JPMorgan (NYSE: AMJB) updates S&P 500 Risk Control 5% Index metrics

Rhea-AI Filing Summary

JPMorgan Chase provides a January 2026 performance update for the S&P 500 Daily Risk Control 5% Index, which dynamically allocates between the S&P 500 and a cash component to target 5% volatility. Volatility is based on exponentially weighted historical returns, and the index is calculated on an excess return basis.

From December 2015 through December 2025, the index shows a Sharpe Ratio of 0.78, 10-year annualized volatility of 5.06% and a 10-year annualized return of 3.93%. Annualized returns over five and three years are 3.12% and 4.34%, with a 1.11% return over the last year. Comparative hypothetical portfolios, such as the Domestic 30/70 Portfolio (ER) and Global 30/70 Portfolio (ER), exhibit different risk/return profiles and higher 10-year volatility.

The update highlights that all non-index portfolio data are hypothetical and that past and backtested performance are not indicative of future results. Key risks include the possibility that the index may not achieve its 5% volatility target, may be significantly uninvested in certain environments, and reflects a deduction for notional financing costs. Investors are directed to broader risk discussions in related supplements when considering CD notes linked to the index.

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Structured products and index strategy analyst

Update details risk-targeted index performance and key methodological risks.

The update describes how the S&P 500 Daily Risk Control 5% Index targets a 5% volatility level by shifting exposure between the S&P 500 and a cash component accruing interest. Using exponentially weighted historical returns, the framework reduces exposure in volatile markets and increases it when conditions are calmer, and the index is calculated on an excess return basis.

Over the period from December 2015 to December 2025, the index shows a Sharpe Ratio of 0.78, 10-year annualized volatility of 5.06% and a 10-year annualized return of 3.93%, with shorter-horizon returns also disclosed. Hypothetical 30/70 equity-bond portfolios, both domestic and global, show different annualized returns and higher 10-year volatilities of 6.33% and 6.18%, respectively, underscoring the impact of the risk-control overlay on risk and return.

The document emphasizes that much of the comparative portfolio performance is hypothetical, that past and backtested results do not predict future outcomes, and that a notional financing cost is deducted in the index level. It also flags risks such as potential deviation from the 5% target volatility, periods when the index may be significantly in cash, and recent changes to the methodology for calculating the notional financing cost. For investors evaluating CD notes linked to the index, the broader risk sections in the referenced supplements remain important for understanding suitability.

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. 3 - I dated April 13, 2023 and the underlying supplement no. 2 - II dated April 18, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated January 13, 2026 Rule 424(b)(3) JANUARY 2026 S&P 500® Daily Risk Control 5% Index The “Domestic 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U . S . Aggregate Bond Total Return Index . The “Global 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % weighted exposure to the MSCI ACWI Net Total Return Index and the Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD (a global investment - grade bond index) . Each notional portfolio is calculated on an excess return basis, i . e . , net of a notional financing cost deduction equal to the return of the J . P . Morgan Cash Index USD 3 Month, which tracks the return of a notional 3 - month U . S . dollar time deposit . Weights within these notional portfolios are intended to approximate the average weights within the Index, but will not correspond to historical or future weights within the Index . The notional portfolios track assets that ditfer from those tracked by the Index and are not rebalanced on the same schedule as the Index . All performance data for the Domestic 30 / 70 Portfolio (ER) and the Global 30 / 70 Portfolio (ER) is hypothetical and there is no guarantee that the Index will outperform either one, or any other benchmark or index, in the future . PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS . Please see the Disclaimer on the following page . PERFORMANCE UPDATE The S&P 500 ® Daily Risk Control 5 % Index (the “Index”) represents a portfolio consisting of the S&P 500 and a cash component accruing interest that dynamically adjusts to target a 5 % level of volatility . Volatility is calculated as a function of historical returns that uses exponential weightings to give more significance to recent observations . S&P Risk Control Indices use an overlay designed to maintain risk at a predefined level — in this case, up to 5 % volatility . The risk control framework is applied to the underlying index and helps to reduce portfolio volatility to the 5 % target by moving a portion of the portfolio allocation from the underlying index to cash in volatile markets and from cash to the underlying index in less volatile markets . The Index is calculated on an excess return basis. The Index was established on September 10, 2009. Levels are published on Bloomberg using the ticker SPXT5UE. Hypothetical and actual historical performance: Dec 2015 through Dec 2025 S&P 500® Daily Risk Control 5% Index Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Hypothetical and actual historical returns and volatilities: Dec 2015 through Dec 2025 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.78 5.06% 3.93% 3.12% 4.34% 1.11% S&P 500 Daily Risk Control 5% Excess Return (USD) Index 0.52 6.33% 3.26% 0.67% 4.31% 5.01% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.30 6.18% 1.84% - 1.50% 3.20% 6.77% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Exposure Level Hypothetical and actual historical monthly weights: Dec 2015 through Dec 2025 100% 0% 50% De c - 15 De c - 16 De c - 17 De c - 18 De c - 19 De c - 20 De c - 21 De c - 22 De c - 23 De c - 24 De c - 25 Hypothetical and actual historical monthly and annual returns: Jan 2016 through Dec 2025 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 3.13% 0.97% 1.78% - 0.84% - 0.26% 0.02% 1.03% - 0.48% 0.71% 0.06% 1.76% 0.03% - 1.64% 2016 13.54% 0.81% 2.50% 1.68% 1.26% - 0.01% 1.24% 0.27% 0.70% 0.68% 0.07% 2.55% 1.05% 2017 - 1.26% - 2.37% 0.47% - 3.98% 0.28% 1.54% 1.45% 0.04% 0.63% 0.06% - 0.83% - 2.42% 4.10% 2018 7.39% 1.43% 1.45% 0.68% 0.39% - 1.19% 0.46% 2.55% - 2.69% 1.38% 0.56% 0.74% 1.50% 2019 1.56% 1.06% 2.43% - 0.72% - 0.90% 1.40% 0.82% 0.25% 0.53% 0.93% - 1.13% - 3.00% - 0.01% 2020 8.49% 1.38% - 0.48% 2.60% - 2.29% 1.41% 1.03% 0.94% 0.24% 1.71% 1.34% 0.76% - 0.37% 2021 - 5.37% - 1.22% 1.08% 1.61% - 2.04% - 0.99% 1.72% - 1.59% 0.00% - 2.15% 0.76% - 0.72% - 1.85% 2022 5.71% 1.71% 3.01% - 1.11% - 2.25% - 0.95% 1.15% 2.19% 0.04% 0.40% 0.90% - 0.74% 1.35% 2023 6.27% - 1.15% 2.20% - 0.57% 0.54% - 0.11% 0.28% 1.43% 1.73% - 2.06% 1.20% 2.15% 0.55% 2024 1.11% - 0.11% - 0.07% 0.71% 1.28% 0.55% 0.47% 0.99% 0.89% - 1.54% - 2.14% - 0.66% 0.80% 2025

