JPMorgan (NYSE: JPM) details S&P 500 Daily Risk Control 5% Index history

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides an index supplement detailing hypothetical backtested and actual historical monthly and annual returns for the S&P 500 Daily Risk Control 5% Index. Backtested performance covers January 4, 1999 to September 9, 2009, and actual index performance runs from September 10, 2009 to June 30, 2026.

The material emphasizes that past and backtested results are not indicative of future performance and explains that some backtests use proxy constituents. It highlights key risks, including that the index may not approximate its 5% target volatility, can be significantly uninvested, and reflects deductions for a notional financing cost, whose calculation methodology was recently changed. JPMorgan notes it is one of the companies in the underlying index and stresses that investment suitability must be assessed individually.

Insights

Structured products strategist

Disclosure explains how this risk-controlled index behaved, with strong caveats on backtests and methodology.

The document describes the S&P 500 Daily Risk Control 5% Index, which dynamically adjusts exposure to the S&P 500 and cash to target 5% volatility. It provides monthly and annual returns from January 1999, using hypothetical backtests until September 9, 2009 and actual index levels from September 10, 2009 through June 30, 2026.

JPMorgan stresses that backtested and historical data are illustrative only and that alternative modeling assumptions could produce different results. Risks include the index failing to meet its volatility target, potentially being significantly uninvested, and the drag from a notional financing cost, whose methodology was recently changed. Because JPMorgan is a constituent of the underlying S&P 500, there is also an alignment consideration that investors need to understand through the broader risk-factor documents.

Key Figures

Backtested period start: January 4, 1999 Backtested period end: September 9, 2009 Actual performance start: September 10, 2009 +5 more

8 metrics

Backtested period start January 4, 1999 Start of hypothetical backtested performance for the index

Backtested period end September 9, 2009 End of hypothetical backtested performance for the index

Actual performance start September 10, 2009 Beginning of actual index performance history

Actual performance end date June 30, 2026 Latest date for actual index performance shown

Target volatility 5% Stated target volatility for the index, which may not be approximated

Annual return 2013 11.93% Reported annual return for the index in 2013

Annual return 2017 13.54% Reported annual return for the index in 2017

Annual return 2008 -7.21% Reported annual return for the index in 2008

Key Terms

hypothetical backtested performance, proxy constituents, target volatility of 5%, notional financing cost, +1 more

5 terms

hypothetical backtested performance financial

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

proxy constituents financial

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

target volatility of 5% financial

"The Index may not approximate its target volatility of 5%"

notional financing cost financial

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

Risk Factors section regulatory

"review carefully the related “Risk Factors” section in the relevant product supplement"

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Available on EDGAR 07/11/2026 - 02:05 PM Accepted by SEC EDGAR 07/10/2026 - 02:14 PM Learn about SEC filing dates

FAQ

What does JPM (JPMorgan Chase & Co.) disclose about the S&P 500 Daily Risk Control 5% Index returns?

JPMorgan provides monthly and annual return data for the S&P 500 Daily Risk Control 5% Index, including hypothetical backtested performance from January 4, 1999 to September 9, 2009 and actual index performance from September 10, 2009 to June 30, 2026.

How long is the hypothetical backtested period for the JPM S&P 500 Daily Risk Control 5% Index?

The hypothetical backtested period runs from January 4, 1999 through September 9, 2009. During this time, the index’s behavior is simulated using its current methodology and, in some cases, proxy constituents, rather than based on actual index calculations.

When does actual performance begin for the S&P 500 Daily Risk Control 5% Index used by JPM?

Actual performance for the index begins on September 10, 2009 and continues through June 30, 2026. Before that date, results are entirely hypothetical backtests designed to illustrate how the methodology would have performed historically.

What are key risks highlighted for the JPM S&P 500 Daily Risk Control 5% Index?

Key risks include that the index may not achieve its 5% target volatility, may be significantly uninvested, and its level reflects a notional financing cost. The methodology change to that financing cost and potential underperformance versus the underlying S&P 500 are also noted.

How does JPM describe the reliability of backtested returns for the Risk Control 5% Index?

