J.P. Morgan Kronos Index Update (AMJB) — Apr 2026 performance snapshot

Rhea-AI Filing Summary

The J.P. Morgan Kronos SM US Equity (JPUSKRSP) Index performance update summarizes hypothetical backtested results from Mar 2016 through Mar 2026 and actual index performance from its launch. The Index seeks dynamic 50%, 100% or 150% exposure to the S&P 500® Price Index, applies strategies tied to turn‑of‑month, option‑expiry momentum and month‑end mean reversion, and is subject to a daily deduction of 0.35% per annum index fee. The Index was established on June 11, 2021 and levels are published on Bloomberg under ticker JPUSKRSP. The update discloses backtested and actual risk/return metrics, notes limitations of backtesting, and lists selected index risks including sponsor adjustment rights, potential notional financing costs tied to the Effective Federal Funds Rate, and the Index’s notional structure.

Insights

Index Strategy Analyst

Index combines seasonality and option‑expiry momentum with dynamic leverage; results shown are a mix of backtested and live performance.

The update provides hypothetical performance from Mar 2016–Mar 2026 and actual results since the Index launch on June 11, 2021. It reports risk/return measures and documents a 0.35% p.a. fee and possible notional financing costs tied to the Effective Federal Funds Rate.

The index’s rules apply strategies only during portions of each month and include replacement and adjustment provisions. Future disclosures or a governing term sheet may supersede these figures; timing and cash‑flow specifics for linked notes are not contained in this excerpt.

Key Figures

Index fee: 0.35% per annum Index establishment date: June 11, 2021 Backtest period: Mar 2016–Mar 2026 +3 more

6 metrics

Index fee 0.35% per annum daily deduction of 0.35% per annum index fee

Index establishment date June 11, 2021 Index was established on June 11, 2021

Backtest period Mar 2016–Mar 2026 Hypothetical and actual historical performance: Mar 2016 through Mar 2026

Sharpe Ratio (listed) 0.72 Sharpe Ratio shown in performance table

10 Year Volatility (Annualized) 21.26% 10 Year Volatility (Annualized) reported in table

Published ticker JPUSKRSP Levels are published on Bloomberg using the ticker JPUSKRSP

Key Terms

Backtesting, Notional assets and liabilities, Effective Federal Funds Rate

3 terms

Backtesting financial

"Hypothetical and actual historical performance: Mar 2016 through Mar 2026"

Backtesting is the practice of applying an investment strategy or trading rule to historical market data to see how it would have performed. It matters to investors because it helps reveal strengths, weaknesses, and potential risks of a strategy before real money is at stake—like replaying past games to refine tactics—while remembering that past results do not guarantee future outcomes.

Notional assets and liabilities financial

"The Index comprises notional assets and liabilities"

Effective Federal Funds Rate financial

"notional financing cost based on the Effective Federal Funds Rate"

The effective federal funds rate is the average interest rate banks pay each other for overnight loans of reserve balances held at the central bank, calculated from actual transactions across the market. It matters to investors because it acts as a benchmark that helps set borrowing costs, loan and bond rates, and company financing expenses—like a thermostat for the price of short-term money that influences stock and bond valuations.

AI-generated analysis. How Rhea-AI works. Not financial advice.

See more from StockTitan in Google Search and AI answers. Adds StockTitan as a preferred source · opens Google

Add on Google Not now

Accepted by SEC EDGAR 04/06/2026 - 05:16 PM Learn about SEC filing dates

FAQ

What exposure does the JPUSKRSP Index seek?

The Index seeks dynamic 50%, 100% or 150% exposure to the S&P 500® Price Index. It adjusts exposure based on turn‑of‑month, option‑expiry momentum and month‑end mean reversion signals as described.

How are index fees and financing treated for JPUSKRSP?

The Index level reflects a daily deduction of 0.35% per annum as an index fee. The level may also include a notional financing cost based on the Effective Federal Funds Rate in certain circumstances.

What performance period is covered in this update?

The update presents hypothetical backtested performance from March 2016 through March 2026 and actual Index performance from its establishment on June 11, 2021 through March 31, 2026.

