JPMorgan (JPM) outlines backtested returns for S&P 500 Daily Risk Control 10% Index

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides an index supplement describing the S&P 500^® Daily Risk Control 10% Index, including hypothetical backtested returns from December 31, 1998 through May 12, 2009 and actual index performance from May 13, 2009 through June 30, 2026. The index targets 10% volatility by adjusting daily exposure to the S&P 500, and its level reflects a deduction for a notional financing cost.

The material emphasizes that historical and backtested returns are hypothetical, based on current index methodology and, at times, proxy constituents. It highlights risks such as the index potentially failing to approximate its 10% volatility target, being significantly uninvested so part of it earns no return, and daily exposure adjustments that can limit upside or magnify downside moves relative to the underlying S&P 500. It also notes JPMorgan is one of the companies in the underlying index and that the methodology for calculating notional financing cost was recently changed, urging investors to review broader risk factor disclosures and stressing that past and backtested performance are not indicative of future results.

Insights

Structured products strategist

Backtested, volatility-target index data with significant structural caveats.

The supplement explains how the S&P 500 Daily Risk Control 10% Index works and presents monthly and annual performance, mostly hypothetical before May 12, 2009. The index dynamically scales exposure to the S&P 500 to maintain about 10% volatility and embeds a notional financing cost that continually reduces the index level.

For investors in notes or other instruments linked to this index, the key point is that much of the performance record is model-based, sometimes using proxy constituents, and may differ materially from live trading results. Because the index can be significantly uninvested, it may lag a strong equity market, while daily rebalancing and financing costs can erode returns over time.

The disclosure also flags that the financing-cost methodology was recently changed, so earlier hypothetical performance reflects a different cost structure than current rules. Anyone evaluating a new JPMorgan-linked product tied to this index needs to focus on the current methodology, risk-control mechanics, and the explicit warning that historical and backtested performance are not indicative of future results.

Key Figures

Backtested performance period start: December 31, 1998 Backtested performance period end: May 12, 2009 Actual performance period start: May 13, 2009 +5 more

8 metrics

Backtested performance period start December 31, 1998 Start of hypothetical backtested index performance data

Backtested performance period end May 12, 2009 End of hypothetical backtested index performance data

Actual performance period start May 13, 2009 Start of actual S&P 500 Daily Risk Control 10% Index performance

Latest performance date June 30, 2026 Most recent date for actual index performance provided

Target volatility 10% Index aims to approximate 10% volatility via daily exposure adjustments

Annual return 2012 7.00% Example of an annual index return from the performance table

Annual return 2013 24.98% Example of a strong calendar-year return in the historical data

Annual return 2008 -14.18% Example of a negative calendar-year return in stressed markets

Key Terms

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

5 terms

hypothetical backtested performance financial

"Any backtested historical performance information included herein is hypothetical."

target volatility financial

"The Index may not approximate its target volatility of 10%."

notional financing cost financial

"The level of the Index reflects the deduction of a notional financing cost."

proxy constituents financial

"The constituents and proxy constituents may not have traded together in the manner shown."

investment suitability financial

"Investment suitability must be determined individually for each investor."

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Available on EDGAR 07/11/2026 - 02:05 PM Accepted by SEC EDGAR 07/10/2026 - 02:17 PM Learn about SEC filing dates

FAQ

What index is described in JPM (JPMorgan Chase & Co.)’s July 2026 supplement?

The document describes the S&P 500 Daily Risk Control 10% Index. It is a volatility-target index that adjusts daily exposure to the S&P 500 to target 10% volatility and includes a deduction for a notional financing cost.

What performance period does the JPM S&P 500 Daily Risk Control 10% Index disclosure cover?

The disclosure covers data from December 31, 1998 through June 30, 2026. Returns from 1998 to May 12, 2009 are hypothetical backtested results, while returns from May 13, 2009 onward reflect actual index performance under the index methodology.

How much of JPM’s S&P 500 Daily Risk Control 10% Index performance is backtested?

Performance from December 31, 1998 through May 12, 2009 is hypothetical backtested. The supplement states these figures use current index methodology and, at times, proxy constituents, and may differ significantly from actual future results.

What are key risks highlighted for the JPM S&P 500 Daily Risk Control 10% Index?

Key risks include failure to meet the 10% volatility target and being significantly uninvested. Daily exposure adjustments can limit upside or magnify downside, the index embeds a notional financing cost, and its financing-cost methodology was recently changed.

