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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-177923
Dated May 14, 2013
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J.P. Morgan ETF Efficiente 5 Index
Performance Update - May 2013
OVERVIEW
JPMorgan ETF Efficiente 5 Index is a J.P. Morgan strategy that seeks to
generate returns through investing in exchange traded funds ("ETFs") and a cash
index to provide exposure to a universe of diverse assets based on the
efficient frontier portfolio analysis approach.
Hypothetical and Actual Historical Performance -April 30, 2003 to April 30,
2013
[GRAPH]
Key Features of the Index
o The strategy is based on a universe of 12 ETFs covering a broad range of
assets and geographic regions, and a cash index.
o Monthly rebalancing of portfolio allocation, with all positions financed by
short term borrowing of cash.
o Targets a volatility of 5%.
o Levels published on Bloomberg under the ticker EEJPUS5E.
Hypothetical and Actual Historical Volatility --October 29, 2003 to April 30,
2013
[GRAPH]
Recent Index Performance
April 2013 March 2013 February 2013 YTD
------------------------ ---------- ---------- ------------- -----
Historical Return(1) 2.93% 0.34% 0.14% 3.04%
------------------------ ---------- ---------- ------------- -----
Recent Index Composition
iShares iShares SandP JPMorgan
SPDR SandP iShares iShares IBOXX INV iShares IBOXX iShares JP GSCI Cmdty- iShares DJ iShares Cash Index
500 ETF iShares MSCI EAFE Barclays 20+ GR Corp H/Y CORP iShares MSCI Morgan EM Indexed SPDR Gold US Real Barclays USD 3
Trust Russell 2000 Index Fund Year TR Bond BOND Emerging Mkt Index Bond Fund Trust Trust Estate TIPS Bond Month
----------------------------------------------------------------------------------------------------------------------------------------------------------------------
May 13 10.0% 0.0% 20.0% 20.0% 10.0% 15.0% 0.0% 0.0% 0.0% 0.0% 20.0% 5.0% 0.0%
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April 13 0.0% 10.0% 20.0% 15.0% 0.0% 20.0% 0.0% 0.0% 0.0% 0.0% 20.0% 0.0% 15.0%
May 14, 2013
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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- April 30, 2013
Ten Year
Three Year Five Year Ten Year Annualized Ten Year Sharpe Ten Year
Annualized Return Annualized Return Annualized Return Volatility Ratio Correlation
------------------------------------- -----------------------------------------------------------------------------------------------------
ETF Efficiente Index 8.0% 6.1% 6.6% 5.9% 112.6% 100.0%
------------------------------------- ------------- ---------------------------------------------------------------------------------------
SandP 500 Index (Excess Return) 12.1% 4.0% 5.4% 20.5% 26.1% 27.3%
------------------------------------- ------------- ---------------------------------------------------------------------------------------
Barclays Aggregate Bond Index (Excess
4.9% 4.5% 2.6% 3.9% 67.3% 27.7%
Return)
------------------------------------- -----------------------------------------------------------------------------------------------------
Notes
Hypothetical, historical performance measures: Represent the performance of the
ETF Efficiente Index based on, as applicable to the relevant measurement
period, the hypothetical backtested daily closing levels through October 28,
2010, and the actual historical performance of the ETFs based on the daily
closing level from October 29, 2010 through April 30, 2013, as well as the
performance of the SandP 500 Index (Excess Return), and the Barclays Aggregate
Bond Index (Excess Return) 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 ETF Efficiente Index will outperform the SandP 500
Index (Excess Return), the Barclays Aggregate Bond Index (Excess Return) or any
alternative investment strategy. Sources: Bloomberg and JPMorgan.
SandP 500 Index (Excess Return) represents a hypothetical index constructed from
the total returns of the SandP 500 Index with the returns of the Cash Index
deducted. Barclays Aggregate Index (Excess Return) represents a hypothetical
index constructed from the returns of the Barclays Aggregate Index with the
returns of the Cash Index deducted.
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,
of the ETF Efficiente, SandP 500 Index (Excess Return), and the Barclays
Aggregate Bond Index (Excess Return).
Volatility represents the annualized standard deviation of the relevant index's
arithmetic daily returns since April 30, 2003. 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 may use substitutes for any ETF that was not in existence or did not
meet the liquidity standards at that particular time.
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
0 There are risks associated with a momentum-based investment
strategy--The ETF Efficiente 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.
0 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 (the "Basket
Constituents") 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.
0 Our affiliate, JPMSL, is the Calculation Agent and may adjust the
Index in a way that affects its level--The policies and judgments for
which JPMSL is responsible could have an impact, positive or negative,
on the level of the Index and the value of your investment. JPMSL is
under no obligation to consider your interest as an investor with
returns linked to the Index.
0 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%.
0 The investment strategy involves monthly rebalancing and maximum
weighting caps applied to the Basket Constituents by asset type and
geographical region. Changes in the value of the Basket Constituents
may offset each other.
0 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.
0 The Index was established on October 29, 2010 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/19617/000095010313002214/crt_dp37432-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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