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J.P. Morgan Asset Management Factor Indexes

The JP Morgan single and multi-factor indexes are a suite of indexes that are wholly owned by J.P. Morgan Asset Management, for which FTSE Russell is the benchmark administrator. The indexes use a rules-based risk allocation and factor selection process developed by J.P. Morgan Asset Management.

For questions about the single or multi-factor indexes, including methodology and ETF-related questions, please contact J.P. Morgan Asset Management. Financial Advisors can call the Advisor Service Center at 1-800-338-4345 and Direct Shareholders can call Shareholder Services at 1-800-480-4111.

For questions related to index product files or index performance history, including historical simulated index performance, please contact info@ftserussell.com

Single Factor

  • JP Morgan US Dividend Index

    • The JP Morgan US Dividend Index is comprised of US securities selected from the Russell 1000® Index and uses a rules-based factor selection process developed by J.P. Morgan Asset Management. The index is designed to reflect a sub-set of US securities selected for their factor characteristics. The index seeks to diversify risk across sectors and securities while selecting constituents to deliver high dividend yield.

  • JP Morgan US Minimum Volatility Index

    • The JP Morgan US Minimum Volatility Index is comprised of US securities selected from the Russell 1000® Index and uses a rules-based factor selection process developed by J.P. Morgan Asset Management. The index is designed to reflect a sub-set of US securities selected for their factor characteristics. The index seeks to deliver lower volatility while maintaining diversification across sectors and securities.

  • JP Morgan US Value Factor Index

    • The JP Morgan US Value Factor Index is comprised of US securities selected from the Russell 1000® Index and uses a rules-based risk allocation and factor selection process developed by J.P. Morgan Asset Management. The index is designed to reflect a sub-set of US securities selected for their factor characteristics. The index selects constituents based on diversified measures of their valuation without undue concentration in individual securities.

  • JP Morgan US Quality Factor Index

    • The JP Morgan US Quality Factor Index is comprised of US securities selected from the Russell 1000® Index and uses a rules-based risk allocation and factor selection process developed by J.P. Morgan Asset Management. The index is designed to reflect a sub-set of US securities selected for their factor characteristics. The index selects constituents based on their quality as measured by diversified definitions of their profitability, solvency, and earnings quality without undue concentration in individual securities.

  • JP Morgan US Momentum Factor Index

    • The JP Morgan US Momentum Factor Index is comprised of US securities selected from the Russell 1000® Index and uses a rules-based risk allocation and factor selection process developed by J.P. Morgan Asset Management. The index is designed to reflect a sub-set of US securities selected for their factor characteristics. The index selects constituents based on their risk adjusted price momentum without undue concentration in individual securities.

Multi-Factor Indexes

The Diversified Factor index series uses a rules-based risk allocation and multi-factor selection process, developed by J.P. Morgan Asset Management. The methodology targets equity risk premia factor characteristics such as attractive relative valuation, positive price momentum, low volatility and small market capitalization and seeks to equally diversify risk across global regions and industries. Available indexes include:

  • JP Morgan Diversified Factor US Equity Index
  • JP Morgan Diversified Factor US Mid Cap Equity Index
  • JP Morgan Diversified Factor US Small Cap Equity Index
  • JP Morgan Diversified Factor Global Developed Equity Index
  • JP Morgan Diversified Factor Global Developed (Region Aware) Equity Index
  • JP Morgan Diversified Factor International Equity Index
  • JP Morgan Diversified Factor International Currency Hedged (USD) Index
  • JP Morgan Diversified Factor Europe Equity Index
  • JP Morgan Diversified Factor Europe Currency Hedged (USD) Index
  • JP Morgan Diversified Factor Emerging Markets Equity Index

All international indexes are offered in in both price, total and net tax return series.
All single and multi-factor indexes are calculated in real-time.

Index Resources

Factsheets

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Methodology

Index Change Notices

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Index rules should be read in conjunction with supportingFTSE Russell noticesThese notices advise of advance changes in index methodology, which may not be reflected in index rules until the change effective date. The notices may also communicate revisions in index treatment in the period up to a rule change.