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FOR INSTITUTIONAL/WHOLESALE/PROFESSIONAL CLIENTS AND QUALIFIED INVESTORS ONLY – NOT FOR RETAIL USE OR DISTRIBUTION

Building an All Weather Real Assets Portfolio

NCPERS Conference 2016

Pulkit Sharma, Executive Director, J.P. Morgan Global Real Assets

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1 | FOR INSTITUTIONAL/WHOLESALE/PROFESSIONAL CLIENTS AND QUALIFIED INVESTORS ONLY – NOT FOR RETAIL USE OR DISTRIBUTION

Electricity Northwest, UK

What are real assets? The building blocks of productive societies

These examples represent some of the investments in Real Assets funds. However, you should not assume that these types of investments will be available to or, if available, will be selected for investment by any fund in the future. There can be no guarantee of future success.

Cairns and Mackay Airports, Australia

Timber/Farmland

Global Maritime/Transport

Developed Market Real Estate

Emerging Market Real Estate

Developed Market Infrastructure

Emerging Market Infrastructure

Global Maritime / Transport

Farmland / Timberland

Other “Hard” Assets

Seven Hills Hospital, Mumbai

Zephyr Wind, UK

Shanghai 65, China Place d’Alleray, Paris

GSW Tower, Berlin

Cairns and Mackay Airports, Australia

1345 Avenue of the Americas, New

York, NY

Amrapali Zodiac,

Noida, India

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Not so long ago

The evolution of investor portfolios? Pre- and Post-realization

The charts and/or graphs shown above and throughout the presentation are for illustration and discussion purposes only. Source: J.P. Morgan. Estimates, forecasts, and projections are based on current market conditions, constitute our judgment, and are subject to change without notice.

Fixed Income

Equity

Fixed Income

Alternatives, including

domestic real estate

Equity

Equity, including

private equity Global Real

Assets

Fixed Income

Absolute

Return

Pre-Realization Post-Realization?

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0%

2%

4%

6%

8%

10%

12%

14%

16%

198

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8

199

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2

19

94

199

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199

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200

0

200

2

20

04

200

6

200

8

201

0

201

2

201

4

201

6

Low Yielding Bonds…for the Foreseeable Future

The Realization: Real challenges in investor portfolios

Federal Reserve Economic Research (FRED), J.P. Morgan Asset Management, 10-year US Treasury. As of September 2016.

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.

Yield-to-maturity on 10-year Treasuries

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1.1%

2.6%

3.6%

4.2% 4.6%

5.0% 5.2% 5.6%

9.0%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

GlobalFixed

Income

GlobalEquities

GlobalREITs

EuropeCore RE

U.S.Core RE

APACCore RE

U.S.Core+ RE

OECDCore/Core+

Infra

GlobalMaritime(Yield-

Oriented)

Higher Current Income Potential than Traditional Assets

The Realization: Real solutions from real assets

Traditional

Assets

Barclays Capital Global Agg Yield-to-Worst, MSCI World Dividend Yield, FTSE/EPRA NAREIT Global Developed REITs Dividend Yield, CBRE EU-15 prime yield, J.P. Morgan US Core RE strategy trailing 12-month income return, J.P. Morgan US Core-plus RE strategy trailing 12-month

income return, J.P. Morgan OECD Infrastructure strategy trailing 12-month cash yield. APAC Core RE and Global Maritime are represented by J.P. Morgan’s internal estimates of 12-month trailing income returns on an income-focused investment strategy. Financial assets as of September

2016, real assets are as of June 2016.


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0

10

20

30

40

50

60

70

80

90

Volatile Equities and High Correlations


Bloomberg, J.P. Morgan Asset Management, VIX Index (S&P 500 Volatility Index),as of October 2016. 10-year correlation matrix is in USD, and uses annual data as of December 2015.


