STRICTLY PRIVATE/CONFIDENTIAL

Market Review and Outlook

January 2016

Josh Feuerman, Managing Director, Client Portfolio Manager

212-648-1077, joshua.feuerman@jpmorgan.com

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S&P 500 Index at Inflection Points GTM – U.S. | Page 4

S&P 500 Price Index

Dec. 31, 2015

Characteristic Mar. 2000 Oct. 2007 Dec. 2015
P/E (fwd.) = 16.1x
Index level 1,527 1,565 2,044 2,044
P/E ratio (fwd.) 27.2x 15.7x 16.1x
Dividend yield 1.1% 1.8% 2.3%
10-yr. Treasury 6.2% 4.7% 2.3%

Oct. 9, 2007
Mar. 24, 2000 P/E (fwd.) = 15.7x
P/E (fwd.) = 27.2x 1,565
1,527

+202%
+101%
+106%

-57%
-49%

Dec. 31, 1996

P/E (fwd.) = 16.0x Oct. 9, 2002 Mar. 9, 2009
741 P/E (fwd.) = 14.1x P/E (fwd.) = 10.3x
777 677

Source: Compustat, FactSet, Standard & Poor’s, J.P. Morgan Asset Management. Dividend yield is calculated as consensus estimates of dividends for the next 12 months, divided by most recent price, as provided by Compustat.
Forward price to earnings ratio is a bottom-up calculation based on the most recent S&P 500 Index price, divided by consensus estimates for earnings in the next 12 months (NTM), and is provided by FactSet Market Aggregates.

Returns are cumulative and based on S&P 500 Index price movement only, and do not include the reinvestment of dividends. Past performance is not indicative of future returns. Guide to the Markets – U.S. Data are as of
December 31, 2015.

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Stock Valuation Measures: S&P 500 Index GTM – U.S. | Page 5

S&P 500 Index: Forward P/E ratio Std. dev.
Over-
26x Valuation 25-year /under-
measure Description Latest avg.* valued

24x P/E Forward P/E 16.1x 15.8x 0.1

CAPE Shiller’s P/E 25.9 25.6 0.0

22x Div. Yield Dividend yield 2.3% 2.0% -0.5

P/B Price to book 2.6 2.9 -0.4
20x P/CF Price to cash flow 11.2 11.4 -0.1
+1 Std. dev.: 19.1x
EY Spread EY minus Baa yield 0.8% -0.5% -0.7
18x
Current:
16.1x

16x
Average: 15.8x
14x

12x
-1 Std. dev.: 12.5x

10x

8x
'90 '92 '94 '96 '98 '00 '02 '04 '06 '08 '10 '12 '14
Source: FactSet, FRB, Robert Shiller, Standard & Poor’s, J.P. Morgan Asset Management. Price to earnings is price divided by consensus analyst estimates of earnings per share for the next 12 months. Shiller’s P/E uses trailing
10-years of inflation-adjusted earnings as reported by companies. Dividend yield is calculated as the next 12-month consensus dividend divided by most recent price. Price to book ratio is the price divided by book value per share.
Price to cash flow is price divided by NTM cash flow. EY minus Baa yield is the forward earnings yield (consensus analyst estimates of EPS over the next 12 months divided by price) minus the Moody’s Baa seasoned corporate

bond yield. Std. dev. over-/under-valued is calculated using the average and standard deviation over 25 years for each measure. *P/CF is a 20-year average due to cash flow data availability. Guide to the Markets – U.S. Data are
as of December 31, 2015.

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JPM Earnings Estimates

$140

6% $124
$119 $117 $117
$120 0%
$113
$108 $108 8%
$104 4%
$100 $95 $96 7%
17%
$84 $82
$80

$60

$40

$20

$0
2010 2011 2012 2013 2014 2015 * 2016 *

Start of Year Estimate S&P 500 Actual

Source: JPM Estimates. Opinions, estimates, forecasts, projections and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. There
can be no guarantee they will be met.
* Estimates as of 12/31/15

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JPM Earnings Estimates by Sector

S&P 500 Earnings
Growth Growth
2014 Earnings 2015 Estimated 2016 Estimated
(2014-2015) (2015-2016)

