What Is the J.P. Morgan Mozaic II℠ Index?
The J.P. Morgan Mozaic II℠ Index is a rules-based, multi-asset index created by J.P. Morgan designed to deliver consistent growth with lower volatility than traditional equity indexes. It is available as a crediting strategy inside Nationwide fixed index annuities – primarily the Nationwide New Heights Select series.
The index does not invest in stocks, bonds, or commodities directly. Instead, your annuity’s interest credits are tied to the Mozaic II’s performance. When the index gains, you receive a percentage of that gain. When it falls, you receive 0% – your principal is protected.
The index went live on December 28, 2016. Historical performance prior to that date represents hypothetical backtested data. Backtested performance dating to November 1, 1996 has been published by J.P. Morgan and is referenced in Nationwide’s product materials.
How Does the J.P. Morgan Mozaic II Index Work?
The Mozaic II is built on three core investment principles that institutional investors have used for decades.
1. Broad Diversification Across 15 Asset Classes
The index draws from 15 asset classes spanning four global market segments: equities, fixed income, commodities, and currencies. This breadth is one of the most significant differences between the Mozaic II and simpler volatility-managed indexes, which typically blend just two assets (such as the S&P 500 and Treasury futures).
By spreading across 15 asset classes in four market segments, the Mozaic II is designed so that poor performance in one segment (for example, U.S. equities during a correction) can be offset by strength in another (for example, commodities or fixed income). No single market drives the entire result.
2. Momentum-Based Monthly Selection
Every month, the index evaluates all 15 asset classes based on recent return performance. It then selects the 9 asset classes with the highest recent returns – and discards the other 6 for that period. Capital is concentrated in what is actually working right now, rather than holding static allocations to underperforming assets.
This momentum approach is grounded in decades of academic research showing that assets that have recently outperformed tend to continue outperforming over the near term. Institutional investors such as pension funds and endowments use momentum as a cornerstone of systematic allocation.
3. Monthly Volatility Smoothing Through Rebalancing
After selecting the top 9 performers, the index rebalances the allocation weights monthly to smooth volatility. Rather than letting a single high-performing asset dominate the portfolio and expose the index to a sharp reversal, the rebalancing mechanism redistributes weight to maintain stability. The goal is consistent returns across different market environments – not maximum growth in bull markets, and not catastrophic losses in bear markets.
The Stop-Loss Mechanism: How the Mozaic II Limits Drawdowns
The Mozaic II has a built-in stop-loss feature that functions as an emergency brake during rapid market selloffs.
Here is how it works: if the overall index’s weekly return falls below -3%, all allocations are paused for one full week. During that pause week, the index holds no exposure to any of the 15 asset classes. This protects the index from compounding losses during the early, steepest phase of a market crash.
The trade-off is worth understanding clearly. If markets crash on Monday and recover sharply by Friday, the stop-loss would have moved you to cash for that recovery week. You miss the snapback. This is a feature that protects against prolonged drawdowns (like the extended March 2020 COVID selloff or the 2022 rate-shock bear market) but can result in missed opportunity during V-shaped recoveries. For annuity owners who have already accepted a 0% floor on the downside, this additional brake is generally positive – it protects the participation rate pricing that makes the annuity economics work.
How the Mozaic II Works Inside a Nationwide Annuity
You do not invest directly in the J.P. Morgan Mozaic II Index. Instead, you select it as a crediting strategy inside a Nationwide fixed index annuity. Your account value does not move up and down with the index in real time – at the end of each crediting period, Nationwide calculates the index’s gain and credits your account with a percentage of that gain based on the current crediting parameters.
| Detail | Value |
|---|---|
| Crediting Method | Annual Point-to-Point with Participation Rate |
| Floor | 0% – no loss if index declines |
| Participation Rate | Set at issue, subject to change at term renewal – verify current rate with your agent |
| Term Length | 1 year (measured anniversary to anniversary) |
Example: Suppose you deposit $100,000 into a Nationwide New Heights Select annuity with 100% allocated to the J.P. Morgan Mozaic II strategy at a 70% participation rate. If the index gains 8% over the 12-month crediting period, your annuity is credited 5.60% (8% × 70%). If the index falls 6%, you receive 0% – your $100,000 stays intact.
Participation rates for the Mozaic II strategy are typically higher than S&P 500 cap-based strategies because the volatility-managed nature of the index allows Nationwide to offer more generous terms. A lower-volatility index costs less to hedge, and carriers pass some of that savings along as a higher participation rate. Current rates fluctuate with interest rates and market conditions – see the live FIA crediting rates page for current figures.
