Japan Quant Strategy Offshore investors shifting from China to Japan+Momentum accelerates amid additional reversal risk

研报英文原文证据摘录

Japan Quant Strategy Offshore investors shifting from China to Japan+Momentum accelerates amid additional reversal risk

Masanari Takada AC Global Markets Strategy

(81-3) 6736-8636 25 June 2026 J P M O R G A N

masanari.takada@jpmorgan.com

Accordingly, we believe there remains a possibility of a reversal in momentum trades at the

beginning of next month (Figure 5).

On the other hand, if the performance of momentum transactions remains at least -1% on a

one-month cumulative basis, even after being affected by a reversal, then there is a high

probability of momentum recovering thereafter (Figure 6). The likely reason for this is that

a pullback of this magnitude typically minimizes the need for mechanical stop-losses among

momentum investors. The recent decline appears to be within the scope of this rule of

thumb. If the market can withstand the additional reversals expected in the first half of July,

there is still room for the Momentum effect to rebuild gradually as leading sectors shift going

into mid-July.

Trends in Overseas Active Mutual Funds (May)

While short-term traders engage in brisk buying and selling, it is worth noting that

behind the scenes capital flows from medium- to long-term investors could be providing

underlying support. Looking at the May holdings data for active mutual funds updated

by the EPFR, it seems that even investor groups that had previously avoided this

momentum-driven market are now finding it difficult to ignore the global AI boom. The

allocation to Japanese stocks by developed-market funds remains underweight relative to the

benchmark (as of May: -0.5 ppt), but the gap is narrowing (Figure 7). We believe that this

positioning reflects the expectation that Japan's economy will pick up speed somewhat. It is