APAC Equity Style Positioning QMI falls into SLOWDOWN after testing the waters last month; MOMO/FOMO trade is coming undone

Research evidence excerpt

APAC Equity Style Positioning QMI falls into SLOWDOWN after testing the waters last month; MOMO/FOMO trade is coming undone

J P M O R G A N Global Markets Strategy

15 July 2026

APAC Equity Style Positioning

QMI falls into SLOWDOWN after testing the waters last

month; MOMO/FOMO trade is coming undone

Risk appetite persisted into June but faltered in the last week, and now into July APAC Quantitative Strategy

ACwe have a definite risk reversal. While Momentum did dominate factor leadership Robert Smith, PhD

last month, it has fallen by -17.3% L/S so far MTD (13 July) in MSCI Asia ex Japan (61-2) 9003-8808

(quintiles, not neutralized). This is a significant unwind of the MOMO/FOMO trade. robert.z.smith@jpmorgan.com

J.P. Morgan Securities Australia Limited

Our message last month was about “managing the extremes” through hedging. Evan Hu

Momentum remains crowded and is still biased toward higher‑risk names and (852) 2800-8508

vulnerable to abrupt regime shifts; and dispersion across styles and sectors remains evan.hu@jpmorgan.com

high, so this month we want to add even more protection to the hedges. J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

Morgan Broking (Hong Kong) Limited

Another alarming situation for June was Reversion (1-month) outperforming Arpan Singh

Momentum (12-month). This is quite strange for what is usually a reversal factor; (91-22) 6157-3301

‘Reversion’ has been perversely strong all year. On top of that, the daily time series arpan.singh@jpmchase.com

J.P. Morgan India Private Limited

volatility for Momentum is higher than it's been in the last year. Together these

Chris Chiare just more alarm bells about the Momentum risk. Country Comment: Australia

chris.chi@jpmorgan.com