A multifaceted review of momentum: Momentum crash monitor (2)

研报英文原文证据摘录

A multifaceted review of momentum: Momentum crash monitor (2)

Global Markets Research

Japan equity quantitative strategy 23 June 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

A multifaceted review of momentum: Momentum crash Research Analysts

monitor (2) Japan quantitative research

Shunta Tachinaka, CFA - NSC

Tail risk warrants caution in near term in particular on overheating, buoyant volatility / shunta.tachinaka@nomura.com

Recommended investment weighting is 32% for short term, -8ppt from two weeks ago +81 3 6703 1212

Makoto Furukawa - NSC

We monitor four types of distribution indicator for momentum factor performance, makoto.furukawa@nomura.com

which is prone to sharp fluctuations before crashes +81 3 6703 1174

In this report, we monitor the four distribution indicators for momentum factor returns Shin Nishioka - NSC

(based on historical 12-month share price returns) that we discussed in our 8 April 2026 shin.nishioka@nomura.com

report Japanese equity quantitative strategy - A multifaceted review of momentum: +81 3 6703 3948

Momentum crashes (2) . As we noted in our 8 April report, management of tail risk in the

return distribution is important in risk management for the momentum factor, which has a

tendency to crash, and management of four types of distribution indicators—average,

volatility, skewness, and kurtosis—is essential too (Figure 3 ). In the past, momentum

crashes have often been preceded by sharp fluctuations in these four distribution

indicators. We think this is because the changes in the external environment that lead to

momentum crashes do not necessarily occur suddenly; instead, anomalies in momentum

factor returns tend to occur over a certain period of time before the crash as risk factors

and concerns materialize and fade.