JPMorgan (NYSE: JPM) details 10-year stats for S&P 500 Risk Control 10% index

Rhea-AI Filing Summary

JPMorgan provides an August 2026 performance update for the S&P 500 Daily Risk Control 10% Excess Return Index, which allocates dynamically between the S&P 500 and a cash component to target 10% annualized volatility. Volatility is based on exponentially weighted historical returns, and the index is calculated on an excess return basis after deducting a notional financing cost linked to the J.P. Morgan Cash Index USD 3 Month.

The update compares hypothetical and actual performance of the index since 2016 to two notional 30/70 equity–bond portfolios. Over the 10 years to July 2026, the index shows a Sharpe Ratio of 0.63, 10 Year Volatility (Annualized) of 12.72% and 10 Year Return (Annualized) of 8.02%. JPMorgan highlights that all portfolio performance for comparison is hypothetical, that past or backtested results are not indicative of future outcomes, and outlines selected risks, including that JPMorgan Chase & Co. is a component of the underlying index and that changes to the notional financing cost methodology affect index levels.

Key Figures

10 Year Return (Annualized): 8.02% 10 Year Volatility (Annualized): 12.72% Sharpe Ratio: 0.63 +4 more

7 metrics

10 Year Return (Annualized) 8.02% S&P 500 Daily Risk Control 10% Excess Return (USD) Index, Jul 2016–Jul 2026

10 Year Volatility (Annualized) 12.72% S&P 500 Daily Risk Control 10% Excess Return (USD) Index, Jul 2016–Jul 2026

Sharpe Ratio 0.63 S&P 500 Daily Risk Control 10% Excess Return (USD) Index, 10-year period to Jul 2026

1 Year Return 9.15% S&P 500 Daily Risk Control 10% Excess Return (USD) Index, most recent year

Domestic 30/70 10 Year Return 5.79% Domestic 30/70 Portfolio (ER), 10 Year Return (Annualized)

Domestic 30/70 10 Year Volatility 10.60% Domestic 30/70 Portfolio (ER), 10 Year Volatility (Annualized)

Global 30/70 Sharpe Ratio 0.55 Global 30/70 Portfolio (ER), 10-year risk-adjusted performance measure

Key Terms

excess return basis, Sharpe Ratio, 10 Year Volatility (Annualized), notional financing cost, +1 more

5 terms

excess return basis financial

"The Index is calculated on an excess return basis."

Sharpe Ratio financial

"The Sharpe Ratio on the previous page is a measure of risk-adjusted performance"

A measure that shows how much extra return an investment has delivered for each unit of risk taken, comparing its additional return above a safe, no‑risk asset to how bumpy its returns have been. Think of it as miles per gallon for investing: a higher Sharpe ratio means you are getting more reward for the same amount of ups and downs, which helps investors compare funds or strategies on a risk‑adjusted basis.

10 Year Volatility (Annualized) financial

"The 10 Year Volatility (Annualized) on the previous page is a measure of market risk"

notional financing cost financial

"The level of the Index reflects the deduction of a notional financing cost"

risk control framework financial

"The risk control framework is applied to the underlying index and helps to reduce portfolio volatility"

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Available on EDGAR 08/10/2026 - 06:03 AM Accepted by SEC EDGAR 08/07/2026 - 06:09 PM Learn about SEC filing dates

FAQ

What is the JPM (JPMorgan) S&P 500 Daily Risk Control 10% Index?

It is a rules-based index combining the S&P 500 with a cash component to target 10% volatility. Exposure to equities is adjusted daily, shifting between the S&P 500 and cash based on realized volatility.

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

Over the 10 years to July 2026, the index shows a 10 Year Return (Annualized) of 8.02% with 10 Year Volatility (Annualized) of 12.72%. This results in a Sharpe Ratio of 0.63, indicating its historical risk-adjusted profile.

What does excess return basis mean in this JPM index update for JPM?

The index is calculated on an excess return basis, meaning returns are reduced by a notional financing cost. That cost is linked to the J.P. Morgan Cash Index USD 3 Month, which tracks a notional 3‑month U.S. dollar time deposit.

How do the Domestic and Global 30/70 portfolios compare to the JPM index?

The Domestic 30/70 Portfolio (ER) shows 10 Year Return (Annualized) of 5.79% with 10 Year Volatility of 10.60%. The Global 30/70 Portfolio (ER) has a Sharpe Ratio of 0.55, 10 Year Return of 5.79% and 1 Year Return of 10.39%.

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

Key risks include that JPMorgan Chase & Co. is in the underlying index, the index may not hit its 10% volatility target, may be significantly uninvested in equities, and index levels reflect a notional financing cost that has had its methodology recently changed.

Are hypothetical and backtested results for the JPM index reliable indicators?

No. The update stresses that hypothetical and backtested performance are not indicative of future results. All performance for the comparison portfolios is illustrative, and there is no assurance that similar returns or volatility will be achieved.

Index supplement to the prospectus dated April 17, 2026, the prospectus supplement dated April 17, 2026, the product supplement no. 3 - I dated April 17, 2026 and the underlying supplement no. 2 - I dated April 17, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 01 Dated August 10, 2026 Rule 424(b)(3) AUGUST 2026 S&P 500® Daily Risk Control 10% Index The “Domestic 70 / 30 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 70 % / 30 % weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U . S . Aggregate Bond Total Return Index . The “Global 70 / 30 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 70 % / 30 % 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 70 / 30 Portfolio (ER) and the Global 70 / 30 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 10 % Index (the “Index”) represents a portfolio consisting of the S&P 500 and a cash component accruing interest that dynamically adjusts to target a 10 % 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 10 % volatility . The risk control framework is applied to the underlying index and helps to reduce portfolio volatility to the 10 % 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 May 13, 2009. Levels are published on Bloomberg using the ticker SPXT10UE. Hypothetical and actual historical performance: Jul 2016 through Jul 2026 S&P 500® Daily Risk Control 10% Index Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Hypothetical and actual historical returns and volatilities: Jul 2016 through Jul 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.76 10.12% 7.70% 4.44% 6.06% 8.22% S&P 500 Daily Risk Control 10% Excess Return (USD) Index 0.63 12.72% 8.02% 4.89% 8.61% 9.15% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.55 10.60% 5.79% 3.05% 7.69% 10.39% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Jul 2016 through Jul 2026 Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through Jul 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 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 3.34% - 0.25% - 1.07% 3.46% 5.70% - 4.37% - 0.79% 0.93% 2026

AUGUST 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 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 pricing supplement, and the documents referred to therein . In the event any inconsistency between the information presented herein and any such term sheet and/or pricing supplement, such term sheet and/or pricing supplement shall govern . 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 .