J.P. Morgan (JPM) updates Kronos+ Index performance, fees and risks (JPUSKRNS)

Rhea-AI Filing Summary

J.P. Morgan provided a monthly performance update for the J.P. Morgan Kronos+ SM Index, a rules-based index that dynamically weights uninvested, fully invested or 2x leveraged exposure to the S&P 500® Price Index. The update shows hypothetical backtested performance from May 2016 through May 2026 and actual Index performance since its launch on December 22, 2020. The Index level is published on Bloomberg under ticker JPUSKRNS and is subject to a 0.95% per annum daily fee and, in some cases, a notional financing cost linked to the Effective Federal Funds Rate. The document emphasizes that past and backtested performance are not indicative of future results and lists specific strategy risks, operational limits (the strategies apply only during portions of each month) and that the Index comprises notional assets and liabilities rather than an actual portfolio.

Insights

Quant Strategist

Index shows backtested and actual performance with notable fees and strategy timing risks.

The materials present ten-year backtested and actual metrics for the J.P. Morgan Kronos+ SM Index, including a listed 0.95% per annum index fee and published ticker JPUSKRNS. The update spans May 2016 through May 2026 and notes the Index was established on December 22, 2020.

Key dependencies include the Index’s timing rules (turn-of-month, option-expiry momentum, month-end mean reversion) and a potential notional financing cost tied to the Effective Federal Funds Rate. The note cautions that backtesting has inherent limitations; subsequent term sheets or pricing supplements supersede this update.

Key Figures

Index fee: 0.95% per annum Index establishment date: December 22, 2020 Backtest window: May 2016 through May 2026 +3 more

6 metrics

Index fee 0.95% per annum daily deduction from Index level

Index establishment date December 22, 2020 Index was established on this date

Backtest window May 2016 through May 2026 Hypothetical and actual historical performance period

Published ticker JPUSKRNS Index levels published on Bloomberg

Sharpe Ratio (one listed figure) 0.77 10 Year Return / 10 Year Volatility as shown in the document

10 Year Volatility (example) 25.72% 10 Year Volatility (Annualized) as shown in the update

Key Terms

Backtesting, Notional financing cost, Sharpe Ratio, S&P 500® Price Index

4 terms

Backtesting financial

"Hypothetical and actual historical performance: May 2016 through May 2026"

Backtesting is the practice of applying an investment strategy or trading rule to historical market data to see how it would have performed. It matters to investors because it helps reveal strengths, weaknesses, and potential risks of a strategy before real money is at stake—like replaying past games to refine tactics—while remembering that past results do not guarantee future outcomes.

Notional financing cost financial

"The level of the Index will include the deduction of a fee of 0.95% per annum and, in some circumstances, a notional financing cost"

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.

S&P 500® Price Index market

"dynamic ... exposure to the S&P 500® Price Index"

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 06/10/2026 - 06:16 PM Accepted by SEC EDGAR 06/10/2026 - 09:57 AM Learn about SEC filing dates

FAQ

What does the J.P. Morgan Kronos+ Index (JPM) track?

The Index provides dynamic exposure to the S&P 500® Price Index, switching among uninvested, fully invested, or 2x leveraged positions. The strategy applies timing rules tied to turn-of-month, option-expiry momentum, and month-end mean reversion.

What fees and costs apply to the Kronos+ Index noted by JPM?

The Index level reflects a 0.95% per annum daily deduction and may include a notional financing cost based on the Effective Federal Funds Rate. These charges are applied to index levels and reduce net returns.

How long is the performance history shown in the update?

The document presents hypothetical backtested performance from May 2016 through May 2026 and actual Index performance from its establishment on December 22, 2020 through May 31, 2026, per the backtesting disclosure.

Where can I find the Index level and identifier?

Index levels are published on Bloomberg under ticker JPUSKRNS. The update states this ticker and that the Index was established on December 22, 2020.

Does the Index reinvest dividends in its performance figures?

No. The Index materials state the Index does not reflect the reinvestment of dividends, and performance figures are presented on that basis, which affects comparability to total-return measures.

