JPMorgan (NYSE: AMJB) S&P 500 Risk Control 10% index performance summary

Rhea-AI Filing Summary

JPMorgan’s January 2026 materials update the S&P 500 Daily Risk Control 10% Index using both hypothetical and actual performance data. The table presents monthly and annual returns based on hypothetical backtested performance from December 31, 1998 through May 12, 2009 and actual index performance from May 13, 2009 through December 31, 2025. The information is described as illustrative, with repeated statements that historical and backtested results are not indicative of future performance.

The update highlights several risks: JPMorgan Chase & Co. is one of the companies in the underlying S&P 500 index, the index may not reach its 10% target volatility, and daily exposure adjustments can limit upside or magnify downside moves in the underlying index. The index may at times be significantly uninvested, includes a deduction for a notional financing cost, and the methodology for calculating that cost was recently changed. JPMorgan emphasizes that simulations, proxies, and modeling choices can materially affect backtested results and that investments linked to the index may not be suitable for all investors.

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 01/13/2026 - 08:48 PM Learn about SEC filing dates

FAQ

What does JPMorgans January 2026 S&P 500 Daily Risk Control 10% Index update for AMJB show?

The January 2026 update provides monthly and annual returns for the S&P 500 Daily Risk Control 10% Index, combining hypothetical backtested data from December 31, 1998 through May 12, 2009 with actual index performance from May 13, 2009 through December 31, 2025.

How far back do the hypothetical backtested returns in the AMJB index materials go?

The materials state that historical performance measures for the index use hypothetical backtested returns from December 31, 1998 through May 12, 2009, followed by actual index performance starting May 13, 2009.

Are the backtested returns for the S&P 500 Daily Risk Control 10% Index linked to AMJB reliable indicators of future performance?

No. The document repeatedly notes that historical and backtested performance and allocations are not indicative of future results. It explains that the backtested data are hypothetical, may use proxy constituents, and that alternative simulations or assumptions could produce significantly different outcomes.

What key risks are highlighted for the S&P 500 Daily Risk Control 10% Index underlying AMJB?

Key risks include that JPMorgan Chase & Co. is one of the companies in the underlying index, the index may not approximate its 10% target volatility, and daily exposure adjustments can cause the index not to fully reflect gains or to magnify losses. The index may be significantly uninvested, part of it may earn no return, and its level reflects a deducted notional financing cost whose methodology was recently changed.

How does the notional financing cost affect the S&P 500 Daily Risk Control 10% Index performance for AMJB holders?

The materials state that the level of the index reflects the deduction of a notional financing cost, and that the methodology for calculating this cost was recently changed. This means the index level and reported returns are reduced by this notional charge, and changes in the methodology can affect future index behavior.

Does the S&P 500 Daily Risk Control 10% Index guarantee a 10% volatility target?

No. The document specifically notes that the index may not approximate its target volatility of 10%. Daily adjustments to exposure are designed around this target but do not assure that realized volatility will be 10%.

Is the January 2026 S&P 500 Daily Risk Control 10% Index material considered investment research by JPMorgan?

No. The materials state that this document is not a product of J.P. Morgan Research Departments and that investment suitability must be determined individually for each investor. It is described as being for discussion purposes only and may be changed without notice.