JPMorgan states that backtested returns are hypothetical and illustrative only and may differ significantly from actual results. It notes that the use of proxy constituents and alternative modeling assumptions could produce substantially different performance paths and allocations.

Is JPMorgan Chase & Co. part of the underlying index for the S&P 500 Daily Risk Control 5% Index?

Yes. The disclosure explicitly states that JPMorgan Chase & Co. is currently one of the companies that make up the underlying index, meaning the firm’s stock is a constituent of the S&P 500 on which the risk-control index is based.

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) JULY 2026 S&P 500® Daily Risk Control 5% Index 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 3.69% 1.61% 0.33% 1.41% - 0.88% - 0.19% - 1.14% 1.39% - 0.74% 0.88% 0.86% - 0.80% 0.95% 1999 - 4.88% 0.06% - 1.99% - 0.74% - 1.94% 1.50% - 0.59% 0.36% - 0.40% - 0.82% 1.91% - 0.52% - 1.76% 2000 - 5.69% 0.22% 1.62% 0.21% - 2.65% - 1.93% - 0.34% - 0.65% 0.03% 1.23% - 1.68% - 2.33% 0.55% 2001 - 6.72% - 1.08% 0.94% 1.29% - 1.78% 0.08% - 2.16% - 1.77% - 0.30% - 1.91% 0.96% - 0.66% - 0.47% 2002 7.94% 2.13% 0.32% 1.87% - 0.41% 0.65% 0.47% 0.29% 1.23% 1.66% 0.35% - 0.29% - 0.55% 2003 3.59% 1.52% 1.66% 0.69% 0.40% - 0.13% - 1.63% 0.80% 0.58% - 0.68% - 0.96% 0.59% 0.75% 2004 - 0.55% - 0.24% 1.33% - 1.31% 0.26% - 0.64% 1.71% - 0.15% 1.05% - 1.13% - 0.98% 0.96% - 1.34% 2005 5.19% 0.56% 0.88% 1.48% 1.05% 0.81% 0.02% - 0.06% - 1.79% 0.57% 0.47% - 0.02% 1.14% 2006 - 0.26% - 0.22% - 1.50% 0.31% 0.84% 0.40% - 1.24% - 0.99% 1.41% 1.59% 0.19% - 1.63% 0.63% 2007 - 7.21% 0.18% - 0.41% - 1.66% - 1.67% 0.29% - 0.30% - 2.37% 0.25% 0.91% - 0.07% - 0.81% - 1.74% 2008 5.53% 0.56% 1.50% - 0.56% 0.89% 0.76% 1.39% 0.02% 0.76% 1.06% 1.02% - 1.18% - 0.79% 2009 4.77% 2.19% 0.02% 1.05% 2.16% - 1.12% 1.45% - 1.15% - 1.94% 0.68% 1.89% 0.80% - 1.25% 2010 - 0.89% 0.21% 0.08% 1.70% - 1.05% - 3.13% - 0.68% - 0.90% - 0.46% 1.19% - 0.15% 1.42% 0.96% 2011 3.55% 0.41% 0.06% - 0.84% 0.98% 0.72% 0.53% 1.07% - 2.25% - 0.24% 1.10% 1.12% 0.88% 2012 11.93% 1.27% 1.36% 1.91% 1.40% - 1.36% 1.70% - 0.57% 0.88% 0.57% 1.56% 0.59% 2.07% 2013 3.71% - 0.28% 1.00% 0.23% - 0.80% 1.97% - 0.84% 1.08% 1.10% 0.12% 0.39% 1.45% - 1.72% 2014 - 1.76% - 0.52% 0.08% 1.96% - 0.47% - 3.74% 0.92% - 0.94% 0.54% 0.31% - 0.63% 1.81% - 0.99% 2015 3.13% 0.97% 1.78% - 0.84% - 0.26% 0.02% 1.03% - 0.48% 0.71% 0.06% 1.76% 0.03% - 1.64% 2016 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 1.86% - 0.52% 1.72% 2.82% - 2.19% - 0.38% 0.48% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page. Historical performance measures for the Index represent hypothetical backtested performance from January 4, 1999 through September 9, 2009 and the actual performance of the Index from September 10, 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 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 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 .