[424B3] Inverse VIX Short-Term Futures ETNs due March 22, 2045 Prospectus Filed Pursuant to Rule 424(b)(3)
J.P. Morgan has filed a Rule 424(b)(3) index supplement for structured notes linked to the MerQube US Gold Vol Advantage Index (“the Index”). The document provides investors with back-tested monthly and annual returns from December 2007 to February 2025 and actual performance from 11 Feb 2025 to 30 Jun 2025. Reported calendar-year backtests show double-digit gains in several periods (e.g., 76.74 % in 2009, 60.75 % in 2018, 63.85 % in 2023) but also deep draw-downs (-61.69 % in 2012, -40.54 % in 2014), illustrating the strategy’s high volatility.
The Index is a rules-based, gold futures strategy that seeks to target a defined volatility by adjusting both leverage and cash exposure; however, its level is reduced by a 6 % per-annum daily deduction and represents excess return only (no interest on collateral). It began live calculation on 11 Feb 2025, so most performance data are hypothetical and subject to the limitations of back-testing.
Key risk disclosures highlighted in the filing:
- Index established in 2025; limited live history and potential model risk.
- May not achieve the stated volatility target and can employ significant leverage.
- Potentially large uninvested cash allocations and negative roll yield from futures term structure.
- Concentration in gold futures exposes investors to commodity-specific shocks.
- Daily 6 % fee and excess-return methodology create structural performance drag.
- JPMS helped design the Index and licenses it from MerQube, creating conflicts of interest.
Neither the SEC nor state regulators have approved the notes. They are not FDIC-insured and carry issuer credit risk. Past or back-tested returns are explicitly not indicative of future results. Investors are urged to review the full Risk Factors in the prospectus supplement, product supplement, underlying supplement and any final pricing supplement.
J.P. Morgan ha depositato un supplemento indice ai sensi della Regola 424(b)(3) per note strutturate collegate al MerQube US Gold Vol Advantage Index (“l’Indice”). Il documento fornisce agli investitori rendimenti mensili e annuali simulati da dicembre 2007 a febbraio 2025 e performance effettiva dall’11 febbraio 2025 al 30 giugno 2025. I test storici su base annuale mostrano guadagni a doppia cifra in diversi periodi (ad esempio, 76,74 % nel 2009, 60,75 % nel 2018, 63,85 % nel 2023) ma anche forti cali (-61,69 % nel 2012, -40,54 % nel 2014), evidenziando l’elevata volatilità della strategia.
L’Indice è una strategia basata su regole, che utilizza futures sull’oro e mira a un livello di volatilità definito, regolando sia la leva finanziaria sia l’esposizione in contanti; tuttavia, il livello è ridotto da una deduzione giornaliera del 6 % annuo e rappresenta solo il rendimento eccedente (senza interessi sul collaterale). Il calcolo in tempo reale è iniziato l’11 febbraio 2025, quindi la maggior parte dei dati di performance è ipotetica e soggetta ai limiti dei test storici.
Principali rischi evidenziati nel documento:
- Indice istituito nel 2025; storia reale limitata e potenziali rischi di modello.
- Potrebbe non raggiungere il target di volatilità dichiarato e può utilizzare leva significativa.
- Possibili ampie allocazioni di liquidità non investita e rendimento negativo da rollover dei futures.
- Concentrazione sui futures sull’oro espone a shock specifici della materia prima.
- Commissione giornaliera del 6 % e metodologia basata sul rendimento eccedente creano un effetto negativo strutturale sulla performance.
- JPMS ha contribuito alla progettazione dell’Indice e ne detiene la licenza da MerQube, generando conflitti di interesse.
La SEC e i regolatori statali non hanno approvato le note. Esse non sono assicurate dalla FDIC e comportano rischio di credito dell’emittente. I rendimenti passati o simulati non sono in alcun modo indicativi dei risultati futuri. Si invita gli investitori a consultare integralmente i Fattori di Rischio nel supplemento al prospetto, nel supplemento al prodotto, nel supplemento sottostante e in qualsiasi supplemento finale di prezzo.
J.P. Morgan ha presentado un suplemento índice bajo la Regla 424(b)(3) para notas estructuradas vinculadas al MerQube US Gold Vol Advantage Index (“el Índice”). El documento proporciona a los inversores rendimientos mensuales y anuales simulados desde diciembre de 2007 hasta febrero de 2025 y rendimiento real desde el 11 de febrero de 2025 hasta el 30 de junio de 2025. Las pruebas históricas por año muestran ganancias de dos dígitos en varios períodos (por ejemplo, 76,74 % en 2009, 60,75 % en 2018, 63,85 % en 2023) pero también fuertes caídas (-61,69 % en 2012, -40,54 % en 2014), lo que ilustra la alta volatilidad de la estrategia.
