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Five Year Ten Year Ten Year
Year to Date Annualized Annualized Annualized Corre- Sharpe
Performance1 Performance1 Performance1 Volatility2 lation3 Ratio4
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AI Multi-Strategy 5 -3.3% 2.0% 5.6% 4.1% 1.00 1.37
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HFRI Fund-Weighted Composite Index
(excess return) 4.1% -0.7% 4.2% 6.5% 0.27 0.64
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CS / Tremont Hedge Fund Index
(excess return) 4.8% 0.1% 4.4% 5.9% 0.26 0.74
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SandP 500 Index (excess return) 11.5% -3.4% 2.3% 15.2% 0.14 0.15
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October 2012: Attribution by Strategy Style October 2012: 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
February 2011. 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://www.sec.gov/Archives/edgar/data/19617/000095010312004030/crt_dp32126-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 plc ("JPMS plc"), is the Sponsor and
Calculation Agent for the Index and underlying strategies. JPMS plc 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. 333-177923
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.
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J.P. Morgan Structured Investments | 800 576 3529 | JPM_Structured_Investments@jpmorgan.com
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