Nomura Quant Insights: Al reversal and Middle East normalization trades

Research evidence excerpt

Nomura Quant Insights: Al reversal and Middle East normalization trades

aggregate net long position would

increase sharply if the Nikkei 225 were to fall below 69,000 (Figure4). While we see no

need for excessive concern as CTAs' net long position in the Nikkei 225 is less than ¥1trn, Note:

we nevertheless see this as a near-term reversal expansion risk. As CTAs have already

Unless expressly stated otherwise,started downsizing their aggregate net long position in USD/JPY, we estimate that their

mentions of the exposure oraggregate net long position is currently only around ¥300.0bn (which is small relative to

positioning of various investorCFTC data). We see little risk that rapid yen appreciation as a result of forex intervention

classes are estimates derived fromwill substantially impair CTAs' performance.

Nomura’s model, and are not actual,

Consistently high volatility driven by leveraged ETFs / Individual investors still measured figures. This report was

bullish on AI authored by an employee of a

Volatility in the AI-driven market is a concern for institutional investors. It is important to Nomura affiliate and reviewed and

note that while South Korean equity leveraged ETFs have been consistently pushing up published by Nomura Securities.

volatility, the correlation between Japanese equities and South Korean equities,

particularly AI-related stocks, has been strengthening (see our 29 June 2026 report

NomuraQuantInsights-IndividualinvestorsdrawattentionastheAItradereverses:A

weektoassessthedurabilityofthereversal). Compared to institutional investors,

individual investors are fundamentally less likely to be affected by risk control constraints.

Individual investors remain bullish on AI globally (Figure5). Fund inflows into