JPMorgan (JPM) highlights fees, leverage and backtests in MerQube US Gold Vol Advantage Index
Rhea-AI Filing Summary
JPMorgan Chase & Co. provides an index supplement describing the MerQube US Gold Vol Advantage Index, which underlies certain structured notes. The index’s performance history combines hypothetical backtested results from December 26, 2007 to February 10, 2025 with actual index performance from February 11, 2025 to June 30, 2026, and includes monthly and annual return figures over that span. The index was established on February 11, 2025 and tracks a gold futures-based, volatility-targeting strategy.
The index level reflects a 6.0% per annum daily deduction and is designed as an excess return index, meaning it does not include interest on notional cash. Key risks include use of significant leverage, potential “volatility drag,” periods when the index may be significantly uninvested, and gold concentration risk. The supplement also highlights conflicts of interest because J.P. Morgan Securities LLC coordinated with MerQube in developing the index rules and holds an exclusive license, while having no obligation to consider note investors’ interests.
Positive
- None.
Negative
- None.
Insights
Gold-volatility index for JPM notes carries notable fee, leverage and design risks.
The supplement explains that notes are linked to the MerQube US Gold Vol Advantage Index, which blends gold futures exposure with a volatility-targeting overlay. The index deducts a 6.0% per annum fee on a daily basis and is structured as an excess-return benchmark, so its path already embeds costs before any note-specific features.
Most of the long history comes from hypothetical backtests from December 26, 2007 to February 10, 2025, with actual live data only from February 11, 2025. The text stresses that backtested results are built with hindsight and may differ materially from future performance. For investors, that means historical numbers—such as annual swings from losses like ‑61.69% in 2012 to gains like 150.63% in 2024—are illustrative rather than reliable guides.
The risk section details dependence on gold futures markets, potential volatility drag, leverage effects and periods when the index may be significantly uninvested. It also flags conflicts: JPMS helped design the methodology, licenses the index from MerQube, and its judgments can influence index behavior without any duty to noteholders. These points make the structure complex and emphasize the need for careful suitability assessment.
Key Figures
Key Terms
hypothetical backtested performance financial
excess return index financial
volatility drag financial
target volatility financial
futures contracts financial
Offering Details
AI-generated analysis. How Rhea-AI works. Not financial advice.
FAQ
What is the MerQube US Gold Vol Advantage Index used by JPM (JPM)?
How long is the performance history for the MerQube US Gold Vol Advantage Index used by JPM?
What fees are embedded in the MerQube US Gold Vol Advantage Index for JPM (JPM) notes?
What are key risks of investing in JPM (JPM) notes linked to the MerQube US Gold Vol Advantage Index?
How much of the MerQube US Gold Vol Advantage Index history for JPM is backtested?
Is the MerQube US Gold Vol Advantage Index for JPM a total return index?
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. 5 - I dated April 17, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 01 Dated July 9, 2026 Rule 424(b)(3) JULY 2026 MerQube US Gold Vol Advantage Index Hypothetical and Actual Historical Monthly and Annual Returns Backtested Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 12.03% 5.50% 7.32% - 15.78% 5.33% - 16.18% - 3.06% 5.24% 3.22% - 9.67% - 8.24% 5.89% 13.06% 2008 37.69% - 12.41% 28.65% 4.18% 11.45% - 1.20% 5.72% - 9.33% 14.04% - 5.07% - 2.77% 1.37% 4.14% 2009 76.74% 4.88% 3.53% 8.47% 10.74% 11.84% - 3.84% 4.11% 5.02% 13.55% - 1.07% 4.88% - 2.19% 2010 36.48% - 13.09% 1.46% 5.99% - 13.01% 25.39% 21.11% - 5.45% - 3.79% 20.86% 4.69% 12.28% - 14.47% 2011 - 2.32% - 7.45% - 2.54% - 8.27% 12.03% 9.34% 0.16% 4.51% - 9.07% - 1.15% - 5.13% - 5.91% 14.75% 2012 - 61.69% - 7.99% - 12.18% - 1.44% - 8.83% 10.68% 9.59% - 18.81% - 10.66% - 27.88% 1.22% - 14.95% - 3.41% 2013 - 21.53% 0.85% 1.91% - 10.06% - 19.35% 0.66% - 10.06% 16.61% - 10.66% 1.75% - 7.80% 12.87% 5.41% 2014 - 40.54% - 1.91% - 19.50% 4.58% - 4.73% 7.13% - 23.28% - 4.95% 1.03% - 0.87% - 6.68% - 10.82% 16.06% 2015 - 0.60% - 4.86% - 25.57% - 11.46% - 0.20% - 8.55% 4.85% 20.48% - 13.65% 10.03% 0.40% 26.25% 14.18% 2016 32.88% 11.89% - 1.10% - 4.72% - 9.95% 13.91% 7.74% - 11.31% 1.41% 4.46% - 2.16% 9.92% 12.86% 2017 - 23.67% 18.23% 1.28% 8.86% - 4.32% - 9.85% - 11.32% - 17.33% - 6.60% - 2.84% 0.97% - 7.67% 9.45% 2018 60.75% 12.70% - 10.83% 8.30% - 9.87% 21.47% 1.73% 36.58% 6.94% - 5.64% - 8.95% - 3.82% 9.88% 2019 46.84% 12.69% - 10.94% - 1.93% - 7.92% - 0.27% 16.01% 5.04% 4.02% 4.70% 9.44% - 0.35% 12.23% 2020 - 12.38% 7.18% - 1.91% 3.53% - 8.57% - 0.69% 5.86% - 18.91% 23.13% 8.21% - 3.26% - 15.13% - 5.60% 2021 - 12.15% 9.55% 13.59% - 4.62% - 9.89% - 7.67% - 7.04% - 5.47% - 8.39% - 3.82% 5.13% 15.66% - 5.52% 2022 14.20% 1.77% 5.81% 28.00% - 18.01% - 7.51% 6.14% - 6.29% - 5.13% 0.85% 18.53% - 14.48% 13.28% 2023 63.85% - 3.80% - 7.68% 7.03% 10.96% 5.35% 9.34% - 1.04% 1.14% 9.70% 29.37% - 2.22% - 2.90% 2024 150.63% 3.16% 8.63% 5.83% 23.68% 11.84% - 1.59% - 1.44% - 2.04% 13.05% 22.56% 0.87% 15.05% 2025 - 14.28% - 19.01% - 2.72% - 2.14% - 13.97% 12.05% 15.33% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page . Historical performance measures for the MerQube US Gold Vol Advantage Index (the “Index”) represent hypothetical backtested performance from December 26 , 2007 through February 10 , 2025 and the actual performance of the Index from February 11 , 2025 through June 30 , 2026 . Please see “Use of hypothetical backtested returns” at the end of this presentation for further information related to backtesting including a discussion of certain limitation of backtesting and simulated returns . The hypothetical backtested and historical levels presented herein have not been verified by J . P . Morgan, and hypothetical historical levels have inherent limitations . PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS . 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 prospectus supplement and 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 .