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. 6 - I dated April 17, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 1 Dated June 8, 2026 Rule 424(b)(3) PERFORMANCE UPDATE The J.P. Morgan Kronos+ SM Index attempts to provide a dynamic uninvested, fully invested or 2x leveraged exposure to the S&P 500® Price Index (“the S&P 500”) based on the following principles: • Strong historical performance around the turn of the month • Historical price momentum ahead of index options’ expiry • Historical mean reversion at month - end The Index does not reflect the reinvestment of dividends and is subject to a daily deduction of 0.95% per annum index fee. The Index was established on December 22, 2020. Levels are published on Bloomberg using the ticker JPUSKRNS. Hypothetical and actual historical performance: May 2016 through May 2026 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: May 2016 through May 2026 J.P. Morgan Kronos+ Index S&P 500 Price Index Backtested Actual J.P. Morgan Kronos+ SM Index S&P 500 ® Price Index Backtested Actua Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.77 25.72% 19.85% 4.26% 14.24% 23.14% J.P. Morgan Kronos+ SM Index 0.76 18.11% 13.71% 12.51% 21.95% 28.22% S&P 500® Price Index Historical exposure at end - of - day: Mar 2026 through May 2026 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 27.52% 1.03% 2.37% 3.00% 1.59% 2.84% 2.18% 1.39% 1.70% 0.45% 1.38% 4.76% 1.93% 2017 13.22% - 5.33% 8.69% - 6.85% 0.63% 2.71% 4.49% 4.23% 4.79% 2.51% - 0.52% - 10.54% 9.78% 2018 35.14% 2.38% 4.54% - 0.30% 3.40% - 5.13% 1.65% 12.78% - 10.79% 4.35% 4.49% 4.85% 10.41% 2019 100.70% 4.68% 15.65% - 0.03% - 1.23% 7.97% 7.96% 7.50% 2.76% 12.43% 15.04% - 1.79% 2.66% 2020 42.26% 4.21% 2.53% 11.44% - 5.00% 3.64% 0.16% 1.17% 2.81% 7.23% 0.83% 4.87% 2.72% 2021 - 37.08% - 15.24% 0.99% 9.93% - 12.49% - 5.51% 11.93% - 8.85% 9.19% - 15.88% - 5.84% 0.01% - 8.36% 2022 32.11% 4.12% 13.92% - 0.14% - 7.54% - 2.00% 1.68% 9.49% - 4.67% 2.59% 8.62% - 2.65% 6.91% 2023 10.58% - 4.94% 6.00% - 1.27% - 2.00% - 6.59% 2.68% 4.17% 9.65% - 5.18% 3.00% 5.72% 0.26% 2024 2.08% 0.40% - 0.12% - 0.59% 5.81% 0.15% 3.22% 2.16% 7.30% - 2.40% - 12.80% - 0.61% 0.96% 2025 10.53% 6.03% 13.95% - 4.92% - 2.68% - 1.13% 2026 JUNE 2026 J.P. Morgan Kronos+ SM Index Historical performance measures for the Index represent hypothetical backtested performance using the actual performance of the S&P 500 ® Price Return Index through December 21 , 2020 and the actual performance of the Index from December 22 , 2020 through May 31 , 2026 . PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS . Please see the Disclaimer on the following page . 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 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 . March 2026 April 2026 May 2026 Fully S&P 500® Fully S&P 500® Fully S&P 500® Leveraged invested Uninvested Exposure Leveraged invested Uninvested Exposure Leveraged invested Uninvested Exposure 3/2 - 3/4 4/1 - 4/6 5/1 - 5/5 3/5 - 3/16 4/7 - 4/13 5/6 - 5/11 3/17 - 3/20 4/14 - 4/17 5/12 - 5/15 3/23 - 3/26 4/20 - 4/21 5/18 - 5/19 3/27 - 3/30 4/22 - 4/27 5/20 - 5/26 3/31 4/28 - 4/29 5/27 - 5/28 4/30 5/29

JUNE 2026 | J.P. Morgan Kronos+ SM Index Selected Risks  Our affiliate, J.P. Morgan Securities LLC (“JPMS”), is the sponsor and calculation agent of the Index and may adjust the Index in a way that atfects its level.  The level of the Index will include the deduction of a fee of 0.95% per annum and, in some circumstances, a notional financing cost based on the Etfective Federal Funds Rate.  JPMorgan Chase & Co. is currently one of the companies that make up the Constituent.  There are risks associated with the Index’s turn - of - month strategy.  There are risks associated with the Index’s option expiry momentum strategy.  There are risks associated with the Index’s mean reversion strategy.  The Index’s strategies are applied during only a portion of each month.  The Index may be adversely atfected by an overlap between its turn - of - the - month strategy and its month - end mean reversion strategy.  The Index may be uninvested in the Constituent.  The Constituent of the Index may be replaced by a substitute index in certain extraordinary events.  The notional cash return will be negatively atfected if the underlying interest rate is negative.  The Index, which was established on December 22, 2020, has a limited operating history and may perform in unanticipated ways.  The Index comprises notional assets and liabilities. There is no actual portfolio of assets to which any person is entitled or in which any person has any ownership interest.  The Index may not be successful or outperform any alternative strategy that may be employed of the Constituents.  The Etfective Federal Funds Rate is atfected by a number of factors and may be volatile.  The method pursuant to which the Etfective Federal Funds Rate is determined may change, and any such change may adversely atfect the value of notes linked to the Index. 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 . Backtesting : Hypothetical backtested performance measures have inherent limitations . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . Past performance, and especially hypothetical back - tested performance, is not indicative of future results . This type of information has inherent limitations and you should carefully consider these limitations before placing reliance on such information . 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 .