QIS house of the year: JP Morgan

Risk Awards 2026: Intraday delta hedging helped dispersion strategies perform well, particularly during Trump tariff tantrum

Emea team, left to right: Louis Moussu, Matt Legg, Florence Natali, Ben Wood, Ludovic Peiron, Alex Tiers, Arnaud Jobert, Mohamed Hemissi, Tobie Duprey, Deepak Maharaj, Dan Roose, Chloi Karyda, Ben Rostein

Photo: Juno Snowdon

April’s Liberation Day turbulence presented a critical test for quantitative investment strategies. US equities dropped 12% over four trading days, only to snap back, regaining almost 10% the following day.

The rapid rebound exposed vulnerabilities in some defensive strategies, which struggled to make the expected adjustments, leading to outflows and urgent recalibration.

In contrast, JP Morgan’s most targeted products performed strongly. The bank’s equity dispersion strategies – some of the most popular in its 5,000-strong arsenal – emerged as a standout. A gamma-weighted version of the S&P 500 strategy, which skews the long volatility leg for a more defensive profile, gained almost 15% by the end of April while the vega-weighted version, with equal legs, was up 2%, prompting market-wide chatter around the mechanisms powering the impressive results.

The not-so-secret sauce is hourly intraday delta hedging, which aims to mitigate some of the risk associated with these kinds of moves. 

Having an intraday delta hedge is something we highlighted to clients in January as a high conviction way to hedge the ‘correlation one’ scenario

Arnaud Jobert, JP Morgan

Equity dispersion, which sees investors bet that individual stock volatilities will outpace index volatilities, was already a top performer for the bank in previous years. When implied correlation fell to historic lows at the start of the year, clients became apprehensive about entry points. A simultaneous drop in stocks, which is the most adverse risk for trades benefitting from divergence, would be particularly damaging for investors entering at this point.

Arnaud Jobert, JP Morgan’s global head of strategic indexes structuring and solutions and global head of equities structuring, identified regular delta hedging as a preferred approach going into 2025, to help smooth performance and deliver incremental alpha from intraday trend and overnight mean reversion in the event of a spike in correlation.

“Having an intraday delta hedge is something we highlighted to clients in January as a high conviction way to hedge the ‘correlation one’ scenario,” says Jobert.

In April, this approach added almost five percentage points of performance.

The US team: Blair Davis, Saad Chamich, Shmuel Sorkin, Justin Sumner, Nkonye Soetan, Brandon Igyarto, Rachid Alaoui, Rui Fernandes, Valerio Gaspari, Charlie Che, David Rademeyer, David Ruso

Photo: Alex Towle

Jobert denies the delta hedging element means the product is an intraday strategy masquerading as dispersion. Earlier in the year, when Chinese startup DeepSeek rocked tech stock valuations, performance was delivered almost entirely from the single stock vol moves, with negligible hedging contribution.

Jobert adds the strategy remains positive even without the hedging boost. By November, the vega-weighted version of the index was up over 6% including the hedging contribution. Even without it, the index was up over 1%.

Alongside equity dispersion, JP Morgan has found willing buyers for strategies including volatility carry, short skew carry, alternative trend, and further intraday themes. Strong sales of these products helped JP Morgan’s strategic index business top $100 billion notional. The business increased revenue by 35% year-on-year, with equity volatility strategies at the forefront, delivering 70% revenue growth. 

“We saw inflows on the back of our April performance on things like dispersion, but more broadly across defensive portfolios on a cross-asset basis,” says Jobert.

High conviction

While many clients single the bank out for its index breadth, a growing roster of fast money clients – hedge fund mandates jumped by 60% in 2025 – prefer a slimmed-down list of top recommendations. The JP Morgan team screens market inefficiencies, anomalies, dislocations and flows to discern optimal strategies, for example hand-picking particular points on the maturity curve or particular strikes from its index suite.

