European Q-Score: From 1st Percentile Drawdown to Sharp June Rebound

Research evidence excerpt

European Q-Score: From 1st Percentile Drawdown to Sharp June Rebound

J P M O R G A N Global Markets Strategy

08 July 2026

European Q-Score

From 1st Percentile Drawdown to Sharp June Rebound

• European Q-Score Performance – Tactical L/S Call Pays Off, Rebounds European Equity Quantitative

Sharply in June Strategy

The Q-Score L/S delivered +7.3% in June, partially vindicating last month’s William Summer AC

flag of the bottom 1st percentile drawdown as a contrarian buy signal and (44-20) 7742-6079

comfortably reversing the 8% May dislocation. The Excess Long lagged by william.summer@jpmorgan.com

-0.7% against a subdued MSCI Europe (+0.8%, net total return, USD), so the Ayub Hanif, PhD

opportunity paid off principally through the market-neutral expression. The (44-20) 7742-5620

modest market gain came as the resolution of the Iran conflict collapsed oil, ayub.hanif@jpmorgan.com

though a hawkish Warsh-led FOMC kept rates from following oil lower. The Khuram Chaudhry

(44-20) 7134-6297

cover page shows July's Q-Score Bulls + Bears with 5 and 7 changes each. khuram.chaudhry@jpmorgan.com

• The QMI rotates to Contraction, the Q-Score's strongest regime J.P. Morgan Securities plc

The headline development this month is macro: the European QMI has

decisively rotated from Recovery into Contraction, signalling a higher

probability of growth disappointment and a shift in style leadership away from

High Risk towards Quality and Low Volatility. This regime has historically

been the Q-Score L/S’s strongest, and the model enters it well disposed, with

its pronounced Quality overweight and distinct High Risk underweight

precisely the profile rewarded as the cycle deteriorates.

• Q-Score Bulls Additions: Logitech, UBS, Mercedes-Benz Group, Wise and

Wolters Kluwer.