A multifaceted review of momentum: Mini momentum crashes (2)

Research evidence excerpt

A multifaceted review of momentum: Mini momentum crashes (2)

Global Markets Research

Japanese equity quantitative strategy 23 June 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

A multifaceted review of momentum: Mini momentum Research Analysts

crashes (2) Japan quantitative research

Shunta Tachinaka, CFA - NSC

We remain long-term bullish, medium-term bearish on momentum, switch from short-term shunta.tachinaka@nomura.com

bullish to bearish / Momentum rally still unlikely to be stopped by mini momentum crashes +81 3 6703 1212

Makoto Furukawa - NSC

We remain bullish on momentum over the long term and bearish over the medium makoto.furukawa@nomura.com

term, and change to bearish in the near term from bullish previously +81 3 6703 1174

In early June, the momentum factor (12-month share price returns in this report) fell

Shin Nishioka - NSC

sharply in response to the US jobs report shock exactly two weeks after the Fujikura shin.nishioka@nomura.com

shock (Figure 2 ). However, both the Nikkei 225 average and the momentum factor +81 3 6703 3948

subsequently bottomed out, and the market appears to remain generally bullish on high-

momentum stocks such as AI semiconductor names. That said, momentum factor

performance has notably begun to dip in response to shocks such as the Iran conflict,

Fujikura selloff, and the US jobs report, indicating the market's growing caution about the

momentum factor's rising risk level. Therefore, in this report, following up on our 29 May

2026 report A multifaceted review of momentum: Mini momentum crashes , we revisit our

investment stance on momentum, and while we remain long-term bullish and medium-

term bearish, we switch from a short-term bullish stance to a bearish one (Figure 1 ).