One of those high-conviction strategies was selling upside variance on S&P 500 – a vol carry strategy which performs well in a spot up, vol up scenario. The trade capitalises on a build-up of dealer gamma exposure stemming from heavy retail call buying, which creates a strong rationale for vol to realise low.

Popular among hedge funds, UpVar sees investors trade out-of-the-money call options while avoiding out-of-the-money puts, which are notoriously susceptible to downside shocks.

Many versions identify options to sell at the end of the day and execute with a one-day lag. JP Morgan takes a more immediate approach, identifying and executing options intraday and typically around 30 minutes prior to the close, to avoid peak congestion. The ability to execute the same day adds 9% to annual performance, Jobert says, while avoiding the congested close contributes a further 1.5%.

Apac team, left to right: Ron Chan, Sim Ee Cheah, Alex Staab, Ker Lih Gan

Photo: JP Morgan

By the end of April, the strategy was up over 2% and had delivered over 10% by mid-November.

The dealer also identified short skew carry, implemented via zero-day options, as another high-conviction trade, attracting $10 million vega notional. Skew represents the difference in volatility between puts and calls. The strategy combines short variance and long gamma – ultimately selling higher priced out-of-the-money puts and buying lower priced calls.

“Those strategies have been positive year-to-date and were all positive in April,” says Jobert. “It’s a testament to the rebound dynamics you have in those strategies, where you saw higher volatility in the first week of April, and then a collapse in vol.”

Jobert believes the bank remains “a few steps ahead” of the competition in intraday trading. While some banks are still exploring publication of intraday QIS performance, JP Morgan provides its clients with access to risk data on Vida, its analytics platform.

Ludovic Peiron, JP Morgan

The bank extended intraday momentum strategies to a range of single stocks, allowing investors to capture momentum risk premia on names like Apple and Nvidia, generated by dealer hedging of leveraged exchange-traded funds.

“The single stock work that JP Morgan has done is very, very good, versus all the banks,” says an asset manager client.

On Vida, which has more than 500 active users, QIS clients can monitor this dealer gamma build-up, enabling them to spot intraday opportunities in single stock strategies by buying hedges, unwinding or adding positions. 

“We’ve been introducing intraday tickers which has been a game-changer for a lot of clients who became much more proactive in terms of risk taking,” says Ludovic Peiron, JP Morgan’s head of equity derivatives sales.

Clients seem to appreciate the extra visibility provided by the dealer. “The ability to offer more granularity in execution, calculate intraday and trade risk after a minute or two… JP Morgan is good at that. They publish the level intraday so you can even go in and out through the day, it’s a benefit,” says a pension fund client.

Go macro

While 2025 was a year when the bank’s equity strategies shone, cross-asset expansion has been a long-term goal. Progress is evident, as far as clients are concerned.

“The bank has sensible offerings in almost every asset class and a bit of a research-led edge in some asset classes,” says Matthew Yeates, co-investment manager at UK asset manager, 7IM.

Another asset management client describes JP Morgan as a “top counterparty” with “a really good research bench and good financial engineers” who are often the first to show new strategies across asset classes.

US trading/structuring team, left to right: David Rademeyer, Saad Chamich, Rachid Alaoui, Rui Fernandes, David Ruso, Blair Davis

Photo: Alex Towle

While trend-following strategies struggled – SG’s Trend Index was up just over 1% in the year to mid-November – Jobert highlights the strategy as a driver of the bank’s cross-asset success.

The bank redoubled efforts on so-called ‘alternative trend’ which relies on non-standard signals and assets. Novel indicators include skewness reversion, a common indicator for commodities traders, which indicates whether assets are overbought or oversold. This approach delivered 20% returns to early November. Macro signals are taken from the JPMaQs dataset, an unrevised point-in-time macroeconomic database, while alternative assets include equity factors and off-benchmark commodities.

Clients singled out the bank’s emerging markets foreign exchange platform as best-in-class, covering more than 50 pairs of crosses including non-deliverable currencies, where the bank doubled notionals versus 2024.

