Japan Quant Strategy Post-mini-crash tactics: Consider AI dip-buying and leveraging momentum in TOPIX and small caps

研报英文原文证据摘录

Japan Quant Strategy Post-mini-crash tactics: Consider AI dip-buying and leveraging momentum in TOPIX and small caps

Masanari Takada AC Global Markets Strategy

(81-3) 6736-8636 09 June 2026 J P M O R G A N

masanari.takada@jpmorgan.com

Japanese stock indices since May has been driven in part by cash equity, and typical futures

trend-followers have actually been somewhat slow to catch on. Based on our QDS team’s

estimate, while CTAs have continued to rebuild their long positions in Nikkei futures, their

average cost of net long positions since May has been around 62,500 (NKY), which is below

the current market price (65,300) (Figure 5). As they have unrealized gains, mechanical

position adjustments in response to rising volatility are possible, but it is unlikely that this will

lead to a situation where selling pressure triggers further selling.

On the other hand, it is likely margin trading (primarily by retail investors) is causing this

short-term volatility. Positions that expanded as investors jumped on the AI momentum

train tend to become stuck positions during downturns and act as relief selling that caps price

gains during rebounds (Figure 6). While this does not negate the strategy of buying on dips

for short-term gains, it does not justify being casual about timing or stock selection.

Tactical hedging strategies to consider: The basic approach in such situations is to maintain

a focus on buying oversold AI momentum stocks on dips while holding multiple hedging

instruments to prepare for short-term sporadic selling. In terms of indices, while CTAs have

slightly reduced their positions in South Korean, Taiwanese, and Nikkei 225 stocks, there has

been no significant movement in TOPIX futures. Although TOPIX is not actively preferred,