Japan Quant Strategy - Momentum Fusion in Japan Fragile Price Trends, Stronger Fundamentals, and Volatility Discipline

Research evidence excerpt

Japan Quant Strategy - Momentum Fusion in Japan Fragile Price Trends, Stronger Fundamentals, and Volatility Discipline

J P M O R G A N Global Markets Strategy

27 June 2026

Japan Quant Strategy -

Momentum Fusion in Japan

Fragile Price Trends, Stronger Fundamentals, and

Volatility Discipline

Japan is not a classic price-momentum market. While the global momentum Global Quantitative and Derivatives

framework finds that trend-following can be strengthened by combining price, Strategy

fundamental, sentiment, NLP, and linear-trend signals, the Japan results show that Masanari Takada AC

plain price continuation is not enough. In our recently published Global (81-3) 6736-8636

Momentum Report, we evaluated 37 momentum signals and showed how masanari.takada@jpmorgan.com

composite construction, drawdown control, and volatility-based risk management JPMorgan Securities Japan Co., Ltd.

can separate more durable trends from fragile reversals. Robert Smith, PhD

(61-2) 9003-8808

robert.z.smith@jpmorgan.com

Key takeaways for Japan J.P. Morgan Securities Australia Limited

The Japan evidence points to a more selective and defensive momentum Arun Jain

framework: price trends are fragile, the short leg is less reliable, and the strongest (1-212) 622-9454

implementation path relies on fundamental revisions and volatility thresholds arun.p.jain@jpmorgan.com

rather than plain price momentum. J.P. Morgan Securities LLC

Ayub Hanif, PhD

• Price Momentum is structurally weak: Classic 12M price momentum (44-20) 7742-5620

struggles in Japan, with a -5.3% annualised return, -0.22 Sharpe, and -94% max ayub.hanif@jpmorgan.com

drawdown in L/S. Even the improved 12M−1M signal only reaches a 0.01 J.P. Morgan Securities plc

Sharpe, with a still-severe -72% max drawdown in L/S. Khuram Chaudhry