Momentum Fusion: Asia ex Japan: Blending classic price returns, fundamental momentum, sentiment and NLP for more resilient trend capturing

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Momentum Fusion: Asia ex Japan: Blending classic price returns, fundamental momentum, sentiment and NLP for more resilient trend capturing

J P M O R G A N Global Markets Strategy

26 June 2026

Momentum Fusion: Asia ex Japan

Blending classic price returns, fundamental momentum,

sentiment and NLP for more resilient trend capturing

Momentum investing relies on the persistence of trends, but the portfolio challenge APAC Quantitative Strategy

ACis identifying which trends deserve capital and which are merely crash risk in Robert Smith, PhD

disguise. Our Global Momentum Report recently published tests 37 momentum (61-2) 9003-8808

signals across technical, fundamental, sentiment, NLP and linear trend families, robert.z.smith@jpmorgan.com

then evaluates how those signals can be blended into more resilient composites J.P. Morgan Securities Australia Limited

with drawdown control, volatility scaling, and implementation discipline. Chris Chi

chris.chi@jpmorgan.com

J.P. Morgan Securities Australia Limited

Key takeaways for Asia (ex Japan):

Evan Hu

(852) 2800-8508

The Asia (ex Japan) evidence supports a blended approach rather than a single evan.hu@jpmorgan.com

momentum definition, with the regional results showing that the proposed J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

Momentum Composite delivers strong results in both long-only and long-short Morgan Broking (Hong Kong) Limited

implementations, with the Fundamental Momentum Composite being especially Arpan Singh

powerful in Asia: (91-22) 6157-3301

arpan.singh@jpmchase.com

• Price Momentum is investible but fragile: Classic price momentum works, J.P. Morgan India Private Limited

Global Head of Quant Strategy but only on the medium term horizon and after removing recent reversion: the