Japan Style Guide "Factor leadership shifts again as Momentum and Growth..."

Research evidence excerpt

Japan Style Guide "Factor leadership shifts again as Momentum and Growth..."

Global Research

2 July 2026ab

Japan Style Guide Equities

JapanFactor leadership shifts again as Momentum and

Growth jump in June Quantitative

Will Stephens

Analyst

will.stephens@ubs.com

Japan sees another month of factor volatility +852-3712 3892

Factor leadership rotated again in June, continuing the trend of style volatility that we Jia Li Mok, CFA

have seen throughout 2026. Momentum factors led overall, with Revision to 12m Fwd Analyst

EPS rising by 9.7%, while 12m Price Momentum (6.1%) and Momentum Composite jia-li.mok@ubs.com

(6.0%) also posted strong gains. Quality factors rebounded, with High Quality leading +65-6495 5772

all factors for the month (10.3%). Growth factors were strong, with EPS Growth Jessica SU

increasing 5.0% for the month. Value styles largely reversed their prior month gains, Analyst

with Book Yield the largest monthly laggard, declining by 7.5%. Low Risk factors also jessica-hong.su@ubs.com

continued to struggle. Amidst the month-to-month volatily, Price Momentum is the best +852-3712 2059

performer YTD, up 37%, while Low Volatility has trailed, down 26% in 2026. Paul Winter

Macro influence eased somewhat as dispersion ticked lower paul-j.winter@ubs.com

Macro factors’ contribution to market variance declined from 40% to 36% in June. +61-2-9324 2080

Crude oil's impact declined sharply from 31% to 20%, but was partially offset by Cathy Fang, PhD

increases in the importance of Gold, which jumped from nil in May to 5% at the end of Analyst

June. The influence of AAA spreads declined (-3%) while the yield curve impact S1460518100001

increased (+5%). The stock picking environment in Japan reversed somewhat in June, cathy.fang@ubs.com