El Índice es una estrategia basada en reglas, que utiliza futuros de oro y busca un nivel definido de volatilidad ajustando tanto el apalancamiento como la exposición en efectivo; sin embargo, su nivel se reduce mediante una deducción diaria del 6 % anual y representa solo el rendimiento excedente (sin intereses sobre el colateral). Comenzó el cálculo en vivo el 11 de febrero de 2025, por lo que la mayoría de los datos de rendimiento son hipotéticos y están sujetos a las limitaciones de las pruebas históricas.
Principales riesgos destacados en el documento:
- Índice establecido en 2025; historial en vivo limitado y posible riesgo de modelo.
- Puede no alcanzar el objetivo de volatilidad declarado y puede emplear un apalancamiento significativo.
- Posibles grandes asignaciones de efectivo no invertido y rendimiento negativo por rollovers en la estructura temporal de futuros.
- La concentración en futuros de oro expone a shocks específicos de la materia prima.
- Una tarifa diaria del 6 % y la metodología de rendimiento excedente generan un arrastre estructural en la performance.
- JPMS ayudó a diseñar el Índice y lo licencia de MerQube, creando conflictos de interés.
Ni la SEC ni los reguladores estatales han aprobado las notas. Estas no están aseguradas por la FDIC y conllevan riesgo crediticio del emisor. Los rendimientos pasados o simulados no son indicativos de resultados futuros. Se recomienda a los inversores revisar los Factores de Riesgo completos en el suplemento del prospecto, suplemento del producto, suplemento subyacente y cualquier suplemento final de precios.
J.P. Morgan은 MerQube US Gold Vol Advantage Index(“지수”)에 연계된 구조화 노트에 대해 Rule 424(b)(3) 인덱스 보충서를 제출했습니다. 이 문서는 투자자에게 2007년 12월부터 2025년 2월까지의 백테스트된 월별 및 연간 수익률과 2025년 2월 11일부터 6월 30일까지의 실제 성과를 제공합니다. 보고된 연도별 백테스트 결과는 여러 기간 동안 두 자릿수 수익률(예: 2009년 76.74%, 2018년 60.75%, 2023년 63.85%)을 보였으나, 큰 손실도 있었습니다(2012년 -61.69%, 2014년 -40.54%), 이는 전략의 높은 변동성을 보여줍니다.
이 지수는 규칙 기반의 금 선물 전략으로, 레버리지와 현금 노출을 조정하여 정의된 변동성을 목표로 합니다. 그러나 연간 6% 일일 공제가 적용되며, 이는 초과 수익만을 나타냅니다(담보 이자는 포함되지 않음). 2025년 2월 11일에 실시간 계산을 시작했으므로 대부분의 성과 데이터는 가상이며 백테스트의 한계가 있습니다.
신고서에 강조된 주요 위험 공시:
- 2025년에 지수가 설정되어 실시간 이력이 제한적이며 모델 위험 가능성 있음.
- 명시된 변동성 목표를 달성하지 못할 수 있으며 상당한 레버리지를 사용할 수 있음.
- 큰 미투자 현금 할당과 선물 만기 구조에서 발생하는 음의 롤 수익 가능성.
- 금 선물 집중으로 인해 상품 특유의 충격에 노출됨.
- 일일 6% 수수료 및 초과 수익 방식으로 인한 구조적 성과 저하.
- JPMS가 지수 설계에 참여하고 MerQube로부터 라이선스를 받아 이해 상충 가능성 존재.
SEC 및 주 규제 기관은 노트를 승인하지 않았습니다. 이 노트는 FDIC 보험이 없으며 발행자 신용 위험이 있습니다. 과거 또는 백테스트 수익률은 미래 결과를 보장하지 않습니다. 투자자는 투자 설명서 보충서, 상품 보충서, 기초 보충서 및 최종 가격 보충서에 있는 위험 요소를 반드시 검토해야 합니다.
J.P. Morgan a déposé un supplément d’indice selon la règle 424(b)(3) pour des notes structurées liées au MerQube US Gold Vol Advantage Index (« l’Indice »). Le document fournit aux investisseurs des rendements mensuels et annuels simulés de décembre 2007 à février 2025 ainsi que la performance réelle du 11 février 2025 au 30 juin 2025. Les tests de performance sur calendrier montrent des gains à deux chiffres sur plusieurs périodes (par exemple, 76,74 % en 2009, 60,75 % en 2018, 63,85 % en 2023) mais aussi des baisses importantes (-61,69 % en 2012, -40,54 % en 2014), illustrant la forte volatilité de la stratégie.
