A multifaceted review of momentum: Mini momentum crashes (4)

Research evidence excerpt

A multifaceted review of momentum: Mini momentum crashes (4)

Global Markets Research

Japanese equity quantitative strategy 22 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

A multifaceted review of momentum: Mini momentum crashes Research Analysts

(4) Japan quantitative research

Shunta Tachinaka, CFA - NSC

Now short-term bearish in view of difficulty in dip-buying, but remain medium-term bearish shunta.tachinaka@nomura.com

on rise in risk volume, long-term bullish on fundamentals +81 3 6703 1212

Makoto Furukawa - NSC

Overview: We shift from bullish to bearish for short term, remain bearish for makoto.furukawa@nomura.com

medium term and bullish for long term +81 3 6703 1174

We change our short-term (1–2 weeks) investment stance on momentum from bullish to Shin Nishioka - NSC

bearish (Figure1). We now reference ultra-short-term momentum, as the collapse in shin.nishioka@nomura.com

market sentiment has made it difficult to buy on weakness. We retain our bearish stance +81 3 6703 3948

on the medium term, as although momentum now looks much less overheated, volatility

has continued to rise and skewness has continued to fall, and we see ongoing concerns

about tail risk. We also retain our bullish stance from a long-term perspective, as although

market sentiment has collapsed, we retain our views about fundamentals in external

conditions, including the Japanese economy and the AI semiconductor cycle.

Short term: We switch from bullish to bearish referencing ultra-short-term

momentum in view of difficulty of buying on weakness when sentiment collapses;

we recommend trend-following trading rather than buying on weakness

We have previously recommended short-term buying on weakness during mini

momentum crashes, when the momentum factor declines by less than 10%, such as the