Japan Quant Strategy: GPIF-inclusive public sector stance and its option-like effect – Reaction to excessive yen depreciation and rising JGB yields, and payoff for Japanese equities

研报英文原文证据摘录

Japan Quant Strategy: GPIF-inclusive public sector stance and its option-like effect – Reaction to excessive yen depreciation and rising JGB yields, and payoff for Japanese equities

J P M O R G A N Global Markets Strategy

24 July 2026

Japan Quant Strategy

GPIF-inclusive public sector stance and its option-

like effect – Reaction to excessive yen depreciation

and rising JGB yields, and payoff for Japanese

equities

• While the debate about the GPIF reshoring its assets is just speculation, it is Global Quantitative and Derivatives

important in that it is an indicator that the market is starting to take note of a Strategy

change in the public sector’s stance. Masanari Takada AC

• The main feature of this report is the interpretation of the public sector’s (81-3)masanari.takada@jpmorgan.com6736-8636

response as an “option-like effect” that changes the profit and loss structure of JPMorgan Securities Japan Co., Ltd.

equity investors. This allows us to consistently explain how policy measures, Tony SK Lee

which historically tended to provide a tailwind for Japanese stocks, may (852) 2800-8857

currently be limiting the upside potential of certain stocks in the process of tony.sk.lee@jpmorgan.com

curbing the excessive yen depreciation and rising interest rates. J.P. Morgan Securities (Asia Pacific) Limited/ J.P.

Morgan Broking (Hong Kong) Limited

• In this empirical analysis, we present a stock-selection framework that Robert Smith, PhD

prepares for a scenario in which the public sector takes action to curb excessive (61-2) 9003-8808

yen depreciation and rising interest rates and promote normalization. In a robert.z.smith@jpmorgan.com

period marked by a weak yen, rising interest rates, and continued inflation, it J.P. Morgan Securities Australia Limited