9/11 WorldCom

SARS

SE Asia

Tsunami

JPMorgan buys

Bear Sterns

Lehman Brothers

bankruptcy

$787bn Stimulus

Package signed

1st Greek

Bailout

BP Oil

Spill

European

Crisis China/global

growth

concerns

10 Year

Correlations

S&P

500

MSCI

World

MSCI

EM

S&P 500 1.0

MSCI World 1.0 1.0

MSCI EM 0.7 0.8 1.0

Brexit

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-30%

-20%

-10%

0%

10%

20%

30%

199

5

199

6

199

7

199

8

199

9

200

0

200

1

200

2

200

3

200

4

200

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200

6

200

7

200

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200

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201

1

201

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201

4

201

5

Qu

art

erl

y T

ota

l R

etu

rns

MSCI Global Equities Diversified Real Assets Portfolio

Lower Volatility than Equities


MSCI World Index, Global Real Assets Portfolio is representative of an equally-weighted portfolio of: US Core RE (NCREIF – ODCE), Europe Core RE (IPD/CBRE/JPM), Asia-Pacific Core RE (JLL//IPD/JPM), OECD Infrastructure (JP Morgan GRA Research modeled), and yield-oriented

maritime (Clarksons/JPM.) As of December 31, 2015. All returns are in local currency.


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0

2

4

6

8

10

12

1961-70 1971-80 1981-90 1991-00 2001-10 2011-20

United States Japan Germany United Kingdom France Spain

High GDP Growth in Developed Markets a Thing of the Past


Bloomberg, J.P. Morgan Asset Management, IMF, JPMAM GRA Research. Data as of July 2016.


Real GDP growth rates

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Link to Emerging Market Growth


IMF, JP Morgan. Data as of July 2016.


0

2

4

6

8

10

12

1990-99 2000-09 2010-15 2016E 2017-2021E

World United States Europe Developing Asia India China

Real GDP growth rates

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-4

-2

0

2

4

6

8

10

12

14

16

1980 1984 1988 1992 1996 2000 2004 2008 2012 2016

Inflation at Least a Medium Term Threat


Federal Reserve Economic Research (FRED) ,J.P. Morgan Asset Management, US Consumer Price Index All Urban Consumers, All Items, Seasonally Adjusted year-over-year. As of August 2016.


U.S. Inflation, CPI annual amounts

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Inflation Protection When It Matters


Bloomberg, Barclays Capital, Standard & Poors, S&P GSCI (Standard & Poor’s Goldman Sachs Commodity Index), NCREIF, Global Financial Data, and J.P. Morgan Asset Management GRA Research.


Corporate Debt

S&P 500

Infrastructure

US CPI

Commodities

Real Estate

0.5

1.5

4.5

13.5

1971 1972 1973 1974 1975 1976 1977 1978 1979 1980 1981 1982 1983 1984 1985L

og

Scale

Nominal return and inflation indices, 1971 to 1985

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Building an All Weather Real Assets Portfolio

Real Assets Portfolio Construction

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All weather investing: Preparing for variable conditions

Proven Durability through market cycles

Low Drag from highly-correlated public markets

Stable Performance driven by durable income

More Cushion from inflationary surprises

Expert Handling on higher returning strategies

Improved Traction for responding to downside scenarios

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For illustrative purposes only.


A framework for building all-weather real assets portfolios

Source: J.P. Morgan Asset Management – Global Real Assets.

GLOBAL DIVERSIFIERS

Global diversification and tactical/opportunistic returns

CORE COMPLEMENTS

Added diversification and/or enhanced returns

CORE FOUNDATION

Stable income with lower volatility,

diversification, plus inflation sensitivity

Developed Markets Core Real Assets

Core/Core+

Real Estate

Core/Core+

Infrastructure

Developed Markets Complementary Real Assets

Emerging Markets

Real Assets

EM Real Estate

Asia Infrastructure

Global Opportunistic Maritime

Value Added/Opportunistic Real Assets

Yield-Oriented Global Maritime/Transport

Mezzanine Listed Real Assets Timber/Farmland

Real Assets Solutions Pyramid

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Double diversification benefits unique to real assets

