S&P Global 100 Index update (JPM): Backtested and Actual Returns, 0.50% Fee

Rhea-AI Filing Summary

The supplement presents historical monthly and annual returns for the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER, showing hypothetical backtested performance from November 20, 1996 through September 17, 2023 and actual performance from September 18, 2023 through April 30, 2026. The Index reflects a 0.50% per annum deduction and a notional financing cost deducted daily. The document emphasizes that backtested results are hypothetical, not indicative of future results, and directs readers to the product and underlying supplements for full risk disclosures.

Insights

Index Strategist

Index shows daily risk-control mechanics and a 0.50% annual deduction.

The supplement lists monthly and annual returns separated into backtested (Nov 20, 1996–Sep 17, 2023) and actual (Sep 18, 2023–Apr 30, 2026) periods. It notes the Index applies a daily volatility-control exposure and deducts a 0.50% per annum fee plus financing costs.

Performance differences between backtested and actual periods are possible; subsequent product documents and term sheets should be consulted for precise exposure mechanics, fee impact, and investor suitability details.

Product Risk Analyst

Backtested returns are hypothetical and subject to limitations.

The supplement repeatedly states hypothetical backtested returns may differ materially from actual results, that proxy constituents may have been used, and that hypothetical levels were not independently verified. It flags that the Index may be significantly uninvested at times.

Review the related product and underlying supplements and the term sheet for complete "Risk Factors" and the precise method for daily exposure adjustments and financing cost deductions.

Key Figures

Index deduction: 0.50% per annum Backtested period: Nov 20, 1996 – Sep 17, 2023 Actual performance period: Sep 18, 2023 – Apr 30, 2026 +1 more

4 metrics

Index deduction 0.50% per annum stated as an annual index deduction deducted daily

Backtested period Nov 20, 1996 – Sep 17, 2023 period labeled 'Backtested' in the chart

Actual performance period Sep 18, 2023 – Apr 30, 2026 period labeled 'Actual' in the chart

Example annual return 1996: 7.12% annual return shown for 1996 in the historical table

Key Terms

backtested, notional financing cost, daily risk control

3 terms

backtested financial

"labeled “Backtested” in the chart above showing historical performance"

notional financing cost financial

"The level of the Index reflects a 0.50% per annum index deduction and the deduction of a notional financing cost"

daily risk control financial

"S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER"

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

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Accepted by SEC EDGAR 05/08/2026 - 08:43 PM Learn about SEC filing dates

FAQ

What periods do the Index performance figures cover for JPM?

The supplement shows backtested performance from November 20, 1996 through September 17, 2023 and actual performance from September 18, 2023 through April 30, 2026. It separates hypothetical and realized monthly and annual returns across those ranges.

How much is the Index deduction applied to the S&P Global 100 PR index?

The Index reflects a stated 0.50% per annum index deduction, plus a notional financing cost, with both amounts deducted on a daily basis. The supplement emphasizes these deductions when presenting net returns.

Are the backtested returns guaranteed to match future performance for JPM products?

No. The document explicitly states that backtested and historical performance are not indicative of future results, and that proxy constituents, modeling choices, and other assumptions can produce materially different outcomes than actual future performance.

What specific risk about exposure timing does the supplement highlight?

The supplement warns that the Index's daily adjustment of exposure may cause it to not fully reflect appreciation of the underlying index or to magnify depreciation, and that the Index may at times be significantly uninvested, producing no return for that portion.

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 May 11, 2026 Rule 424(b)(3) MAY 2026 S&P® Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER Hypothetical and Actual Historical Monthly and Annual Returns  Backtested  Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 0.22% - 0.80% 0.58% 1996 7.12% 0.31% 0.61% - 2.42% 2.02% - 2.76% 2.43% 2.14% 1.10% 2.17% - 1.05% 0.16% 2.36% 1997 5.98% 1.46% 1.80% 1.55% 0.19% - 4.50% - 0.06% 1.06% - 0.40% 0.40% 1.49% 2.28% 0.73% 1998 4.94% 2.00% 0.74% 1.61% - 1.16% 0.25% - 0.45% 1.38% - 1.09% 0.23% 1.39% - 1.15% 1.17% 1999 - 7.44% - 0.07% - 2.02% - 0.78% - 2.69% 0.87% - 0.92% 0.81% - 0.55% - 1.38% 1.89% - 0.33% - 2.42% 2000 - 7.85% 0.14% 1.39% 0.36% - 2.89% - 1.85% - 0.82% - 0.89% - 0.82% 1.55% - 1.90% - 3.22% 0.94% 2001 - 8.36% - 1.47% 1.08% 1.83% - 2.47% - 0.12% - 2.29% - 1.70% - 0.53% - 1.84% 0.75% - 0.47% - 1.39% 2002 5.88% 1.77% 0.41% 1.12% 0.16% 0.13% 0.37% 0.31% 0.91% 1.80% 0.20% - 0.47% - 0.94% 2003 1.72% 1.04% 1.30% 0.55% 0.07% 0.02% - 1.10% 0.34% 0.08% - 0.50% - 0.91% 0.36% 0.48% 2004 - 0.46% 0.25% 0.75% - 1.19% 0.75% - 0.04% 1.00% - 0.35% 0.21% - 0.96% - 1.15% 1.10% - 0.80% 2005 4.30% 0.75% 0.46% 1.22% 0.24% 0.92% 0.29% - 0.14% - 1.90% 1.35% 0.73% - 0.74% 1.09% 2006 0.73% - 0.60% - 1.42% 0.86% 1.53% - 0.15% - 1.11% - 0.07% 0.64% 2.27% 0.25% - 1.35% - 0.06% 2007 - 11.84% 0.48% - 0.51% - 1.74% - 2.65% - 0.73% - 0.33% - 3.07% - 0.57% 1.29% - 0.23% - 0.43% - 3.92% 2008 2.95% 0.11% 0.78% - 0.15% 0.65% 0.66% 1.71% - 0.21% 1.47% 1.33% 0.81% - 2.01% - 2.16% 2009 0.91% 1.56% - 1.02% 0.86% 1.73% - 0.98% 1.99% - 0.82% - 1.86% - 0.39% 1.09% 0.00% - 1.16% 2010 - 2.48% 0.13% - 0.17% 1.61% - 1.47% - 2.81% - 0.65% - 0.44% - 0.84% 1.31% - 0.48% 0.63% 0.75% 2011 1.93% 0.54% 0.03% - 0.03% 0.65% 0.35% 0.26% 1.33% - 2.47% - 0.56% 0.22% 0.80% 0.85% 2012 5.52% 0.45% 0.68% 1.21% 1.30% - 1.02% 1.37% - 1.12% 0.12% 0.95% 0.32% - 0.30% 1.46% 2013 - 0.91% - 1.47% 0.86% - 0.35% - 0.79% 0.67% - 0.69% 0.20% - 0.01% 0.73% 0.11% 1.53% - 1.63% 2014 - 3.55% - 0.89% - 0.38% 2.40% - 0.73% - 3.75% 0.64% - 1.42% - 0.40% 1.03% - 0.89% 2.11% - 1.19% 2015 0.25% 1.33% 0.14% - 0.42% - 0.02% 0.04% 0.86% - 1.10% 0.13% 0.06% 1.86% - 0.59% - 1.97% 2016 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 0.66% 2.93% - 2.17% - 0.47% 0.44% 2026 Please refer to the “Selected Risks” and “Disclaimer” on the following page. 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 April 30, 2026 (labeled “Actual” in the chart above). 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.

MAY 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  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 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 .