JPMorgan (JPM) details S&P 500 5% Risk Control index returns and key risks
Rhea-AI Filing Summary
JPMorgan provides an August 2026 performance and risk update for the S&P 500 Daily Risk Control 5% Index, which dynamically allocates between the S&P 500 and a cash component to target 5% volatility. Volatility is measured using exponentially weighted historical returns and the index is calculated on an excess return basis after deducting a notional financing cost linked to the J.P. Morgan Cash Index USD 3 Month.
The update compares hypothetical and actual performance of the Index to two notional, monthly rebalanced 30/70 equity–bond portfolios on an excess-return basis. Over the period from July 2016 to July 2026, the Index shows a Sharpe Ratio of 0.78, with 10-year annualized volatility of 5.07% and a 10-year annualized return of 3.96%. The Domestic 30/70 Portfolio (ER) records a Sharpe Ratio of 0.41 and the Global 30/70 Portfolio (ER) 0.17. The document lists detailed monthly and annual historical and hypothetical returns from 2017 through July 2026, while emphasizing that past and backtested results are not indicative of future performance.
Key risks highlighted include that JPMorgan Chase & Co. is one of the companies in the underlying index, the Index may not approximate its 5% target volatility, may be significantly uninvested, and its dynamic exposure can limit upside or magnify downside relative to the underlying index. The level of the Index also reflects the deduction of a notional financing cost, and its methodology for calculating that cost was recently changed.
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Key Figures
Key Terms
excess return basis financial
Sharpe Ratio financial
notional financing cost financial
risk control framework financial
monthly-rebalancing 30% / 70% weighted exposure financial
Offering Details
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FAQ
What does JPM (JPMorgan) disclose about the S&P 500 Daily Risk Control 5% Index performance?
How does the S&P 500 Daily Risk Control 5% Index compare to the Domestic 30/70 Portfolio (ER) in JPM’s update for JPM?
What are the main risks of the S&P 500 Daily Risk Control 5% Index highlighted by JPM?
How is volatility targeted in the S&P 500 Daily Risk Control 5% Index offered by JPM?
What does ‘excess return basis’ mean in JPM’s S&P 500 Daily Risk Control 5% Index description?
How did the Global 30/70 Portfolio (ER) perform in JPM’s JPM index update?
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 500® Daily Risk Control 5% Index 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 500 ® Daily Risk Control 5 % Index (the “Index”) represents a portfolio consisting of the S&P 500 and a cash component accruing interest that dynamically adjusts to target a 5 % level of volatility . Volatility is calculated as a function of historical returns that uses exponential weightings to give more significance to recent observations . S&P Risk Control Indices use an overlay designed to maintain risk at a predefined level — in this case, up to 5 % volatility . The risk control framework is applied to the underlying index and helps to reduce portfolio volatility to the 5 % target by moving a portion of the portfolio allocation from the underlying index to cash in volatile markets and from cash to the underlying index in less volatile markets . The Index is calculated on an excess return basis. The Index was established on September 10, 2009. Levels are published on Bloomberg using the ticker SPXT5UE. Hypothetical and actual historical performance: Jul 2016 through Jul 2026 S&P 500® Daily Risk Control 5% Index Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Actual 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 0.78 5.07% 3.96% 2.32% 3.12% 4.15% S&P 500 Daily Risk Control 5% Excess Return (USD) Index 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 13.54% 0.81% 2.50% 1.68% 1.26% - 0.01% 1.24% 0.27% 0.70% 0.68% 0.07% 2.55% 1.05% 2017 - 1.26% - 2.37% 0.47% - 3.98% 0.28% 1.54% 1.45% 0.04% 0.63% 0.06% - 0.83% - 2.42% 4.10% 2018 7.39% 1.43% 1.45% 0.68% 0.39% - 1.19% 0.46% 2.55% - 2.69% 1.38% 0.56% 0.74% 1.50% 2019 1.56% 1.06% 2.43% - 0.72% - 0.90% 1.40% 0.82% 0.25% 0.53% 0.93% - 1.13% - 3.00% - 0.01% 2020 8.49% 1.38% - 0.48% 2.60% - 2.29% 1.41% 1.03% 0.94% 0.24% 1.71% 1.34% 0.76% - 0.37% 2021 - 5.37% - 1.22% 1.08% 1.61% - 2.04% - 0.99% 1.72% - 1.59% 0.00% - 2.15% 0.76% - 0.72% - 1.85% 2022 5.71% 1.71% 3.01% - 1.11% - 2.25% - 0.95% 1.15% 2.19% 0.04% 0.40% 0.90% - 0.74% 1.35% 2023 6.27% - 1.15% 2.20% - 0.57% 0.54% - 0.11% 0.28% 1.43% 1.73% - 2.06% 1.20% 2.15% 0.55% 2024 1.11% - 0.11% - 0.07% 0.71% 1.28% 0.55% 0.47% 0.99% 0.89% - 1.54% - 2.14% - 0.66% 0.80% 2025 1.73% - 0.12% - 0.52% 1.72% 2.82% - 2.19% - 0.38% 0.48% 2026
AUGUST 2026 | S&P 500® Daily Risk Control 5% 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 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 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 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 .