Low correlations vs. financial assets and between real asset categories

Sources: Bloomberg, MSCI, Barclays Capital, HFRI, Burgiss Private Equity, NCREIF, IPD, CBRE, Jones Lang LaSalle, Wilshire, Wells Fargo, UBS, Clarksons Shipping Research, and JPMAM-Global Real Assets Research. Japanese Equities and Bonds, Europe and Asia data is denominated in local currency. All other data is denominated is in USD. Annual data as of December 2015. Burgiss Private Equity data is available from 1996-2014. Prior to 2000, the Japanese Fixed Income time series is based on Japanese government bonds, as the Barclays Japanese Agg is available from 2001-2015. Note: Unlevered real estate series were levered to reflect how institutional investors typically access the representative asset classes. Past performance is not indicative of future results. Diversification does not guarantee investment returns and does not eliminate the risk of loss. The above table is for illustrative and discussion purposes only.

High (+1.0) Low (Negative)

Financial

Assets

Other Alts

Global

Real Estate

Other Real

Assets

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1996 - 2015 Global

Equities

Global

Bonds

Private

Equity

Hedge

Funds

U.S.

Core/Core+

Real Estate

Europe

Core

Real Estate

APAC

Core

Real Estate

OECD

Core/Core+

Infra

Global

Maritime/

Transport

All-Tranche

REITs

Asian

Infra

Global Equities 1.0

Global Bonds 0.0 1.0

Private Equity 0.7 -0.3 1.0

Hedge Funds 0.7 -0.3 0.8 1.0

U.S. Core/Core+ Real Estate 0.2 -0.3 0.4 0.3 1.0

Europe Core Real Estate 0.4 -0.4 0.6 0.4 0.7 1.0

APAC Core Real Estate 0.2 -0.3 0.4 0.3 0.6 0.6 1.0

OECD Core/Core+ Infrastructure 0.0 0.4 -0.1 0.1 0.2 0.1 -0.3 1.0

Global Maritime/Transport 0.3 0.3 0.1 0.3 0.2 0.2 0.5 0.2 1.0

All-Tranche REITs 0.4 0.1 0.2 0.5 -0.1 0.3 0.1 0.2 0.4 1.0

Asian Infrastructure 0.0 0.1 0.0 0.2 0.2 0.3 0.5 0.3 0.6 0.6 1.0

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How to achieve broad real assets beta and enhanced risk-

adjusted returns vs. traditional financial assets?

For illustrative and discussion purposes only. ¹ The target returns are gross returns for illustrative purposes only and are subject to significant limitations. An investor should not expect to achieve actual returns similar to the target returns shown above. Because of the inherent limitations of the

target returns, potential investors should not rely on them when making a decision on whether or not to invest in the strategy. Please see the complete Target Return disclosure at the conclusion of the presentation for more information on the risks and limitation of target returns.

GLOBAL REAL ASSETS PORTFOLIO Vs. a 60/40 stock/bond portfolio…

200 – 300 bps return premium

2 – 3X more income

30 – 40% lower volatility

Better downside resilience and

inflation sensitivity

Target Total Return¹: 8 – 10%

Target Income Return¹: 5 – 6%

Sectors: Diversified

Exposure: Global

Global

Infra

30-50%

Global Maritime/

Transport

10-20%

Global

Real Estate

40-60%

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Target Return Characteristics

Target Total Return (Gross)* 5 – 7% 8 – 9% 8 – 9% 8 – 10%

Target Income Return* 1.5 – 2.5% 4.5 – 5.5% 4.5 – 5.5% 5 – 6%

Illustrative 20-year analysis using asset class data. Notes: (1) The target returns are derived from J.P. Morgan internal estimates of respective asset class returns. (2) Return per unit of risk is calculated by dividing the 20-year CAGR by the 20-year standard deviation. (3) Volatility is calculated using historical annual 1996-2015 standard deviation of historical returns. (4) The risk-return characteristics are calculated in USD except for Europe real estate, which is calculated in euros, and APAC real estate and OECD Infrastructure, which are calculated in local currency terms. (5) The portfolio attributes stated in the above table are for illustrative purposes only. (6) The portfolios assume annual rebalancing. (7) The max drawdown denotes the maximum historical peak to trough decline in asset values. (8) % of time over CPI + 5% is calculated using 3-year rolling returns. Sources: Bloomberg, MSCI, Barclays, NCREIF, CBRE, IPD, Jones Lang LaSalle, Clarksons, and JPMAM Global Real Assets Research. DISCLAIMER: Past performance is not indicative of future results. Diversification does not guarantee investment returns and does not eliminate the risk of loss. J.P. Morgan seeks to achieve the stated objectives, but there can be no guarantee the objectives will be met. For discussion purposes only. *The target returns are gross returns for illustrative purposes only and are subject to significant limitations.

