European Quant Strategy Momentum Stocks Likely to Come In/Out

Research evidence excerpt

European Quant Strategy Momentum Stocks Likely to Come In/Out

J P M O R G A N Global Markets Strategy

26 June 2026

European Quant Strategy

Momentum Stocks Likely to Come In/Out

• Momentum Performance May Global Quantitative Strategy

AC Momentum stocks posted a -1.8% return Long/Short in May with falling Ayub Hanif, PhD

Momentum outperforming rising Momentum. Moreover, whilst the market (44-20) 7742-5620

was up, rising Momentum stocks were down -0.6%. In this note, we provide ayub.hanif@jpmorgan.com

a list of Momentum Stocks that appear at risk in the end-of-June rebalance and Khuram Chaudhry

similarly, stocks likely to enter the Momentum basket. (44-20) 7134-6297

khuram.chaudhry@jpmorgan.com

• Technical Buying/Selling of Momentum J.P. Morgan Securities plc

It is important to note quant strategies (active and passive) generally have

Momentum as one of their core factors and can exacerbate sell-offs and/or

technical buying during rebalancing, usually at the beginning of the calendar

month. The typical definition of Momentum among investors is a rising/falling

12M trend in stock prices. Moreover, Momentum signals often skip the last

month of price action, e.g. 12M-1M Momentum weights the first 11 months

higher than the last month. This potential lag could be reinforced in subsequent

months as Quant portfolios get systematically rebalanced.

• Momentum stocks potential inclusions: Delivery Hero, ArcelorMittal,

Lotus Bakeries, Sobi, Italgas, Argenx and BBVA.

• Momentum stocks potential exclusions: Siemens Energy, Galderma Group,

H&M, UCB, Swiss Prime Site and EDP Renovaveis.

• In addition, European Short Momentum Stocks at Risk can be found on page

3. Global, US and Japan Momentum Stocks at Risk Screens can be found on

pages 4-5, 6-7 and 8-9, respectively