APAC Equity Style Positioning: Quality at a Reasonable Price

This monthly APAC equity style positioning report from J.P. Morgan's APAC Quantitative Strategy team argues that, after the July momentum crash, Quality has emerged as the leading style, with LTM Return on Equity (ROE) as its best single representative factor. J.P. Morgan's Quantitative Macro Indicator (QMI) has bounced back to EXPANSION, tilting the base case toward risk-on factors and Momentum, but the momentum trade remains vulnerable and the firm's overlay still puts momentum-at-risk at only 10%. Given the August dead-cat bounce and six weeks of flat performance, positioning is unchanged: Neutral on Momentum and Overweight Quality, buying Quality at a "reasonable price" measured by Earnings Yield — together ROE and EY form a basic QARP strategy. ROE has delivered a 12-month Sharpe of 1.42 versus 0.16 for Momentum and is up more than 30% on a rolling 12-month basis, and Quality and Value were the winners in August and September month-to-date. The main risks flagged are expensive Hig