Asia Quant Strategy: The high risk of momentum reversal in Taiwan & Korea - 15 key charts for our thesis

研报英文原文证据摘录

Asia Quant Strategy: The high risk of momentum reversal in Taiwan & Korea - 15 key charts for our thesis

29 June 2026

Asia Quantitative Strategy

Asia Quant Strategy: The high risk of momentum reversal in

Taiwan & Korea - 15 key charts for our thesis

Since last month, we have been flagging growing risk in Asian equities (see here, here, Rupal Agarwal

+65 6326 7641 here) driven by extreme concentration in TW/KR and the tech sector and the combination

rupal.agarwal@bernsteinsg.com of valuation bubble+unprecedented bullish expectations for the momentum trade. The

extraordinary momentum rally in Asia has become increasingly concentrated in Taiwan

Cheng Zhang, CFA, CQF and Korea, where high-momentum stocks have delivered 86% and 58% returns YTD

+852 2123 2636

cheng.zhang@bernsteinsg.com respectively. Since last week Asia momentum has started showing cracks, with Korea/

Taiwan momentum down -13%/-4% respectively. We believe this is the start of a broader

rotation away from winners-we recommend adding the anti-momentum (value/low vol)

exposure across the region and even within tech. For opportunities across Japan, China and

India, see-Japan Deck, China A and Asia Quant Strategy Deck.

Unprecedented earnings expectations, peak valuations, record crowding and

25yr high dispersion makes momentum trade extremely vulnerable: Momentum

rally has been driven by a powerful earnings upgrade cycle that has now reached at

extremes. Earnings expectations for broader Taiwan market and Taiwan momentum stocks

are at record high, while Korea is just shy of 2009 peak. At the same time, valuation for

momentum portfolios in both markets have already hit peak valuations. Even broader

market valuations for KR/TW are stretched, with at or near record high PB, EV/EBITDA,