J.P. Morgan (JPM) updates JPUSTRI performance, shows 10-yr volatility 5.21%
Rhea-AI Filing Summary
The J.P. Morgan Total Return SM Index (JPUSTRI) is a momentum-based index that allocates among 12 U.S. dollar fixed-income ETFs and rebalances monthly into the best 6-month performer, subject to a 5% historical volatility threshold and concentration limits. The supplement presents hypothetical backtested performance (May 2016–Jul 2017 proxies/backtests) and actual performance from July 13, 2017 through May 31, 2026, with published levels on Bloomberg and JPMorganIndices.com. The document shows the Index's 10-year annualized volatility of 5.21% and various annual and monthly return series, and warns that past and backtested performance are not indicative of future results.
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Insights
Momentum allocation across fixed-income ETFs with limited live history.
The Index applies a monthly momentum rule to 12 U.S. dollar fixed-income ETFs, using 6-month relative performance plus a 5% volatility threshold and concentration limits. Historical numbers combine proxies, backtests and actual data through May 31, 2026, which should be treated separately when assessing track record.
Key dependencies include the sponsor's reconstitution judgments, ETF tracking differences, and periods of high cross-constituent correlation; subsequent product disclosures will show how these factors affect realized performance.
Volatility and correlation risks are central to outcomes.
The supplement highlights a 10-year volatility (annualized) of 5.21% and notes the Index may not maintain its historical 5% volatility threshold. High correlation among Basket Constituents during downturns could amplify losses versus diversified benchmarks.
Review the listed risks and the product/underlying supplements for credit, interest-rate, ETF-tracking, and issuer-credit exposures before assessing suitability.
Key Figures
Key Terms
Backtested using proxies financial
10 Year Volatility (Annualized) financial
Sharpe Ratio financial
Basket Constituents market
AI-generated analysis. How Rhea-AI works. Not financial advice.
FAQ
What is the J.P. Morgan Total Return SM Index (JPUSTRI)?
What performance period does the supplement cover for JPUSTRI?
How was historical performance constructed for periods before ETF live dates?
What are the primary risks disclosed for the Index?
Where are Index levels published?
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. 22 - I dated April 17, 2026 Registration Statement Nos. 333 - 293684 and 333 - 293684 - 01 Dated June 8, 2026 Rule 424(b)(3) PERFORMANCE UPDATE The J . P . Morgan Total Return SM Index (the “Index”) attempts to provide a dynamic and diversified allocation to 12 U . S . dollar fixed income ETFs (the “Basket Constituents”), each providing exposure to a ditferent sector of the U . S . dollar fixed income market . The Index rebalances monthly into the portfolio with the highest performance over the previous 6 months, generally subject to a 5 % historical volatility threshold, and constituent and sector concentration limits . The Index is calculated on a total return basis. The Index was established on July 13, 2017. Levels are published on Bloomberg and to JPMorganIndices.com , using the ticker JPUSTRI. 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 and proxies. Hypothetical and actual historical returns and volatilities: May 2016 through May 2026 J.P. Morgan Total Return SM Index Bloomberg Barclays U.S. Aggregate Bond TR Index Bloomberg Barclays Global Aggregate Bond Index TR Unhedged USD Backtested Actual Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.00 5.21% 2.76% 1.36% 4.56% 3.89% J.P. Morgan Total Return SM Index n/a 4.87% 1.70% 0.17% 3.95% 5.13% Bloomberg Barclays U.S. Aggregate Bond TR Index n/a 5.34% 0.74% - 1.54% 3.66% 3.26% Bloomberg Barclays Global Aggregate Bond Index TR Unhedged USD Recent monthly weights: Jan 2026 through Jun 2026 Other Credit Other Gov’t or Agency Bonds Investment - Grade Credit U.S. Treasury Bonds Preferred Stock (PFF) Floating Rate (FLOT) High Yield Corporate (HYG) Emerging Markets (EMB) Inflation - Protected (TIP) Agency MBS (MBB) 10+ Year Credit (IGLB) Intermed. Credit (IGIB) 1 – 3 Year Credit (IGSB) 20+ Year Treasuries (TLT) 7 – 10 Year Treasuries (IEF) 1 – 3 Year Treasuries (SHY) — — — 10% — 20% 20% 20% — 10% 20% — Jan 26 10% — 15% 10% — 20% 20% 20% 5% — — — Feb 26 — — — 10% — 20% 20% 20% — 20% 10% — Mar 26 — 10% — — 10% 20% — — 20% — 20% 20% Apr 26 10% — 15% 10% 20% 20% — — 20% — — 5% May 26 10% 10% 5% 10% 20% 20% — — 20% — — 5% Jun 26 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 4.71% 0.89% 0.08% 0.11% - 0.77% 1.31% 0.44% 0.15% 0.69% 0.61% 0.02% 0.60% 0.48% 2017 - 3.45% 0.95% 0.26% - 1.53% - 1.00% 0.61% - 0.03% 0.18% 0.30% - 0.25% 0.20% - 1.90% - 1.26% 2018 12.96% 0.34% 0.00% 0.26% - 1.13% 4.53% 0.46% 2.30% 2.59% 0.09% 1.86% - 0.17% 1.25% 2019 7.62% 1.13% 2.81% - 0.50% - 0.12% 0.02% 1.09% 0.30% 0.64% 1.53% - 2.95% 0.87% 2.67% 2020 0.04% 0.29% 0.21% 0.96% - 1.53% - 0.01% 0.84% 0.48% 0.45% 0.74% 0.09% - 1.27% - 1.17% 2021 - 9.72% - 0.34% 2.28% - 0.16% - 2.99% - 2.17% 2.40% - 2.36% 0.50% - 1.98% - 1.62% - 0.76% - 2.81% 2022 6.92% 2.59% 2.98% - 0.58% - 1.30% - 0.33% 0.67% 0.37% - 0.65% 0.50% 1.87% - 1.63% 2.34% 2023 3.36% - 1.86% 1.47% - 2.11% 1.28% 1.36% 1.97% 0.47% 1.73% - 1.52% 0.91% - 0.34% 0.06% 2024 5.98% - 0.42% 0.67% 0.26% 0.84% 1.41% 0.14% 0.99% - 0.26% 0.22% - 0.05% 1.29% 0.74% 2025 - 0.06% 0.34% 0.56% - 