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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and Correlation -- October 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 10.1% 5.5% 6.2% 5.9% 1.047 100.0%
----------------------------- ----------------- ----------------- ----------------- ----------- ------------- -----------
S and P 500 (Price Return) 9.0% -1.9% 1.7% 21.9% 0.077 19.2%
----------------------------- ----------------- ----------------- ----------------- ----------- ------------- -----------
Barclays Aggregate Bond Index
7.7% 3.9% 3.1% 4.1% 0.756 32.3%
(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 October 31, 2011, as well as the
performance of the S and P 500 Index ("S and P 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 S and P 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 S and P 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 October 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 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.
[] 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://www.sec.gov/Archives/edgar/data/19617/000095010311004252/crt_dp26676-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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