JANUARY 2026 | S&P 500® Daily Risk Control 5% Index Selected Risks  JPMorgan Chase & Co. is currently one of the companies that make up the underlying index  The Index may not be successful and may not outperform or underperform the underlying index  The Index may not approximate its target volatility of 5%  The daily adjustment of the exposure of the Index to the underlying index may cause the Index not to reflect fully any appreciation of the underlying index or to magnify any depreciation of the underlying index  The Index may be significantly uninvested, which will result in a portion of the Index reflecting no return  The level of the Index reflects the deduction of a notional financing cost  The Index’s methodology for calculating the notional financing cost was recently changed 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 . 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 CDnotes 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 .

FAQ

What is the S&P 500 Daily Risk Control 5% Index mentioned by AMJB?

The S&P 500 Daily Risk Control 5% Index is a rules-based index that allocates between the S&P 500 and a cash component accruing interest, with the goal of maintaining volatility at a target level of 5%. It reduces equity exposure when measured volatility rises and increases it when volatility falls, and it is calculated on an excess return basis.

How has the S&P 500 Daily Risk Control 5% Index performed over the last 10 years?

From December 2015 through December 2025, the index shows a Sharpe Ratio of 0.78, a 10-year annualized volatility of 5.06%, and a 10-year annualized return of 3.93%. The update also reports a 5-year annualized return of 3.12%, a 3-year annualized return of 4.34%, and a 1-year return of 1.11%.

What are the Domestic 30/70 and Global 30/70 Portfolios (ER) referenced in the AMJB filing?

The Domestic 30/70 Portfolio (ER) is a notional portfolio with a 30% weight to the S&P 500 Total Return Index and 70% to the Bloomberg Barclays U.S. Aggregate Bond Total Return Index. The Global 30/70 Portfolio (ER) combines 30% MSCI ACWI Net Total Return Index with 70% Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD. Both are calculated on an excess return basis and are used as hypothetical comparators to the risk control index.

What key risks are highlighted for the S&P 500 Daily Risk Control 5% Index?

Key risks include that JPMorgan Chase & Co. is a component of the underlying index, the index may not outperform or underperform the underlying index as expected, and it may not approximate its 5% volatility target. Daily exposure adjustments can limit participation in equity gains or magnify losses, the index can be significantly allocated to cash, and the level reflects a deduction for notional financing costs. The methodology for calculating this financing cost was also recently changed.

Are the performance figures in the AMJB index update guaranteed or predictive?

No. The document states that past performance and backtested performance are not indicative of future results. Much of the performance for the Domestic and Global 30/70 Portfolios (ER) is hypothetical and provided for illustration only, with no assurance that similar returns, performance or results will be achieved in the future.

How is the Sharpe Ratio defined in this AMJB-related update?

The Sharpe Ratio is defined as a measure of risk-adjusted performance, calculated as the 10-year annualized return divided by the 10-year annualized volatility. This metric is disclosed for the S&P 500 Daily Risk Control 5% Index and for the hypothetical Domestic and Global 30/70 Portfolios (ER).

What products might use the S&P 500 Daily Risk Control 5% Index as a reference?

The update notes that CD notes linked to the index may be offered, and it stresses that investment suitability must be determined individually for each investor. It directs readers to the related prospectus supplement, product supplement, underlying supplement, and pricing supplement for detailed risk considerations.