An investor should not expect to achieve actual returns similar to the target returns shown above. Because of the inherent limitations of the target returns, potential investors should not rely on them when making a decision on whether or not to invest in the strategy. Please see the complete Target Return disclosure at the conclusion of the presentation for more information on the risks and limitation of target returns.

Historical Risk/Return Characteristics

Historical Return 6.3% 9.5% 9.1% 9.3%

Historical Volatility 11.7% 11.4% 10.0% 7.5%

Return per unit of Risk 0.5 0.8 0.9 1.2

Max Drawdown -22% -37% -27% -19%

Equity Beta (vs. MSCI World) 0.6 0.1 0.1 0.1

% of Time Over CPI + 5% 56% 72% 72% 78%

vs. GRE Only

Global 60/40%

Stock/Bond Portfolio

100% U.S. Real

Estate Portfolio

Global Real Estate

Portfolio (GRE)

Europe

Core RE

APAC

Core RE

60%

Global

Equities

Diversified Global

Real Assets Portfolio

Global

Infra

Global Maritime/

Transport 40%

Global

Bonds

100%

U.S. Core

Real Estate

Global

Real

Estate

U.S.

Core

RE

Global real assets are resilient under all conditions

Better diversification, lower downside risk, and increased overall risk-adjusted returns

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11.7% 11.4% 10.0%

7.5%

0%

2%

4%

6%

8%

10%

12%

60/40Stock/Bond

USReal Estate

GlobalReal Estate

GlobalReal Assets

Vo

lati

lity

-22%

-37%

-27%

-19%

-40%

-30%

-20%

-10%

0%

Ma

x D

raw

do

wn

Strategic risk management: lower probability of bad outcomes

Illustrative 20-year analysis using asset class data. Notes: 60/40 denotes a 60% Global Equities (MSCI World) and 40% Fixed Income (Barclays Aggregate) portfolio. Volatility is calculated using historical consistent time-weighted 20-year (1996-2015) data in order to capture long-term multi-cycle “asset class” behavior and is computed in annual terms to mitigate/minimize the impact of serial correlations inherent in private market returns. Max Drawdown denotes to maximum historical peak to trough decline in asset values. Volatility reduction and drawdown reduction tables have the figures rounded for simplicity purposes with the goal of illustrating directional and not absolute inferences. The portfolios assume annual rebalancing. Sources: Bloomberg, MSCI, Barclays, NCREIF, CBRE, IPD, Jones Lang LaSalle, Clarksons, and JPMAM Global Real Assets Research. DISCLAIMER: Past performance is not indicative of future results. Diversification does not guarantee investment returns and does not eliminate the risk of loss. J.P. Morgan seeks to achieve the stated objectives, but there can be no guarantee the objectives will be met. For discussion purposes only.

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Components of an All Weather Real Assets Portfolio

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-10%

-8%

-6%

-4%

-2%

0%

2%

4%

6%

8%

10%

19

83

19

84

19

85

19

86

19

87

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88

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91

19

92

19

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99

20

00

20

01

20

02

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20

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09

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11

20

12

20

13

20

14

20

15

20

16

rolling 5yr appreciation (annualized) rolling 5 yr income (annualized)

Transparent, steady income from core real assets may provide

support for stable returns when the going gets tough NCREIF NFI-ODCE rolling 5-year appreciation and income returns, December 1977 through December 2015

Sources: NCREIF, J. P. Morgan Asset Management. Income, appreciation and total returns are NFI-ODCE index gross returns. As of June 30, 2016.

