substitutes for any ETF that was not in existence or did not
meet the liquidity standards at that particular time.
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.
The back-tested, hypothetical, historical annualized volatility and index
returns have inherent limitations. These volatility and return 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 relevant indices will have the volatility shown. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual annualized volatilities
and returns may vary materially from this analysis. Source: Bloomberg and
JPMorgan.
Key Risks
There are risks associated with a momentum-based investment strategy--The
Efficiente EM Index (the "Strategy") is different from a strategy that seeks
long-term exposure to a portfolio consisting of constant components with fixed
weights. The Strategy 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 performances among the basket constituents may reduce the
performance of strategy--performances among the Basket Constituents comprising
the index from time to time may become highly correlated from time to time
during the term of your investment. High correlation during periods of negative
returns among Basket Constituents representing any one sector or asset type
that have a substantial weighting in the Strategy could have a material adverse
effect on the performance of the Strategy.
Our affiliate, JPMSplc, is the Calculation Agent and may adjust the Index in
a way that affects its level--The policies and judgments for which JPMSplc is
responsible could have an impact, positive or negative, on the level of the
Index and the value of your investment. JPMSplc 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 Basket Constituents, or may not achieve its target volatility of
5%. The investment strategy involves monthly rebalancing and maximum weighting
caps applied to the Basket Constituents individually and in certain small
groups Changes in the value of the Basket Constituents may offset each other.
An investment linked to the Index is subject to risks associated with non-U.S.
securities markets, fixed income securities, commodities and futures contracts,
and to currency exchange risk.
The Index was established on February 4, 2013 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.
For more information on the Index and for additional key risk information see
Page 9 of the Strategy Guide at
http://www.sec.gov/Archives/edgar/data/19617/000095010313002462/crt_dp37709-fwp
..pdf
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.
333-177923
J.P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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