A multifaceted review of momentum: Momentum crash monitor (3)

研报英文原文证据摘录

A multifaceted review of momentum: Momentum crash monitor (3)

Global Markets Research

Japanese equities quantitative strategy 22 July 2026

EQUITY: EQUITY QUANTITATIVE RESEARCH

A multifaceted review of momentum: Momentum Research Analysts

crash monitor (3) Japan quantitative research Shunta Tachinaka, CFA - NSC

Overheating has subsided, but caution still over tail risks, amid continued rise in volatility, decline in skewness; past crashes suggest shunta.tachinaka@nomura.com

further downside; recommended short-term weighting: 27% +81 3 6703 1212

Makoto Furukawa - NSC

Monitoring four momentum factor distribution metrics that typically change sharply makoto.furukawa@nomura.com

ahead of crashes +81 3 6703 1174

In this report, we monitor four distribution metrics for momentum factor returns (defined Shin Nishioka - NSC

herein as 12m share price returns) introduced in our 8 April report, Japaneseequity shin.nishioka@nomura.com

quantitativestrategy:Amultifacetedreviewofmomentum:Momentumcrashes(2). As +81 3 6703 3948

confirmed in the aforementioned report, managing tail risks in the distribution of returns is

critical to risk management for the momentum factor, which tends to crash. It is therefore

necessary to monitor four distribution metrics: average, volatility, skewness, and kurtosis (

Figure3). Indeed, average, volatility, skewness, and kurtosis have tended to undergo

sharp changes ahead of past momentum crashes. We think this occurs because the

changes in the external environment that lead to momentum crashes do not necessarily

occur suddenly. Instead, before a crash, concerns gradually emerge and recede over

time, resulting in anomalies in momentum factor returns.

A closer look at four distribution metrics for the momentum factor across four time

periods