L’Indice est une stratégie basée sur des règles, utilisant des futures sur l’or et visant une volatilité définie en ajustant à la fois l’effet de levier et l’exposition en liquidités ; toutefois, son niveau est réduit par une déduction quotidienne de 6 % par an et représente uniquement le rendement excédentaire (sans intérêts sur le collatéral). Le calcul en direct a commencé le 11 février 2025, donc la plupart des données de performance sont hypothétiques et soumises aux limites des tests historiques.
Principaux risques soulignés dans le document :
- Indice créé en 2025 ; historique en direct limité et risque potentiel lié au modèle.
- Peut ne pas atteindre l’objectif de volatilité déclaré et peut utiliser un effet de levier important.
- Possibilité d’importantes allocations en liquidités non investies et rendement négatif lié au roulement des futures.
- Concentration sur les futures or exposant les investisseurs à des chocs spécifiques à la matière première.
- Frais journaliers de 6 % et méthodologie de rendement excédentaire créent un frein structurel à la performance.
- JPMS a contribué à la conception de l’Indice et le licence auprès de MerQube, ce qui crée des conflits d’intérêts.
Ni la SEC ni les régulateurs d’État n’ont approuvé les notes. Elles ne sont pas assurées par la FDIC et comportent un risque de crédit de l’émetteur. Les rendements passés ou simulés ne sont explicitement pas indicatifs des résultats futurs. Il est recommandé aux investisseurs de consulter l’intégralité des Facteurs de Risque dans le supplément de prospectus, le supplément produit, le supplément sous-jacent et tout supplément final de tarification.
J.P. Morgan hat einen Rule 424(b)(3) Indexzusatz für strukturierte Notes eingereicht, die mit dem MerQube US Gold Vol Advantage Index („dem Index“) verbunden sind. Das Dokument liefert Investoren Backtested-Monats- und Jahresrenditen von Dezember 2007 bis Februar 2025 sowie tatsächliche Performance vom 11. Februar 2025 bis 30. Juni 2025. Die berichteten kalenderjahresbezogenen Backtests zeigen in mehreren Perioden zweistellige Gewinne (z. B. 76,74 % in 2009, 60,75 % in 2018, 63,85 % in 2023), aber auch starke Rückgänge (-61,69 % in 2012, -40,54 % in 2014), was die hohe Volatilität der Strategie verdeutlicht.
Der Index ist eine regelbasierte Gold-Futures-Strategie, die versucht, eine definierte Volatilität durch Anpassung von Hebelwirkung und Barbestand anzustreben; jedoch wird das Niveau durch eine tägliche Abzug von 6 % pro Jahr reduziert und stellt nur die Überrendite dar (ohne Zinsen auf Sicherheiten). Die Live-Berechnung begann am 11. Februar 2025, daher sind die meisten Performance-Daten hypothetisch und unterliegen den Einschränkungen von Backtests.
Wichtige Risikohinweise im Dokument:
- Index wurde 2025 eingeführt; begrenzte Live-Historie und potenzielles Modellrisiko.
- Kann das angegebene Volatilitätsziel möglicherweise nicht erreichen und kann erhebliche Hebelwirkung einsetzen.
- Potentiell große uninvestierte Barbestände und negativer Roll-Ertrag aufgrund der Futures-Termstruktur.
- Konzentration auf Gold-Futures setzt Anlegern einem rohstoffspezifischen Schock aus.
- Tägliche 6 % Gebühr und Überrendite-Methodik verursachen eine strukturelle Performancebelastung.
- JPMS hat bei der Gestaltung des Index geholfen und lizenziert ihn von MerQube, was Interessenkonflikte schafft.
Weder die SEC noch staatliche Regulierungsbehörden haben die Notes genehmigt. Sie sind nicht FDIC-versichert und tragen Emittenten-Kreditrisiko. Vergangene oder backgetestete Renditen sind ausdrücklich nicht als Indikator für zukünftige Ergebnisse zu verstehen. Anleger werden dringend gebeten, die vollständigen Risikofaktoren im Prospektergänzungsblatt, Produktergänzungsblatt, Basisinformationsblatt und jeglichem finalen Preiszusatzblatt zu prüfen.
- Historical back-tests show outsized annual gains (e.g., 76.74 % in 2009, 63.85 % in 2023), indicating potential upside in volatile gold markets.
