Highly concentrated stock selection! The factor-driven effect of extreme stocks

研报英文原文证据摘录

Highly concentrated stock selection! The factor-driven effect of extreme stocks

Global Markets Research

Japanese equity quantitative strategy 26 June 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

Highly concentrated stock selection! The factor-driven effect Research Analysts

of extreme stocks Japan quantitative research

Shin Nishioka - NSC

AI-themed stocks unlikely to stay ahead of the pack alone; stocks shin.nishioka@nomura.com

with similar factor characteristics likely to follow +81 3 6703 3948

Makoto Furukawa - NSC

Summary: Ideas for stock selection outside the small group that investors have been makoto.furukawa@nomura.com

focusing on +81 3 6703 1174

Stock selection continues to be concentrated in AI- and semiconductor-related stocks. In this

Shunta Tachinaka, CFA - NSCreport, we offer ideas for stock selection outside that group. We draw the following shunta.tachinaka@nomura.com

conclusions: (1) Recently, stock selection has been concentrated, and at the same time, +81 3 6703 1212

factors have increasingly been moving in the same direction. Compared to last year, the

momentum factor has been shifting to high-beta, large cap, and high-profit growth, as well

as to high-valuation stocks. (2) If we distinguish between "high-volatility stocks", which have

seen sharp rises (falls) (the "extreme stocks" mentioned in the title), and all other stocks,

referred to as "low-volatility stocks", we see that over the past year, the level of contributions

to factor performance have been moving in the same direction, suggesting that recently,

stock selection has not been solely based on AI themes; factor-based selection has been

steadily carried out as well. (3) However, in factors with a relatively large gap between the