JPMorgan (JPM) updates S&P 500 Daily Risk Control 5% Index, Apr 2016–Apr 2026 data

Rhea-AI Filing Summary

JPMorgan Chase & Co. publishes a monthly update for the S&P 500® Daily Risk Control 5% Index and accompanying prospectus supplements, providing hypothetical and historical performance through Apr 2026 and methodological notes.

The Index targets 5% volatility, is calculated on an excess return basis, was established on September 10, 2009, and is published under ticker SPXT5UE.

Insights

Index Strategist

Monthly index update reiterates 5% volatility target and shows 10-year realized metrics.

The update lists hypothetical and actual returns for Apr 2016–Apr 2026 and reports a 10 Year Volatility (Annualized) of 5.09% and a 10 Year Return (Annualized) of 3.98% for the Domestic portfolio. These figures are presented on an excess return basis and include a notional financing cost deduction.

Key dependencies include the Index's daily reallocation mechanism and the recently changed methodology for calculating the notional financing cost. Subsequent term sheets or pricing supplements may supersede the figures shown.

Product Risk Analyst

Risk-control mechanics and methodology changes are the primary items to note for product suitability.

The Index applies a volatility-overlay that shifts exposure between the underlying equity index and cash to seek a 5% volatility target; daily adjustments can materially change exposure and potentially leave the Index significantly uninvested.

Investors should note the disclaimer that performance is hypothetical and the Index’s notional financing cost methodology was recently changed; product-specific risk factors in the pricing supplement remain the controlling disclosures.

Key Figures

Volatility target: 5% volatility 10 Year Volatility (Annualized): 5.09% 10 Year Return (Annualized): 3.98% +3 more

6 metrics

Volatility target 5% volatility Index target level

10 Year Volatility (Annualized) 5.09% Domestic 30/70 Portfolio, Apr 2016–Apr 2026

10 Year Return (Annualized) 3.98% Domestic 30/70 Portfolio, Apr 2016–Apr 2026

Sharpe Ratio 0.78 Domestic 30/70 Portfolio, 10‑year

Index establishment date September 10, 2009 Index SPXT5UE

Ticker SPXT5UE Bloomberg ticker for the Index

Key Terms

excess return, notional financing cost, risk control overlay

3 terms

excess return financial

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

notional financing cost financial

"Level of the Index reflects the deduction of a notional financing cost"

risk control overlay financial

"S&P Risk Control Indices use an overlay designed to maintain risk at a predefined level"

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 05/08/2026 - 08:42 PM Learn about SEC filing dates

FAQ

What is the volatility target for the S&P 500 Daily Risk Control 5% Index (JPM)?

The Index targets a 5% annualized volatility level. The update explains the Index uses a daily risk-control overlay that reallocates between the underlying index and cash to seek the 5% volatility target and reports performance on an excess return basis.

How long is the performance history shown in the JPM update for SPXT5UE?

Performance is provided from April 2016 through April 2026. The document shows hypothetical and actual historical monthly and annual returns for that period and summary statistics such as 10‑year annualized return and volatility.

What are the headline 10‑year metrics reported in the update?

The Domestic 30/70 Portfolio shows a 10‑year annualized return of 3.98% and volatility of 5.09%. The Sharpe Ratio is presented and calculated as the 10‑year return divided by 10‑year volatility.

Where is the Index published and when was it established?

The Index is published on Bloomberg under ticker SPXT5UE and was established on September 10, 2009. The update reiterates publication ticker and establishment date and notes methodology and disclaimer language.

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 May 11, 2026 Rule 424(b)(3) MAY 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: Apr 2016 through Apr 2026 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: Apr 2016 through Apr 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.78 5.09% 3.98% 2.56% 3.91% 5.50% S&P 500 Daily Risk Control 5% Excess Return (USD) Index 0.47 6.37% 3.02% 0.44% 3.04% 6.41% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.22 6.22% 1.37% - 1.43% 2.11% 5.27% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Apr 2016 through Apr 2026 Exposure Level Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through Apr 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 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 0.66% 2.82% - 2.19% - 0.38% 0.48% 2026

MAY 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 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 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 .