Global Economic Research & Expertise
Tradeable Index Strategies: Commodity
The Commodity-IGAR excess return strategies arebased upon dynamic baskets of single commodity sub-indices. Assets are rebalanced monthly byan algorithmic investments strategy, J.P. Morgan Securities plc. The rebalancing methodologyseeks to capitalize on the cyclical nature of the commodities markets. Assets are selectedusing historic momentum and performance, based upon the tendency of outperforming assets tocontinue to perform well in the future.
The Commodity-IGAR index holds up to 12 syntheticlong positions in single commodity sub-indices based upon momentum and performance. The strategyseeks to capitalize on prolonged up trends, while attempting to minimize exposure to down trendsin commodities.
Commodity-IGAR Long-Short is a pure long-shortstrategy, which synthetically invests in up to 24 constituents (12 synthetic long positions and12 synthetic short positions - all equally weighted 1/12). This index seeks to exploit both bulland bear markets in each of the individual constituents, demonstrating stronger but more volatilehypothetical historical returns than the Commodity-IGAR.
C-IGAR Conditional Long-Short
The Conditional Long-Short strategy synthetically holdsup to 12 long positions and 12 conditional short positions (all equally weighted 1/12). Thisindex boasts historically stronger hypothetical performance than the Commodity-IGAR due to itsability to short assets in bear markets.
The JPMorgan Core Commodity Investable Global Asset Rotator Sigma Long-Short Total Return Index references the value of a synthetic portfolio of up to 7 long constituents and 7 short constituents. The Core Commodity-IGAR Sigma Long-Short is also a total return index. A total return index reflects the returns that are potentially available through an unleveraged investment in the contracts comprising such index plus interest that could be earned on funds committed to the trading of the underlying futures contracts. Unlike other C-IGAR strategies, C-IGAR Sigma includes a volatility control factor and reversal test. The volatility control factor seeks to reduce the volatility of the Core Commodity-IGAR Sigma Long-Short by adjusting downward the exposure to the Index’s commodity constituents. The reversal test attempts to filter out constituents that, although showing consistent recent increases or decreases, as applicable, in price, have shown a rapid reversal from the previously indicated momentum signal.
Important Risk Considerations related to the C-IGAR Family of Tradable Index Strategies
Investing in any of the C-IGAR Indices involves significant risks, including but not limited to:
- Past performance is not indicative of future results;
- Investment related to the value of commodities tend to be more volatile than traditional securities investments;
- Commodity futures contracts that are the underlying of the C-IGAR strategies are subject to uncertain legal and regulatory regimes;
- Owning an investment linked to one of the C-IGAR strategies involves risks associated with investing in momentum strategies;
- Strategies that can take short positions potentially expose an investor to a theoretical unlimited loss; and
- The C-IGAR strategies lack an operational history.
For more information on specific J.P. Morgan Tradeable Index Strategies, please review productdescriptions below or contact your J.P. Morgan representative.
Note: The data above may not be the latest available and should be used for information purposes only.
* SEC Legend: JPMorgan Chase & Co. has filed a registration statement (including a prospectus) with the SEC for any offerings to these indices. Before you invest, you should read the prospectus in that registration statement and the other documents relating to this offering that JPMorgan Chase & Co. has filed with the SEC for more complete information about JPMorgan Chase & 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 & Co., any agent or any dealer participating in the this offering will arrange to send you the prospectus and each prospectus supplement as well as any product supplement and term sheet if you so request by calling toll-free 866-535-9248.
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