JPMorgan (NYSE: JPM) outlines S&P Global 100 5% risk-control index returns and fees

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides an index supplement describing the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, including hypothetical backtested and actual historical monthly and annual returns.

Backtested index performance uses constituent data from November 20, 1996 through September 17, 2023, while actual performance covers September 18, 2023 through June 30, 2026. The index level reflects a 0.50% per annum index deduction and a notional financing cost, both deducted daily.

Key risks highlighted include that the index may not outperform or underperform its underlying index, may not approximate its 5% target volatility, and may be significantly uninvested so that part of the index earns no return. JPMorgan Chase & Co. is one of the companies in the underlying index. All historical and backtested performance and allocations are emphasized as not indicative of future results.

Insights

Structured products analyst

The supplement outlines index mechanics, fees and limitations, stressing backtests are illustrative only.

The index targets 5% volatility and applies a 0.50% per annum index deduction plus a notional financing cost, both taken daily. That means headline returns in the table already reflect these ongoing drags on performance, which can materially lower long-term compounded results versus the underlying equity index.

The document separates hypothetical backtested performance from actual index history, noting backtests from November 20, 1996 to September 17, 2023 and actual data thereafter. It explains that proxy constituents and modeling choices can cause large differences between simulated and real results, and that the index may at times hold significant cash, limiting participation in rising markets.

Risks also include potential failure to meet the volatility target, daily rebalancing that can dampen upside or magnify downside, and the conflict that JPMorgan Chase & Co. is both index sponsor and a component of the underlying index. Investors are directed to broader risk discussions in related supplements before considering products linked to this index.

Key Figures

Index deduction: 0.50% per annum Backtested period start: November 20, 1996 Backtested period end: September 17, 2023 +3 more

6 metrics

Index deduction 0.50% per annum Annual index fee deducted daily from the index level

Backtested period start November 20, 1996 Start date for hypothetical backtested index performance

Backtested period end September 17, 2023 End date for hypothetical backtested index performance

Actual performance start September 18, 2023 Start date for actual index performance history

Actual performance data through June 30, 2026 End date for actual index performance shown

Target volatility 5% Stated volatility target for the risk control index

Key Terms

hypothetical backtested performance, notional financing cost, proxy constituents, volatility, +1 more

5 terms

hypothetical backtested performance financial

"Historical performance measures for the Index represent hypothetical backtested performance"

notional financing cost financial

"the deduction of a notional financing cost, both of which are deducted daily"

proxy constituents financial

"The constituents and proxy constituents may not have traded together"

volatility financial

"The Index may not approximate its target volatility"

Volatility measures how much the price of an investment changes over time, similar to how a roller coaster’s height varies during the ride. High volatility means prices can swing dramatically in a short period, while low volatility indicates more stable, predictable movements. It matters to investors because it affects the potential risks and rewards of their investments, influencing decisions about when to buy or sell.

risk control index financial

"S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index"

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Available on EDGAR 07/11/2026 - 02:05 PM Accepted by SEC EDGAR 07/10/2026 - 02:20 PM Learn about SEC filing dates

FAQ

What index is described in the JPM (JPMorgan Chase & Co.) July 2026 424B3 supplement?

The supplement describes the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, including its methodology, hypothetical backtested returns, actual performance history and key risks for investors considering linked products.

How does the 0.50% deduction affect the S&P Global 100 PR 5% Daily Risk Control Index for JPM?

The index level reflects a 0.50% per annum index deduction plus a notional financing cost, both deducted daily. These ongoing charges reduce reported index returns versus the underlying equity index and can compound to a meaningful performance drag over time.

What time periods do the backtested and actual returns cover for the JPM-linked risk control index?

Hypothetical backtested performance uses constituent data from November 20, 1996 through September 17, 2023. Actual performance is shown from September 18, 2023 through June 30, 2026, clearly separating simulated history from realized index results.

What are key risks highlighted for the S&P Global 100 PR 5% Daily Risk Control Index used by JPM?

Key risks include that the index may not approximate its 5% target volatility, may be significantly uninvested so part of it earns no return, and may fail to outperform or underperform its underlying index due to daily rebalancing and risk-control mechanics.

Is JPMorgan Chase & Co. itself part of the underlying index referenced in this 424B3 filing?

Yes. The supplement states that JPMorgan Chase & Co. is currently one of the companies that make up the underlying index, creating a potential conflict of interest since the firm also sponsors products linked to that index.

How does the JPM filing characterize the reliability of backtested index performance?

The filing emphasizes that historical and backtested performance and allocations are not indicative of future results. It notes that proxy constituents and modeling choices can cause significant differences between hypothetical backtests and actual future index behavior.

