Quantitative Perspectives on Cross-Asset Risk Premia Riding the momentum in pure sector exposures and revisiting trend strategies in inflation swaps

Research evidence excerpt

Quantitative Perspectives on Cross-Asset Risk Premia Riding the momentum in pure sector exposures and revisiting trend strategies in inflation swaps

J P M O R G A N Global Markets Strategy

12 May 2026

Quantitative Perspectives on

Cross-Asset Risk Premia

Riding the momentum in pure sector exposures and

revisiting trend strategies in inflation swaps

Momentum in pure sector exposures Cross Asset Systematic Strategy

We build pure sector portfolios consistent with our pure factor portfolios. Even as Dobromir Tzotchev, PhD AC

these do not carry a risk premium in the same way factors do, they are found to trend (44-20) 7134-5331

in line with the long cycles in the underlying ‘pure’ sector economics. Thus, pure dobromir.tzotchev@jpmorgan.com

J.P. Morgan Securities plc

sectors lend themselves well to trend following and we use our trend signal to

determine allocations to them. This performs well (Sharpe ratio above 1) and builds Ioannis Pantelidakis, DPhil

(44-20) 3493 3625

on our timed pure factor work in a consistent way. ioannis.pantelidakis@jpmorgan.com

Revisiting trend-following strategies in inflation swaps J.P. Morgan Securities plc

We revisit our work on trend-following in inflation swaps in Protecting against Mengjiao Wang

inflation and expand the set of underlying maturities. Trend-following in shorter (44-78) 9704-9696

mengjiao.wang@jpmorgan.com

maturities inflation swaps is found to be superior. The diversification benefits of the J.P. Morgan Securities plc

complimentary trend-following strategies in interest rates swaps and oil futures have Sandra Djambazovska

been reconfirmed and the combined strategy has a Sharpe ratio of 0.71. sandra.djambazovska@jpmorgan.com

Performance review