Japan equity quant memo

Research evidence excerpt

Japan equity quant memo

Global Markets Research

14 July 2026Japan equity quant memo

EQUITY: EQUITY QUANTITATIVE RESEARCH

Which sectors have not seen reversal-like Research Analysts

movements? Japan quantitative research Makoto Furukawa - NSC

Only banks have remained positive, some quality factors have shown makoto.furukawa@nomura.com

markedly positive performance +81 3 6703 1174

Shin Nishioka - NSC

We look at reversals before results season really kicks off shin.nishioka@nomura.com

In our 6 July 2026 report Japanequityquantmemo-Liquidityisalsoconcentratedina +81 3 6703 3948

smallnumberofnames, we put forth a near-term outlook for further rotation not only Shunta Tachinaka, CFA - NSC

because of end-quarter rebalancing at the end of June but also because of a potential shunta.tachinaka@nomura.com

easing of uncertainty about the supply constraints caused by the conflict in the Middle +81 3 6703 1212

East. Figure2 shows that the three-month and 12-month momentum factors have been

correcting since peaking on 22 June, and as of 13 July were down 10.8% and 17.3% on

their 22 June peaks. We are approaching the full-fledged start of the 27/3 Q1 results

season, which normally sees share price returns affected by earnings at individual

companies, making it somewhat difficult to discern factor and sector performance, but in

this report we want to look at recent stock selection trends before this happens.

Figure1 compares returns versus the TOPIX by TOPIX-17 Series sector from 1 April

through 22 June (the momentum period) and from 23 June through 13 July (the reversal

period). Our analysis shows almost all sectors and the Nikkei 225 in the second (top left)

and fourth (bottom right) quadrants, with sectors that had seen rises (falls) during the