Nomura Quant Insights: Cross-asset - Japan

Research evidence excerpt

Nomura Quant Insights: Cross-asset - Japan

is entirely unchanged. S&P 500 options show that

event premiums for these earnings remain at a high level from this week through the

month-end (Figure7). These earnings are drawing more attention than macro events Note:

such as the FOMC. The focus is on hyperscalers' capex plans for the next fiscal year. If Unless expressly stated otherwise,

results show a bullish outlook, that would serve as a direct catalyst for a genuine recovery mentions of the exposure or

in momentum. CDS spreads for hyperscalers, excluding Oracle, have widened only positioning of various investor

modestly recently (Figure8). Concerns over the sustainability of capex have not spread classes are estimates derived from

broadly across the sector. Nomura’s model, and are not actual,

AI reversal and reassessment of bank stocks / Slow recovery in construction stocks measured figures.

/ Defense stocks look increasingly appealing This report was authored by an

We struggle to see a sharp near-term rally in the Nikkei 225. As long as the Nikkei 225 employee of a Nomura affiliate and

stays below 68,000, CTAs are likely to continue trimming their long exposure (Figure9). reviewed and published by Nomura

And even if they were to start adding to their aggregate net long position again, the Securities.

potential scale of their net buying looks quite small for now. That said, we see little chance

of the kind of increase in risk-off momentum observed last Friday. Speculators (as

reflected in CFTC data) continue to build long positions in VIX futures. We maintain our

view that the risk of a sharp oil spike is limited despite ongoing Middle East risks (Figure

10). Dip-buying of construction and other stocks hurt by Iran-related risks looks more