- Volatility-target framework aims to dynamically manage risk exposure by adjusting leverage and cash positions.
- 6 % per-annum daily deduction creates a persistent performance drag that must be overcome before investors realize positive returns.
- Index launched February 2025; the vast majority of performance data are hypothetical, limiting predictive value.
- Excess-return methodology omits interest on collateral, further reducing comparability and potential total return.
- Significant leverage, concentration in gold futures, and roll-yield risk can lead to sharp draw-downs and tracking error.
Insights
TL;DR: High back-tested upside offset by 6 % daily fee, leverage, limited live history; risk profile skews neutral-to-negative.
The filing markets notes tied to a gold-futures volatility control index whose live data cover less than five months. While headline back-tests feature several 40–70 % calendar-year gains, large historical draw-downs and the structural 6 % p.a. deduction materially erode risk-adjusted returns. Excess-return construction further reduces comparability with total-return benchmarks. The extensive risk list, including leverage, roll yield, and concentration in a single commodity, suggests performance dispersion will remain high. From an investor-protection standpoint, the documentation is thorough, but the product’s reliance on hypothetical data and the sponsor-dealer alignment issues limit its attractiveness to all but sophisticated, tactical traders.
TL;DR: Commodity concentration, futures roll risk and limited index history create significant downside scenarios.
Gold futures term structure often contangoes, creating negative roll yield that the index cannot hedge. Coupled with daily leverage adjustments, the strategy may materially underperform physical gold during benign markets while amplifying volatility in stressed periods. The 6 % fee effectively raises the breakeven hurdle to outperform short-dated Treasuries. Given live performance data of less than half a year, statistical confidence in risk controls is low. Overall, I view the instrument as speculative and suitable only for investors with high risk tolerance and a clear tactical thesis on gold volatility.
J.P. Morgan ha depositato un supplemento indice ai sensi della Regola 424(b)(3) per note strutturate collegate al MerQube US Gold Vol Advantage Index (“l’Indice”). Il documento fornisce agli investitori rendimenti mensili e annuali simulati da dicembre 2007 a febbraio 2025 e performance effettiva dall’11 febbraio 2025 al 30 giugno 2025. I test storici su base annuale mostrano guadagni a doppia cifra in diversi periodi (ad esempio, 76,74 % nel 2009, 60,75 % nel 2018, 63,85 % nel 2023) ma anche forti cali (-61,69 % nel 2012, -40,54 % nel 2014), evidenziando l’elevata volatilità della strategia.
L’Indice è una strategia basata su regole, che utilizza futures sull’oro e mira a un livello di volatilità definito, regolando sia la leva finanziaria sia l’esposizione in contanti; tuttavia, il livello è ridotto da una deduzione giornaliera del 6 % annuo e rappresenta solo il rendimento eccedente (senza interessi sul collaterale). Il calcolo in tempo reale è iniziato l’11 febbraio 2025, quindi la maggior parte dei dati di performance è ipotetica e soggetta ai limiti dei test storici.
Principali rischi evidenziati nel documento:
- Indice istituito nel 2025; storia reale limitata e potenziali rischi di modello.
- Potrebbe non raggiungere il target di volatilità dichiarato e può utilizzare leva significativa.
- Possibili ampie allocazioni di liquidità non investita e rendimento negativo da rollover dei futures.
- Concentrazione sui futures sull’oro espone a shock specifici della materia prima.
- Commissione giornaliera del 6 % e metodologia basata sul rendimento eccedente creano un effetto negativo strutturale sulla performance.
- JPMS ha contribuito alla progettazione dell’Indice e ne detiene la licenza da MerQube, generando conflitti di interesse.
La SEC e i regolatori statali non hanno approvato le note. Esse non sono assicurate dalla FDIC e comportano rischio di credito dell’emittente. I rendimenti passati o simulati non sono in alcun modo indicativi dei risultati futuri. Si invita gli investitori a consultare integralmente i Fattori di Rischio nel supplemento al prospetto, nel supplemento al prodotto, nel supplemento sottostante e in qualsiasi supplemento finale di prezzo.
J.P. Morgan ha presentado un suplemento índice bajo la Regla 424(b)(3) para notas estructuradas vinculadas al MerQube US Gold Vol Advantage Index (“el Índice”). El documento proporciona a los inversores rendimientos mensuales y anuales simulados desde diciembre de 2007 hasta febrero de 2025 y rendimiento real desde el 11 de febrero de 2025 hasta el 30 de junio de 2025. Las pruebas históricas por año muestran ganancias de dos dígitos en varios períodos (por ejemplo, 76,74 % en 2009, 60,75 % en 2018, 63,85 % en 2023) pero también fuertes caídas (-61,69 % en 2012, -40,54 % en 2014), lo que ilustra la alta volatilidad de la estrategia.
