日本焦点：量化视角

Japan: A quantitative perspective Quantitative Strategy 11 April 2025 Sensitive to the cycle Quant StrategyJapan In this report, we highlight the conclusions for Japan from quantitative research on arange of topics including the cycle, earnings, positioning, Triple Momentum, style, andgeographic revenue exposure. In terms of the cycle, in the previous 13 upturns in ourGlobal Wave indicator, MSCI Japan returned a median17.0%in 12 months. In contrast,after Global Wave peaks, Japan equities fell a median-3.5%in 12 months (versus MSCIACWI +0.8%). Japan equities appear sensitive to the direction of the global cycle. Nigel Tupper>>Quant StrategistMerrill Lynch (Australia)+61 2 9226 5735nigel.tupper@bofa.com Amar Vashi>>Quant StrategistMerrill Lynch (Australia)amar.vashi@bofa.com Triple Momentum applied to a Japan stock universeWe applyTriple Momentum(earnings, price, news) to Japan stocks. Since 2010, Positive Triple Momentum (top 20%) would have outperformed Negative Triple Momentum by anaverage 4.0% p.a., and by 14.7% in the last year. Among Japan’s Most Important Stocks,Triple Momentum is strongest for Mizuho and MHI, and weakest for Mitsubishi Corp. Sumuhan Shanmugalingam>>Quant StrategistMerrill Lynch (Australia)sumuhan.shanmugalingam@bofa.com Japan exporters to theUS We screen for Japan stocks exposed to each region of the world. YTD, Japan exportersto all regions haveunderperformedthe MSCI Japan Index, and exporters to the US haveunderperformed by -4.9%. We list stocks with the mostrevenue exposure to the US. Crowded stocks in Japan An analysis of long-only funds’active exposures in Japan relative to benchmark showsfunds remain underweight Japan, in aggregate. The stocks owned by a high proportionof funds and which funds are overweightincludeKeyence, Recruit, and Shin-Etsu. Chart 1: Japan Most Important Stocks Triple Momentum: Earnings, Price, and NewsTriple Momentum is most positive for Mizuho, MHI, and Nintendo Trading ideas and investment strategies discussed herein may give rise to significant risk and arenot suitable for all investors. Investors should have experience in relevant markets and the financialresources to absorb any losses arising from applying these ideas or strategies.>> Employed by a non-US affiliate of BofAS and is not registered/qualified as a research analyst under the FINRA rules.Refer to "Other Important Disclosures" for information on certain BofA Securities entities that take responsibility for the information herein in particular jurisdictions.BofA Securities does and seeks to do business with issuers covered in its research reports. As a result, investors should be aware that the firm may have a conflict ofinterest that could affect the objectivity of this report. Investors should consider thisreport as only a single factor in making their investment decision.Refer to important disclosures on page 23 to 25.12815443 Contents Global Wave3Earnings5Positioning6Triple Momentum8Steady Compounders10Style13Most Important Stocks16Geographic Revenue Exposure18Valuation22 Global Wave The Global Wave quantifies multi-year trends in global economic activity and identifiesmajor turning points. The Global Wave is an amalgamation of seven equal-weightedcomponents across 50 countries, where data from each country is weighted by the valueof GDP. The direction of the global cycle appears to influence equity marketperformance, regional allocation, country allocation, style allocation, and stock selection. The Global Wave (report link:Global Wave). The Global Wave has peaked Since the six live trough signals, MSCI Japan has averaged 17.0% in next 12m with 100% hit rate Since the six live peak signals, MSCI Japan has averaged -6.3% in next 12m Source:BofA Global Quantitative Strategy, MSCI, IBES, Haver, Bloomberg, OECD, IMF, ICE Bond Indices, National Statistics DatabaseBack-tested results are from Jan-98 to Sep-08. Actual performance is from Oct-08. Back-tested performance depicts the theoretical (not actual)performance of a particular strategy over the time period indicated. No representation is being made that any actual portfolio is likely to haveachieved returns similar to those shown herein. BofA GLOBAL RESEARCH Chart 3: Japan Sector performance (USD) post troughs in the Global WaveSemiconductors has the best returns in 12m post troughs in the Global Wave, Energy has the worst returns Chart 4: Japan Sector performance (USD) post peaks in the Global WaveInsurance has the best returns in 12m post peaks in the Global Wave, Semiconductors has the worst returns Earnings The following charts illustrate the earnings environment in Japan based on IBESconsensus estimates. Currently, EPS growth forecasts are positive and the Earnings Revision Ratio generallyremains above 1.00 so downgrades are not reducing growth forecasts. Therefore the12-month forward EPS level is rising, which has been driving equity market performance. Report Link:Global Earnings Revision Ratio