JPMorgan (JPM) updates S&P 500 Daily Risk Control 5% Index performance through Apr 30, 2026

Rhea-AI Filing Summary

JPMorgan published a May 2026 supplement updating hypothetical backtested and actual historical monthly and annual returns for the S&P 500 Daily Risk Control 5% Index. The supplement states backtested data run from January 4, 1999 through September 9, 2009 and actual Index performance from September 10, 2009 through April 30, 2026.

The presentation discloses the Index’s 5% target risk parameter, notes that performance reflects a deduction for a notional financing cost, and warns that the Index’s methodology and notional financing cost were recently changed. It emphasizes that past and backtested performance are not indicative of future results.

Insights

Product Structuring Specialist

Supplement updates backtested and actual index returns and notes methodology changes.

The document provides a combined backtest (01/04/1999–09/09/2009) and actual performance series (09/10/2009–04/30/2026) for the S&P 500 Daily Risk Control 5% Index, and restates the Index’s target 5% volatility parameter. The supplement also discloses a deduction for a notional financing cost that affects the Index level.

Key dependencies include the revised methodology and the recent change to how the notional financing cost is calculated; those changes can materially affect historical replicability and future index returns. Subsequent pricing or term sheets will be the place to confirm product economics.

Quantitative Analyst

Backtest uses proxies and the issuer cautions on differences versus actual results.

The supplement explicitly states backtested returns were produced using proxies and that backtested hypothetical levels were not independently verified. It warns of "frequently significant differences" between backtested and actual performance and that alternative simulations could produce different outcomes.

In practice, users should treat the historical series as illustrative; the document identifies the change in the Index’s financing-cost methodology as a concrete factor that can alter index pathing and realized volatility.

Key Figures

Target volatility: 5% Backtest period start: January 4, 1999 Backtest period end: September 9, 2009 +3 more

6 metrics

Target volatility 5% Index target volatility parameter

Backtest period start January 4, 1999 Backtested historical returns start date

Backtest period end September 9, 2009 Backtested historical returns end date

Actual performance period start September 10, 2009 Actual Index performance series start date

Actual performance period end April 30, 2026 Actual Index performance series end date

Notional financing cost Deduction reflected Index level reflects deduction of a notional financing cost

Key Terms

Backtested returns, Notional financing cost, Proxy constituents, Target volatility

4 terms

Backtested returns financial

"“backtested historical performance” using proxies and hypothetical data"

Notional financing cost financial

"“the level of the Index reflects the deduction of a notional financing cost”"

Proxy constituents technical

"“Backtested using proxies” to simulate historical constituents"

Target volatility financial

"“Daily Risk Control 5% Index” indicating a 5% volatility target"

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Accepted by SEC EDGAR 05/08/2026 - 08:46 PM Learn about SEC filing dates

FAQ

What period does the S&P 500 Daily Risk Control 5% Index performance cover in JPM's May 2026 supplement?

The supplement covers backtested performance from January 4, 1999 through September 9, 2009, and actual performance from September 10, 2009 through April 30, 2026.

Does the Index target a specific volatility in the May 2026 materials?

Yes. The Index is described with a target volatility parameter of 5%, which guides the Index’s daily exposure adjustments and risk-control mechanism.

What role does the notional financing cost play in the Index returns?

The materials state the Index level reflects a deduction for a notional financing cost, and that the methodology for calculating that cost was recently changed, affecting reported levels.

Are the backtested returns presented as guaranteed future results?

No. The supplement emphasizes that backtested and historical performance are not indicative of future results and that backtests used proxies and have limitations.

Did JPMorgan note any specific risks in the May 2026 index update?

Yes. The document lists risks including that the Index may not achieve its 5% target, may be significantly uninvested, and may not track the underlying index or may magnify losses.

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 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 3.69% 1.61% 0.33% 1.41% - 0.88% - 0.19% - 1.14% 1.39% - 0.74% 0.88% 0.86% - 0.80% 0.95% 1999 - 4.88% 0.06% - 1.99% - 0.74% - 1.94% 1.50% - 0.59% 0.36% - 0.40% - 0.82% 1.91% - 0.52% - 1.76% 2000 - 5.69% 0.22% 1.62% 0.21% - 2.65% - 1.93% - 0.34% - 0.65% 0.03% 1.23% - 1.68% - 2.33% 0.55% 2001 - 6.72% - 1.08% 0.94% 1.29% - 1.78% 0.08% - 2.16% - 1.77% - 0.30% - 1.91% 0.96% - 0.66% - 0.47% 2002 7.94% 2.13% 0.32% 1.87% - 0.41% 0.65% 0.47% 0.29% 1.23% 1.66% 0.35% - 0.29% - 0.55% 2003 3.59% 1.52% 1.66% 0.69% 0.40% - 0.13% - 1.63% 0.80% 0.58% - 0.68% - 0.96% 0.59% 0.75% 2004 - 0.55% - 0.24% 1.33% - 1.31% 0.26% - 0.64% 1.71% - 0.15% 1.05% - 1.13% - 0.98% 0.96% - 1.34% 2005 5.19% 0.56% 0.88% 1.48% 1.05% 0.81% 0.02% - 0.06% - 1.79% 0.57% 0.47% - 0.02% 1.14% 2006 - 0.26% - 0.22% - 1.50% 0.31% 0.84% 0.40% - 1.24% - 0.99% 1.41% 1.59% 0.19% - 1.63% 0.63% 2007 - 7.21% 0.18% - 0.41% - 1.66% - 1.67% 0.29% - 0.30% - 2.37% 0.25% 0.91% - 0.07% - 0.81% - 1.74% 2008 5.53% 0.56% 1.50% - 0.56% 0.89% 0.76% 1.39% 0.02% 0.76% 1.06% 1.02% - 1.18% - 0.79% 2009 4.77% 2.19% 0.02% 1.05% 2.16% - 1.12% 1.45% - 1.15% - 1.94% 0.68% 1.89% 0.80% - 1.25% 2010 - 0.89% 0.21% 0.08% 1.70% - 1.05% - 3.13% - 0.68% - 0.90% - 0.46% 1.19% - 0.15% 1.42% 0.96% 2011 3.55% 0.41% 0.06% - 0.84% 0.98% 0.72% 0.53% 1.07% - 2.25% - 0.24% 1.10% 1.12% 0.88% 2012 11.93% 1.27% 1.36% 1.91% 1.40% - 1.36% 1.70% - 0.57% 0.88% 0.57% 1.56% 0.59% 2.07% 2013 3.71% - 0.28% 1.00% 0.23% - 0.80% 1.97% - 0.84% 1.08% 1.10% 0.12% 0.39% 1.45% - 1.72% 2014 - 1.76% - 0.52% 0.08% 1.96% - 0.47% - 3.74% 0.92% - 0.94% 0.54% 0.31% - 0.63% 1.81% - 0.99% 2015 3.13% 0.97% 1.78% - 0.84% - 0.26% 0.02% 1.03% - 0.48% 0.71% 0.06% 1.76% 0.03% - 1.64% 2016 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 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from January 4, 1999 through September 9, 2009 and the actual performance of the Index from September 10, 2009 through April 30, 2026. 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.

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 relevant product supplement and underlying supplement and the “Selected Risk Considerations” in the relevant term sheet or pricing 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 .