Japanese equities factor geek: Value strong and momentum weak in first half of week, reversal in second half

Research evidence excerpt

Japanese equities factor geek: Value strong and momentum weak in first half of week, reversal in second half

Global Markets Research

Japanese equities factor geek 13 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

Value strong and momentum weak in first Research Analysts

half of week, reversal in second half Japan quantitative research

Shin Nishioka - NSC

Trend reversed in second half of week as concerns about Middle East shin.nishioka@nomura.com

situation eased and JPY strengthened +81 3 6703 3948

Makoto Furukawa - NSC

Performance strong for historical value factor and weak for momentum factor in makoto.furukawa@nomura.com

first half of week, but trend reversed in second half +81 3 6703 1174

We start by looking at factor performance for large caps over the week of 6–10 July

Shunta Tachinaka, CFA - NSC

(Figure 1). The categories in which the majority of factors saw a positive return were shunta.tachinaka@nomura.com

valuation and corporate action. The top five factors were time series normalized forecast +81 3 6703 1212

E/P, forecast E/P, forecast dividend yield, target price/share price, and change in total

shareholder return yield. Categories where the majority of factors saw a negative return

were quality, market fluctuation, liquidity, growth, and supply–demand. The bottom five

factors were Barra beta, historical 12M return, historical beta, historical 3M return, and

250-day volatility.

In the first three trading days of the week (6-8 July), the value factor performed well,

particularly historical value (time series normalized forecast E/P), but momentum, beta,

and profit growth factors performed poorly (see our 6 July 2026 report Japanese equities

factor geek - Shift in overconcentration, momentum in last place despite index gains ). The