JULY 2026 | MerQube US Gold Vol Advantage Index Selected Risks Our affiliate, J.P. Morgan Securities LLC (“JPMS”), coordinated with the Index Sponsor in the development of the Index. The level of the Index will include a 6.0% per annum daily deduction. MerQube (the “Index Sponsor”) may adjust the Index in a way that atfects its level, and the Index Sponsor has no obligation to consider your interests. The Index may not approximate its target volatility. The Index is subject to risks associated with the use of significant leverage. The Index may be adversely atfected by a “volatility drag” etfect. The Index may be significantly uninvested. The Index may be adversely atfected if later futures contracts have higher prices than an expiring futures contract included in the Index. The Index is an “excess return” index and not a “total return” index because it does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts. The Index, which was established on February 11, 2025, has a limited operating history and may perform in unanticipated ways. The Index is subject to significant risks associated with futures contracts, including volatility. An investment linked to the Index will be subject to risks associated with gold. Concentration risks associated with the Index may adversely atfect the value of investments linked to the Index. Suspension or disruptions of market trading in the futures contracts included in the Index may adversely atfect the value of investments linked to the Index. The official settlement price and intraday trading prices of the relevant futures contracts included in the Index may not be readily available. Changes in the margin requirements for the underlying futures contracts included in the Index may adversely atfect the value of investments linked to the Index. The Index may not be successful or outperform any alternative strategy that may be employed in respect of the futures contracts. 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 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 document, the otfering document shall govern . Use of hypothetical backtested returns Any backtested historical performance and weighting information included herein is hypothetical . The constituent may not have traded 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 . The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations . There are frequently significant ditferences between hypothetical backtested performance and actual subsequent performance . The results obtained from backtesting information should not be considered indicative of the actual results that might be obtained from an investment in notes referencing the Index . J . P . Morgan provides no assurance or guarantee that notes 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 . Hypothetical back - tested performance measures have inherent limitations . Hypothetical back - tested performance is derived by means of the retroactive application of a back - tested model that has been designed with the benefit of hindsight . Hypothetical back - tested results are neither an indicator nor a guarantee of future returns . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . A copy of the index methodology is available upon request or can be viewed on MerQube’s website . MerQube performed the calculation of the hypothetical back - tested performance data . Neither J . P . Morgan Securities LLC (JPMS), nor any of its affiliates paid MerQube to perform these calculations . JPMS has entered into a license agreement with MerQube, Inc . that provides for an exclusive license to it and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the Indices, which are owned and published by MerQube, Inc . JPMS worked with MerQube in developing the guidelines and policies governing the composition and calculation of the Index . The policies and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your notes . JPMS is under no obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the Index or making judgments that may atfect the level of the Index . 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 . Neither MerQube, Inc . nor any of its affiliates (collectively, “MerQube”) is the issuer or producer of any investment linked to the Index referenced herein and MerQube has no duties, responsibilities, or obligations to investors in such investment . The Index is a product of MerQube and has been licensed for use by JPMS (“Licensee”) and its affiliates . Such index is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each a “Data Provider”) . MerQube® is a registered trademark of MerQube, Inc . These trademarks have been licensed for certain purposes by Licensee, including use by Licensee’s affiliate in its capacity as the issuer of investments linked to the Index . Such investments are not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Input Data, Index or any associated data . 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 .