JPMorgan (JPM) details S&P Global 100 5% risk control index returns

Rhea-AI Filing Summary

JPMorgan provides an update on the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, an excess-return index linked to the S&P® Global 100 Index. It was established on September 18, 2023 and targets 5% annualized volatility by dynamically adjusting exposure based on observed underlying volatility.

The index reflects a 0.50% per annum deduction and a daily notional financing cost referenced to the Effective Federal Funds Rate. From July 2016 to July 2026, hypothetical and actual data show annualized return of 2.60%, annualized volatility of 4.23% and a Sharpe Ratio of 0.61, compared with lower Sharpe Ratios for domestic and global 30/70 equity-bond portfolios.

The update includes monthly return history from 2017 through July 2026 and highlights risks, including that the index may not match its 5% target volatility, may be significantly uninvested, and may fail to outperform the S&P® Global 100 Index. All past and backtested performance is described as illustrative and not indicative of future results.

Key Figures

Index deduction: 0.50% per annum Target volatility: 5% 10-year annualized return: 2.60% +5 more

8 metrics

Index deduction 0.50% per annum Daily deduction applied to the index level

Target volatility 5% Annualized volatility target for the index

10-year annualized return 2.60% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER

10-year annualized volatility 4.23% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER

Sharpe Ratio 0.61 Calculated as 10-year return divided by 10-year volatility for the index

1-year return 5.31% Most recent 1-year return for the index in the July 2016–July 2026 table

Domestic 30/70 Sharpe Ratio 0.41 Domestic 30/70 Portfolio (ER) comparison metric

Global 30/70 Sharpe Ratio 0.17 Global 30/70 Portfolio (ER) comparison metric

Key Terms

excess return basis, notional financing cost, Sharpe Ratio, target volatility, +1 more

5 terms

excess return basis financial

"The Index is calculated on an excess return basis."

notional financing cost financial

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

Sharpe Ratio financial

"The Sharpe Ratio on the previous page is a measure of risk-adjusted performance"

A measure that shows how much extra return an investment has delivered for each unit of risk taken, comparing its additional return above a safe, no‑risk asset to how bumpy its returns have been. Think of it as miles per gallon for investing: a higher Sharpe ratio means you are getting more reward for the same amount of ups and downs, which helps investors compare funds or strategies on a risk‑adjusted basis.

target volatility financial

"The Index may not approximate its target volatility 5%."

backtested performance financial

"Backtested performance are not indicative of future results."

FAQ

What is the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index used in JPM (JPM) products?

The index provides exposure to the S&P Global 100 Index while targeting 5% annualized volatility. It adjusts exposure daily and is calculated on an excess return basis, net of a financing cost and a 0.50% per annum index deduction.

How has the JPM-linked S&P Global 100 5% Risk Control Index performed over 10 years?

Over July 2016–July 2026, the index shows 2.60% annualized return with 4.23% annualized volatility and a 0.61 Sharpe Ratio. These figures combine backtested data before September 18, 2023 and actual index performance thereafter.

What is the 1-year return of the S&P Global 100 5% Risk Control Index tied to JPM (JPM) notes?

The 1-year return reported for the index is 5.31%. This figure is part of a table of hypothetical and actual returns and volatilities covering July 2016 through July 2026 for the index and two 30/70 equity-bond portfolios.

How does the S&P Global 100 5% Risk Control Index compare to domestic 30/70 portfolios?

The index shows a 0.61 Sharpe Ratio versus 0.41 for the Domestic 30/70 Portfolio (ER). Its annualized 10-year return is 2.60% compared with 2.65% for the domestic portfolio, but with lower annualized volatility of 4.23% versus 6.42%.

What fees and deductions apply to the S&P Global 100 5% Risk Control Index in JPM (JPM) offerings?

The index level reflects a 0.50% per annum index deduction and a daily notional financing cost tied to the Effective Federal Funds Rate. Both are deducted on a daily basis and reduce index performance relative to the underlying equity index.

What are key risks of investing in JPM notes linked to the S&P Global 100 5% Risk Control Index?

Key risks include the index may not achieve its 5% volatility target, may be significantly uninvested, and may not outperform or match the underlying S&P Global 100 Index. Daily rebalancing can limit gains or magnify losses in certain market conditions.

AI-generated analysis. How Rhea-AI works. Not financial advice.

See more from StockTitan in Google Search and AI answers. Adds StockTitan as a preferred source · opens Google

Add on Google Not now

Available on EDGAR 08/08/2026 - 02:14 PM Accepted by SEC EDGAR 08/07/2026 - 05:07 PM Learn about SEC filing dates

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 August 10, 2026 Rule 424(b)(3) AUGUST 2026 S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 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 July 31 , 2026 (labeled “Actual” in the chart above) . The “Domestic 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % weighted exposure to the S&P 500 Total Return Index and the Bloomberg Barclays U . S . Aggregate Bond Total Return Index . The “Global 30 / 70 Portfolio (ER)” is a notional portfolio providing a monthly - rebalancing 30 % / 70 % 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 30 / 70 Portfolio (ER) and the Global 30 / 70 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® Global 100 PR 5 % Daily Risk Control 0 . 5 % Deduction Index (the “Index”) is designed to provide exposure to the S&P® Global 100 Index, while targeting an annualized volatility of 5 % , subject to the deduction, on a daily basis, of the notional financing cost and a daily deduction of 0 . 50 % per year . The notional financing cost for the Index is calculated by reference to the Etfective Federal Funds Rate . The Index’s exposure is dynamically rebalanced based on observed S&P® Global 100 volatility . The S&P® Global 100 Index is designed to measure the performance of 100 large - capitalization multinational companies whose businesses are global in nature and that derive a substantial portion of their operating income from multiple countries . The Index is calculated on an excess return basis. The Index was established on September 18, 2023. Levels are published on Bloomberg using the ticker SPGLR5TE. Hypothetical and actual historical performance: Jul 2016 through Jul 2026 S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual Backtested Please see the footnotes at the bottom of this page and “Backtesting” on the following page for information on backtested performance. Hypothetical and actual historical returns and volatilities: Jul 2016 through Jul 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.61 4.23% 2.60% 1.84% 3.18% 5.31% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 0.41 6.42% 2.65% - 0.24% 2.67% 2.69% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.17 6.23% 1.08% - 1.89% 1.86% 2.54% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Jul 2016 through Jul 2026 Exposure Level Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through Jul 2026 Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 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 1.97% 1.03% - 1.42% 1.71% 2.93% - 2.17% - 0.47% 0.44% 2026

AUGUST 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 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 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 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 .