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Free Writing Prospectus
Filed Pursuant to Rule 433
Registration Statement No. 333-155535
Dated September 13, 2011
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J. P. Morgan ETF Efficiente 5 Index
Performance Update - September 2011
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 -August 31, 2001 to August 31,
2011
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Key Features of the Index
[] The strategy is based on a universe of 12 ETFs covering a broad range of
assets and geographic regions, and a cash index.
[] Monthly rebalancing of portfolio allocation, with all positions financed by
short term borrowing of cash.
[] Targets a volatility of 5%.
[] Levels published on Bloomberg under the ticker EEJPUS5E.
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Hypothetical and Actual Historical Volatility --August 31, 2001 to August 31,
2011
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Recent Index Performance
August 2011 July 2011 June 2011
-------------------- ----------- --------- ---------
Historical Return(1) 3.07% 3.89% -1.26%
-------------------- ----------- --------- ---------
Recent Index Composition
iShares iShares iShares SandP
JPMorgan
SPDR SandP iShares iShares IBOXX INV iShares iShares MSCI iShares JP GSCI Cmdty-
iShares DJ Cash Index
500 ETF iShares MSCI EAFE Barclays 20+ GR Corp IBOXX H/Y Barclays TIPS Emerging Morgan EM Indexed SPDR Gold US
Real USD 3
Trust Russell 2000 Index Fund Year TR Bond CORP BOND Bond Mkt Index Bond Fund Trust Trust
Estate Month
------- -------- ------------ ---------- ----------- --------- --------- ------------- --------- ---------- ----------- ---------
Aug 11 0.0% 0.0% 0.0% 20.0% 0.0% 0.0% 5.0% 0.0% 20.0% 0.0% 10.0%
5.0% 40.0%
------- -------- ------------ ---------- ----------- --------- --------- ------------- --------- ---------- ----------- ---------
Jul 11 0.0% 0.0% 0.0% 20.0% 0.0% 0.0% 50.0% 0.0% 20.0% 0.0% 10.0%
0.0% 0.0%
------- -------- ------------ ---------- ----------- --------- --------- ------------- --------- ---------- ----------- ---------
September 09, 2011
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Comparative Hypotheical and Historical Total Returns (%), Volatility (%) and
Correlation -- August 31, 2011
Ten Year
Three Year Five Year Ten Year Annualized Ten Year Ten Year
Annualized Return Annualized Return Annualized Return Volatility Sharpe Ratio Correlation
----------------------------- ----------------- ----------------- ----------------- ----------- ------------ -----------
ETF Efficiente Index 6.4% 5.4% 6.1% 5.9% 1.027 100.0%
----------------------------- ----------------- ----------------- ----------------- ----------- ------------ -----------
SandP 500 (Price Return) -1.7% -1.3% 0.7% 21.8% 0.033 20.5%
----------------------------- ----------------- ----------------- ----------------- ----------- ------------ -----------
Barclays Aggregate Bond Index
7.2% 6.6% 5.7% 4.0% 1.415 31.9%
(Excess 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 ETF based on the daily closing level
from October 29, 2010 through August 31, 2011, as well as the performance of the
SandP 500 Index ("SandP 500"), 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, the Barclays Aggregate
Bond Index (Excess Return) or any alternative investment strategy. Sources:
Bloomberg and JPMorgan.
Volatility is calculated from the historical returns, as applicable to the
relevant measurement period, of the SandP 500 Index and the Barclays Aggregate
Bond Index (Excess Return). Volatility represents the annualized standard
deviation of the relevant index's arithmetic daily returns since August 31,
2001. 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
leverage have inherent limitations. These volatility and leverage 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 leverage may
vary materially from this analysis. Source: Bloomberg and JPMorgan.
Key Risks
[] 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.
[] 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.
[] 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 in securities 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 quarterly 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.
[] 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.
[] 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://sec.gov/Archives/edgar/data/19617/000095010311002765/dp25196_crt-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.
333-155535
J. P. Morgan Structured Investments | 800 576 3529 |
JPM_Structured_Investments@jpmorgan.com
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