JPMorgan (NYSE: JPM) details 10-year risk and return profile for Kronos+ index

Rhea-AI Filing Summary

JPMorgan provides a performance update for the J.P. Morgan Kronos+ SM Index, which offers dynamic uninvested, fully invested or 2x leveraged exposure to the S&P 500® Price Index using turn-of-month, options-expiry momentum and month-end mean reversion strategies. The index does not reflect dividend reinvestment and is reduced by a 0.95% per annum fee and, when leveraged, a notional financing cost tied to the Effective Federal Funds Rate.

The index was established on December 22, 2020, with historical data from June 2016 to December 2020 based on hypothetical backtesting of S&P 500® performance. Over the 10-year period through June 2026, the Kronos+ index shows a Sharpe Ratio of 0.76, 10-year annualized volatility of 25.60% and a 10-year annualized return of 19.42%, compared with the S&P 500® Sharpe Ratio of 0.75, volatility of 18.10% and return of 13.58%. Annual returns range from 100.70% in 2020 to -37.08% in 2022. The disclosure emphasizes that past and backtested performance are not indicative of future results and highlights multiple risks, including strategy-specific risks, JPMorgan affiliate roles, index fee and financing costs, and the synthetic, notional nature of the index.

Key Figures

Index fee: 0.95% per annum Sharpe Ratio (Kronos+): 0.76 Sharpe Ratio (S&P 500 Price Index): 0.75 +5 more

8 metrics

Index fee 0.95% per annum Daily deduction from the J.P. Morgan Kronos+ SM Index level

Sharpe Ratio (Kronos+) 0.76 Risk-adjusted performance over 10 years through June 2026

Sharpe Ratio (S&P 500 Price Index) 0.75 Risk-adjusted performance over 10 years through June 2026

10-year annualized volatility (Kronos+) 25.60% Annualized volatility over the 10 years through June 2026

10-year annualized return (Kronos+) 19.42% Annualized return over the 10 years through June 2026

10-year annualized return (S&P 500 Price Index) 13.58% Annualized return over the 10 years through June 2026

Best annual return shown 100.70% Annual return for 2020 for the J.P. Morgan Kronos+ SM Index

Worst annual return shown -37.08% Annual return for 2022 for the J.P. Morgan Kronos+ SM Index

Key Terms

Sharpe Ratio, 10 Year Volatility (Annualized), Effective Federal Funds Rate, backtested performance, +2 more

6 terms

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.

10 Year Volatility (Annualized) financial

"The 10 Year Volatility (Annualized) on the previous page is a measure of market risk"

Effective Federal Funds Rate financial

"a notional financing cost based on the Etfective Federal Funds Rate"

The effective federal funds rate is the average interest rate banks pay each other for overnight loans of reserve balances held at the central bank, calculated from actual transactions across the market. It matters to investors because it acts as a benchmark that helps set borrowing costs, loan and bond rates, and company financing expenses—like a thermostat for the price of short-term money that influences stock and bond valuations.

backtested performance financial

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

mean reversion strategy financial

"There are risks associated with the Index’s mean reversion strategy"

turn-of-month strategy financial

"There are risks associated with the Index’s turn-of-month strategy"

AI-generated analysis. How Rhea-AI works. Not financial advice.

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Available on EDGAR 07/11/2026 - 02:05 PM Accepted by SEC EDGAR 07/10/2026 - 05:15 PM Learn about SEC filing dates

FAQ

What is the J.P. Morgan Kronos+ SM Index described by JPM?

The J.P. Morgan Kronos+ SM Index provides dynamic uninvested, fully invested or 2x leveraged exposure to the S&P 500 Price Index, using turn-of-month, options-expiry momentum and month-end mean reversion strategies.

How high are the fees on the J.P. Morgan Kronos+ SM Index for JPM investors?

The index level includes a daily deduction of an index fee of 0.95% per annum, and in leveraged periods also reflects a notional financing cost based on the Effective Federal Funds Rate.

When was the J.P. Morgan Kronos+ SM Index launched by JPM?

The index was established on December 22, 2020. Performance before that date is based on hypothetical backtested data using the actual S&P 500® Price Index rather than live index calculation.

How has the J.P. Morgan Kronos+ SM Index performed over 10 years versus the S&P 500?

Over the 10 years through June 2026, the Kronos+ index shows a 19.42% 10-year annualized return and 25.60% volatility, versus the S&P 500® at 13.58% return and 18.10% volatility.

What are key risks of notes linked to the J.P. Morgan Kronos+ SM Index for JPM investors?

Key risks include a 0.95% annual fee, potential notional financing costs, strategy-specific risks, possible uninvested periods, limited operating history, and that the index comprises notional assets and liabilities only.

Does the J.P. Morgan Kronos+ SM Index include dividends from the S&P 500 for JPM-linked notes?

No. The index is based on the S&P 500 Price Index and does not reflect the reinvestment of dividends, so any dividend income from S&P 500 constituents is excluded from index returns.

How much did the J.P. Morgan Kronos+ SM Index gain or lose in recent years?

Annual returns include 27.52% in 2017, 35.14% in 2019, 100.70% in 2020, -37.08% in 2022 and 10.58% in 2023, illustrating both strong gains and significant drawdowns.

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 July 9, 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: Jun 2016 through Jun 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: Jun 2016 through Jun 2026 J.P. Morgan Kron s+ Index S&P 500 Price I dex Backteste d Actual J.P. Morgan Kron o s+ SM Index S&P 500 ® Price I n dex Backtested Actua Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.76 25.60% 19.42% 3.58% 10.06% 18.01% J.P. Morgan Kronos+ SM Index 0.75 18.10% 13.58% 11.78% 19.00% 20.86% S&P 500® Price Index Historical exposure at end - of - day: Apr 2026 through Jun 2026 Hypothetical and actual historical monthly and annual returns: Jan 2017 through Jun 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 8.22% - 2.10% 6.03% 13.95% - 4.92% - 2.68% - 1.13% 2026 JULY 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 June 30 , 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 . April 2026 May 2026 Jun 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 4/1 - 4/6 5/1 - 5/5 6/1 - 6/3 4/7 - 4/13 5/6 - 5/11 6/4 - 6/12 4/14 - 4/17 5/12 - 5/15 6/15 - 6/18 4/20 - 4/21 5/18 - 5/19 6/22 - 6/25 4/22 - 4/27 5/20 - 5/26 6/26 - 6/29 4/28 - 4/29 5/27 - 5/28 6/30 4/30 5/29

JULY 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 .