Does JPMorgan’s role create any conflict in the S&P 500 Daily Risk Control 10% Index?

JPMorgan Chase & Co. is one of the companies in the underlying S&P 500 index. The supplement explicitly notes this, alongside broader risk factor references, for investors assessing potential conflicts and index-linked product suitability.

What does the supplement say about using backtested returns for JPM’s S&P 500 Daily Risk Control 10% Index?

It stresses that backtested returns are hypothetical and not indicative of future results. The text notes differences between hypothetical and actual performance, use of proxy constituents, modeling limitations, and that alternative simulations could produce significantly different outcomes.

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) Hypothetical and Actual Historical Monthly and Annual Returns  Backtested using proxies  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan 7.20% 3.22% 0.65% 2.81% - 1.78% - 0.40% - 2.27% 2.77% - 1.48% 1.74% 1.71% - 1.61% 1.83% 1999 - 9.78% 0.09% - 3.96% - 1.52% - 3.86% 3.03% - 1.18% 0.71% - 0.80% - 1.68% 3.83% - 1.06% - 3.51% 2000 - 11.25% 0.42% 3.26% 0.40% - 5.26% - 3.85% - 0.71% - 1.30% 0.06% 2.43% - 3.37% - 4.61% 1.09% 2001 - 13.23% - 2.17% 1.87% 2.58% - 3.53% 0.14% - 4.33% - 3.55% - 0.61% - 3.79% 1.90% - 1.32% - 0.98% 2002 16.28% 4.27% 0.63% 3.77% - 0.85% 1.27% 0.94% 0.58% 2.45% 3.35% 0.67% - 0.59% - 1.13% 2003 7.05% 3.03% 3.32% 1.36% 0.77% - 0.27% - 3.25% 1.59% 1.14% - 1.37% - 1.95% 1.18% 1.48% 2004 - 1.32% - 0.49% 2.68% - 2.65% 0.50% - 1.29% 3.41% - 0.31% 2.10% - 2.27% - 2.00% 1.92% - 2.68% 2005 10.39% 1.11% 1.75% 2.97% 2.09% 1.62% 0.03% - 0.16% - 3.58% 1.13% 0.92% - 0.06% 2.27% 2006 - 0.82% - 0.43% - 3.01% 0.60% 1.69% 0.78% - 2.49% - 2.01% 2.82% 3.20% 0.34% - 3.29% 1.25% 2007 - 14.18% 0.36% - 0.85% - 3.33% - 3.38% 0.54% - 0.62% - 4.69% 0.47% 1.84% - 0.18% - 1.64% - 3.49% 2008 11.17% 1.10% 3.02% - 1.16% 1.78% 1.50% 2.81% 0.02% 1.52% 2.14% 2.02% - 2.35% - 1.58% 2009 9.53% 4.44% 0.02% 2.12% 4.36% - 2.23% 2.90% - 2.30% - 3.89% 1.33% 3.80% 1.57% - 2.49% 2010 - 2.09% 0.41% 0.14% 3.42% - 2.09% - 6.26% - 1.38% - 1.81% - 0.94% 2.39% - 0.34% 2.84% 1.92% 2011 7.00% 0.81% 0.08% - 1.69% 1.96% 1.44% 1.03% 2.13% - 4.47% - 0.48% 2.18% 2.24% 1.78% 2012 24.98% 2.51% 2.74% 3.82% 2.80% - 2.72% 3.43% - 1.17% 1.74% 1.10% 3.14% 1.16% 4.19% 2013 7.26% - 0.61% 2.01% 0.41% - 1.61% 3.96% - 1.69% 2.16% 2.21% 0.21% 0.76% 2.90% - 3.43% 2014 - 3.77% - 1.06% 0.17% 3.95% - 0.96% - 7.43% 1.83% - 1.88% 1.05% 0.62% - 1.26% 3.64% - 2.00% 2015 6.12% 1.94% 3.56% - 1.68% - 0.55% 0.03% 2.07% - 1.02% 1.41% 0.11% 3.54% 0.03% - 3.27% 2016 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 3.61% - 1.07% 3.46% 5.70% - 4.37% - 0.79% 0.93% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from December 31, 1998 through May 12, 2009 and the actual performance of the Index from May 13, 2009 through June 30, 2026. Please see “Use of hypothetical backtested returns” at the end of this presentation for additional information related to backtesting. 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 500® Daily Risk Control 10% Index

JULY 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 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 .