The J.P. Morgan Mozaic IISM Index
An opportunity to pursue steady growth in a variety of markets
The J.P. Morgan Mozaic IISM Index (the Index) utilizes some of the same investment philosophies used by the largest institutional investors seeking positive returns in both good and bad market environments. With a strategy to potentially generate consistent returns while managing volatility, the Index is founded upon three core principles:
- Broad diversification
The Index utilizes a diversified group of asset classes including equities, fixed income and commodities to provide greater opportunities for growth than a single asset class.
- Greatest momentum
Each month, the Index selects asset classes with the highest returns to capitalize on proven and persistent performance.
- Volatility smoothing
The Index proactively rebalances the selected asset classes each month to provide a more stable return.
J.P. Morgan, one of the world’s leading financial services firms, designed the Index to provide a diversified asset allocation with the opportunity to perform in growing and shrinking markets.
The benefit of a broadly diversified approach
A diversified asset selection strategy provides opportunities for growth through both traditional and alternative asset classes. The J.P. Morgan Mozaic IISM Index’s diversification strategy leverages three essential elements:
- Global opportunities leveraging four of the world’s most established markets.
- Multiple asset classes across equities, fixed income and commodities.
- Non-correlated asset classes including commodities such as precious metals and energy provide additional growth opportunities beyond traditional equity and fixed income options.
The Index’s 15 asset classes are intended to provide flexibility to adapt to a variety of market conditions and help contribute to the Index’s consistent returns.
Monthly rebalancing capitalizes on performance
The J.P. Morgan Mozaic IISM Index’s asset selection is based on the historic tendency for asset classes exhibiting recent returns to be more likely to continue to deliver performance. Each month the Index chooses nine asset classes exhibiting the highest returns and strategically allocates to each in order to smooth volatility within the Index and create more consistent returns.
“Stop-loss” feature: Asset classes are evaluated, selected and weighted monthly. If on any day the overall index’s weekly return is less than -3%, all allocations are removed for one week (the Index is effectively uninvested). After one week, the Index re-establishes allocations based on the monthly selection and weighting described above. This may reduce the risk of potential short-term loss in the Index during a period of significant market distress but may also cause the Index to miss a potential recovery in the underlying asset classes.
Smoothing volatility to create stable returns
The J.P. Morgan Mozaic IISM Index would have provided steady growth through a variety of market environments due in part to a monthly allocation process intended to adapt to market changes and mitigate potential risks. The graph below shows how the J.P. Morgan Mozaic IISM Index would have provided consistent positive returns with low volatility.
From 11/1/96 to 12/31/21. Note: The J.P. Morgan Mozaic IISM Index was established on 12/28/16. Performance shown prior to 12/28/16 is back-tested by applying the Index strategy to historical financial data when all components are available and was designed with the benefit of hindsight. Back-tested performance is hypothetical and has been provided for informational purposes only. The S&P 500®️Price Index results are actual performance for the full period. Past performance is not indicative of nor does it guarantee future performance. The hypothetical data above does not take index fees or transaction costs into account.
Seeking consistent returns in uncertain times
Leveraging broad diversification, strongest momentum and volatility smoothing, the J.P. Morgan Mozaic IISM Index back-tested performance demonstrated the ability to deliver returns during historical periods of significant decline for the S&P 500®. The chart below illustrates back-tested and actual calendar year-end returns for the Index and the S&P 500® Index.
Note: The J.P. Morgan Mozaic IISM Index was established on 12/28/16. Performance shown is back-tested by applying the index strategy to historical financial data when all components are available and was designed with the benefit of hindsight. Back-tested performance is hypothetical and has been provided for informational purposes only. The S&P 500® Price Index results are actual performance for the full period. Past performance is not indicative of nor does it guarantee future performance. The hypothetical data above does not take index fees or transaction costs into account.
For more information on the J.P. Morgan Mozaic IISM Index, please visit www.jpmorganindices.com
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No actual investment which allowed tracking of the performance of the Index was possible before 2016. Any hypothetical “back-tested” information provided herein is illustrative only and derived from proprietary models designed with the benefit of hindsight based on certain data (which may or may not correspond with the data that someone else would use to back-test the Indices) and assumptions and estimates (not all of which may be specified herein and which are subject to change without notice). The results obtained from different models, assumptions, estimates and/or data may be materially different from the results presented herein and such hypothetical “back-tested” 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 Indices. J.P. Morgan expressly disclaims any responsibility for (i) the accuracy or completeness of the models, assumptions, estimates and data used in deriving the hypothetical “back-tested” information, (ii) any errors or omissions in computing or disseminating the hypothetical “back-tested” information, and (iii) any uses to which the hypothetical “back-tested” information may be put by any recipient of such information.
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