El Índice es una estrategia basada en reglas, que utiliza futuros de oro y busca un nivel definido de volatilidad ajustando tanto el apalancamiento como la exposición en efectivo; sin embargo, su nivel se reduce mediante una deducción diaria del 6 % anual y representa solo el rendimiento excedente (sin intereses sobre el colateral). Comenzó el cálculo en vivo el 11 de febrero de 2025, por lo que la mayoría de los datos de rendimiento son hipotéticos y están sujetos a las limitaciones de las pruebas históricas.
Principales riesgos destacados en el documento:
- Índice establecido en 2025; historial en vivo limitado y posible riesgo de modelo.
- Puede no alcanzar el objetivo de volatilidad declarado y puede emplear un apalancamiento significativo.
- Posibles grandes asignaciones de efectivo no invertido y rendimiento negativo por rollovers en la estructura temporal de futuros.
- La concentración en futuros de oro expone a shocks específicos de la materia prima.
- Una tarifa diaria del 6 % y la metodología de rendimiento excedente generan un arrastre estructural en la performance.
- JPMS ayudó a diseñar el Índice y lo licencia de MerQube, creando conflictos de interés.
Ni la SEC ni los reguladores estatales han aprobado las notas. Estas no están aseguradas por la FDIC y conllevan riesgo crediticio del emisor. Los rendimientos pasados o simulados no son indicativos de resultados futuros. Se recomienda a los inversores revisar los Factores de Riesgo completos en el suplemento del prospecto, suplemento del producto, suplemento subyacente y cualquier suplemento final de precios.
J.P. Morgan은 MerQube US Gold Vol Advantage Index(“지수”)에 연계된 구조화 노트에 대해 Rule 424(b)(3) 인덱스 보충서를 제출했습니다. 이 문서는 투자자에게 2007년 12월부터 2025년 2월까지의 백테스트된 월별 및 연간 수익률과 2025년 2월 11일부터 6월 30일까지의 실제 성과를 제공합니다. 보고된 연도별 백테스트 결과는 여러 기간 동안 두 자릿수 수익률(예: 2009년 76.74%, 2018년 60.75%, 2023년 63.85%)을 보였으나, 큰 손실도 있었습니다(2012년 -61.69%, 2014년 -40.54%), 이는 전략의 높은 변동성을 보여줍니다.
이 지수는 규칙 기반의 금 선물 전략으로, 레버리지와 현금 노출을 조정하여 정의된 변동성을 목표로 합니다. 그러나 연간 6% 일일 공제가 적용되며, 이는 초과 수익만을 나타냅니다(담보 이자는 포함되지 않음). 2025년 2월 11일에 실시간 계산을 시작했으므로 대부분의 성과 데이터는 가상이며 백테스트의 한계가 있습니다.
신고서에 강조된 주요 위험 공시:
- 2025년에 지수가 설정되어 실시간 이력이 제한적이며 모델 위험 가능성 있음.
- 명시된 변동성 목표를 달성하지 못할 수 있으며 상당한 레버리지를 사용할 수 있음.
- 큰 미투자 현금 할당과 선물 만기 구조에서 발생하는 음의 롤 수익 가능성.
- 금 선물 집중으로 인해 상품 특유의 충격에 노출됨.
- 일일 6% 수수료 및 초과 수익 방식으로 인한 구조적 성과 저하.
- JPMS가 지수 설계에 참여하고 MerQube로부터 라이선스를 받아 이해 상충 가능성 존재.
SEC 및 주 규제 기관은 노트를 승인하지 않았습니다. 이 노트는 FDIC 보험이 없으며 발행자 신용 위험이 있습니다. 과거 또는 백테스트 수익률은 미래 결과를 보장하지 않습니다. 투자자는 투자 설명서 보충서, 상품 보충서, 기초 보충서 및 최종 가격 보충서에 있는 위험 요소를 반드시 검토해야 합니다.
J.P. Morgan a déposé un supplément d’indice selon la règle 424(b)(3) pour des notes structurées liées au MerQube US Gold Vol Advantage Index (« l’Indice »). Le document fournit aux investisseurs des rendements mensuels et annuels simulés de décembre 2007 à février 2025 ainsi que la performance réelle du 11 février 2025 au 30 juin 2025. Les tests de performance sur calendrier montrent des gains à deux chiffres sur plusieurs périodes (par exemple, 76,74 % en 2009, 60,75 % en 2018, 63,85 % en 2023) mais aussi des baisses importantes (-61,69 % en 2012, -40,54 % en 2014), illustrant la forte volatilité de la stratégie.