Consumer Discretionary $13 $14 $16 8% 16%

Information Technology $19 $20 $20 7% 0%

Health Care $16 $19 $21 15% 10%

Materials $4 $4 $4 -5% 5%

Financials $21 $24 $26 16% 10%

Industrials $15 $16 $17 8% 7%

Telecommunication
$5 $5 $5 7% 4%
Services
Consumer Staples $7 $7 $8 -5% 8%

Utilities $4 $4 $4 0% 3%

Energy $13 $4 $2 -68% -39%

S&P 500 $117 $117 $124 0% 6%

S&P 500 Ex-Energy $104 $113 $122 9% 8%

Source: J.P. Morgan Asset Management Estimates, IBES. As of 12/31/2015. Opinions, estimates, forecasts, projections and statements of financial market trends that are based on current market conditions constitute our
judgment and are subject to change without notice. There can be no guarantee they will be met. Note: JPM Proprietary sector model is classified into GICS sectors as follows: Financials=Big Banks & Brokers, Financial Services,
Regionals, Insurance, REITS; Consumer Discretionary = Media, Retail, Consumer Cyclical; Information Technology = Software & Services, Semis & Hardware; Health Care = Pharma/MedTech, Health Services & Systems;
Industrials = Industrial Cyclical, Autos & Transportation; Materials = Basic Materials; Telecommunication Services = Telecommunications; Consumer Staples = Consumer Stable; Utilities = Utilities; Energy = Energy.

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Current three-year rolling volatility is still below its historical average

January 1, 1963 – December 31, 2015

25%

20%

15%
Average:
14.44% Dec’15:
10.62%

10%

5%
S&P 500 3Y Standard Deviation
Average 3Y Standard Deviation

0%
Dec-62 May-67 Oct-71 Mar-76 Aug-80 Jan-85 Jun-89 Nov-93 Apr-98 Sep-02 Feb-07 Jul-11 Dec-15

Source: J.P. Morgan Asset Management. Data are as of 12/31/15. For illustrative purpose only.

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Real Earnings Yield and Bull Market Cycles

Real earnings yield – S&P 500 Bull market cycles – Before and after avg. valuation
Sep. 1963 – Sep. 2015 Price returns to peak after crossing average real earnings yield
7% Less 300%
Real earnings yield Returns to peak price after average valuation
expensive
Returns before markets pass average valuation
6%

240%
5% “Average valuation” is
Average: 2.5% defined as the average real
earnings yield of the S&P
4% 500 from 1963 until today 0%*
83%
180%
3%

2% 49%
120%
0%
1%
30%
4%
0% 60% 16%

15%
Valuation more than
-1%
average during bull market More
expensive 29% 49% 73% 121% 59% 180% 101% 184%
0%
-2%
'66 '70 '74 '82 '87 '90 '02 '09
'63 '68 '73 '78 '83 '88 '93 '98 '03 '08 '13
Start of bull market
Source: Standard & Poor’s, J.P. Morgan Asset Management. Valuations are based on real earnings yield for the S&P 500 which is defined as (trailing four quarters of reported earnings/price) - year over year core CPI inflation.*As
depicted on the right hand chart, the return to peak price for the current bull market is 0% as the S&P 500 has yet to cross its long run average real earnings yield. Data are as of September 30, 2015.

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Annual Returns and Intra-year Declines GTM – U.S. | Page 10

S&P 500 intra-year declines vs. calendar year returns

Despite average intra-year drops of 14.2%, annual returns positive in 27 of 36 years
40%
34
31
30
30% 26 27 26 27 26
26
23
20 20
20% 17
15 15 14
2015
12 13 13
11
9
10% 7
4 4
2 3
1
%
-2 0 -1.0
-3
-10% -7 -6 -6 -5 -6
-7 -8 -8 -8 -8 -8 -7 -8 -7
-10 -9 -9 -10 -10 -10
-11 -12 -13 -12
-13
-14
-20% -17 -18 -17 -17 -16
-20 -19 -19
-23
-30%
-28
-30
-34 -34
-40%
-38

-50%
-49

-60%
'80 '85 '90 '95 '00 '05 '10 '15

Source: FactSet, Standard & Poor’s, J.P. Morgan Asset Management. Returns are based on price index only and do not include dividends. Intra-year drops refers to the largest market drops from a peak to a trough during the year.
For illustrative purposes only. Returns shown are calendar year returns from 1980 to 2015. Guide to the Markets – U.S. Data are as of December 31, 2015.