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 July 9, 2026 Rule 424(b)(3) JULY 2026 S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Hypothetical and Actual Historical Monthly and Annual Returns  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 0.22% - 0.80% 0.58% 1996 7.12% 0.31% 0.61% - 2.42% 2.02% - 2.76% 2.43% 2.14% 1.10% 2.17% - 1.05% 0.16% 2.36% 1997 5.98% 1.46% 1.80% 1.55% 0.19% - 4.50% - 0.06% 1.06% - 0.40% 0.40% 1.49% 2.28% 0.73% 1998 4.94% 2.00% 0.74% 1.61% - 1.16% 0.25% - 0.45% 1.38% - 1.09% 0.23% 1.39% - 1.15% 1.17% 1999 - 7.44% - 0.07% - 2.02% - 0.78% - 2.69% 0.87% - 0.92% 0.81% - 0.55% - 1.38% 1.89% - 0.33% - 2.42% 2000 - 7.85% 0.14% 1.39% 0.36% - 2.89% - 1.85% - 0.82% - 0.89% - 0.82% 1.55% - 1.90% - 3.22% 0.94% 2001 - 8.36% - 1.47% 1.08% 1.83% - 2.47% - 0.12% - 2.29% - 1.70% - 0.53% - 1.84% 0.75% - 0.47% - 1.39% 2002 5.88% 1.77% 0.41% 1.12% 0.16% 0.13% 0.37% 0.31% 0.91% 1.80% 0.20% - 0.47% - 0.94% 2003 1.72% 1.04% 1.30% 0.55% 0.07% 0.02% - 1.10% 0.34% 0.08% - 0.50% - 0.91% 0.36% 0.48% 2004 - 0.46% 0.25% 0.75% - 1.19% 0.75% - 0.04% 1.00% - 0.35% 0.21% - 0.96% - 1.15% 1.10% - 0.80% 2005 4.30% 0.75% 0.46% 1.22% 0.24% 0.92% 0.29% - 0.14% - 1.90% 1.35% 0.73% - 0.74% 1.09% 2006 0.73% - 0.60% - 1.42% 0.86% 1.53% - 0.15% - 1.11% - 0.07% 0.64% 2.27% 0.25% - 1.35% - 0.06% 2007 - 11.84% 0.48% - 0.51% - 1.74% - 2.65% - 0.73% - 0.33% - 3.07% - 0.57% 1.29% - 0.23% - 0.43% - 3.92% 2008 2.95% 0.11% 0.78% - 0.15% 0.65% 0.66% 1.71% - 0.21% 1.47% 1.33% 0.81% - 2.01% - 2.16% 2009 0.91% 1.56% - 1.02% 0.86% 1.73% - 0.98% 1.99% - 0.82% - 1.86% - 0.39% 1.09% 0.00% - 1.16% 2010 - 2.48% 0.13% - 0.17% 1.61% - 1.47% - 2.81% - 0.65% - 0.44% - 0.84% 1.31% - 0.48% 0.63% 0.75% 2011 1.93% 0.54% 0.03% - 0.03% 0.65% 0.35% 0.26% 1.33% - 2.47% - 0.56% 0.22% 0.80% 0.85% 2012 5.52% 0.45% 0.68% 1.21% 1.30% - 1.02% 1.37% - 1.12% 0.12% 0.95% 0.32% - 0.30% 1.46% 2013 - 0.91% - 1.47% 0.86% - 0.35% - 0.79% 0.67% - 0.69% 0.20% - 0.01% 0.73% 0.11% 1.53% - 1.63% 2014 - 3.55% - 0.89% - 0.38% 2.40% - 0.73% - 3.75% 0.64% - 1.42% - 0.40% 1.03% - 0.89% 2.11% - 1.19% 2015 0.25% 1.33% 0.14% - 0.42% - 0.02% 0.04% 0.86% - 1.10% 0.13% 0.06% 1.86% - 0.59% - 1.97% 2016 7.46% 0.47% 0.53% 1.38% 0.80% 0.03% 0.84% - 0.25% 0.95% 0.49% 0.59% 1.07% 0.34% 2017 - 4.21% - 2.32% 0.06% - 2.95% 0.25% 0.39% 1.79% - 0.11% - 0.06% 0.14% - 1.13% - 2.51% 2.29% 2018 7.24% 1.62% 0.86% 0.91% 0.94% - 1.39% 0.08% 2.46% - 2.78% 1.32% 0.76% 0.82% 1.51% 2019 2.33% 1.08% 2.18% - 0.78% - 1.25% 1.62% 0.93% 0.72% 0.57% 1.06% - 0.85% - 2.94% 0.08% 2020 5.44% 1.30% - 0.28% 1.70% - 1.37% 0.66% 0.58% 0.58% 0.14% 1.16% 0.69% 0.29% - 0.10% 2021 - 6.35% - 1.31% 1.33% 1.54% - 2.31% - 1.43% 1.91% - 2.22% - 0.16% - 2.27% 0.24% - 0.84% - 0.89% 2022 4.61% 0.88% 2.30% - 0.70% - 1.54% - 0.69% 0.54% 1.34% - 0.22% 0.86% 1.37% - 0.92% 1.36% 2023 4.39% 0.08% 0.83% - 0.75% 0.04% - 0.37% - 0.32% 1.32% 1.79% - 1.02% 0.95% 1.32% 0.47% 2024 2.98% - 0.07% 0.07% 1.39% 1.19% 0.65% 0.89% 1.41% 1.43% - 1.93% - 2.01% - 0.31% 0.30% 2025 0.93% - 1.42% 1.71% 2.93% - 2.17% - 0.47% 0.44% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance using the performance of the Constituent from November 20, 1996 through September 17, 2023 (labeled “Backtested” in the chart above); and actual performance from September 18, 2023 through June 30, 2026 (labeled “Actual” in the chart above). 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.

JULY 2026 | S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Selected Risks  The level of the Index reflects a 0.50% per annum index deduction and the deduction of a notional financing cost, both of which are deducted daily.  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  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 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 .