三重动量配置器：动量策略暂歇

Momentum takes a breather 09 April 2026 Momentumstrategies underperformed in MarchMomentum strategiesgenerally underperformed last month as the Middle East conflict negatively impacted the performance of long-running investment themes. Globally,stocks with positive Triple Momentum underperformed stocks with negative TripleMomentum by -5.3% during the month, reducing the YTD performance spread to +3.5%.Large liquid stocks (Mcap >$20bn, ADTV >$20m) with thehighest Triple MomentumRankin the US are Pan American Silver, Qnity Electronics, FTAI Aviation, and WheatonPrecious. In Europe, Triple Momentum is strongest for Hochtief, ABB, and Erste Group.The top-ranked stocks in Japan are Sumitomo Electric, Toyota Tsusho, and ORIX. Quant StrategyGlobal Nigel Tupper>>Quant StrategistMerrill Lynch (Australia)+61 2 9226 5735nigel.tupper@bofa.com Amar Vashi>>Quant StrategistMerrill Lynch (Australia)amar.vashi@bofa.com Global sectors: Strongest for Semis,Weakest for SoftwareByglobal sector, Triple Momentum is now strongest forSemis,Banks, andEnergy. Incontrast, Triple Momentum is weakest for globalSoftware,Media, and Real Estate. Thetop-rankedregional-sectorsare Japan Banks, Japan Diversified Financials, and US Semis,and the lowest ranked are Europe Media, Europe Software, and US Software. Sumuhan Shanmugalingam>>Quant StrategistMerrill Lynch (Australia)sumuhan.shanmugalingam@bofa.com Asia:Strong for China Insurance, Weak for Aus Real Estate Stock screensGlobal SectorsRegion-SectorsAsia Pac ex-Japan StocksCountry-SectorsHeat Map:Global Region-Sector,Asia Pac Country-SectorTime series:Asia Pac Countries,Asia Pac Sectors,Asia PacCountry-Sectors,Global Sectors InAsia, the top-ranked country-sectors are China Insurance,Korea Banks, andTaiwanBanks, and the lowest ranked are Australia Real Estate and China Tech Hardware. Thetop-ranked stocks in Asia are SK Hynix, KB Financial, Zijin Mining, and Chroma ATE. Triple Momentum Top-Quintile would haveoutperformed Bottom-Quintile by +9.7%p.a.since 2004 Trading ideas and investment strategies discussed herein maygive 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 analystunder 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 92 to 94.12956902 Contents Notice to Readers: The various indicators and screens identified in this report are intended to be indicativemetrics only and may not be used for reference purposes or as a measure ofperformance for any financial instrument or contract, or otherwise relied upon by thirdparties for any other purpose, without the prior written consent of BofA Global Research.These indicators/ screens were not created to act as a benchmark. The screens in this report are not a recommended list either individually or as a group ofstocks. Investors should consider the fundamentals of the companies and their ownindividual circumstances/objectives before making any investment decisions. Triple Momentum (and its global, regional and sector versions) is intended to be anindicative metric only and may not be used for reference purposes or as a measure ofperformance for any financial instrument or contract, or otherwise relied upon by thirdparties for any other purpose, without the prior written consent of BofA Global Research.Triple Momentum was not created to act as a benchmark. Some of the analysis as described in this report is back-tested and does not representthe actual performance of any account or fund. Back-tested performance depicts thehypothetical back-tested performance of a particular strategy over the time periodindicated. In future periods, market and economic conditions will differ and the samestrategy will not necessarily produce the same results. No representation is being madethat any actual portfolio is likely to have achieved returns similar to those shown herein.In fact, there are frequently sharp differences between back-tested returns and theactual results realized in the actual management of a portfolio. Back-testedperformance results are created by applying an investment strategy or methodology tohistorical data and attempts to give an indication as to how a strategy might haveperformed during a certain period in the past if the product had been in existence duringsuch time.