Yield can offset value

declines

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-10%

-5%

0%

5%

10%

15%

20%

25%

2005 2006 2007 2008 2009 2010 2011 2012 2013 2014

Vintage Year

Core Median TWR

Low variability core investing should be the anchor in an

all-weather real assets portfolio Percentile since inception (vintage year) returns for closed-end non-core and open-end core funds

Sources: Cambridge Associates, NCREIF; as of 2015Q3. Returns for core are time-weighted net returns (ODCE) and opportunistic returns are net internal rates of return (Cambridge). Returns for each year are since inception (vintage year) returns ending in 3Q2015. The above table is for illustrative and discussion purposes only. Past performance is not indicative of future results.

Dispersion of Returns: Non-core, Closed-end Funds Dispersion of Returns: Core, Open-end Funds

Average range of top and bottom quartile returns: 12.8% Average range of top and bottom quartile returns: 1.8%

-10%

-5%

0%

5%

10%

15%

20%

25%

2004 2005 2006 2007 2008 2009 2010 2011 2012 2013Vintage Year

Opportunistic Median IRR

Top Quartile

Bottom Quartile

Top Quartile

Bottom Quartile

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1.5%

3.4%

4.6%

0%

2%

4%

6%

8%

10%

12%

UST 10Y Yield US Corporate BBB YTW US All-Property Yield

U.S. Core/Core+ Real Estate

Sources: Bloomberg, Barclays Capital, NCREIF and J.P. Morgan Asset Management; data as of June 30, 2016. 1. Occupancy represents current % leased. 2. Yield represents going-in yield at time of acquisition. *As of September 2016. This example is included solely to illustrate the investment process and strategies which have been utilized by the manager. It should not be assumed that investments within the portfolio have or will perform in a similar manner to the investment above. Please note that this investment is not necessarily representative of future investments that the manager will make. There can be no guarantee of future success.

Yields have compressed but spreads remain wide Completed Transaction: Valley Fair Mall

• Type: Retail

• Location: San Jose, CA

• Weighted Average Remaining Lease Term: 14.7 years*

• Occupancy: 88%1*

• Yield: 4.0%2

120 bps over BBB

310 bps over UST

US RE

yields

are…

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1.2%

1.3%

4.9%

0%

1%

2%

3%

4%

5%

6%

7%

8%

9%

2002

2002

2003

2004

2004

2005

2006

2006

2007

2008

2008

2009

2010

2010

2011

2012

2012

2013

2014

2014

2015

Europe Govt Bond Yield Europe Corporate BBB Yield Europe All-Property Yield

Europe Core/Core+ Real Estate

Sources: Bloomberg, Barclays Capital, IPD and J.P. Morgan Asset Management; data as of December 31, 2015. *As of 2Q 2016. 1. Yield represents net initial yield. This example is included solely to illustrate the investment process and strategies which have been utilized by the manager. It should not be assumed that investments within the portfolio have or will perform in a similar manner to the investment above. Please note that this investment is not necessarily representative of future investments that the manager will make. There can be no guarantee of future success.

Historically high spreads versus fixed income Illustrative Transaction: Office, Bristol

• Type: Modern office

• Location: Bristol, UK

• Weighted Average Remaining Lease Term: 16 years*

• Occupancy: 100%

• Yield: 5.75%1

360 bps over BBB

370 bps over Govt Bond

EU RE

yields

are…

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1.3%

2.4%

5.4%

0%

1%

2%

3%

4%

5%

6%

7%

2006

2006

2007

2007

2008

2008

2009

2009

2010

2010

2011

2011

2012

2012

2013

2013

2014

2014

2015

2015

2016

APAC Govt Bond Yield APAC Corporate BBB Yield APAC All-Property Yield

APAC Core/Core+ Real Estate

Sources: FTSE, S&P ASX, IPD and J.P. Morgan Asset Management; data as of March 31, 2016. APAC data is represented as a 50/50 weighted average of Japan and Australia yields. *As of 2Q 2016. 1. Yield represents levered initial NOI yield. This example is included solely to illustrate the investment process and strategies which have been utilized by the manager. It should not be assumed that investments within the portfolio have or will perform in a similar manner to the investment above. Please note that this investment is not necessarily representative of future investments that the manager will make. There can be no guarantee of future success.

