JPMorgan (JPM) details 10-year risk and return profile for Kronos US Equity index
Rhea-AI Filing Summary
JPMorgan Chase & Co. provides an August 2026 performance update for the J.P. Morgan Kronos US Equity (JPUSKRSP) Index, a rules-based index established on June 11, 2021 that targets dynamic 50%, 100% or 150% exposure to the S&P 500 Price Index. The strategy combines turn-of-the-month seasonality, options-expiry momentum and month-end mean reversion, and reflects a 0.35% per annum index fee plus, in some cases, a notional financing cost linked to the Effective Federal Funds Rate. The index excludes dividends.
From July 2016 to July 2026, hypothetical and actual data show a Sharpe Ratio of 0.83, 10-year annualized volatility of 18.11%, and a 10-year annualized return of 15.08%, versus the S&P 500 Total Return Index at a 0.77 Sharpe, 21.24% volatility and 16.37% 10-year return. Recent annual index returns include 53.87% in 2020, -28.46% in 2022 and 28.43% in 2023, with detailed monthly results through July 2026.
The update highlights multiple risks: sponsor and calculation-agent discretion at J.P. Morgan Securities LLC, leverage up to 150%, strategy concentration around specific month windows, potential periods when the index is uninvested in the S&P 500, dependence on the Effective Federal Funds Rate and the index’s limited live history. All pre‑June 11, 2021 figures are hypothetical backtested results, and past or backtested performance is expressly stated as not indicative of future returns. Notes linked to the index are unsecured, not FDIC‑insured and may not suit all investors.
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Key Figures
Key Terms
Sharpe Ratio financial
backtested performance financial
Effective Federal Funds Rate financial
notional financing cost financial
notional assets and liabilities financial
Offering Details
FAQ
What is the J.P. Morgan Kronos US Equity (JPUSKRSP) Index described in the JPM 424B3 filing?
How has the JPUSKRSP Index performed versus the S&P 500 Total Return Index for JPM?
What are the key historical annual returns for the JPUSKRSP Index in the JPM disclosure?
What fees and costs apply to the JPUSKRSP Index underlying JPM’s structured notes?
What are the main risks of notes linked to the JPUSKRSP Index in the JPM filing?
How does JPM describe the backtested performance of the JPUSKRSP Index?
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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. 8 - I dated April 22, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 1 Dated August 5, 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: Jul 2016 through Jul 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: Jul 2016 through Jul 2026 J.P. Morgan Kronos US Equity (JPUSKRSP) Index S&P 500® Total Return Index Backtested Actual Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.77 21.24% 16.37% 7.62% 13.76% 16.09% J.P. Morgan Kronos US Equity (JPUSKRSP) Index 0.83 18.11% 15.08% 12.86% 19.32% 19.56% S&P 500® Total Return Index Historical exposure at end - of - day: May 2026 through Jul 2026 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 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 8.60% - 0.39% - 1.56% 5.60% 12.19% - 4.97% - 1.76% 0.13% 2026 AUGUST 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 July 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. Jul 2026 150% 100% 50% S&P 500® Exposure 7/1 — 7/6 7/7 — 7/13 7/14 — 7/17 7/20 — 7/22 7/23 — 7/28 7/29 — 7/30 7/31 May 2026 Jun 2026 150% 100% 50% S&P 500® Exposure 150% 100% 50% S&P 500® Exposure 5/1 — 5/5 6/1 — 6/3 5/6 — 5/11 6/4 — 6/12 5/12 — 5/15 6/15 — 6/18 5/18 — 5/19 6/22 — 6/25 5/20 — 5/26 6/26 — 6/29 5/27 — 5/28 6/30 5/29
AUGUST 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 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 . 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 .