L’Indice est une stratégie basée sur des règles, utilisant des futures sur l’or et visant une volatilité définie en ajustant à la fois l’effet de levier et l’exposition en liquidités ; toutefois, son niveau est réduit par une déduction quotidienne de 6 % par an et représente uniquement le rendement excédentaire (sans intérêts sur le collatéral). Le calcul en direct a commencé le 11 février 2025, donc la plupart des données de performance sont hypothétiques et soumises aux limites des tests historiques.
Principaux risques soulignés dans le document :
- Indice créé en 2025 ; historique en direct limité et risque potentiel lié au modèle.
- Peut ne pas atteindre l’objectif de volatilité déclaré et peut utiliser un effet de levier important.
- Possibilité d’importantes allocations en liquidités non investies et rendement négatif lié au roulement des futures.
- Concentration sur les futures or exposant les investisseurs à des chocs spécifiques à la matière première.
- Frais journaliers de 6 % et méthodologie de rendement excédentaire créent un frein structurel à la performance.
- JPMS a contribué à la conception de l’Indice et le licence auprès de MerQube, ce qui crée des conflits d’intérêts.
Ni la SEC ni les régulateurs d’État n’ont approuvé les notes. Elles ne sont pas assurées par la FDIC et comportent un risque de crédit de l’émetteur. Les rendements passés ou simulés ne sont explicitement pas indicatifs des résultats futurs. Il est recommandé aux investisseurs de consulter l’intégralité des Facteurs de Risque dans le supplément de prospectus, le supplément produit, le supplément sous-jacent et tout supplément final de tarification.
J.P. Morgan hat einen Rule 424(b)(3) Indexzusatz für strukturierte Notes eingereicht, die mit dem MerQube US Gold Vol Advantage Index („dem Index“) verbunden sind. Das Dokument liefert Investoren Backtested-Monats- und Jahresrenditen von Dezember 2007 bis Februar 2025 sowie tatsächliche Performance vom 11. Februar 2025 bis 30. Juni 2025. Die berichteten kalenderjahresbezogenen Backtests zeigen in mehreren Perioden zweistellige Gewinne (z. B. 76,74 % in 2009, 60,75 % in 2018, 63,85 % in 2023), aber auch starke Rückgänge (-61,69 % in 2012, -40,54 % in 2014), was die hohe Volatilität der Strategie verdeutlicht.
Der Index ist eine regelbasierte Gold-Futures-Strategie, die versucht, eine definierte Volatilität durch Anpassung von Hebelwirkung und Barbestand anzustreben; jedoch wird das Niveau durch eine tägliche Abzug von 6 % pro Jahr reduziert und stellt nur die Überrendite dar (ohne Zinsen auf Sicherheiten). Die Live-Berechnung begann am 11. Februar 2025, daher sind die meisten Performance-Daten hypothetisch und unterliegen den Einschränkungen von Backtests.
Wichtige Risikohinweise im Dokument:
- Index wurde 2025 eingeführt; begrenzte Live-Historie und potenzielles Modellrisiko.
- Kann das angegebene Volatilitätsziel möglicherweise nicht erreichen und kann erhebliche Hebelwirkung einsetzen.
- Potentiell große uninvestierte Barbestände und negativer Roll-Ertrag aufgrund der Futures-Termstruktur.
- Konzentration auf Gold-Futures setzt Anlegern einem rohstoffspezifischen Schock aus.
- Tägliche 6 % Gebühr und Überrendite-Methodik verursachen eine strukturelle Performancebelastung.
- JPMS hat bei der Gestaltung des Index geholfen und lizenziert ihn von MerQube, was Interessenkonflikte schafft.
Weder die SEC noch staatliche Regulierungsbehörden haben die Notes genehmigt. Sie sind nicht FDIC-versichert und tragen Emittenten-Kreditrisiko. Vergangene oder backgetestete Renditen sind ausdrücklich nicht als Indikator für zukünftige Ergebnisse zu verstehen. Anleger werden dringend gebeten, die vollständigen Risikofaktoren im Prospektergänzungsblatt, Produktergänzungsblatt, Basisinformationsblatt und jeglichem finalen Preiszusatzblatt zu prüfen.
