J.P. Morgan Total Return Index 2026 update
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Rhea-AI Filing Summary
J.P. Morgan Total Return SM Index is a rules-based benchmark that allocates monthly among 12 U.S. dollar fixed income ETFs, aiming for the highest six-month performance subject to a 5% historical volatility threshold and concentration limits. It is calculated on a total-return basis and was launched on July 13, 2017.
From December 2015 through December 2025, the Index shows a 10-year annualized return of 2.01% with 10-year annualized volatility of 4.84%, and a 1-year return of 7.30%. Over the same period, the Bloomberg Barclays U.S. Aggregate Bond Total Return Index records a 10-year annualized return of 3.20% with 5.18% volatility, while the Bloomberg Barclays Global Aggregate Bond Index Total Return Unhedged USD shows a 10-year annualized return of 1.26% with 5.35% volatility.
The update highlights that much of the history is hypothetical backtested data using proxies before the Index and some ETFs were live, and stresses that past and backtested performance are not indicative of future results. Key risks include the momentum-based strategy, monthly rebalancing and weighting constraints, correlation among basket constituents, fixed income and credit risks, ETF tracking risk, and the credit risk of JPMorgan Chase Bank, N.A. for investments linked to the Index.
FAQ
AI-generated questions and answers. How Rhea-AI works. Not financial advice.
What is the J.P. Morgan Total Return SM Index linked to AMJB?
The J.P. Morgan Total Return SM Index is a rules-based index that allocates among 12 U.S. dollar fixed income ETFs, each covering a different bond sector. It rebalances monthly into the portfolio with the highest prior six-month performance, subject to a 5% historical volatility threshold and concentration limits, and is calculated on a total-return basis.
How has the J.P. Morgan Total Return SM Index performed recently?
For the period ending December 2025, the J.P. Morgan Total Return SM Index shows a 1-year return of 7.30%. Over 10 years from December 2015 through December 2025, it reports an annualized return of 2.01% with 10-year annualized volatility of 4.84%.
How does the J.P. Morgan Total Return SM Index compare to major bond benchmarks?
Over the same December 2015–December 2025 horizon, the Bloomberg Barclays U.S. Aggregate Bond Total Return Index has a 10-year annualized return of 3.20% with 5.18% volatility, while the Bloomberg Barclays Global Aggregate Bond Index Total Return Unhedged USD shows a 10-year annualized return of 1.26% with 5.35% volatility. These benchmarks are provided only as reference points and do not use the Index’s methodology.
How much of the J.P. Morgan Total Return SM Index history is backtested?
The performance record includes hypothetical backtested performance using proxy data for some basket ETFs before June 25, 2014, backtested performance using actual ETF data from June 26, 2014 through July 12, 2017, and actual performance from July 13, 2017 through December 31, 2025. The materials emphasize that backtested results have inherent limitations and are not indicative of future results.
What are the main risks of investing in products linked to the J.P. Morgan Total Return SM Index?
Key risks include the momentum-based strategy potentially underperforming if trends reverse, the effects of monthly rebalancing and weighting constraints, correlation among basket ETFs, and exposure to fixed-income risks such as interest rate and credit risk, high-yield and investment-grade debt, mortgage-backed securities, preferred and hybrid securities, and non-U.S. and emerging markets. Investments linked to the Index are also subject to the credit risk of JPMorgan Chase Bank, N.A.
Who sponsors the J.P. Morgan Total Return SM Index and what conflicts may exist?
J.P. Morgan Securities LLC (JPMS) is the Index Sponsor and may adjust the Index in ways that affect its level. The update notes that JPMS’s policies and judgments could positively or negatively impact Index performance and that JPMS has no obligation to consider the interests of investors in products linked to the Index.
How does the J.P. Morgan Total Return SM Index control risk through volatility?
The Index seeks to maintain volatility at or below a 5% historical volatility threshold by rebalancing and applying weighting constraints across the 12 ETF constituents. However, the update explicitly states that the Index may not succeed in maintaining volatility below this threshold.
AI-generated analysis. How Rhea-AI works. Not financial advice.