Where can I find the Index level and ticker?

Index levels are published on Bloomberg under the ticker JPUSKRSP. The document states the Index was established on June 11, 2021 and uses Bloomberg for level publication.

Does the Index include dividends in returns?

The Index does not reflect reinvestment of dividends; it references the S&P 500 Price Index rather than a total‑return series in its stated construction.

Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the prospectus addendum dated June 3, 2024, the product supplement no. 4 - I dated April 13, 2023 and the underlying supplement no. 8 - I dated April 13, 2023. Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated April 3, 2026 Rule 424(b)(3) PERFORMANCE UPDATE The J.P. Morgan Kronos SM US Equity (JPUSKRSP) Index attempts to provide a dynamic 50%, 100% or 150% exposure to the S&P 500® Price Index (“the S&P 500”) based on the following principles: • Strong historical performance around the turn of the month • Historical price momentum ahead of index options’ expiry • Historical mean reversion at month - end The Index does not reflect the reinvestment of dividends and is subject to a daily deduction of 0.35% per annum index fee The Index was established on June 11, 2021. Levels are published on Bloomberg using the ticker JPUSKRSP. Hypothetical and actual historical performance: Mar 2016 through Mar 2026 Please see the footnotes at the bottom of this page and “Backtesting” on the following page for information on backtested performance. Hypothetical and actual historical returns and volatilities: Mar 2016 through Mar 2026 J.P. Morgan Kronos US Equity (JPUS RSP) Index S&P 500® Total Return Index Backtested Actual J.P. Morgan Kronos US Equity (JPUS K RSP) Index S&P 500® Tota Return Index Backtested Actua Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.72 21.26% 15.36% 6.69% 11.83% 11.90% J.P. Morgan Kronos US Equity (JPUSKRSP) Index 0.78 18.09% 14.16% 12.06% 18.32% 17.80% S&P 500® Total Return Index Historical exposure at end - of - day: Jan 2026 through Mar 2026 Hypothetical and actual historical monthly and annual returns: Jan 2017 through Mar 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 23.59% 1.02% 2.60% 2.62% 1.77% 1.46% 2.06% 0.95% 1.44% 0.68% 0.68% 4.26% 1.88% 2017 3.42% - 7.20% 5.21% - 6.85% 0.54% 2.89% 4.06% 2.36% 3.48% 1.40% - 1.57% - 7.23% 7.71% 2018 32.25% 2.63% 3.99% 0.88% 2.57% - 3.45% 1.49% 9.82% - 8.68% 4.15% 3.15% 3.92% 9.16% 2019 53.87% 4.21% 13.25% - 1.35% - 2.56% 7.51% 6.75% 4.66% 3.68% 12.59% 0.69% - 5.12% 1.25% 2020 34.66% 4.31% 0.85% 9.18% - 4.86% 3.28% 1.23% 1.71% 1.69% 6.25% 2.54% 3.77% 0.80% 2021 - 28.46% - 10.62% 3.18% 8.99% - 10.90% - 4.84% 10.54% - 8.61% 4.55% - 12.37% - 1.19% - 1.55% - 6.76% 2022 28.43% 4.29% 11.42% - 1.13% - 6.20% - 1.86% 2.41% 7.99% - 2.22% 2.04% 6.06% - 2.62% 6.56% 2023 17.12% - 3.71% 5.90% - 1.12% 0.03% - 2.19% 1.93% 3.83% 7.22% - 4.65% 3.06% 5.47% 0.94% 2024 9.45% 0.19% 0.02% 0.85% 4.68% 1.04% 2.70% 3.57% 6.74% - 1.37% - 9.31% - 1.01% 1.85% 2025 - 6.52% - 4.97% - 1.76% 0.13% 2026 APRIL 2026 J.P. Morgan Kronos US Equity (JPUSKRSP) Index Historical performance measures for the Index represent hypothetical backtested performance using the actual performance of the S&P 500® Price Return Index through June 10, 2021 and the actual performance of the Index from June 11, 2021 through March 31, 2026. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. Please see the Disclaimer on the following page. Investing in the notes linked to the Index involves a number of risks. See “Selected Risks” on page 2 of this document, “Risk Factors” in the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement. Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement or prospectus. Any representation to the contrary is a criminal otfense. The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank. Mar 2026 150% 100% 50% S&P 500® Exposure 3/2 — 3/4 3/5 — 3/16 3/17 — 3/20 3/23 — 3/26 3/27 — 3/30 3/31 Jan 2026 150% 100% 50% S&P 500® Exposure 1/2 — 1/6 1/7 — 1/12 1/13 — 1/16 1/20 — 1/21 1/22 — 1/27 1/28 — 1/29 1/30 Feb 2026 150% 100% 50% S&P 500® Exposure 2/2 — 2/4 2/5 — 2/6 2/9 — 2/13 2/17 — 2/20 2/23 — 2/27

