J.P. Morgan Asset Management Factor Indices

Single and multi-factor indices that use a J.P. Morgan Asset Management developed rules-based risk allocation and factor selection process.

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  1. Overview
  2. Key resources
  3. Research and Insights
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The JP Morgan single and multi-factor indices are a suite of indices that are wholly owned by J.P. Morgan Asset Management, for which FTSE Russell is the benchmark administrator. The indices 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 indices, 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 Indices

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 indices 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 (Region Aware) Equity Index
  • JP Morgan Diversified Factor International Equity Index
  • JP Morgan Diversified Factor Emerging Markets Equity Index

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

Useful link

Key resources

Index announcements

Stay up-to-date and read the latest index change notices and announcements.

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Research and Insights

Article

Risk of US-China trade tensions 2.0: How can this time be different?

Explore US-China trade tensions' impact on industries, global supply chains, and market trends with key insights into flagship indices and investment opportunities.
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15 min

Research

The forgotten stimulus - uncovering the revival of Europe's peripheral markets

The EU’s Recovery and Resilience Facility is providing a huge fiscal boost to the Euro area and underpinning the recovery in its financial markets, but the impact diverges, with the size of RRF allocation and financial market composition being significant factors.

Research

Valuation Matters – are shifts in index composition impacting market valuations?

How have market valuations been impacted by changes in index composition? Can controlling for these changes improve the predictive power of valuations in forecasting forward-looking returns?

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