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. 22 - I dated May 12, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated January 13, 2026 Rule 424(b)(3) PERFORMANCE UPDATE The J . P . Morgan Total Return SM Index (the “Index”) attempts to provide a dynamic and diversified allocation to 12 U . S . dollar fixed income ETFs (the “Basket Constituents”), each providing exposure to a ditferent sector of the U . S . dollar fixed income market . The Index rebalances monthly into the portfolio with the highest performance over the previous 6 months, generally subject to a 5 % historical volatility threshold, and constituent and sector concentration limits . The Index is calculated on a total return basis. The Index was established on July 13, 2017. Levels are published on Bloomberg and to JPMorganIndices.com , using the ticker JPUSTRI. Hypothetical and actual historical performance: Dec 2015 through Dec 2025 Please see the footnotes at the bottom of this page and “Backtesting” on the following page for information on backtested performance and proxies. Hypothetical and actual historical returns and volatilities: Dec 2015 through Dec 2025 J.P. Morgan Total Return SM Index Bloomberg Barclays U.S. Aggregate Bond TR Index Bloomberg Barclays Global Aggregate Bond Index TR Unhedged USD Backtested Actual Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.12 5.18% 3.20% 1.13% 5.41% 5.98% J.P. Morgan Total Return SM Index n/a 4.84% 2.01% - 0.36% 4.66% 7.30% Bloomberg Barclays U.S. Aggregate Bond TR Index n/a 5.35% 1.26% - 2.15% 3.98% 8.17% Bloomberg Barclays Global Aggregate Bond Index TR Unhedged USD Recent monthly weights: Aug 2025 through Jan 2026 Other Credit Other Gov’t or Agency Bonds Investment - Grade Credit U.S. Treasury Bonds Preferred Stock (PFF) Floating Rate (FLOT) High Yield Corporate (HYG) Emerging Markets (EMB) Inflation - Protected (TIP) Agency MBS (MBB) 10+ Year Credit (IGLB) Intermed. Credit (IGIB) 1 – 3 Year Credit (IGSB) 20+ Year Treasuries (TLT) 7 – 10 Year Treasuries (IEF) 1 – 3 Year Treasuries (SHY) — — 20% 10% 10% — — 20% 20% — 20% — Aug 25 5% — 20% 10% 20% — — 20% 20% — 5% — Sep 25 10% — 15% 10% 10% — 10% 20% 20% — — 5% Oct 25 10% — 15% 10% — 20% 20% 20% — 5% — — Nov 25 5% — 15% 10% — 15% 20% 20% — 15% — — Dec 25 — — — 10% — 20% 20% 20% — 10% 20% — Jan 26 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 5.42% 0.68% - 2.88% - 1.93% - 0.23% 0.32% 1.37% 3.85% - 0.07% 0.50% 0.77% 1.07% 2.00% 2016 4.71% 0.89% 0.08% 0.11% - 0.77% 1.31% 0.44% 0.15% 0.69% 0.61% 0.02% 0.60% 0.48% 2017 - 3.45% 0.95% 0.26% - 1.53% - 1.00% 0.61% - 0.03% 0.18% 0.30% - 0.25% 0.20% - 1.90% - 1.26% 2018 12.96% 0.34% 0.00% 0.26% - 1.13% 4.53% 0.46% 2.30% 2.59% 0.09% 1.86% - 0.17% 1.25% 2019 7.62% 1.13% 2.81% - 0.50% - 0.12% 0.02% 1.09% 0.30% 0.64% 1.53% - 2.95% 0.87% 2.67% 2020 0.04% 0.29% 0.21% 0.96% - 1.53% - 0.01% 0.84% 0.48% 0.45% 0.74% 0.09% - 1.27% - 1.17% 2021 - 9.72% - 0.34% 2.28% - 0.16% - 2.99% - 2.17% 2.40% - 2.36% 0.50% - 1.98% - 1.62% - 0.76% - 2.81% 2022 6.92% 2.59% 2.98% - 0.58% - 1.30% - 0.33% 0.67% 0.37% - 0.65% 0.50% 1.87% - 1.63% 2.34% 2023 3.36% - 1.86% 1.47% - 2.11% 1.28% 1.36% 1.97% 0.47% 1.73% - 1.52% 0.91% - 0.34% 0.06% 2024 5.98% - 0.42% 0.67% 0.26% 0.84% 1.41% 0.14% 0.99% - 0.26% 0.22% - 0.05% 1.29% 0.74% 2025 Historical performance measures for the Index represent hypothetical backtested performance using alternative performance for some Basket Constituents through June 25 , 201 4 (labeled “Backtested using proxies” in the chart above) ; hypothetical backtested performance using the actual performance of each Basket Constituent from June 26 , 201 4 through July 12 , 201 7 (labeled “Backtested” in the chart above) ; and actual performance from July 13 , 201 7 through December 31 , 202 5 (labeled “Actual” in the chart above) . The Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD is a global investment - grade bond index . These indices are intended to serve solely as a point of reference to which the Index may be compared . They are not rebalanced on the same schedule as the Index . They do not employ the Index methodology . There is no guarantee that the Index will outperform either the Bloomberg Barclays U . S . Aggregate Bond Total Return Index or the Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD, 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 . JANUARY 2026 J.P. Morgan Total Return SM Index