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) Hypothetical and Actual Historical Monthly and Annual Returns  Backtested using proxies  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 7.20% 3.22% 0.65% 2.81% - 1.78% - 0.40% - 2.27% 2.77% - 1.48% 1.74% 1.71% - 1.61% 1.83% 1999 - 9.78% 0.09% - 3.96% - 1.52% - 3.86% 3.03% - 1.18% 0.71% - 0.80% - 1.68% 3.83% - 1.06% - 3.51% 2000 - 11.25% 0.42% 3.26% 0.40% - 5.26% - 3.85% - 0.71% - 1.30% 0.06% 2.43% - 3.37% - 4.61% 1.09% 2001 - 13.23% - 2.17% 1.87% 2.58% - 3.53% 0.14% - 4.33% - 3.55% - 0.61% - 3.79% 1.90% - 1.32% - 0.98% 2002 16.28% 4.27% 0.63% 3.77% - 0.85% 1.27% 0.94% 0.58% 2.45% 3.35% 0.67% - 0.59% - 1.13% 2003 7.05% 3.03% 3.32% 1.36% 0.77% - 0.27% - 3.25% 1.59% 1.14% - 1.37% - 1.95% 1.18% 1.48% 2004 - 1.32% - 0.49% 2.68% - 2.65% 0.50% - 1.29% 3.41% - 0.31% 2.10% - 2.27% - 2.00% 1.92% - 2.68% 2005 10.39% 1.11% 1.75% 2.97% 2.09% 1.62% 0.03% - 0.16% - 3.58% 1.13% 0.92% - 0.06% 2.27% 2006 - 0.82% - 0.43% - 3.01% 0.60% 1.69% 0.78% - 2.49% - 2.01% 2.82% 3.20% 0.34% - 3.29% 1.25% 2007 - 14.18% 0.36% - 0.85% - 3.33% - 3.38% 0.54% - 0.62% - 4.69% 0.47% 1.84% - 0.18% - 1.64% - 3.49% 2008 11.17% 1.10% 3.02% - 1.16% 1.78% 1.50% 2.81% 0.02% 1.52% 2.14% 2.02% - 2.35% - 1.58% 2009 9.53% 4.44% 0.02% 2.12% 4.36% - 2.23% 2.90% - 2.30% - 3.89% 1.33% 3.80% 1.57% - 2.49% 2010 - 2.09% 0.41% 0.14% 3.42% - 2.09% - 6.26% - 1.38% - 1.81% - 0.94% 2.39% - 0.34% 2.84% 1.92% 2011 7.00% 0.81% 0.08% - 1.69% 1.96% 1.44% 1.03% 2.13% - 4.47% - 0.48% 2.18% 2.24% 1.78% 2012 24.98% 2.51% 2.74% 3.82% 2.80% - 2.72% 3.43% - 1.17% 1.74% 1.10% 3.14% 1.16% 4.19% 2013 7.26% - 0.61% 2.01% 0.41% - 1.61% 3.96% - 1.69% 2.16% 2.21% 0.21% 0.76% 2.90% - 3.43% 2014 - 3.77% - 1.06% 0.17% 3.95% - 0.96% - 7.43% 1.83% - 1.88% 1.05% 0.62% - 1.26% 3.64% - 2.00% 2015 6.12% 1.94% 3.56% - 1.68% - 0.55% 0.03% 2.07% - 1.02% 1.41% 0.11% 3.54% 0.03% - 3.27% 2016 27.73% 1.52% 4.47% 3.27% 2.54% - 0.04% 2.48% 0.53% 1.38% 1.36% 0.11% 5.15% 2.09% 2017 - 3.13% - 4.72% 0.93% - 7.88% 0.55% 3.10% 2.92% 0.07% 1.26% 0.10% - 1.68% - 4.88% 8.04% 2018 15.11% 2.86% 2.90% 1.34% 0.79% - 2.43% 0.90% 5.14% - 5.33% 2.76% 1.12% 1.49% 3.02% 2019 2.86% 2.14% 4.89% - 1.44% - 1.82% 2.82% 1.65% 0.49% 1.07% 1.85% - 2.33% - 5.99% - 0.05% 2020 17.39% 2.74% - 0.99% 5.24% - 4.56% 2.83% 2.05% 1.89% 0.46% 3.43% 2.67% 1.51% - 0.78% 2021 - 10.69% - 2.46% 2.15% 3.22% - 4.05% - 2.00% 3.47% - 3.18% - 0.03% - 4.28% 1.50% - 1.46% - 3.69% 2022 11.54% 3.42% 6.09% - 2.22% - 4.47% - 1.92% 2.31% 4.41% 0.05% 0.79% 1.79% - 1.48% 2.71% 2023 12.63% - 2.32% 4.43% - 1.15% 1.07% - 0.26% 0.51% 2.88% 3.48% - 4.11% 2.40% 4.32% 1.10% 2024 1.98% - 0.24% - 0.15% 1.40% 2.56% 1.10% 0.94% 1.99% 1.77% - 3.12% - 4.27% - 1.34% 1.58% 2025 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from December 31, 1998 through May 12, 2009 and the actual performance of the Index from May 13, 2009 through December 31, 2025. Please see “Use of hypothetical backtested returns” at the end of this presentation for additional information related to backtesting. Except as noted above and in the sections entitled “Use of hypothetical backtested returns” at the end of this document, the hypothetical monthly and annual returns set forth above were determined using the methodology currently used to calculate the Index. PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS. JANUARY 2026 S&P 500® Daily Risk Control 10% Index

JANUARY 2026 | S&P 500® Daily Risk Control 10% 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 10%  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 relevant disclosure statement and underlying supplement and the “Selected Risk Considerations” in the relevant term sheet or disclosure supplement. Disclaimer Important Information 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 . All information herein is subject to change without notice, however, 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 . Use of hypothetical backtested returns Any backtested historical performance information included herein is hypothetical . The constituents and proxy constituents may not have traded together in the manner shown in the hypothetical backtest of the Index included herein, and no representation is being made that the Index will achieve similar performance . There are frequently significant ditferences between hypothetical backtested performance and actual subsequent performance . The use of alternative “proxy” information may create additional ditferences between hypothetical backtested and actual performance and allocations . The results obtained from backtesting information should not be considered indicative of the actual results that might be obtained from an investment or participation in a financial instrument or transaction referencing the Index . J . P . Morgan provides no assurance or guarantee that investments linked to the Index will operate or would have operated in the past in a manner consistent with these materials . The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations . Alternative simulations, techniques, modeling or assumptions might produce significantly ditferent results and prove to be more appropriate . Actual results will vary, perhaps materially, from the hypothetical backtested returns and allocations presented in this document . HISTORICAL AND BACKTESTED PERFORMANCE AND ALLOCATIONS ARE NOT INDICATIVE OF FUTURE RESULTS . Investment suitability must be determined individually for each investor, and investments 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 .