Yields are attractive in developed APAC markets Completed Transaction: White Tower

• Type: Residential

• Location: Minato ward, Tokyo, Japan

• Occupancy: 94%*

• Yield: 6.3%1

300 bps over BBB

410 bps over Govt Bond

APAC

RE

yields

are…

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9.6%

9.4%

1.5%

3.0%

0%

2%

4%

6%

8%

10%

12%

14%

16%

1970 1974 1978 1982 1986 1990 1994 1998 2002 2006 2010 2014

Electric allowed RoE Natural Gas allowed RoE

10-year Treasury rate Utility bond yields (Credit grade, long-term)

OECD Core/Core+ Infrastructure

Sources: Regulatory Research Associates, Barclays Capital and J.P. Morgan Asset Management; data as of June 2016. RoE represents the Return On Equity i.e. the amount of net income returned as a percentage of shareholders equity. *Trailing 12-month yield. As of Q2 2016. This example is included solely to illustrate the investment process and strategies which have been utilized by the manager. It should not be assumed that investments within the portfolio have or will perform in a similar manner to the investment above. Please note that this investment is not necessarily representative of future investments that the manager will make. There can be no guarantee of future success.

Wide spreads for regulated utilities Completed Transaction: SouthWest Water Company

• Type: Regulated water and wastewater utility company

• Location: Serving over 357,000 people in California, Texas,

Alabama and South Carolina

• Cash Flows: Regulated, inflation-protected

• Yield: 6.4%*

640-660 bps over Corp.Bond

790-810 bps over UST

Utility

allowed

ROEs

are…

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Global Yield-Oriented Maritime/Transport

Vessel Type: LNG Carrier

Lease Period: 10 Years

Entry Price: $210M

Exit Price: $154M

Maritime: Illustrative Long-Term Charter Agreement Fixed Income: Corporate Debt Issuance

Initial Unlevered Yield: 10.5%

Sources: Bloomberg, JPMAM – GRA. Note: The illustrated transaction is in USD. The returns shown exclude the impact of taxes. Bond ISIN used: US822582BX94. Bond YTW as of September 20, 2016.

The company above is shown for illustrative purposes only. Their inclusion should not be interpreted as a recommendation to buy or sell. The use of the above company logo is in no way an endorsement for JPMIM investment management services.

Bond Type: Fixed

Credit Rating: Aa2

Coupon: 2.50%

Maturity: 12/9/2026

Yield at Issue: 2.6%

790 bps Yield Premium

Income opportunity with high-quality counterparty

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The Diversified All Weather Real Assets Portfolio

For illustrative and discussion purposes only. ¹ The target returns are gross returns for illustrative purposes only and are subject to significant limitations. An investor should not expect to achieve actual returns similar to the target returns shown above. Because of the inherent limitations of the

target returns, potential investors should not rely on them when making a decision on whether or not to invest in the strategy. Please see the complete Target Return disclosure at the conclusion of the presentation for more information on the risks and limitation of target returns.

