JPMorgan updates S&P Global 100 5% risk-control index

JPMorgan Chase & Co. provides an updated performance snapshot for the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, which aims to track the S&P® Global 100 Index while targeting 5% annualized volatility.

Rhea-AI Filing Summary

JPMorgan Chase & Co. provides an updated performance snapshot for the S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, which aims to track the S&P® Global 100 Index while targeting 5% annualized volatility. The index deducts a notional financing cost based on the Effective Federal Funds Rate and a daily index fee equal to 0.50% per year, and is calculated on an excess return basis.

The update compares hypothetical and actual performance from June 2016 to June 2026 against two notional 30/70 stock-bond portfolios, showing a 10-year annualized return of 2.58% and 10-year annualized volatility of 4.21% for the index, with a Sharpe Ratio of 0.61. It highlights that much of the history is backtested before the index’s establishment on September 18, 2023, and stresses that past and backtested performance are not indicative of future results.

Key risks include the impact of the ongoing 0.50% annual index deduction and notional financing cost, potential failure to meet the 5% target volatility, dynamic rebalancing that may limit upside or magnify downside, and the possibility that the index may be significantly uninvested. The text also notes that JPMorgan Chase & Co. is one of the companies in the underlying S&P® Global 100 Index and directs investors to broader risk factor disclosures in related offering documents.

Insights

Structured products strategist

Risk-controlled index offers smoother returns but with embedded costs.

The index targets 5% volatility and layers a 0.50% annual fee plus a notional financing charge over exposure to the S&P® Global 100. From June 2016 to June 2026, it shows a 10-year annualized return of 2.58% with volatility of 4.21%, yielding a Sharpe Ratio of 0.61.

By comparison, the Domestic 30/70 Portfolio (ER) delivered a 10-year annualized return of 2.94% with 6.41% volatility and a Sharpe Ratio of 0.46, while the Global 30/70 Portfolio (ER) returned 1.33% annually with 6.22% volatility and a Sharpe Ratio of 0.21. The index’s design therefore emphasizes risk-adjusted efficiency rather than maximizing raw returns.

Most of the history before September 18, 2023 is backtested, and the disclosure explicitly states that past and backtested performance are not indicative of future results. The daily rebalancing and possibility of being significantly uninvested mean outcomes will depend heavily on realized volatility and interest rate–driven financing costs over time.

Key Figures

Target volatility: 5% Index fee deduction: 0.50% per year Index 10-year annualized return: 2.58% +5 more

8 metrics

Target volatility 5% Annualized volatility target for the index

Index fee deduction 0.50% per year Daily index deduction applied on an annual basis

Index 10-year annualized return 2.58% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index, Jun 2016–Jun 2026

Index 10-year volatility 4.21% Annualized volatility for the index over Jun 2016–Jun 2026

Index Sharpe Ratio 0.61 Calculated as 10-year return divided by 10-year volatility

Domestic 30/70 10-year return 2.94% Domestic 30/70 Portfolio (ER) annualized return, Jun 2016–Jun 2026

Domestic 30/70 10-year volatility 6.41% Domestic 30/70 Portfolio (ER) annualized volatility, Jun 2016–Jun 2026

Global 30/70 10-year return 1.33% Global 30/70 Portfolio (ER) annualized return, Jun 2016–Jun 2026

Key Terms

excess return basis, notional financing cost, Sharpe Ratio, backtested performance, +2 more

6 terms

excess return basis financial

"The Index is calculated on an excess return basis."

notional financing cost financial

"The notional financing cost for the Index is calculated by reference to the Etfective Federal Funds Rate."

Sharpe Ratio financial

"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)."

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.

backtested performance financial

"Historical performance measures for the Index represent hypothetical backtested performance using the performance of the Constituent from November 20, 1996 through September 17, 2023."

target volatility financial

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

risk-adjusted performance financial

"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)."

A measure of how much return an investment generates after accounting for the amount of risk taken, treating big swings and chance of loss as part of the cost of earning those returns. Think of it like miles-per-gallon for money: it shows how efficiently an investment turns risk into reward. Investors use it to compare options on a like-for-like basis and to tell whether higher returns reflect skill or simply taking on more risk.

FAQ

AI-generated questions and answers. How Rhea-AI works. Not financial advice.

What is the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER used by JPM?

It is an index tied to the S&P Global 100 that targets 5% volatility and deducts a 0.50% annual fee plus notional financing costs daily, offering risk-controlled equity exposure.

How did the JPM-linked S&P Global 100 5% Risk Control Index perform over 10 years?

From June 2016 to June 2026, the index shows a 10-year annualized return of 2.58% with 4.21% annualized volatility, resulting in a Sharpe Ratio of 0.61, based on hypothetical and actual data.

