JPMorgan (JPM) updates S&P Global 100 5% Daily Risk Control Index

Rhea-AI Filing Summary

JPMorgan published a monthly prospectus supplement updating performance and methodology for the S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index. The Index targets an annualized volatility of 5% and applies a 0.50% per annum daily deduction plus a notional financing cost tied to the Effective Federal Funds Rate. The supplement shows hypothetical backtested performance from Nov 20, 1996 through Sep 17, 2023 and actual performance from Sep 18, 2023 through Apr 30, 2026. Ten-year metrics shown include a 10‑Year Volatility (annualized) 4.26% and a 10‑Year Return (annualized) 2.45%, with a reported Sharpe Ratio of 0.58. The document discloses that performance is calculated on an excess return basis and cautions that past and backtested performance are not indicative of future results.

Insights

Index Strategist

Index targets low volatility with explicit daily deductions; historical metrics are mixed.

The supplement confirms the Index's design to target 5% annualized volatility and to deduct 0.50% per year plus a notional financing cost daily. Performance is presented as a combination of backtested (pre‑Sep 18, 2023) and actual results (post‑Sep 18, 2023) through Apr 30, 2026.

Key dependencies include the Effective Federal Funds Rate used for the notional financing cost and the Index's dynamic daily rebalancing. Subsequent pricing supplements or term sheets will govern if any inconsistencies arise.

Product Risk Analyst

The document highlights structural costs and concentration risks that affect net returns.

The index-level 0.50% per annum deduction and daily financing-cost subtraction are explicit headwinds to gross performance. The supplement warns the Index may be significantly uninvested at times and may not achieve its 5% volatility target.

Investors should note that returns are shown on an excess return basis and that backtested results are hypothetical; future term sheets may supersede these figures.

Key Figures

Volatility target: 5% (annualized) Index deduction: 0.50% per annum 10‑Year Volatility: 4.26% (annualized) +4 more

7 metrics

Volatility target 5% (annualized) Index target volatility

Index deduction 0.50% per annum daily deduction applied to Index returns

10‑Year Volatility 4.26% (annualized) Apr 2016–Apr 2026 metric reported

10‑Year Return 2.45% (annualized) Apr 2016–Apr 2026 metric reported

Sharpe Ratio 0.58 10‑Year Return divided by 10‑Year Volatility

Index inception Sep 18, 2023 Index was established on this date

Backtest period start Nov 20, 1996 Backtested constituent performance start date

Key Terms

Excess return (ER), Backtested performance, Notional financing cost, Daily Risk Control

4 terms

Excess return (ER) financial

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

Backtested performance methodology

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

Notional financing cost financial

"net of a notional financing cost deduction equal to the return of the J.P. Morgan Cash Index USD 3 Month"

Daily Risk Control methodology

"S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index"

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Accepted by SEC EDGAR 05/08/2026 - 08:39 PM Learn about SEC filing dates

FAQ

What volatility target does the S&P Global 100 5% Daily Risk Control Index use (JPM)?

The Index targets an annualized volatility of 5% on a daily basis. This target is subject to the Index's daily rebalancing and a 0.50% per annum deduction plus a notional financing cost.

What deductions reduce the Index's published returns (JPM)?

The Index applies a daily deduction equal to 0.50% per year and subtracts a notional financing cost tied to the Effective Federal Funds Rate, both deducted daily from returns.

What historical periods are used for backtested and actual performance in the supplement?

Backtested performance covers Nov 20, 1996 through Sep 17, 2023; actual performance covers Sep 18, 2023 through Apr 30, 2026, as presented in the supplement.

How are returns presented — gross or on an excess return basis (JPM)?

Returns for the Index are calculated and presented on an excess return (ER) basis, which reflects the Index methodology and deductions described in the supplement.

What ten‑year metrics does the supplement report for the Index?

The supplement reports a 10‑Year Volatility (annualized) of 4.26%, a 10‑Year Return (annualized) of 2.45%, and a Sharpe Ratio of 0.58 for the Index.

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 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) . 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 . 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: Apr 2016 through Apr 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) Actual Backtested 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: Apr 2016 through Apr 2026 Sharpe Ratio 10 Year Volatility (Annualized) 10 Year Return (Annualized) 5 Year Return (Annualized) 3 Year Return (Annualized) 1 Year Return 0.58 4.26% 2.45% 1.84% 3.30% 7.88% S&P Global 100 PR 5% Daily Risk Control 0.5% Deduction Index (USD) ER 0.47 6.37% 3.02% 0.44% 3.04% 6.41% Domestic 30/70 Portfolio (ER) (30% S&P 500, 70% Bloomberg Barclays Aggregate) 0.22 6.22% 1.37% - 1.43% 2.11% 5.27% Global 30/70 Portfolio (ER) (30% MSCI ACWI, 70% Bloomberg Barclays Global Agg Bond) Hypothetical and actual historical monthly weights: Apr 2016 through Apr 2026 Exposure Level Exposure Level Hypothetical and actual historical monthly and annual returns: Jan 2017 through Apr 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 0.66% 2.93% - 2.17% - 0.47% 0.44% 2026

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 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 .