Historical Performance: What the Backtested Data Shows
J.P. Morgan has published backtested Mozaic II data going back to November 1, 1996 – covering nearly three decades of market history including two major equity crashes (dot-com bust 2000-2002, financial crisis 2007-2009), multiple corrections, and several bond bear markets.
The backtested data showed the index “would have provided consistent positive returns with low volatility” compared to the S&P 500 over that period. The design goal was never to match the S&P 500 in bull markets – it was to deliver positive returns consistently across all types of market environments.
Important disclosure: Backtested performance is hypothetical. It was constructed with the benefit of hindsight and excludes index fees and transaction costs. The index went live on December 28, 2016. Data before that date is simulated, not actual. Past performance – backtested or live – does not guarantee future results.
How It Compares During Major Market Dislocations
The Mozaic II’s design features (momentum selection, monthly rebalancing, stop-loss) were specifically engineered to reduce drawdowns during periods when the S&P 500 falls sharply. Volatility-managed multi-asset indexes as a category significantly outperformed pure equity exposure during:
- 2000-2002 (dot-com bust): S&P 500 fell approximately 49%. Multi-asset momentum indexes had minimal equity exposure for much of this period due to declining momentum scores in equities.
- 2007-2009 (financial crisis): S&P 500 fell approximately 57% peak-to-trough. The Mozaic II’s diversification across 15 asset classes, including commodities and fixed income that performed well in 2008, provided significant buffer.
- 2020 (COVID crash): The S&P 500 fell 34% in 33 days. The Mozaic II stop-loss mechanism would have triggered during the steepest portion of the decline, pausing all allocations to reduce the drawdown.
- 2022 (rate shock): Both stocks and bonds fell simultaneously – an unusual environment. The Mozaic II’s ability to shift momentum allocation away from both toward commodities, which surged in 2022, was a structural advantage.
The trade-off: during strong equity bull markets – 2013, 2017, 2019 – the Mozaic II returned less than the S&P 500. The index is not designed to maximize upside. It is designed to maximize consistency.
J.P. Morgan Mozaic II vs. Other Volatility-Controlled Indexes in Annuities
| Index | Asset Classes | Rebalancing | Stop-Loss | Available In |
|---|---|---|---|---|
| J.P. Morgan Mozaic II | 15 (equities, bonds, commodities, currencies) | Monthly | Yes (-3% weekly) | Nationwide New Heights Select |
| Merrill Lynch Strategic Balanced (MLSB) | 2 (S&P 500 + 10-yr Treasury futures) | Semiannual + Daily | No (shifts to cash above 6% vol) | Corebridge Power Protector |
| Bloomberg US Dynamic Balance II | 2 (S&P 500 + Bloomberg US Agg) | Daily | No (5% vol target reduces equity) | Multiple FIA carriers |
| BNP Paribas Global H-Factor | Multi-factor equity | Monthly | No | Nationwide Peak 10 |
| S&P 500 Daily Risk Control 10% | 1 (S&P 500 only) | Daily | No (leveraged up to 150%) | Multiple FIA carriers |
The Mozaic II is the most broadly diversified of the group. With 15 asset classes vs. the 2-asset approach of the MLSB or Bloomberg Dynamic Balance, it has more tools to find positive momentum in any given market environment. This comes at a cost: because the index returns are generally smoother and lower-volatility, annuity carriers can offer a participation rate but rarely offer an uncapped strategy the way some 2-asset vol-controlled indexes allow. The Mozaic II is best understood as a diversified, consistent-return engine – not a high-ceiling growth strategy.
Three Key Features of the Mozaic II Index
1. True Multi-Asset Diversification
Most volatility-controlled indexes inside annuities are really just equity-bond blends with a volatility dial. When both stocks and bonds fall simultaneously (as in 2022), those indexes have nowhere to hide. The Mozaic II’s 15-asset-class universe includes commodities and currencies, which historically have low correlation to both stocks and bonds. This structural diversification is the index’s most distinctive feature and its primary advantage over simpler vol-controlled competitors.
2. Systematic Momentum, Not Manager Opinion
The monthly selection of the top 9 performers is entirely rules-based. No J.P. Morgan analyst is making a judgment call about whether energy or tech looks better for the next 30 days. The algorithm applies the same criteria every month, every year, regardless of headlines or sentiment. This removes emotional and behavioral bias from the allocation process and makes the index behavior predictable and auditable.
3. The Stop-Loss Is a Real Downside Brake
The -3% weekly stop-loss is not marketing language. It is a hard rule embedded in the index methodology. During periods of extreme volatility – think the week of March 16, 2020, when the S&P 500 fell over 12% in a single week – the Mozaic II mechanism would have moved to 0% exposure mid-period, capping the damage. For annuity owners, this feature matters less for the account value (which already has a 0% floor) and more for how it affects the long-run participation rate Nationwide can offer. Fewer large drawdowns in the reference index means lower hedging costs, which allows more generous crediting terms over time.