How does the JPM S&P Global 100 5% Risk Control Index compare with a Domestic 30/70 Portfolio?

Over June 2016–June 2026, the Domestic 30/70 Portfolio (ER) shows a 2.94% annualized return, 6.41% volatility, and 0.46 Sharpe Ratio, versus the index’s 2.58% return and 4.21% volatility.

What are the main costs embedded in the JPM S&P Global 100 5% Risk Control Index?

The index deducts a 0.50% per annum index fee and a daily notional financing cost based on the Effective Federal Funds Rate, both of which reduce performance versus the underlying equity index.

When was the JPM S&P Global 100 5% Risk Control Index established and how much data is backtested?

The index was established on September 18, 2023. Performance from November 20, 1996 to September 17, 2023 is hypothetical backtested, while results after that date are actual.

What key risks are highlighted for JPM notes linked to the S&P Global 100 5% Risk Control Index?

Risks include the 0.50% annual deduction and financing cost drag, possible failure to achieve 5% target volatility, under- or over-reacting to underlying moves, and periods when the index is significantly uninvested.

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

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Accepted by SEC EDGAR 07/10/2026 - 02:23 PM Learn about SEC filing dates

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® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER PERFORMANCE UPDATE The S&P® Global 100 PR 5 % Daily Risk Control 0 . 5 % Deduction Index (the “Index”) is designed to provide exposure to the S&P® Global 100 Index, while targeting an annualized volatility of 5 % , subject to the deduction, on a daily basis, of the notional financing cost and a daily deduction of 0 . 50 % per year . The notional financing cost for the Index is calculated by reference to the Etfective Federal Funds Rate . The Index’s exposure is dynamically rebalanced based on observed S&P® Global 100 volatility . The S&P® Global 100 Index is designed to measure the performance of 100 large - capitalization multinational companies whose businesses are global in nature and that derive a substantial portion of their operating income from multiple countries . The Index is calculated on an excess return basis. The Index was established on September 18, 2023. Levels are published on Bloomberg using the ticker SPGLR5TE. Hypothetical and actual historical performance: Jun 2016 through Jun 2026 S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Domestic 30/70 Portfolio (ER) Global 30/70 Portfolio (ER) Backtested Actual 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 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.61 4.21% 2.58% 1.74% 3.01% 5.16% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 0.46 6.41% 2.94% 0.31% 3.27% 4.11% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.21 6.22% 1.33% - 1.53% 2.49% 2.18% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Jun 2016 through Jun 2026 Exposure Level Exposure Level 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 7.46% 0.47% 0.53% 1.38% 0.80% 0.03% 0.84% - 0.25% 0.95% 0.49% 0.59% 1.07% 0.34% 2017 - 4.21% - 2.32% 0.06% - 2.95% 0.25% 0.39% 1.79% - 0.11% - 0.06% 0.14% - 1.13% - 2.51% 2.29% 2018 7.24% 1.62% 0.86% 0.91% 0.94% - 1.39% 0.08% 2.46% - 2.78% 1.32% 0.76% 0.82% 1.51% 2019 2.33% 1.08% 2.18% - 0.78% - 1.25% 1.62% 0.93% 0.72% 0.57% 1.06% - 0.85% - 2.94% 0.08% 2020 5.44% 1.30% - 0.28% 1.70% - 1.37% 0.66% 0.58% 0.58% 0.14% 1.16% 0.69% 0.29% - 0.10% 2021 - 6.35% - 1.31% 1.33% 1.54% - 2.31% - 1.43% 1.91% - 2.22% - 0.16% - 2.27% 0.24% - 0.84% - 0.89% 2022 4.61% 0.88% 2.30% - 0.70% - 1.54% - 0.69% 0.54% 1.34% - 0.22% 0.86% 1.37% - 0.92% 1.36% 2023 4.39% 0.08% 0.83% - 0.75% 0.04% - 0.37% - 0.32% 1.32% 1.79% - 1.02% 0.95% 1.32% 0.47% 2024 2.98% - 0.07% 0.07% 1.39% 1.19% 0.65% 0.89% 1.41% 1.43% - 1.93% - 2.01% - 0.31% 0.30% 2025 0.93% - 1.42% 1.71% 2.93% - 2.17% - 0.47% 0.44% 2026 Historical performance measures for the Index represent hypothetical backtested performance using the performance of the Constituent from November 20 , 1996 through September 17 , 2023 (labeled “Backtested” in the chart above) ; and actual performance from September 18 , 2023 through June 30 , 2026 (labeled “Actual” in the chart above) . 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 .

JULY 2026 | S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Selected Risks  The level of the Index reflects a 0.50% per annum index deduction and the deduction of a notional financing cost, both of which are deducted daily.  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 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 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 .