In rates, the bank added to its popular long-dated swaption volatility strategies. For example, a new invoice spread strategy offers systematic exposure to the spread between bonds and interest rate swaps – a gap which reflects liquidity differentials between those two markets.

US sales team, left to right: Justin Sumner, Nkonye Soetan, Brandon Igyarto, Shmuel Sorkin

Photo: Alex Towle

Minimising the market timing mismatch between the two legs requires a flexible setup so that the dealer can calibrate an interest rate swap that matches the cheapest-to-deliver bond in terms of instrument and duration, all on the fly.

“If you don’t have the intraday capabilities on both over-the-counter and listed, your asset swap trade will be full of noise,” says Jobert. “Our OTC rates vol and intraday rates QIS capabilities enable us to deliver a clean exposure to an asset swap trade.”

The strategy has been extended to new markets including Europe and Japan, where the bank sees “massive” opportunities for growth, says Jobert.

Only connect

JP Morgan’s connectivity stretches beyond its Vida analytics tool. Clients also praise the firm’s separately managed accounts platform Nexus as an industry-leading tool.

With $48 billion of notional and close to 40% year-on-year revenue growth, Nexus is an example of JP Morgan’s ‘customisation at scale’ ethos. Institutional clients are able to gain synthetic exposure to their own strategies through an index, with outsourced execution. They can also access JP Morgan strategies and customise parameters.

One asset manager says the platform beats rivals on its ability to incorporate complex single stock options data.

Emea trading/structuring team, left to right: Ben Rostein, Florence Natali, Alex Tiers, Arnaud Jobert, Ben Wood, Chloi Karyda, Louis Moussu, Mohamed Hemissi, Deepak Maharaj

Photo: Juno Snowdon

Seen as a blurring of the lines between separately managed accounts and QIS, the platform has branched out from its long/short equity base, into equity volatility and cross-asset strategies. A recent example saw a client bring their own options strategy to the platform, with JP Morgan’s QIS team providing a delta hedging mechanism.

“A lot of the clients today are existing QIS clients who want to have the best of both worlds between their own IP and JP Morgan execution pipes,” says Jobert. “By bringing these opportunities together we can unlock even more opportunities going forward.”

Clients also gave an enthusiastic nod to Mansart, the bank’s internal asset management company which acts as a fund wrapper for clients’ own intellectual property and now provides access to JP Morgan strategies in fully funded format.

“It’s not far away from being unique, which does give them a competitive advantage,” says one fund manager. “Others do fund-wrapped solutions, but it’s often one guy sitting on their own with a 30-page deck. At JP Morgan it’s a separate team.”

Emea sales team, left to right: Matt Legg, Ludovic Peiron, Chloi Karyda, Tobie Duprey, Dan Roose

Photo: Juno Snowdon

JP Morgan has developed a range of defensive QIS portfolios to provide statistical hedges during equity market stress. Offered through Mansart, these incorporate various strategies such as equity quality, mean reversion, dispersion and correlation spread. According to Peiron, they proved effective in April and delivered positive returns through the year.

“Those Mansart funds have been helpful for us to put QIS on the radar for clients that are investing on a fully funded basis. Most of our investors in the past have been investing in swap format and leveraged format but not necessarily through fully funded strategies, so it helped us target new clients,” says Peiron.

At the far end of the client spectrum – retail – JP Morgan led the charge on one of the most talked-about products of the year, an autocallable exchange-traded fund.

“Hedge funds have been central to our initiative, but we’ve seen significant new trends emerging in the QIS retail space with outcome-based ETFs,” says Peiron.

Issued by Calamos, the first systematic autocall ETF tracks a new autocall index devised by JP Morgan in partnership with MerQube. The index represents a laddered basket of 52 hypothetical notes, with JP Morgan providing the exposure via swaps. The ETF garnered more than $400 million of assets in just five months.

Peiron says: “We’re excited about this market growing double or triple digits next year.”