APAC Signal-to-Noise: Chasing alpha, embracing beta

研报英文原文证据摘录

APAC Signal-to-Noise: Chasing alpha, embracing beta

equity strategist, Masashi Akutsu revised up his year-end targets (see note) for TOPIX to 4,200 and Nikkei

225 to 67,000 (4,100 and 61,000 previously), supported by Japan’s structural advantage in supplying key

semiconductor equipment, components, and materials within the AI value chain, alongside ongoing inflation

and corporate reforms. He considers AI-related stocks as the primary drivers, benefiting from high beta and

strong momentum. However, based on historical patterns, he cautions that a short-term “speed correction”

could emerge around June, roughly 40 trading days after the market bottom. He believes a continued rally

beyond this window could signal a regime shift or bubble-like conditions.

Chart 1: Global: Risk and Triple Momentum Combinations, Relative Cumulative Performance (back-tested results Jan-03 to

Apr-26)

The opportunity to generate alpha appears higher among High Risk stocks than Low Risk stocks

130 (logged) 125

120 15.9% p.a.

115 Cumulative World) 110 105

AC 100

95 6.8% p.a. Relative MSCI 90 85

(vs 80

75 Indexed 70

65 Returns 03 04 05 06 07 08 09 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26

High Risk + Positive Triple Momentum High Risk + Negative Triple Momentum

Low Risk + Positive Triple Momentum Low Risk +Negative Triple Momentum

Source : BofA Global Quantitative Strategy, MSCI, IBES, Worldscope, Exshare, S&P, Bloomberg, RavenPack

This performance is back-tested for period from Jan-03 to Apr-26. Back-tested performance depicts the theoretical (not actual) performance of a particular strategy over

the time period indicated. No representation is being made that any actual portfolio is likely to have achieved returns similar to those shown herein.

BofA GLOBAL RESEARCH