APRIL 2026 | J.P. Morgan Kronos US Equity (JPUSKRSP) Index Selected Risks Our affiliate, J.P. Morgan Securities LLC (“JPMS”), is the sponsor and calculation agent of the Index and may adjust the Index in a way that atfects its level. The level of the Index will include the deduction of a fee of 0.35% per annum and, in some circumstances, a notional financing cost based on the Etfective Federal Funds Rate. JPMorgan Chase & Co. is currently one of the companies that make up the Constituent. There are risks associated with the Index’s turn - of - month strategy. There are risks associated with the Index’s option expiry momentum strategy. There are risks associated with the Index’s mean reversion strategy. The Index’s strategies are applied during only a portion of each month. The Index may be adversely atfected by an overlap between its turn - of - the - month strategy and its month - end mean reversion strategy. The Index may be uninvested in the Constituent. The Constituent of the Index may be replaced by a substitute index in certain extraordinary events. The notional cash return will be negatively atfected if the underlying interest rate is negative. The Index, which was established on June 11, 2021, has a limited operating history and may perform in unanticipated ways. The Index comprises notional assets and liabilities. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest. The Index may not be successful or outperform any alternative strategy that may be employed of the Constituents. The Etfective Federal Funds Rate is atfected by a number of factors and may be volatile. The method pursuant to which the Etfective Federal Funds Rate is determined may change, and any such change may adversely atfect the value of notes linked to the Index. The risks identified above are not exhaustive. You should also review carefully the related “Risk Factors” section in the prospectus supplement and the relevant product supplement and underlying supplement and the “Selected Risk Considerations” in the relevant pricing supplement. Disclaimer The information contained in this document is for discussion purposes only . Any information relating to performance contained in these materials is illustrative and no assurance is given that any indicative returns, performance or results, whether historical or hypothetical, will be achieved . These terms are subject to change, and J . P . Morgan undertakes no duty to update this information . This document shall be amended, superseded and replaced in its entirety by a subsequent term sheet and/or disclosure supplement, and the documents referred to therein . In the event any inconsistency between the information presented herein and any such term sheet and/or disclosure supplement, such term sheet and/or disclosure supplement shall govern . Backtesting : Hypothetical backtested performance measures have inherent limitations . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . Past performance, and especially hypothetical back - tested performance, is not indicative of future results . This type of information has inherent limitations and you should carefully consider these limitations before placing reliance on such information . The 10 Year Volatility (Annualized) on the previous page is a measure of market risk, calculated as of the square root of two hundred and fifty - two ( 252 ) multiplied by the sample standard deviation of the daily logarithmic returns of each applicable index or portfolio (considering only days for which levels are available for all three) over the preceding 10 years . The Sharpe Ratio on the previous page is a measure of risk - adjusted performance, calculated as the 10 Year Return (Annualized) divided by the 10 Year Volatility (Annualized) . Investment suitability must be determined individually for each investor, and notes linked to the Index may not be suitable for all investors . This material is not a product of J . P . Morgan Research Departments . Copyright © 2026 JPMorgan Chase & Co . All rights reserved . For additional regulatory disclosures, please consult : www . jpmorgan . com/disclosures . Information contained on this website is not incorporated by reference in, and should not be considered part of, this document . This monthly update document replaces and supersedes all prior written materials of this type previously provided with respect to the Index .