JANUARY 2026 | J.P. Morgan Total Return SM Index Selected Risks Our affiliate, J.P. Morgan Securities LLC (“JPMS”), is the Index Sponsor and may adjust the Index in a way that atfects its level. The policies and judgments for which JPMS is responsible could have an impact, positive or negative, on the level of the Index and the value of your investment. JPMS is under no obligation to consider your interest as an investor with returns linked to the Index. The Index was established on July 13, 2017, and has a limited operating history. There are risks associated with a momentum - based investment strategy. If market conditions do not represent a continuation of prior observed trends, Index performance may be adversely impacted. 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, may not outperform any alternative strategy and may not maintain volatility below its historical volatility threshold of 5%. The investment strategy used to construct the Index involves monthly rebalancing and weighting constraints that are applied to the Basket Constituents, which may adversely impact performance. Changes in the values of the Basket Constituents may otfset each other. There are risks associated with correlation between the Basket Constituents. If the performances of the Basket Constituents become highly correlated during periods of negative performance, Index performance may be adversely impacted. Each Basket Constituent composing the Index may be replaced by a substitute constituent upon the occurrence of certain extraordinary events. The Index should not be compared to any other index or strategy sponsored by any of our affiliates and cannot necessarily be considered a revised, enhanced or modified version of any other J.P. Morgan index. The securities of our parent company, JPMorgan Chase & Co., are held by several of the Basket Constituents. The performance of an ETF, particularly during periods of market volatility, may not correlate with the performance of its reference index. The Index is subject to significant risks associated with fixed - income securities (including interest rate - related risks and credit risk), high - yield and investment - grade fixed - income securities (including credit risk), floating rate notes, mortgage - backed securities, preferred stock, hybrid securities, U . S . treasury inflation - protected securities and non - U . S . securities markets, including emerging markets . Investments linked to the index may be subject to the credit risk of JPMorgan Chase Bank, N . A . The risks identified above are not exhaustive. You should also review carefully the related “Risk Factors” section in the relevant disclosure statement and underlying supplement and the “Selected Risk Considerations” in the relevant term sheet or disclosure 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 . J . P . Morgan undertakes no duty to update this information . In the event of any inconsistency between the information presented herein and any otfering documents, the otfering documents shall govern . Backtesting : Hypothetical backtested performance measures have inherent limitations and are designed with the benefit of hindsight . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . For time periods prior to the launch of each of the Basket Constituents, and prior to that Basket Constituent’s satisfaction of a minimum liquidity standard, backtesting uses alternative performance derived from the reference index tracked by that Basket Constituent as of the Index’s live date (or the reference index originally tracked by that Basket Constituent, if the reference index as of the Index’s live date was not available for the relevant period), after deducting hypothetical fund expenses equal to such Basket Constituent’s expense ratio as of the Index’s live date, rather than actual performance of that Basket Constituent for that period . The use of alternative “proxy” performance information in the calculation of hypothetical backtested weights and levels may have resulted in ditferent, perhaps significantly ditferent, weights and higher levels than would have resulted from the use of actual performance information of the Constituents . Past performance, and especially hypothetical backtested 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 (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 annualized 10 year excess return (calculated as the annualized compounded monthly returns of the applicable index over the monthly returns of the J . P . Morgan Cash Index USD 3 Month, which tracks the return of a notional 3 - month U . S . dollar time deposit) divided by the 10 Year Volatility (Annualized) . Investment suitability must be determined individually for each investor, and CDs 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 .