Japanese equities factor geek: Shift in overconcentration, momentum in last place despite index gains

研报英文原文证据摘录

Japanese equities factor geek: Shift in overconcentration, momentum in last place despite index gains

Global Markets Research

Japanese equities factor geek 6 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

Shift in overconcentration, momentum in last place Research Analysts

despite index gains Japan quantitative research

Shin Nishioka - NSC

Volatility outperforming beta, time series value outperforming shin.nishioka@nomura.com

simple value +81 3 6703 3948

Makoto Furukawa - NSCIn this report we take a look at factor performance for large-cap stocks over the week of

makoto.furukawa@nomura.com

29 Jun–3 Jul (Figure 1 ). The categories in which the majority of factors saw a positive

+81 3 6703 1174

return over this period were quality, corporate action, and growth. The top five factors

Shunta Tachinaka, CFA - NSCwere time series normalized forecast E/P, forecast profit growth, 250-day volatility, net

shunta.tachinaka@nomura.com

cash ratio, and nonresident ownership ratio. Meanwhile, categories where the majority of

+81 3 6703 1212

factors saw a negative return were analyst consensus, market fluctuation, and supply–

demand. The bottom five factors were historical 12M return, information discreteness (ID),

forecast dispersion, change in earnings, and change in market trading value share.

While high-beta factors (historical beta and Barra beta) were lackluster, high-volatility

stocks, which are in the same risk category, performed well. Relatedly, in our 1 July 2026

report Japan equity quant memo - Institutional investors vs individual investors , we noted

that volatility for some stocks has been at high levels recently, and institutional investors

may be struggling with how to handle these stocks when putting together portfolios. High-