GLOBAL REAL ASSETS PORTFOLIO Vs. a 60/40 stock/bond portfolio…

200 – 300 bps return premium

2 – 3X more income

30 – 40% lower volatility

Better downside resilience and

inflation sensitivity

Target Total Return¹: 8 – 10%

Target Income Return¹: 5 – 6%

Sectors: Diversified

Exposure: Global

Global

Infra

30-50%

Global Maritime/

Transport

10-20%

Global

Real Estate

40-60%

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Appendix

Disclosures

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Important Disclaimers NOT FOR RETAIL DISTRIBUTION: This communication has been prepared exclusively for institutional/wholesale/professional clients and qualified investors only as defined by local laws and regulations. This is a promotional document and is intended to report solely on investment strategies and opportunities identified by J.P.Morgan Asset Management and as such the views contained herein are not to be taken as an advice or recommendation to buy or sell any investment or interest thereto. This document is confidential and intended only for the person or entity to which it has been provided. Reliance upon information in this material is at the sole discretion of the reader. The material was prepared without regard to specific objectives, financial situation or needs of any particular receiver. Any research in this document has been obtained and may have been acted upon by J.P. Morgan Asset Management for its own purpose. The results of such research are being made available as additional information and do not necessarily reflect the views of J.P.Morgan Asset Management. Any forecasts, figures, opinions, statements of financial market trends or investment techniques and strategies expressed are those of JPMorgan Asset Management, unless otherwise stated, as of the date of issuance. They are considered to be reliable at the time of writing, but no warranty as to the accuracy, and reliability or completeness in respect of any error or omission is accepted. They may be subject to change without reference or notification to you. Investments in “Alternative Investment Funds (AIF’s) involves a high degree of risks, including the possible loss of the original amount invested. The value of investments and the income from them may fluctuate in accordance with market conditions and taxation agreements. Changes in exchange rates may have an adverse effect on the value, price or income of the product(s) or underlying investment. Both past performance and yield may not be a reliable guide to future performance. There is no guarantee that any forecast will come to past. Any investment decision should be based solely on the basis of any applicable local offering documents such as the Prospectus, annual report, semi-annual report, private placement or offering memorandum. For further information, any questions and for copies of the offering material you can contact your usual J.P. Morgan Asset Management representative. Any reproduction, retransmission, dissemination or other unauthorised use of this document or the information contained herein by any person or entity without the express prior written consent of J.P. Morgan Asset Management is strictly prohibited. J.P.Morgan Asset Management and/or any of its affiliates and employees may hold positions or act as a market maker in the financial instruments of any issuer discussed herein or act as the underwriter, placement agent or lender to such issuer. The investments and strategies discussed herein may not be suitable for all investors and may not be authorized or its offering may be restricted in your jurisdiction, it is the responsibility of every reader to satisfy himself as to the full observance of the laws and regulations of the relevant jurisdictions. Prior to any application investors are advised to take all necessary legal, regulatory and tax advice on the consequences of an investment in the product(s). Property Funds: Past performance of property funds are not indicative of the performance of the property market as a whole and the value of real property will generally be a matter of a Valuer’s opinion rather than fact. The value of a property may be significantly diminished in the event of a downturn in the property market. Property investments are subject to many factors including adverse changes in economic conditions, adverse local market conditions and risks associated with the acquisition, financing and ownership and operation and disposal of real property. Property funds may impose limits on the number of redemptions and may provide for deferrals or suspension in particular circumstances for a given period of time. The Target Return has been established by J.P. Morgan Investment Management Inc. “J.P. Morgan” based on its assumptions and calculations using data available to it and in light of current market conditions and available investment opportunities and is subject to the risks set forth herein and to be set forth more fully in the Memorandum. The target returns are for illustrative purposes only and are subject to significant limitations. An investor should not expect to achieve actual returns similar to the target returns shown above. Because of the inherent limitations of the target returns, potential investors should not rely on them when making a decision on whether or not to invest in the strategy. The target returns cannot account for the impact that economic, market, and other factors may have on the implementation of an actual investment program. Unlike actual performance, the target returns do not reflect actual trading, liquidity constraints, fees, expenses, and other factors that could impact the future returns of the strategy. The manager’s ability to achieve the target returns is subject to risk factors over which the manager may have no or limited control. There can be no assurance that the Fund will achieve its investment objective, the Target Return or any other objectives. The return achieved may be more or less than the Target Return. The data supporting the Target Return is on file with J.P. Morgan and is available for inspection upon request. Securities products, if presented in the U.S., are offered by J.P. Morgan Institutional Investments, Inc., member FINRA/SIPC. J.P. Morgan Asset Management is the marketing name for the asset management businesses of JPMorgan Chase & Co. Those businesses include, but are not limited to, JPMorgan Chase Bank N.A., J.P. Morgan Investment Management Inc., Security Capital Research & Management Incorporated, J.P. Morgan Alternative Asset Management, Inc., and J.P. Morgan Asset Management (Canada), Inc. Copyright 2016 JPMorgan Chase & Co. All rights reserved.

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