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Comparative Hypothetical and Historical Total Returns (%), Volatility (%) and
Correlation -- January 31, 2012
Three Year Annualized Five Year Annualized Ten Year Annualized Ten Year Annualized Ten Year
Return(1) Return(1) Return(1) Volatility(4) Sharpe Ratio(5) Ten Year
Correlation(6)
----------------------- --------------------- -------------------- ------------------- ------------------- ---------------
Efficiente Index 5.6% 1.5% 6.9% 9.1% 0.758
100.0%
----------------------- --------------------- -------------------- ------------------- ------------------- ---------------
MSCI World Index 13.9% -3.7% 2.5% 18.2% 0.135
66.6%
----------------------- --------------------- -------------------- ------------------- ------------------- ---------------
Dow Jones -- UBS
9.1% -2.8% 5.0% 18.9% 0.266
55.7%
Commodity Index
----------------------- --------------------- -------------------- ------------------- ------------------- ---------------
J.P. Morgan Global Bond
4.5% 5.4% 5.0% 2.8% 1.771
-19.2%
Index (USD Hedged)
----------------------- --------------------- -------------------- ------------------- ------------------- ---------------
Notes
(1) Represents the performance of the Index based on, as applicable to the
relevant measurement period, the hypothetical backtested weekly Index closing
levels from January 31, 2002 through June 29, 2007, and the actual historical
performance of the Index based on the weekly Index closing level from July 6,
2007 through January 31, 2012, as well as the performance of the MSCI World
Index ("MSCI World"), the Dow Jones -- UBS Commodity Index(SM) ("DJ-UBS") and
the JPMorgan GBI (USD Hedged) Global Bond Index ("JPM GBI") over the same
period. For the purpose of the chart illustrated on page 1, each index was set
equal to 100 on January 31, 2002. For calculations of recent performance table
on page 1 and comparison of hypothetical and historical performance table on
page 2 actual index levels have been used. There is no guarantee of any future
performance for these three indices based on this information. Source:
Bloomberg and JPMorgan.
(2) Calculated from the historical returns, as applicable to the relevant
measurement period, of the indices over a six-month observation period. For any
given day, represents the annualized standard deviation of each index's
arithmetic daily returns for the 126-index day period preceding that day. The
back-tested, hypothetical, historical six-month annualized volatility has
inherent limitations. These volatility 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 Index,
the MSCI World, DJ-UBS and JPM GBI will have the volatilities as shown above or
that the Index will outperform any alternative investment strategy. Alternative
modeling techniques or assumptions might produce significantly different
results and may prove to be more appropriate. Actual six-month annualized
volatilities may vary materially from this analysis. Source: Bloomberg and
JPMorgan.
(3) On a quarterly basis (each January, April, July, and October), J.P. Morgan
Securities Ltd., or JPMSL, acting as the Index calculation agent, will
rebalance the Index to take synthetic long positions in the Basket Constituents
based on mathematical rules that govern the Index and track the returns of the
synthetic portfolio above cash. The weights for each Basket Constituent will be
adjusted to comply with certain allocation constraints, including constraints
on individual Basket Constituents, as well as the individual sectors.
(4) Calculated based on the annualized standard deviation for the ten year
period prior to January 31, 2012.
(5) 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.
(6) Correlation refers to the degree the applicable index has changed relative
to daily changes in the JPMorgan Efficiente (USD) Index.
KEY RISKS
o There are risks associated with a momentum-based investment
strategy--efficiente is different from a strategy that seeks long-term
exposure to a portfolio consisting of constant components with fixed
weights. The Index may fail to realize gains that could occur from holding
assets that have experienced price declines, but experience a sudden price
spike thereafter.
o Correlation of performances among the Basket Constituents may reduce the
performance of the Index amongst the Basket Constituents--high correlation
during periods of negative returns among Basket Constituents representing
any one sector or asset type which have a substantial weighting in the Index
could have a material adverse effect on the performance of the Strategy.
o 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.
o 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 8%.
o 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.
o 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.
o The Index was established on July 2, 2007 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.
INDEX DISCLAIMERS
"Dow Jones(SM)," "UBS", "Dow Jones-UBS Commodity Index Excess Return(SM)," "Dow
Jones-UBS Commodity Index(SM)," and "DJ-UBSCI(SM)" are service marks of Dow
Jones and Company, Inc. and UBS Securities LLC ("UBS"), as the case may be, and
have been licensed for use for certain purposes by JPMorgan Chase and Co.
JPMorgan Chase and Co's securities based on the Dow Jones- UBS
Commodity Index Total Return(SM), are not sponsored, endorsed, sold or promoted
by Dow Jones, UBS, or any of their respective subsidiaries or affiliates, and
none of Dow Jones, UBS, or any of their respective subsidiaries or affiliates,
makes any representation regarding the advisability of investing in such
product(s). The MSCI indices are the exclusive property of MSCI Inc. ("MSCI").
"MSCI" and the MSCI index names are service mark(s) of MSCI or its affiliates
and have been licensed for use for certain purposes by J.P. Morgan Chase and Co.
(the "Licensee"). The financial securities referred to herein are not
sponsored, endorsed, or promoted by MSCI, and MSCI bears no liability with
respect to any such financial securities. No purchaser, seller or holder of
this product, or any other person or entity, should use or refer to any MSCI
trade name, trademark or service mark to sponsor, endorse, market or promote
this product without first contacting MSCI to determine whether MSCI's
permission is required. Under no circumstances may any person or entity claim
any affiliation with MSCI without the prior written permission of MSCI.
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/19617/000095010312000085/crt-dp28033_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
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J.P. Morgan Structured Investments | 800 576 3529 |JPM_Structured_Investments@jpmorgan.com
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