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Interest Rates and Equities GTM – U.S. | Page 12

Correlations between weekly stock returns and interest rate movements

Weekly S&P 500 returns, 10-year Treasury yield, rolling 2-year correlation, May 1963 – December 2015
0.8
When yields are
below 5%, rising
rates have
0.6 historically been
associated with
Positive rising stock
relationship prices
0.4 between yield
movements
and stock
Correlation coefficient

returns
0.2

-0.2

Negative
relationship
-0.4 between yield
movements and
stock returns

-0.6

-0.8
0% 2% 4% 6% 8% 10% 12% 14% 16%
10-year Treasury yield
Source: FactSet, Standard & Poor’s, FRB, J.P. Morgan Asset Management. Returns are based on price index only and do not include dividends. Markers represent monthly 2-year correlations only. Guide to the Markets – U.S.
Data are as of December 31, 2015.

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J.P. Morgan Asset Management

This document is intended solely to report on various investment views held by J.P. Morgan Asset Management. Opinions, estimates, forecasts, and statements of financial market trends that are based on current market conditions constitute our judgment
and are subject to change without notice. We believe the information provided here is reliable but should not be assumed to be accurate or complete. The views and strategies described may not be suitable for all investors. References to specific securities,
asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations. Indices do not include fees or operating expenses and are not available for actual investment. The
information contained herein employs proprietary projections of expected returns as well as estimates of their future volatility. The relative relationships and forecasts contained herein are based upon proprietary research and are developed through analysis
of historical data and capital markets theory. These estimates have certain inherent limitations, and unlike an actual performance record, they do not reflect actual trading, liquidity constraints, fees or other costs. References to future net returns are not
promises or even estimates of actual returns a client portfolio may achieve. The forecasts contained herein are for illustrative purposes only and are not to be relied upon as advice or interpreted as a recommendation.

Contact JPMorgan Distribution Services at 1-800-338-4345 for a fund prospectus. You can also visit us at www.jpmorganfunds.com. Investors should carefully consider
the investment objectives and risks as well as charges and expenses of the mutual fund before investing. The prospectus contains this and other information about the
mutual fund. Read the prospectus carefully before investing.
RISKS ASSOCIATED WITH INVESTING IN THE FUND: The price of equity securities may rise or fall because of changes in the broad market or changes in a company’s financial condition, sometimes rapidly or unpredictably. These price movements may
result from factors affecting individual companies, sectors or industries selected for the Fund’s portfolio or the securities market as a whole, such as changes in economic or political conditions. Equity securities are subject to “stock market risk,” meaning that
stock prices in general (or in particular, the prices of the types of securities in which a fund invests) may decline over short or extended periods of time. When the value of a Fund’s securities goes down, an investment in a Fund decreases in value. The Fund
may invest in derivatives that may be riskier than other types of investments because they may be more sensitive to changes in economic or market conditions and could result in losses that significantly exceed the Fund’s original investment. Many
derivatives create leverage that can cause the Fund to be more volatile than it would be if it had not used derivatives.

There can be no assurance that the professionals currently employed by JPMAM will continue to be employed by JPMAM or that the past performance or success of any such professional serves as an indicator of such professional’s future performance or
success. Any securities/portfolio holdings mentioned throughout the presentation are shown for illustrative purposes only and should not be interpreted as recommendations to buy or sell.

Past performance does not guarantee future results. Total returns assumes reinvestment of any income. Total return assumes reinvestment of dividends and capital gains distributions and reflects the deduction of any sales charges. Performance may reflect
the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. If fees had not been waived, performance would have been less favorable.

Standard and Poor's 500 Index is a capitalization-weighted index of 500 stocks. The index is designed to measure performance of the broad domestic economy through changes in the aggregate market value of 500 stocks representing all major industries.
The index was developed with a base level of 10 for the 1941- 43 base period.

2013, Morningstar, Inc. All Rights Reserved. The information contained herein: (1) is proprietary to Morningstar and/or its providers; (2) may not be copied or distributed; (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its
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Copyright 2015 JPMorgan Chase & Co.

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