2.44% 1.21% 0.32% 2026 Historical performance measures for the Index represent hypothetical backtested performance using alternative performance for some Basket Constituents through June 25 , 201 4 (labeled “Backtested using proxies” in the chart above) ; hypothetical backtested performance using the actual performance of each Basket Constituent from June 26 , 201 4 through July 12 , 201 7 (labeled “Backtested” in the chart above) ; and actual performance from July 13 , 201 7 through May 31 , 202 6 (labeled “Actual” in the chart above) . The Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD is a global investment - grade bond index . These indices are intended to serve solely as a point of reference to which the Index may be compared . They are not rebalanced on the same schedule as the Index . They do not employ the Index methodology . There is no guarantee that the Index will outperform either the Bloomberg Barclays U . S . Aggregate Bond Total Return Index or the Bloomberg Barclays Global Aggregate Total Return Index Value Unhedged USD, 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 . JUNE 2026 J.P. Morgan Total Return SM Index
JUNE 2026 | J.P. Morgan Total Return SM Index Selected Risks Our affiliate, J.P. Morgan Securities LLC (“JPMS”), is the Index Sponsor and may adjust the Index in a way that atfects its level. The policies and judgments for which JPMS is responsible could have an impact, positive or negative, on the level of the Index and the value of your investment. JPMS is under no obligation to consider your interest as an investor with returns linked to the Index. The Index was established on July 13, 2017, and has a limited operating history. There are risks associated with a momentum - based investment strategy. If market conditions do not represent a continuation of prior observed trends, Index performance may be adversely impacted. 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, may not outperform any alternative strategy and may not maintain volatility below its historical volatility threshold of 5%. The investment strategy used to construct the Index involves monthly rebalancing and weighting constraints that are applied to the Basket Constituents, which may adversely impact performance. Changes in the values of the Basket Constituents may otfset each other. There are risks associated with correlation between the Basket Constituents. If the performances of the Basket Constituents become highly correlated during periods of negative performance, Index performance may be adversely impacted. Each Basket Constituent composing the Index may be replaced by a substitute constituent upon the occurrence of certain extraordinary events. The Index should not be compared to any other index or strategy sponsored by any of our affiliates and cannot necessarily be considered a revised, enhanced or modified version of any other J.P. Morgan index. The securities of our parent company, JPMorgan Chase & Co., are held by several of the Basket Constituents. The performance of an ETF, particularly during periods of market volatility, may not correlate with the performance of its reference index. The Index is subject to significant risks associated with fixed - income securities (including interest rate - related risks and credit risk), high - yield and investment - grade fixed - income securities (including credit risk), floating rate notes, mortgage - backed securities, preferred stock, hybrid securities, U . S . treasury inflation - protected securities and non - U . S . securities markets, including emerging markets . Investments linked to the index may be subject to the credit risk of JPMorgan Financial and JPMorgan Chase & Co . 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 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 . 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 . Backtesting : Hypothetical backtested performance measures have inherent limitations and are designed with the benefit of hindsight . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . For time periods prior to the launch of each of the Basket Constituents, and prior to that Basket Constituent’s satisfaction of a minimum liquidity standard, backtesting uses alternative performance derived from the reference index tracked by that Basket Constituent as of the Index’s live date (or the reference index originally tracked by that Basket Constituent, if the reference index as of the Index’s live date was not available for the relevant period), after deducting hypothetical fund expenses equal to such Basket Constituent’s expense ratio as of the Index’s live date, rather than actual performance of that Basket Constituent for that period . The use of alternative “proxy” performance information in the calculation of hypothetical backtested weights and levels may have resulted in ditferent, perhaps significantly ditferent, weights and higher levels than would have resulted from the use of actual performance information of the Constituents . Past performance, and especially hypothetical backtested 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 (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 annualized 10 year excess return (calculated as the annualized compounded monthly returns of the applicable index over the monthly returns of the J . P . Morgan Cash Index USD 3 Month, which tracks the return of a notional 3 - month U . S . dollar time deposit) 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 .