Index supplement to the prospectus dated April 13, 2023, the prospectus supplement dated April 13, 2023, the prospectus addendum dated June 3, 2024, the product supplement no. 4 - I dated April 13, 2023 and the underlying supplement no. 5 - III dated March 5, 2025 Registration Statement Nos. 333 - 270004 and 333 - 270004 - 01 Dated July 9, 2025 Rule 424(b)(3) JULY 2025 MerQube US Gold Vol Advantage Index Hypothetical and Actual Historical Monthly and Annual Returns Backtested Actual Year Dec Nov Oct Sep Aug Jul Jun May Apr Mar Feb Jan - 12.03% 5.50% 7.32% - 15.78% 5.33% - 16.18% - 3.06% 5.24% 3.22% - 9.67% - 8.24% 5.89% 13.06% 2008 37.69% - 12.41% 28.65% 4.18% 11.45% - 1.20% 5.72% - 9.33% 14.04% - 5.07% - 2.77% 1.37% 4.14% 2009 76.74% 4.88% 3.53% 8.47% 10.74% 11.84% - 3.84% 4.11% 5.02% 13.55% - 1.07% 4.88% - 2.19% 2010 36.48% - 13.09% 1.46% 5.99% - 13.01% 25.39% 21.11% - 5.45% - 3.79% 20.86% 4.69% 12.28% - 14.47% 2011 - 2.32% - 7.45% - 2.54% - 8.27% 12.03% 9.34% 0.16% 4.51% - 9.07% - 1.15% - 5.13% - 5.91% 14.75% 2012 - 61.69% - 7.99% - 12.18% - 1.44% - 8.83% 10.68% 9.59% - 18.81% - 10.66% - 27.88% 1.22% - 14.95% - 3.41% 2013 - 21.53% 0.85% 1.91% - 10.06% - 19.35% 0.66% - 10.06% 16.61% - 10.66% 1.75% - 7.80% 12.87% 5.41% 2014 - 40.54% - 1.91% - 19.50% 4.58% - 4.73% 7.13% - 23.28% - 4.95% 1.03% - 0.87% - 6.68% - 10.82% 16.06% 2015 - 0.60% - 4.86% - 25.57% - 11.46% - 0.20% - 8.55% 4.85% 20.48% - 13.65% 10.03% 0.40% 26.25% 14.18% 2016 32.88% 11.89% - 1.10% - 4.72% - 9.95% 13.91% 7.74% - 11.31% 1.41% 4.46% - 2.16% 9.92% 12.86% 2017 - 23.67% 18.23% 1.28% 8.86% - 4.32% - 9.85% - 11.32% - 17.33% - 6.60% - 2.84% 0.97% - 7.67% 9.45% 2018 60.75% 12.70% - 10.83% 8.30% - 9.87% 21.47% 1.73% 36.58% 6.94% - 5.64% - 8.95% - 3.82% 9.88% 2019 46.84% 12.69% - 10.94% - 1.93% - 7.92% - 0.27% 16.01% 5.04% 4.02% 4.70% 9.44% - 0.35% 12.23% 2020 - 12.38% 7.18% - 1.91% 3.53% - 8.57% - 0.69% 5.86% - 18.91% 23.13% 8.21% - 3.26% - 15.13% - 5.60% 2021 - 12.15% 9.55% 13.59% - 4.62% - 9.89% - 7.67% - 7.04% - 5.47% - 8.39% - 3.82% 5.13% 15.66% - 5.52% 2022 14.20% 1.77% 5.81% 28.00% - 18.01% - 7.51% 6.14% - 6.29% - 5.13% 0.85% 18.53% - 14.48% 13.28% 2023 63.85% - 3.80% - 7.68% 7.03% 10.96% 5.35% 9.34% - 1.04% 1.14% 9.70% 29.37% - 2.22% - 2.90% 2024 55.24% - 1.44% - 2.04% 13.05% 22.56% 0.87% 15.05% 2025 Please refer to the “Selected Risks” and “Disclaimer” on the following page . Historical performance measures for the MerQube US Gold Vol Advantage Index (the “Index”) represent hypothetical backtested performance from December 26 , 2007 through February 10 , 2025 and the actual performance of the Index from February 11 , 2025 through June 30 , 2025 . Please see “Use of hypothetical backtested returns” at the end of this presentation for further information related to backtesting including a discussion of certain limitation of backtesting and simulated returns . The hypothetical backtested and historical levels presented herein have not been verified by J . P . Morgan, and hypothetical historical levels have inherent limitations . PAST PERFORMANCE AND BACKTESTED PERFORMANCE ARE NOT INDICATIVE OF FUTURE RESULTS . Investing in the notes linked to the Index involves a number of risks . See “Selected Risks” on page 2 of this document, “Risk Factors” in the prospectus supplement and the relevant product supplement and underlying supplement and “Selected Risk Considerations” in the relevant pricing supplement . Neither the Securities and Exchange Commission nor any state securities commission has approved or disapproved of the notes or passed upon the accuracy or the adequacy of this document or the accompanying product supplement, underlying supplement, prospectus supplement or prospectus . Any representation to the contrary is a criminal otfense . The notes are not bank deposits, are not insured by the Federal Deposit Insurance Corporation or any other governmental agency and are not obligations of, or guaranteed by, a bank .
