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

Rhea-AI Filing Summary

JPMorgan Chase is providing updated information on 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 from November 20, 1996 through July 31, 2026. Index performance before September 18, 2023 is hypothetical backtested using the current methodology; performance from September 18, 2023 onward is based on actual Index levels.

The Index targets a 5% daily volatility and reflects a 0.50% per annum index deduction and a notional financing cost, both deducted daily, which reduces returns relative to the underlying equity index. Disclosures highlight that past and backtested performance are not indicative of future results, that backtests rely on constituents and proxy constituents that may not have traded together, and that alternative modeling could produce materially different outcomes. Identified risks include the possibility the Index may not track its target volatility, may be significantly uninvested, and may not fully reflect gains or losses of the underlying index. Investors are directed to additional risk factor discussions in related supplements and term sheets.

Key Figures

Index annual return 1996 (backtested): 7.12% Index annual return 2007 (backtested): -11.84% Index annual return 2016 (backtested): 7.46% +5 more

8 metrics

Index annual return 1996 (backtested) 7.12% Backtested annual performance for 1996

Index annual return 2007 (backtested) -11.84% Backtested annual performance for 2007

Index annual return 2016 (backtested) 7.46% Backtested annual performance for 2016

Index annual return 2018 (backtested) 7.24% Backtested annual performance for 2018

Index annual return 2020 (backtested) 5.44% Backtested annual performance for 2020

Index annual return 2023 (actual period included) 4.39% Annual performance for 2023 including part of the actual data period

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

Target volatility 5% Stated daily risk control target of the Index

Key Terms

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

5 terms

Risk Control financial

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

Risk control is the set of rules and actions investors use to limit potential losses and reduce swings in a portfolio, like setting how much to invest in one stock, using stop-loss orders, or buying protection against big moves. It matters because managing downside risk preserves capital and keeps returns more predictable—think of it as the brakes and seatbelt for an investment strategy that help you stay in the market when surprises happen.

hypothetical backtested performance financial

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

notional financing cost financial

"reflects a 0.50% per annum index deduction and the deduction of a notional financing cost"

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.

FAQ

What does JPM (JPMorgan) describe in the August 2026 S&P Global 100 5% Daily Risk Control Index update?

It describes historical and hypothetical performance of the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER through July 31, 2026. The document explains how returns are calculated, distinguishes backtested from actual data, and outlines key index risks and cost deductions.

How are performance periods split between backtested and actual data for JPM’s referenced Index (JPM)?

Performance is backtested from November 20, 1996 through September 17, 2023 and based on actual Index levels from September 18, 2023 through July 31, 2026. The company stresses that both historical and backtested results are illustrative and not predictive of future performance.

What ongoing deductions affect returns of the S&P Global 100 5% Daily Risk Control Index linked by JPM (JPM)?

The Index reflects a 0.50% per annum index deduction plus a notional financing cost, both applied daily. These deductions reduce Index performance relative to the underlying equity index and are highlighted as a key structural feature and risk of index-linked investments.

What key risks does JPM (JPM) highlight for investments linked to this Risk Control Index?

JPMorgan highlights risks that the Index may not approximate its 5% target volatility, may be significantly uninvested, and may not fully capture underlying index gains or may magnify losses. Additional, more detailed risk factors are referenced in related product and underlying supplements.

How does JPM (JPM) characterize the reliability of hypothetical backtested returns for this Index?

JPMorgan states that backtested historical performance is hypothetical, may differ significantly from actual results, and uses constituents and proxy constituents that may not have traded together. It emphasizes that backtested results have inherent limitations and are not indicative of future outcomes.

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Available on EDGAR 08/08/2026 - 02:14 PM Accepted by SEC EDGAR 08/07/2026 - 05:13 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 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 1.97% 1.03% - 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 July 31, 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.

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  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 .