Japan Quant Strategy: Preparing for the end-June reversal period: Direction of momentum stock rotation, CTAs hesitate, and market concentration continues

Research evidence excerpt

Japan Quant Strategy: Preparing for the end-June reversal period: Direction of momentum stock rotation, CTAs hesitate, and market concentration continues

J P M O R G A N Global Markets Strategy

23 June 2026

Japan Quant Strategy

Preparing for the end-June reversal period:

Direction of momentum stock rotation, CTAs

hesitate, and market concentration continues

Today (June 23) the Nikkei Average briefly reached the 73,000 level but then fell Global Quantitative and Derivatives

back. Domestic demand and defensive stocks have also recovered somewhat, and Strategy

the market is showing signs of a reversal (momentum has declined). However, at Masanari Takada AC

this point, we believe it is closer to a speed adjustment following the sharp rally (81-3) 6736-8636

than a loss of momentum in the Nikkei Average’s upward trend. As a whole, masanari.takada@jpmorgan.com

momentum stocks, centered on AI semiconductor-related companies, remain the JPMorgan Securities Japan Co., Ltd.

driving force behind the rally, and lagging domestic demand and defensive stocks, Tony SK Lee

as well as value-related stocks, appear to lack the catalysts and narratives necessary (852) 2800-8857

tony.sk.lee@jpmorgan.com

to close the gap in any meaningful way. As a trading perspective ahead of the J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

rebalancing season at the end of June, we think it would be reasonable not to Morgan Broking (Hong Kong) Limited

expect a large-scale return reversal, in which the top- and bottom-performing Robert Smith, PhD

stock groups completely reverse in terms of share price performance, but (61-2) 9003-8808

rather to expect a situation in which strengths and weaknesses shift within robert.z.smith@jpmorgan.com

J.P. Morgan Securities Australia Limited