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JULY 2025 | MerQube US Gold Vol Advantage Index Selected Risks Our affiliate, J.P. Morgan Securities LLC (“JPMS”), coordinated with the Index Sponsor in the development of the Index. The level of the Index will include a 6.0% per annum daily deduction. MerQube (the “Index Sponsor”) may adjust the Index in a way that atfects its level, and the Index Sponsor has no obligation to consider your interests. The Index may not approximate its target volatility. The Index is subject to risks associated with the use of significant leverage. The Index may be significantly uninvested. The Index may be adversely atfected if later futures contracts have higher prices than an expiring futures contract included in the Index. The Index is an “excess return” index and not a “total return” index because it does not reflect interest that could be earned on funds notionally committed to the trading of futures contracts. The Index, which was established on February 11, 2025, has a limited operating history and may perform in unanticipated ways. The Index is subject to significant risks associated with futures contracts, including volatility. An investment linked to the Index will be subject to risks associated with gold. Concentration risks associated with the Index may adversely atfect the value of investments linked to the Index. Suspension or disruptions of market trading in the futures contracts included in the Index may adversely atfect the value of investments linked to the Index. The official settlement price and intraday trading prices of the relevant futures contracts included in the Index may not be readily available. Changes in the margin requirements for the underlying futures contracts included in the Index may adversely atfect the value of investments linked to the Index. The Index may not be successful or outperform any alternative strategy that may be employed in respect of future contracts. 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 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 document, the otfering document shall govern . Use of hypothetical backtested returns Any backtested historical performance and weighting information included herein is hypothetical . The constituent may not have traded 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 . The hypothetical historical levels presented herein have not been verified by an independent third party, and such hypothetical historical levels have inherent limitations . There are frequently significant ditferences between hypothetical backtested performance and actual subsequent performance . The results obtained from backtesting information should not be considered indicative of the actual results that might be obtained from an investment in notes referencing the Index . J . P . Morgan provides no assurance or guarantee that notes 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 . Hypothetical back - tested performance measures have inherent limitations . Hypothetical back - tested performance is derived by means of the retroactive application of a back - tested model that has been designed with the benefit of hindsight . Hypothetical back - tested results are neither an indicator nor a guarantee of future returns . Alternative modelling techniques might produce significantly ditferent results and may prove to be more appropriate . A copy of the index methodology is available upon request or can be viewed on MerQube’s website . MerQube performed the calculation of the hypothetical back - tested performance data . Neither J . P . Morgan Securities LLC (JPMS), nor any of its affiliates paid MerQube to perform these calculations . JPMS has entered into a license agreement with MerQube, Inc . that provides for an exclusive license to it and certain of its affiliated or subsidiary companies, in exchange for a fee, of the right to use the Indices, which are owned and published by MerQube, Inc . JPMS worked with MerQube in developing the guidelines and policies governing the composition and calculation of the Index . The policies and judgments for which JPMS was responsible could have an impact, positive or negative, on the level of the Index and the value of your notes . JPMS is under no obligation to consider your interests as an investor in the notes in its role in developing the guidelines and policies governing the Index or making judgments that may atfect the level of the Index . 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 . Neither MerQube, Inc . nor any of its affiliates (collectively, “MerQube”) is the issuer or producer of any investment linked to the Index referenced herein and MerQube has no duties, responsibilities, or obligations to investors in such investment . The Index is a product of MerQube and has been licensed for use by JPMS (“Licensee”) and its affiliates . Such index is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each a “Data Provider”) . MerQube® is a registered trademark of MerQube, Inc . These trademarks have been licensed for certain purposes by Licensee, including use by Licensee’s affiliate in its capacity as the issuer of investments linked to the Index . Such investments are not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the Input Data, Index or any associated data . Copyright © 2025 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 .
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FAQ
What is the MerQube US Gold Vol Advantage Index’s live performance history?
How does the Index control volatility?
What annual fee is embedded in the Index level?
Does the Index include interest on collateral?
Why is reliance on back-tested data a concern for investors?
Who developed and maintains the Index?
