JPMorgan (JPM) April 2026: S&P 500 Risk Control 5% Index update
Rhea-AI Filing Summary
JPMorgan Chase & Co. provides an April 2026 prospectus supplement for the S&P 500® Daily Risk Control 5% Index, showing hypothetical backtested monthly and annual returns from January 4, 1999 through September 9, 2009 and actual Index performance from September 10, 2009 through March 31, 2026. The supplement discloses monthly return series, highlights that the Index targets a 5% volatility objective, and warns that hypothetical backtested returns differ from actual results. Selected risks noted include potential deviation from the 5% target, periods when the Index may be significantly uninvested, and a deduction for a notional financing cost.
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Insights
Backtest window and actual track record are explicitly separated.
The supplement clarifies that performance shown combines hypothetical backtested results from January 4, 1999 to September 9, 2009 with actual Index returns thereafter through March 31, 2026. This separation is important when comparing simulated volatility control behavior to realized outcomes.
The document also states that proxy constituents were used in backtests and that the Index deducts a notional financing cost, both of which can materially alter simulated versus realized performance; subsequent disclosures should be consulted for implementation details.
The supplement lists operational and model risks tied to volatility targeting.
The text warns the Index may fail to approximate its 5% target volatility, may be significantly uninvested at times, and that daily exposure adjustments can mute upside or magnify downside relative to the underlying index. These are common risks for dynamic exposure strategies.
Investors should reference the related "Selected Risks" and disclosure supplements for more on the notional financing cost and methodology changes; cash‑flow treatment and exact fee mechanics are not detailed in this excerpt.
Key Figures
Key Terms
backtested financial
notional financing cost financial
proxy constituents technical
target volatility financial
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FAQ
What period does the JPM S&P 500 Daily Risk Control 5% Index supplement cover?
Does the Index target a specific volatility level?
Are the historical returns in the supplement actual or simulated?
What key risks does the supplement highlight for the Index?
Were proxy constituents used in the performance history?
Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the prospectus addendum dated June 3, 2024, the product supplement no. 3 - I dated April 13, 2023 and the underlying supplement no. 2 - II dated April 18, 2023 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated April 8, 2026 Rule 424(b)(3) APRIL 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 - 2.10% - 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 March 31, 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.
APRIL 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 disclosure statement and underlying supplement and the “Selected Risk Considerations” in the relevant term sheet or disclosure 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 .