Which Nationwide Annuities Offer the J.P. Morgan Mozaic II?
The Mozaic II is available exclusively in Nationwide Life and Annuity fixed index annuities. The primary product that features this strategy is:
- Nationwide New Heights Select 9 – 9-year single-premium FIA with optional High Point 365 Select income riders and enhanced death benefit options
For Nationwide’s full carrier overview, financial strength ratings, and complete product lineup, see our Nationwide Annuity Review. To compare the New Heights Select against Nationwide’s income-focused sibling product, see the Nationwide Peak 10 review.
Should You Allocate to the Mozaic II Strategy in Your Annuity?
The Mozaic II is a good crediting strategy if you:
- Want broad diversification with a single strategy choice – instead of blending S&P 500, international equity, and bond strategies manually, the Mozaic II does that optimization for you each month
- Are prioritizing consistent returns over maximum upside – the index is not going to track a 25% S&P 500 year. It is designed to deliver modest, positive returns with less volatility
- Are using the annuity primarily for income – when the Nationwide income rider is your main goal, the specific crediting strategy matters less for your guaranteed income (which is driven by the rider mechanics) and more for protecting your contract value from erosion by rider fees
- Are concerned about sequence-of-returns risk in early contract years – the stop-loss mechanism and monthly rebalancing are specifically designed to reduce the risk of large early-year losses compounding against your base
The Mozaic II is probably not the right strategy if you are in an accumulation-focused FIA and want to maximize potential growth. For that objective, a higher-volatility target index with an uncapped strategy (like the Nasdaq FC Index) or a straightforward S&P 500 annual point-to-point with a competitive cap may produce better outcomes in strong markets.
Not sure which strategy fits your situation? Request a free quote and we will run side-by-side illustrations across multiple crediting strategies so you can see how the numbers compare for your age, premium, and goals.
Frequently Asked Questions
What is the J.P. Morgan Mozaic II Index?
The J.P. Morgan Mozaic II℠ Index is a rules-based multi-asset index that selects the 9 best-performing asset classes (out of 15) each month based on momentum, then rebalances monthly to smooth volatility. It includes a stop-loss feature that pauses all allocations for one week if the index falls more than 3% in a single week. It is used as a crediting strategy inside Nationwide fixed index annuities.
Can you lose money if the Mozaic II falls inside an annuity?
No. Your annuity has a 0% floor on the crediting strategy. If the Mozaic II finishes a crediting period with a negative return, you receive 0% interest credit for that period – your principal is protected from index losses. You cannot lose money due to index performance. You can lose money from surrender charges if you withdraw early or from rider fees that are deducted from contract value.
What asset classes does the Mozaic II include?
The index draws from 15 asset classes across four global market segments: equities, fixed income, commodities, and currencies. Each month, the 9 asset classes with the highest recent returns are selected and allocated to. The remaining 6 receive zero allocation until the next monthly rebalancing.
How long has the Mozaic II been live?
The index went live on December 28, 2016. It has approximately 8 years of actual live performance data. Historical performance data published by J.P. Morgan extends back to November 1, 1996 using backtested methodology – that data is hypothetical and was constructed with the benefit of hindsight.
How is the Mozaic II different from the S&P 500 Risk Control index?
The S&P 500 Risk Control index adjusts leverage on a single underlying index (the S&P 500) to target a specific volatility level. If the S&P 500 is too volatile, the Risk Control index reduces its exposure, sometimes to cash. The Mozaic II uses 15 different asset classes and rotates among them based on momentum – it can naturally shift away from volatile equities toward calmer fixed income or commodity assets without reducing to cash in the same way. The Mozaic II’s diversification is structural rather than just a volatility dial on a single asset.
Disclosures: This review is for informational purposes only and does not constitute a quote, contract, or guarantee of future performance. The J.P. Morgan Mozaic II℠ Index inception date is December 28, 2016. All data prior to that date is hypothetical backtested performance designed with hindsight benefit and does not represent actual index results. Backtested performance excludes index fees, transaction costs, and costs of financial instruments referencing the index. Historical and hypothetical performance does not predict future results. Participation rates and crediting terms shown are subject to change at each renewal period. Annuity guarantees are subject to the claims-paying ability of Nationwide Life and Annuity Insurance Company. Early withdrawals may be subject to surrender charges, market value adjustments, and income taxes. Withdrawals before age 59½ may incur a 10% federal tax penalty. Not FDIC insured. Not a bank deposit. May lose value if surrendered early.
