Australia Style Guide: Momentum Reverses Over June

研报英文原文证据摘录

Australia Style Guide: Momentum Reverses Over June

Global Research

2 July 2026ab

Australia Style Guide Equities

AustraliaMomentum Reverses Over June

Quantitative

James Cameron

ASX 200 ticks up in to financial year end Analyst

The ASX 200 rose 0.7% over June, outperforming a flat MSCI World (0.0%) and the james-a.cameron@ubs.com

S&P 500 (-1.0%) in local currency terms. The top performing sectors were Health Care +61-2-9324 2074

(+13.3%), Cons. Staples (+13.0%) and Cons. Discretionary (+12.2%). The sectors that Paul Winter

underperformed the most were Energy (-8.9%), Materials (-6.7%) and Communication Analyst

Services (-1.7%). paul-j.winter@ubs.com

+61-2-9324 2080

Style performance reversion Oliver Antrobus, CFA

Momentum has seen a big reversion in performance over June, down 10%+ across the Analyst

factors we track. This looks to be due to Materials and Banks being in the long basket, oliver.antrobus@ubs.com

+61-3-9242 6467

while large Health Care names featured in the short basket. Growth saw small losses,

while other styles mostly made gains with Low Beta being the top performing factor of Luke Brown, CFA

those we track (having some inverted positions to Price Momentum). Over the 2025-26 Analyst

financial year, Dividend Yield was the top performing factor on a long-only basis (Figure luke.brown@ubs.com

+61-2-9324 3620

8LongOnly-ASX20), Quality factors underperformed the most. Correlation (Figure 3AveragepairwisecorelationintheAustralianmarket) remains low and

cross-sectional volatility remains elevated (Figure 4Cros-sectionalvolatility). These conditions should produce a Hugh Dawson

favourable environment for active management. Analyst

hugh.dawson@ubs.com

+61-2-9324 2093

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