JPMorgan (NYSE: JPM) releases S&P 500 Risk Control 10% Index update
Rhea-AI Filing Summary
JPMorgan published a monthly update for the S&P 500® Daily Risk Control 10% Index, summarizing methodology, hypothetical and historical performance through May 2026 and related notional portfolio comparisons. The Index targets a 10% volatility level with dynamic exposure adjustments and is calculated on an excess return basis.
The update notes the Index was established on May 13, 2009 and is published on Bloomberg under ticker SPXT10UE. It reiterates that performance shown is illustrative and that past or backtested returns do not guarantee future results.
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Insights
Index targets 10% volatility via dynamic cash overlay; performance presented is hypothetical and historical through May 2026.
The document describes an overlay that reduces exposure to the underlying index and allocates to cash to target 10% volatility. The update states the Index is calculated on an excess return basis and cites Bloomberg ticker SPXT10UE.
Key dependencies include realized volatility and the notional financing cost deduction; timing and magnitude of exposure shifts depend on the Index's volatility calculations. Subsequent product term sheets or pricing supplements supersede these illustrative figures.
Provides comparative hypothetical returns for notional 70/30 portfolios alongside the Index; warns methodology and financing-cost changes.
The supplement compares the Index to two notional portfolios (Domestic and Global 70/30 (ER)) and states that notional portfolios are calculated net of a financing-cost deduction tied to the J.P. Morgan Cash Index USD 3 Month. It also notes the Index's notional financing-cost methodology was recently changed.
Investors should note the update is illustrative; governing term sheets or pricing supplements will control any live offering terms and figures.
Key Figures
Key Terms
risk control overlay financial
excess return basis financial
notional financing cost financial
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FAQ
What is the S&P 500 Daily Risk Control 10% Index in the JPM update?
When was the Index established and where is it published?
Does the update include actual performance figures through May 2026?
What notional portfolios are compared to the Index in the update?
What key methodological change is disclosed in the update?
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 June 8, 2026 Rule 424(b)(3) JUNE 2026 S&P 500® Daily Risk Control 10% Index The “Domestic 70 / 30 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 70 % / 30 % weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U . S . Aggregate Bond Total Return Index . The “Global 70 / 30 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 70 % / 30 % 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 70 / 30 Portfolio (ER) and the Global 70 / 30 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 10 % Index (the “Index”) represents a portfolio consisting of the S&P 500 and a cash component accruing interest that dynamically adjusts to target a 10 % 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 10 % volatility . The risk control framework is applied to the underlying index and helps to reduce portfolio volatility to the 10 % 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 May 13, 2009. Levels are published on Bloomberg using the ticker SPXT10UE. Hypothetical and actual historical performance: May 2016 through May 2026 S&P 500® Daily Risk Control 10% Index Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Hypothetical and actual historical returns and volatilities: May 2016 through May 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.78 10.15% 7.95% 5.53% 8.91% 12.91% S&P 500 Daily Risk Control 10% Excess Return (USD) Index 0.67 12.70% 8.57% 6.06% 11.39% 16.33% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.59 10.65% 6.33% 3.71% 10.42% 15.99% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: May 2016 through May 2026 Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through May 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 27.73% 1.52% 4.47% 3.27% 2.54% - 0.04% 2.48% 0.53% 1.38% 1.36% 0.11% 5.15% 2.09% 2017 - 3.13% - 4.72% 0.93% - 7.88% 0.55% 3.10% 2.92% 0.07% 1.26% 0.10% - 1.68% - 4.88% 8.04% 2018 15.11% 2.86% 2.90% 1.34% 0.79% - 2.43% 0.90% 5.14% - 5.33% 2.76% 1.12% 1.49% 3.02% 2019 2.86% 2.14% 4.89% - 1.44% - 1.82% 2.82% 1.65% 0.49% 1.07% 1.85% - 2.33% - 5.99% - 0.05% 2020 17.39% 2.74% - 0.99% 5.24% - 4.56% 2.83% 2.05% 1.89% 0.46% 3.43% 2.67% 1.51% - 0.78% 2021 - 10.69% - 2.46% 2.15% 3.22% - 4.05% - 2.00% 3.47% - 3.18% - 0.03% - 4.28% 1.50% - 1.46% - 3.69% 2022 11.54% 3.42% 6.09% - 2.22% - 4.47% - 1.92% 2.31% 4.41% 0.05% 0.79% 1.79% - 1.48% 2.71% 2023 12.63% - 2.32% 4.43% - 1.15% 1.07% - 0.26% 0.51% 2.88% 3.48% - 4.11% 2.40% 4.32% 1.10% 2024 1.98% - 0.24% - 0.15% 1.40% 2.56% 1.10% 0.94% 1.99% 1.77% - 3.12% - 4.27% - 1.34% 1.58% 2025 4.73% 3.46% 5.70% - 4.37% - 0.79% 0.93% 2026
JUNE 2026 | S&P 500® Daily Risk Control 10% 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 10% 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 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 .