JPMORGAN CHASE & CO (JPM) Form 424B3 — Oct 13, 2026
JPMorgan Chase filed a 424B3 index supplement describing the J.P. Morgan Kronos US Equity (JPUSKRSP) Index, a rules-based index providing dynamic, partially leveraged exposure to the S&P 500 Price Index based on turn-of-month, options-expiry momentum, and month-end mean reversion effects. The Index carries a 0.35% per annum fee deduction and applies 150% or 50% exposure to the S&P 500 depending on calendar rules and price levels. Hypothetical backtest data show the Index returning 8.01% annualized since July 1954 versus 10.70% for the S&P 500, though it outperformed over the most recent 10- and 5-year periods (13.43% and 12.17% annualized).
Key figures
- Index established
- June 11, 2021
- Defensive exposure
- 50%
- Index max drawdown
- -56.78%
- Index fee per annum
- 0.35%
- Turn of month leverage
- 150%
- Index 1y annualized return
- 14.40%
- Index 5y annualized return
- 12.17%
- Index 10y annualized return
- 13.43%
- Index annualized volatility
- 15.98%
- Index annualized return since jul 1954
- 8.01%
- Sp500 annualized return since jul 1954
- 10.70%
AI analysis
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