JPMorgan (JPM) S&P 500 Daily Risk Control 10% Index monthly update
Rhea-AI Filing Summary
JPMorgan provides a monthly prospectus supplement presenting the S&P 500® Daily Risk Control 10% Index historical and backtested monthly and annual returns through May 31, 2026. The document discloses that returns from December 31, 1998 through May 12, 2009 are hypothetical/backtested using proxies and actual performance applies from May 13, 2009 through May 31, 2026. The supplement highlights that the Index targets a 10% volatility but may not achieve that target, that a notional financing cost is deducted, and that the Index methodology for that cost was recently changed. Readers are directed to the listed Selected Risks, the product and underlying supplements, and the disclaimer sections for additional detail.
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Insights
Index shows long history with combined backtested and actual returns and explicit volatility target.
The supplement combines hypothetical backtested returns from 12/31/1998 to 5/12/2009 and actual index returns from 5/13/2009 to 5/31/2026. It states the Index uses daily exposure adjustments to target 10% volatility and that a notional financing cost is deducted.
The key dependencies are the volatility-control daily rebalancing and the recently changed financing-cost methodology; both materially affect realized tracking versus the S&P 500. Subsequent filings or supplements will show implementation details and any further methodology changes.
Document clearly lists implementation and model risks tied to backtesting and financing cost.
The supplement explicitly warns that backtested performance used proxy constituents, that backtested results may differ materially from actual outcomes, and that the Index may be significantly uninvested at times. It also notes the Index "may not approximate its target volatility of 10%."
Material items to watch in future disclosures include any further changes to the notional financing-cost methodology and detailed allocation/implementation disclosures in the product or underlying supplements.
Key Figures
Key Terms
backtested financial
notional financing cost financial
proxy constituents financial
daily adjustment of the exposure technical
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FAQ
What period does the JPM S&P 500 Daily Risk Control 10% Index performance cover?
Does the Index aim for a specific volatility target?
Are the earlier returns actual or hypothetical in the supplement?
What implementation costs or deductions does the Index reflect?
Does the supplement warn about limitations of backtesting?
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 June 8, 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 4.73% 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 May 31, 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. JUNE 2026 S&P 500® Daily Risk Control 10% Index
JUNE 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 .