Japan Quant Strategy Beta x Momentum reversal – Backlash against overheating and tactical appeal of bank stocks during the Momentum recovery phase

Research evidence excerpt

Japan Quant Strategy Beta x Momentum reversal – Backlash against overheating and tactical appeal of bank stocks during the Momentum recovery phase

J P M O R G A N Global Markets Strategy

22 May 2026

Japan Quant Strategy

Beta x Momentum reversal – Backlash against

overheating and tactical appeal of bank stocks during

the Momentum recovery phase

This week’s sharp decline in the Beta x Momentum index is a technical-led Global Quantitative and Derivatives

adjustment in reaction to overheating from April. Following a -5σ-level crash, Strategy

there is a high probability that the Momentum effect will remain subdued for about Masanari Takada AC

a month. As such, a gradual shift toward Value stocks appears to be an appropriate (81-3) 6736-8636

strategy for the time being. Among these, the banking industry, particularly masanari.takada@jpmorgan.com

regional banks, which combine both Momentum and Value, could serve as an JPMorgan Securities Japan Co., Ltd.

effective tactical hedge against the unwinding risks in AI/semiconductor-related Tony SK Lee

stocks. (852) 2800-8857

tony.sk.lee@jpmorgan.com

J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

Morgan Broking (Hong Kong) Limited

1-Beta/Momentum’s reverse rotation Robert Smith, PhD

appears temporary (61-2)robert.z.smith@jpmorgan.com9003-8808

J.P. Morgan Securities Australia Limited

This week, the Nikkei Average briefly dipped below the 60,000 mark, as a broad Khuram Chaudhry

range of AI/semiconductor-related stocks, which had been driving the market (44-20) 7134-6297

khuram.chaudhry@jpmorgan.com

overall, were down significantly. Meanwhile, as the US semiconductor stock index J.P. Morgan Securities plc

(SOX) rebounded, dip-buying emerged in Japan as well, and today (May 21) the Dubravko Lakos-Bujas