Quantitative Perspectives on Cross-Asset Risk Premia Optimized skewness reversion in cross-asset factors and combining trend-managed equity beta with pure equity momentum

Research evidence excerpt

Quantitative Perspectives on Cross-Asset Risk Premia Optimized skewness reversion in cross-asset factors and combining trend-managed equity beta with pure equity momentum

J P M O R G A N Global Markets Strategy

10 July 2026

Quantitative Perspectives on

Cross-Asset Risk Premia

Optimized skewness reversion in cross-asset factors

and combining trend-managed equity beta with pure

equity momentum

Cross Asset Systematic Strategy

Dobromir Tzotchev, PhD AC

(44-20) 7134-5331

dobromir.tzotchev@jpmorgan.com

J.P. Morgan Securities plc

Optimized Skewness Reversion in Cross-Asset Factors Ioannis Pantelidakis, DPhil

(44-20) 3493 3625

We construct the skewness-reversion in cross-asset factors approach as an alternative ioannis.pantelidakis@jpmorgan.com

to the asset-level skewness implementation. The skewness-reversion in factors J.P. Morgan Securities plc

strategy has a negligible correlation with the residual skewness counterpart. Mengjiao Wang

Optimized versions of skewness-reversion in factors have been put forward as well, (44-78) 9704-9696

one minimizing cost and another balancing skew-reversion expected return mengjiao.wang@jpmorgan.com

maximization with cost control, delivering Sharpe ratios close to 0.6. J.P. Morgan Securities plc

Sandra Djambazovska

Combining Trend-Managed Equity Beta with Pure Equity Momentum sandra.djambazovska@jpmorgan.com

Digressing from our usual approach of combining pure equity portfolios, we combine J.P. Morgan Securities plc

Pure Beta with Pure Momentum. We use a bottom-up variation of our trend signal to Thomas Salopek

dynamically adjust the risk level of the combined portfolio (Sharpe close to 0.7). We (1-212) 834-5476

also include a timed version of the Pure Beta portfolio. thomas.salopek@jpmorgan.com

J.P. Morgan Securities LLC

Performance review