Japan Databook: Factors are highly volatile, driven by underlying shifts in the Fed

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Japan Databook: Factors are highly volatile, driven by underlying shifts in the Fed

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Japan Equity Strategy

Japan Databook: Factors are highly volatile,

driven by underlying shifts in the Fed

Investment Strategy

Factors: Highly volatile factor trends 01 July 2026

In early June, strong US employment data strengthened expectations for Fed rate hikes, Investment Strategy

causing beta and momentum factors to deteriorate sharply while value factors did well. Japan

Trading reversed direction in the latter half of the month, but beta and momentum Masashi Akutsu >>

factors weakened again toward month-end. Preference for quality strengthened and ROE Strategist

was the only factor that delivered stable performance (Exhibit 1, Exhibit 2). BofAS+81 3 6225Japan7754

masashi.akutsu@bofa.com

Return ranking: Characteristics of outperformers more Tetsuhiro Tokuyama >>

varied StrategistBofAS Japan

AI-related stocks advanced, such as SPE, memory and MLCC companies, and many +81tetsuhiro.tokuyama@bofa.com3 6225 8499

outperformers were stocks that had previously lagged. Department stores, food, IP,

healthcare, and services stocks rose. Meanwhile, expectations for the reopening of the

Strait of Hormuz weighed heavily on resource and materials-related stocks. Some

previously strong performers, including AI materials, FA, and retailers with high overseas

sales exposure, also softened. A number of stocks, including autos and IT services,

continued to trend lower. SPE: Semiconductor Production

Equipment

Revision rankings: No change in trends among stocks with

improving earnings MLCC: Multi-layer Ceramic Capacitor

Earnings continued to improve for AI materials and electronic components stocks. IP: Intellectual Property