Five Year Ten Year Ten Year
Year to Date Annualized Annualized Annualized Corre- Sharpe
Performance(1) Performance(1) Performance(1) Volatility(2) lation(3) Ratio(4)
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AI Multi-Strategy 5 0.0% 4.7% 7.8% 4.0% 1.00 1.92
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HFRI Fund-Weighted
Composite Index (excess
return) 1.8% 2.0% 4.0% 6.4% 0.22 0.62
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CS / Tremont Hedge
Fund Index (excess return)
return) 2.8% 2.7% 4.4% 5.7% 0.26 0.78
-------------------------------------------------------------------------------------------------------------
SandP 500 Index (excess return) 4.8% -2.1% -1.9% 16.0% 0.10 -0.12
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June 2011: Attribution by Strategy Style June 2011: Attribution by Region
[GRAPHIC OMITTED] [GRAPHIC OMITTED]
The Attribution by Strategy Style represents the monthly performance, by
investment style and asset class, using actual performances and allocations from
January 2010. The Attribution by Region represents the aggregate monthly
performance of the strategy or asset class that trades in a particular
geographic region. Any asset class that trades in multiple geographic regions is
classified under the heading "Global". Past allocations should not be considered
indicative of the actual weights and performance of the designated strategies
and regions during the term of your investment. J.P. Morgan provides no
assurance or guarantee that the actual performance of the AI Multi-Strategy 5
would result in attributions and performance by Strategy Style and Region
displayed in the graphs above. The Attributions above reflect the deduction of
the 0.80% p.a. adjustment factor. Numbers in charts above have been rounded for
ease of analysis. Source: J.P. Morgan.
For more information on the Index and for additional key risk information see
Page 9 the Strategy Guide at:
http://sec.gov/Archives/edgar/data/19617/000095010311002770/crt_dp25198-fwp.pdf
Key Risks:
Any securities we may issue linked to the Index may result in a loss, and are
exposed to J.P. Morgan Chase and Co. credit risk. The Index and underlying
strategies have limited operating history.
The reported level of the Index and most of the underlying strategies will
include the deduction of an adjustment factor. The Index may not be successful,
may not outperform any alternative strategy or achieve its 5% target volatility.
The portfolio of underlying strategies may not be a diversified portfolio. The
Index involves monthly rebalancing and caps the sum of the weights of all
underlying strategies, at rebalance, to 200%. It is possible, although unlikely,
for the weight of a single underlying strategy to be close to 200%. There are
risks associated with momentum, carry, mean reversion or short volatility
investment strategies.
The Index comprises only notional assets and liabilities. Some underlying
strategies include notional short positions. Correlation of performances among
the underlying strategies may reduce the performance of the Index.
The Index is an excess return index and reflects the performance of unfunded or
uncollateralized investments in the assets underlying the Index. Commodity
futures contracts underlying some of the strategies are subject to uncertain
legal and regulatory regimes.
Our affiliate, J.P. Morgan Securities Ltd. ("JPMSL"), is the Sponsor and
Calculation Agent for the Index and underlying strategies. JPMSL may adjust the
Index or any underlying strategy in a way that affects its level.
The Index is subject to risks associated with currency exchange, interest rates,
non-US securities markets and the use of leverage and futures contracts.
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
SEC Legend: JPMorgan Chase and Co. has filed a registration statement (including
a prospectus) with the SEC for any offerings to which these materials relate.
Before you invest, you should read the prospectus in that registration statement
and the other documents relating to this offering that JPMorgan Chase and Co.
has filed with the SEC for more complete information about JPMorgan Chase and
Co. and this offering. You may get these documents without cost by visiting
EDGAR on the SEC Web site at www.sec.gov. Alternatively, JPMorgan Chase and Co.,
any agent or any dealer participating in this offering will arrange to send you
the prospectus and the prospectus supplement as well as any product supplement,
pricing supplement and/or term sheet if you so request by calling toll-free
800-576-3529.
Free Writing Prospectus Filed Pursuant to Rule 433 Registration Statement No.
333-155535
Investment suitability must be determined individually for each investor. The
financial instruments described herein may not be suitable for all investors.
This information is not intended to provide and should not be relied upon as
providing accounting, legal, regulatory, or tax advice. Investors should consult
with their own advisors on these matters.
IRS Circular 230 Disclosure: JPMorgan Chase and Co. and its affiliates do not
provide tax advice. Accordingly, any discussion of U.S. tax matters contained
herein (including any attachments) is not intended or written to be used, and
cannot be used, in connection with the promotion, marketing, or recommendation
by anyone unaffiliated with JPMorgan Chase and Co. of any of the matters address
herein or for the purpose of avoiding U.S. tax-related penalties.
Footnotes
(1) Source: J.P. Morgan and Bloomberg. Past Performance and back-test
performance are not indicative of future results. The Index began publishing on
November 30, 2009. The index is not a hedge fund and does not track the
performance of any hedge fund or group of hedge funds. Data for the AI
Multi-Strategy 5 prior to November 30, 2009 are back-tested. All indices are
normalized to a value of 100 at the start date. The AI Multi-Strategy 5 levels
are net of an 80 bps p.a. adjustment factor and other adjustments relating to
notional transaction costs. 'HFRI Fund Weighted Composite Index (excess
return)', 'CS / Tremont Hedge Fund (excess return)', 'SandP 500' refer to the
HFRI Fund Weighted Composite Index reconstructed using data from Bloomberg
ticker: HFRIFWI Index, the Credit Suisse Tremont Hedge Fund Index (Bloomberg:
HEDGNAV Index), the performance of the SandP 500 Index (Bloomberg: SPX Index),
respectively, each less 3 month LIBOR.
(2) Calculated based on the annualized standard deviation of the monthly returns
of the Index scaled for a 10-year period.
(3) Correlation refers to the degree the applicable index has changed relative
to monthly changes in the JPMorgan Alternative Index Mult-Strategy 5 (USD).
(4) 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.
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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